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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
Diversified Investors Strategic Variable Funds
--------------------------------------------------
(Exact name of Registrant as specified in charter)
Address of Registrant: 4 Manhattanville Road
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Purchase, NY 10577
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Name and address of agent for service: Joseph P. Carusone
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4 Manhattanville Road
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Purchase, NY 10577
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Registrant's telephone number, including area code: (914) 697-8586
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Date of fiscal year end: December 31, 2007
-----------------
Date of reporting period: June 30, 2007
-----------------
ITEM 1. REPORTS TO STOCKHOLDERS.
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
================================================================================
DIVERSIFIED INVESTORS VARIABLE FUNDS
DIVERSIFIED INVESTORS
STRATEGIC VARIABLE FUNDS
SEMI-ANNUAL REPORT
June 30, 2007
- --------------------------------------------------------------------------------
International Equity
Special Equity
Aggressive Equity
Equity Growth
Intermediate/Long
Growth & Income Horizon
Value & Income
Balanced Intermediate Horizon
Calvert
High Yield Bond
Short Horizon
Core Bond
Inflation-Protected Securities
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 FUNDS:
An Explanation of Fund Expenses......................................... 2
Statements of Assets and Liabilities.................................... 4
Statements of Operations................................................ 6
Statements of Changes in Net Assets -- June 30, 2007.................... 8
Statements of Changes in Net Assets -- December 31, 2006................ 10
CALVERT SUBACCOUNT:
Statement of Assets and Liabilities................................... 12
Statement of Operations............................................... 13
Statements of Changes in Net Assets................................... 14
Notes to Financial Statements........................................... 15
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS:
An Explanation of Fund Expenses......................................... 24
Statements of Assets and Liabilities.................................... 25
Statements of Operations................................................ 26
Statements of Changes in Net Assets -- June 30, 2007.................... 27
Statements of Changes in Net Assets -- December 31, 2006................ 28
PORTFOLIOS OF INVESTMENTS:
Short Horizon Strategic Variable Fund................................. 29
Intermediate Horizon Strategic Variable Fund.......................... 30
Intermediate Long Horizon Strategic Variable Fund..................... 31
Portfolio Composition................................................... 32
Notes to Financial Statements........................................... 33
APPROVAL OF INVESTMENT ADVISORY CONTRACTS............................... 39
DIVERSIFIED INVESTORS PORTFOLIOS:
Statements of Assets and Liabilities.................................... 42
Statements of Operations................................................ 46
Statements of Changes in Net Assets -- June 30, 2007.................... 50
Statements of Changes in Net Assets -- December 31, 2006................ 54
PORTFOLIOS OF INVESTMENTS:
Money Market Portfolio................................................ 58
High Quality Bond Portfolio........................................... 60
Inflation-Protected Securities Portfolio (formerly, Intermediate
Government Bond)................................................... 68
Core Bond Portfolio................................................... 69
Total Return Bond Portfolio........................................... 86
High Yield Bond Portfolio............................................. 98
Balanced Portfolio.................................................... 107
Value & Income Portfolio.............................................. 122
Value Portfolio....................................................... 125
Growth & Income Portfolio............................................. 127
Equity Growth Portfolio............................................... 133
Aggressive Equity Portfolio........................................... 138
Mid-Cap Value Portfolio............................................... 140
Mid-Cap Growth Portfolio.............................................. 145
Small-Cap Value Portfolio............................................. 147
Special Equity Portfolio.............................................. 151
Small-Cap Growth Portfolio............................................ 162
International Equity Portfolio........................................ 166
Summary of Footnotes and Abbreviations to Portfolios.................... 172
Portfolio Composition................................................... 173
Notes to Financial Statements........................................... 175
Approval of Investment Advisory Contracts............................... 199
CALVERT SOCIAL BALANCED PORTFOLIO SEMI-ANNUAL REPORT.................... I
</Table>
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
AN EXPLANATION OF FUND EXPENSES
(UNAUDITED)
Diversified Investors Strategic Variable Funds (individually, a "Subaccount" and
collectively, "DISVF") is a separate investment account established by
Transamerica Financial Life Insurance Company, Inc. ("TFLIC"), and is used as an
investment vehicle under certain tax-deferred annuity contracts issued by TFLIC.
Each Subaccount invests in underlying subaccounts of the Diversified Investors
Variable Funds ("DIVF"), a unit investment trust. As a contractholder in a
Subaccount, you will bear the ongoing costs of managing the corresponding
subaccounts in which your Subaccount invests. You will also bear the cost of
operating the Subaccount.
The first column in the table shown below assumes an investment of $1,000 on
January 1, 2007. The second column will show your ending balance (per $1,000) on
June 30, 2007. The third column will show how much of your investment (per
$1,000) went to the ongoing costs of your Subaccount. The figures in both of
these columns are based on the actual total return and the actual expenses
incurred for the period January 1, 2007-June 30, 2007. In order to approximate
how much you paid in expenses during the six months, divide your balance by
1,000, and multiply the result by the dollar amount shown under the heading
"Expenses Paid During the Period January 1, 2007-June 30, 2007 (Based on actual
returns and expenses)".
The fourth and fifth columns will also show your ending balance (per $1,000) on
June 30, 2007 and how much of your investment (per $1,000) went to the ongoing
costs of both your Subaccount and its investments in DIVF, but assumes a total
annual return rate of 5% before expenses. Since the 5% is hypothetical, the
ending account values and the expenses paid for the period January 1, 2007-June
30, 2007 will not be the actual values per $1,000 of your investment. This
information is presented so you may compare the cost of investing in a
Diversified Investors Strategic Variable Fund against the cost of investing in
other funds. Other funds should provide this information based on a hypothetical
annual return of 5% before expenses in their most recent report in order for you
to make a fair comparison.
<Table>
<Caption>
EXPENSES PAID
DURING THE PERIOD
EXPENSES PAID ENDING JANUARY 1, 2007-
DURING THE PERIOD ACCOUNT VALUE JUNE 30, 2007
ENDING JANUARY 1, 2007- JUNE 30, 2007 (BASED ON
ACCOUNT VALUE JUNE 30, 2007 (BASED ON HYPOTHETICAL 5%
JUNE 30, 2007 (BASED ON HYPOTHETICAL 5% ANNUAL RETURNS ANNUALIZED
BEGINNING (BASED ON ACTUAL RETURNS ANNUAL RETURNS BEFORE ACTUAL EXPENSE
ACCOUNT VALUE ACTUAL RETURNS AND EXPENSES) BEFORE ACTUAL EXPENSES) RATIO
FUND NAME JANUARY 1, 2007 AND EXPENSES) (1)(2) EXPENSES) (1)(2) (1)
- --------- --------------- -------------- ----------------- --------------- ----------------- ----------
Short Horizon.............. $1,000 $1,012.83 $1.00 $1,023.93 $1.01 0.20%
Intermediate Horizon....... 1,000 1,036.12 1.02 1,023.93 1.01 0.20
Intermediate Long Horizon.. 1,000 1,047.95 1.02 1,023.93 1.01 0.20
</Table>
- --------
(1) These figures exclude fees and expenses of the underlying investments in
DIVF.
(2) Expenses are equal to each Fund's annualized expense ratio multiplied by the
average account value over the period, divided by 365, multiplied by 182 (to
reflect the one-half year period).
24
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHORT INTERMEDIATE INTERMEDIATE
HORIZON HORIZON LONG HORIZON
STRATEGIC STRATEGIC STRATEGIC
VARIABLE FUND VARIABLE FUND VARIABLE FUND
------------- ------------- -------------
ASSETS:
Investments in affiliates, at value (Notes 1 and
2).............................................. $10,849,896 $31,418,845 $52,756,920
Receivable for units sold......................... 4,052 14,286 14,652
----------- ----------- -----------
Total assets...................................... 10,853,948 31,433,131 52,771,572
----------- ----------- -----------
LIABILITIES:
Payable for securities purchased.................. 3,558 9,581 6,076
Payable for units redeemed........................ 494 4,705 8,576
Accrued investment advisory fees.................. 1,682 5,001 8,406
----------- ----------- -----------
Total liabilities................................. 5,734 19,287 23,058
----------- ----------- -----------
NET ASSETS........................................ $10,848,214 $31,413,844 $52,748,514
=========== =========== ===========
ACCUMULATION UNITS................................ 687,142 1,738,208 2,712,397
=========== =========== ===========
UNIT VALUE........................................ $ 15.79 $ 18.07 $ 19.45
=========== =========== ===========
NET ASSETS CONSIST OF:
Cost of accumulation units........................ $ 8,364,674 $22,056,777 $37,942,013
Undistributed (accumulated) net realized gains
(losses)........................................ 1,507,045 2,771,154 3,291,383
Undistributed (accumulated) net investment income
(loss).......................................... (132,215) (399,957) (551,466)
Net unrealized appreciation (depreciation) on
investments..................................... 1,108,710 6,985,870 12,066,584
----------- ----------- -----------
NET ASSETS........................................ $10,848,214 $31,413,844 $52,748,514
=========== =========== ===========
INVESTMENTS IN AFFILIATES, AT COST................ $ 9,741,186 $24,432,975 $40,690,336
=========== =========== ===========
</Table>
See notes to financial statements.
25
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHORT INTERMEDIATE INTERMEDIATE
HORIZON HORIZON LONG HORIZON
STRATEGIC STRATEGIC STRATEGIC
VARIABLE FUND VARIABLE FUND VARIABLE FUND
------------- ------------- -------------
INVESTMENT ADVISORY FEES (NOTE 3)................. $(10,256) $ (30,776) $ (49,461)
-------- ---------- ----------
REALIZED AND UNREALIZED GAINS (LOSSES) ON
INVESTMENTS IN AFFILIATES (NOTE 2):
Net realized gains (losses) on investments in
affiliates...................................... 110,346 10,931 21,704
Change in net unrealized appreciation
(depreciation) on investments in affiliates..... 28,845 1,120,352 2,307,097
-------- ---------- ----------
Net realized and unrealized gains (losses) on
investments in affiliates....................... 139,191 1,131,283 2,328,801
-------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................. $128,935 $1,100,507 $2,279,340
======== ========== ==========
</Table>
See notes to financial statements.
26
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHORT INTERMEDIATE INTERMEDIATE
HORIZON HORIZON LONG HORIZON
STRATEGIC STRATEGIC STRATEGIC
VARIABLE FUND VARIABLE FUND VARIABLE FUND
------------- ------------- -------------
FROM OPERATIONS:
Investment advisory fees.......................... $ (10,256) $ (30,776) $ (49,461)
Net realized gains (losses) on investments in
affiliates...................................... 110,346 10,931 21,704
Change in net unrealized appreciation
(depreciation) on investments in affiliates..... 28,845 1,120,352 2,307,097
----------- ----------- -----------
Net increase (decrease) in net assets resulting
from operations................................. 128,935 1,100,507 2,279,340
----------- ----------- -----------
FROM UNIT TRANSACTIONS:
Units sold........................................ 2,010,306 3,430,116 6,732,897
Units redeemed.................................... (1,495,939) (3,072,986) (3,557,200)
----------- ----------- -----------
Net increase (decrease) in net assets resulting
from unit transactions.......................... 514,367 357,130 3,175,697
----------- ----------- -----------
Total increase (decrease) in net assets........... 643,302 1,457,637 5,455,037
NET ASSETS:
Beginning of period............................... 10,204,912 29,956,207 47,293,477
----------- ----------- -----------
End of period..................................... $10,848,214 $31,413,844 $52,748,514
=========== =========== ===========
Units outstanding beginning of period............. 654,393 1,717,863 2,548,307
Units sold........................................ 127,736 192,606 352,044
Units redeemed.................................... (94,987) (172,261) (187,954)
----------- ----------- -----------
Units outstanding end of period................... 687,142 1,738,208 2,712,397
=========== =========== ===========
</Table>
See notes to financial statements.
27
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 2006
<Table>
<Caption>
SHORT INTERMEDIATE
HORIZON HORIZON INTERMEDIATE LONG
STRATEGIC STRATEGIC HORIZON STRATEGIC
VARIABLE FUND VARIABLE FUND VARIABLE FUND
------------- ------------- -----------------
FROM OPERATIONS:
Investment advisory fees........................ $ (21,116) $ (58,249) $ (91,328)
Net realized gains (losses) on investments in
affiliates.................................... 577,976 778,609 1,483,061
Change in net unrealized appreciation
(depreciation) on
investments in affiliates..................... (89,554) 1,607,120 3,049,486
----------- ----------- ------------
Net increase (decrease) in net assets resulting
from operations............................... 467,306 2,327,480 4,441,219
----------- ----------- ------------
FROM UNIT TRANSACTIONS:
Units sold...................................... 3,665,902 7,153,984 9,813,099
Units redeemed.................................. (5,502,368) (8,806,580) (12,402,021)
----------- ----------- ------------
Net increase (decrease) in net assets resulting
from unit transactions........................ (1,836,466) (1,652,596) (2,588,922)
----------- ----------- ------------
Total increase (decrease) in net assets......... (1,369,160) 674,884 1,852,297
NET ASSETS:
Beginning of year............................... 11,574,072 29,281,323 45,441,180
----------- ----------- ------------
End of year..................................... $10,204,912 $29,956,207 $ 47,293,477
=========== =========== ============
Units outstanding beginning of year............. 776,216 1,817,622 2,694,280
Units sold...................................... 242,449 432,083 564,861
Units redeemed.................................. (364,272) (531,842) (710,834)
----------- ----------- ------------
Units outstanding end of year................... 654,393 1,717,863 2,548,307
=========== =========== ============
</Table>
See notes to financial statements.
28
SHORT HORIZON STRATEGIC VARIABLE FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ -----------
INVESTMENTS
181,904 Diversified Investors Variable Funds -- Core Bond........... $ 5,766,146
6,354 Diversified Investors Variable Funds -- Equity Growth....... 339,732
4,999 Diversified Investors Variable Funds -- Growth & Income..... 149,788
188,972 Diversified Investors Variable Funds -- High Quality Bond... 2,869,485
48,961 Diversified Investors Variable Funds -- High Yield Bond..... 946,007
5,604 Diversified Investors Variable Funds -- International
Equity................................................... 165,854
9,321 Diversified Investors Variable Funds -- Money Market........ 190,264
2,032 Diversified Investors Variable Funds -- Special Equity...... 84,315
4,999 Diversified Investors Variable Funds -- Value & Income...... 338,305
-----------
Total Investments -- 100.0%
(Cost $9,741,186)........................................ 10,849,896
Liabilities less other assets -- (0.0)%..................... (1,682)
-----------
NET ASSETS -- 100.0%........................................ $10,848,214
===========
</Table>
The aggregate cost of investments for federal income tax purposes at June 30,
2007 is $9,741,186.
The following amount is based on cost for federal income tax purposes:
<Table>
Net unrealized appreciation...................................... $1,108,710
==========
</Table>
See notes to financial statements.
29
INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ -----------
INVESTMENTS
269,728 Diversified Investors Variable Funds -- Core Bond........... $ 8,550,071
93,951 Diversified Investors Variable Funds -- Equity Growth....... 5,023,284
75,878 Diversified Investors Variable Funds -- Growth & Income..... 2,273,666
285,915 Diversified Investors Variable Funds -- High Quality Bond... 4,341,536
77,959 Diversified Investors Variable Funds -- High Yield Bond..... 1,506,308
90,878 Diversified Investors Variable Funds -- International
Equity................................................... 2,689,479
22,907 Diversified Investors Variable Funds -- Money Market........ 467,597
31,288 Diversified Investors Variable Funds -- Special Equity...... 1,298,063
77,851 Diversified Investors Variable Funds -- Value & Income...... 5,268,841
-----------
Total Investments -- 100.0%
(Cost $24,432,975)....................................... 31,418,845
Liabilities less other assets -- (0.0)%..................... (5,001)
-----------
NET ASSETS -- 100.0%........................................ $31,413,844
===========
</Table>
The aggregate cost of investments for federal income tax purposes at June 30,
2007 is $24,432,975.
The following amount is based on cost for federal income tax purposes:
<Table>
Net unrealized appreciation...................................... $6,985,870
==========
</Table>
See notes to financial statements.
30
INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ -----------
INVESTMENTS
256,678 Diversified Investors Variable Funds -- Core Bond........... $ 8,136,411
216,142 Diversified Investors Variable Funds -- Equity Growth....... 11,556,548
173,640 Diversified Investors Variable Funds -- Growth & Income..... 5,203,085
271,919 Diversified Investors Variable Funds -- High Quality Bond... 4,129,001
74,023 Diversified Investors Variable Funds -- High Yield Bond..... 1,430,241
208,580 Diversified Investors Variable Funds -- International
Equity................................................... 6,172,816
53,978 Diversified Investors Variable Funds -- Money Market........ 1,101,833
71,092 Diversified Investors Variable Funds -- Special Equity...... 2,949,391
178,456 Diversified Investors Variable Funds -- Value & Income...... 12,077,594
-----------
Total Investments -- 100.0%
(Cost $40,690,336)....................................... 52,756,920
Liabilities less other assets -- (0.0)%..................... (8,406)
-----------
NET ASSETS -- 100.0%........................................ $52,748,514
===========
</Table>
The aggregate cost of investments for federal income tax purposes at June 30,
2007 is $40,690,336.
The following amount is based on cost for federal income tax purposes:
<Table>
Net unrealized appreciation..................................... $12,066,584
===========
</Table>
See notes to financial statements.
31
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
PORTFOLIO COMPOSITION
JUNE 30, 2007
(UNAUDITED)
The following charts summarize the portfolio composition of each Fund by asset
type.
<Table>
SHORT HORIZON STRATEGIC VARIABLE FUND
Money Market Fund...................................................... 1.8%
Fixed Income Funds..................................................... 88.3
Domestic Equity Funds.................................................. 8.4
International Equity Fund.............................................. 1.5
Liabilities less other assets.......................................... (0.0)*
-----
100.0%
=====
INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND
Money Market Fund...................................................... 1.5%
Fixed Income Funds..................................................... 45.8
Domestic Equity Funds.................................................. 44.1
International Equity Fund.............................................. 8.6
Liabilities less other assets.......................................... (0.0)*
-----
100.0%
=====
INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND
Money Market Fund...................................................... 2.1%
Fixed Income Funds..................................................... 26.0
Domestic Equity Funds.................................................. 60.2
International Equity Fund.............................................. 11.7
Liabilities less other assets.......................................... (0.0)*
-----
100.0%
=====
</Table>
- --------
* Amount rounds to less than 0.05%.
See notes to financial statements.
32
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
1. ORGANIZATION
The Diversified Investors Strategic Variable Funds (the "Separate Account"), a
separate account of Transamerica Financial Life Insurance Company ("TFLIC"), is
registered under the Investment Company Act of 1940, as amended (the "1940
Act"), as a management investment company. The Separate Account is composed of
three different subaccounts that are, in effect, separate investment funds:
Short Horizon Strategic Variable Fund ("Short Horizon"), Intermediate Horizon
Strategic Variable Fund ("Intermediate Long Horizon"), and Intermediate Long
Horizon Strategic Variable Fund ("Intermediate Long Horizon") (individually, a
"Subaccount" and collectively, the "Subaccounts"). The Separate Account
established and designated each of the Subaccounts as separate subaccounts on
April 15, 1996 and commenced operations on January 2, 1997. Each Subaccount
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 seeks to achieve its investment objective by
investing all of its investable assets in the Diversified Investors Portfolios
("Portfolios"). The financial statements of DIVF, which commenced operation on
August 18, 1994, accompany this report. DIVF commenced operation August 18,
1994. DIVF operates as a unit investment trust under the 1940 Act.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Separate Account in the preparation of its financial statements.
The policies are in conformity with accounting principles generally accepted in
the United States of America.
A. INVESTMENT VALUATION:
The value of each Subaccount's investment in a corresponding subaccount of DIVF
is valued at the unit value per share determined as of the close of the New York
Stock Exchange (typically, 4:00 P.M. Eastern time) on the valuation date.
B. OPERATING EXPENSES:
The Separate Account accounts separately for the assets, liabilities and
operations of each Subaccount. Each Subaccount will indirectly bear its share of
fees and expenses incurred by DIVF.
C. FEDERAL INCOME TAXES:
The operations of the Separate Account form a part of, and are taxed with, the
operations of TFLIC, a wholly-owned subsidiary of AEGON USA, Inc. ("AEGON USA").
AEGON USA is a financial services holding company whose primary emphasis is life
and health insurance and annuity and investment products. AEGON USA is an
indirect, wholly-owned subsidiary of AEGON NV ("AEGON"), a corporation based in
the Netherlands which is a publicly traded international insurance group. TFLIC
does not expect, based upon current tax law, to incur any income tax upon the
earnings or realized capital gains attributable to the Separate Account. Based
upon this expectation, no charges are currently being deducted from the Separate
Account for federal income tax purposes.
D. OTHER:
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities 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.
33
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES
The Separate Account 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 Subaccount. For providing these services and facilities and for bearing
the related expenses, the Advisor receives a monthly fee from each Subaccount at
an annual rate equal to 0.20% of the average daily net assets of each
Subaccount.
The Advisor is also advisor to the Diversified Investors Portfolios, the
underlying Funds in which DIVF invests. 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 DIVF. TFLIC reserves the right to charge maximum fees of
1.25% upon notice.
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 account to reimburse TFLIC for
administrative expenses relating to the maintenance of the group 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 managing board members and officers of the Separate Account are also
directors, officers or employees of the Advisor or its affiliates. None of the
non-independent managing board members so affiliated receive compensation for
services as managing board members of the Separate Account. Similarly, none of
the Separate Account's officers receive compensation from the Subaccounts. The
independent board members are also trustees of Diversified Investors Portfolios
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, 2007, were as follows:
<Table>
<Caption>
COST OF PROCEEDS
PURCHASES FROM SALES
---------- ----------
Short Horizon............................................... $3,503,264 $2,999,138
Intermediate Horizon........................................ 2,441,193 2,114,607
Intermediate Long Horizon................................... 8,008,090 4,880,947
</Table>
5. CONCENTRATIONS AND INDEMNIFICATIONS
From time to time, the Subaccounts may have a concentration of several
unitholders holding a significant percentage of units outstanding. Investment
activities of these unitholders could have a material impact on the Subaccounts.
In the normal course of business, the Subaccounts enter into contracts that
contain a variety of representations and warranties which provide general
indemnifications. The Subaccounts' maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the
Subaccounts that have not yet occurred. However, based on experience, the
Subaccounts expect the risk of loss to be remote.
6. PROXY VOTING POLICIES AND PROCEDURES
Since each Subaccount invests all its assets among DIVF Subaccounts, which, in
turn, invest all their assets in corresponding Portfolios, the Subaccounts
themselves do not vote on proxies. A description of the proxy voting policies
and procedures is included in the Statement of Additional Information, which is
available without charge, upon request: (i) by calling 1-800-755-5803; (ii) on
the Advisor's website at www.divinvest.com (Click on the icon for Participants,
then click on Fund Information, choose Investment Funds, click on a Fund, then
34
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
6. PROXY VOTING POLICIES AND PROCEDURES (CONTINUED)
click on the Fund Information tab, or (iii) on the SEC's website at www.sec.gov.
In addition, the Portfolios are required to file Form N-PX, with its complete
proxy voting record for the twelve months ended June 30, no later than August 31
of each year. The Portfolios' filing for the twelve months ended June 30, 2007,
is available without charge, upon request.
7. QUARTERLY PORTFOLIOS
The Subaccounts will file their portfolios of investments for the first and
third quarters (March 31 and September 30, respectively) with the SEC by May 30
and November 29, respectively, each year on Form N-Q. The Subaccounts' Form N-Q
is available on the SEC's website at www.sec.gov. The Subaccounts' Form N-Q may
be reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
For information on the operation of the SEC's Public Reference Room, call 1-800-
SEC-0330. You may also obtain a copy of Form N-Q without charge, upon request,
by calling 1-800-755-5803. Form N-Q for the corresponding Portfolios is also
available without charge on the SEC website, at the SEC's Public Reference Room,
or by calling 1-800-755-5803.
8. SUBSEQUENT EVENT
At a meeting held on August 10, 2007, the Board of Trustees of the Separate
Account approved a series of measures that are designed to benefit the
Subaccounts by making them part of a larger family of investment companies that
are managed by Transamerica Fund Advisors, Inc. ("TFA"), an investment adviser
that, along with the Advisor, is an indirect, wholly-owned subsidiary of AEGON.
The Board has authorized seeking shareholder approval for these measures where
required. A proxy statement describing these initiatives is expected to be
mailed later in 2007.
35
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
9. FINANCIAL HIGHLIGHTS
For an accumulation unit outstanding throughout the period/year:
<Table>
<Caption>
INCOME (LOSS) FROM
INVESTMENT OPERATIONS
---------------------------
NET TOTAL
UNIT NET REALIZED AND INCOME UNIT
FOR THE VALUE, INVESTMENT UNREALIZED (LOSS) FROM VALUE,
PERIOD/YEAR BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF TOTAL
ENDED PERIOD/YEAR (LOSS)(A) ON INVESTMENTS OPERATIONS PERIOD/YEAR RETURN
- ----------- ------------ ---------- -------------- ----------- ----------- ------
SHORT HORIZON STRATEGIC VARIABLE FUND
06/30/2007(1) $15.59 $(0.02) $ 0.22 $ 0.20 $15.79 1.28%
12/31/2006 14.91 (0.03) 0.71 0.68 15.59 4.56
12/31/2005 14.68 (0.03) 0.26 0.23 14.91 1.57
12/31/2004 14.14 (0.03) 0.57 0.54 14.68 3.82
12/31/2003 13.34 (0.03) 0.83 0.80 14.14 6.00
12/31/2002 12.95 (0.03) 0.42 0.39 13.34 3.01
INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND
06/30/2007(1) 17.44 (0.02) 0.65 0.63 18.07 3.61
12/31/2006 16.11 (0.03) 1.36 1.33 17.44 8.26
12/31/2005 15.50 (0.03) 0.64 0.61 16.11 3.94
12/31/2004 14.52 (0.03) 1.01 0.98 15.50 6.75
12/31/2003 12.58 (0.03) 1.97 1.94 14.52 15.42
12/31/2002 13.67 (0.03) (1.06) (1.09) 12.58 (7.97)
INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND
06/30/2007(1) 18.56 (0.02) 0.91 0.89 19.45 4.80
12/31/2006 16.87 (0.03) 1.72 1.69 18.56 10.02
12/31/2005 16.06 (0.03) 0.84 0.81 16.87 5.04
12/31/2004 14.83 (0.03) 1.26 1.23 16.06 8.29
12/31/2003 12.39 (0.03) 2.47 2.44 14.83 19.69
12/31/2002 14.28 (0.03) (1.86) (1.89) 12.39 (13.24)
<Caption>
RATIOS TO AVERAGE
NET ASSETS
---------------------
NET NET
FOR THE ASSETS, INVESTMENT
PERIOD/YEAR END OF INCOME PORTFOLIO
ENDED PERIOD/YEAR EXPENSES (LOSS) TURNOVER
- ----------- ----------- -------- ---------- ---------
SHORT HORIZON STRATEGIC VARIABLE FUND
06/30/2007(1) $10,848,214 0.20%* (0.20)%* 29%
12/31/2006 10,204,912 0.20 (0.20) 86
12/31/2005 11,574,072 0.20 (0.20) 46
12/31/2004 10,191,299 0.20 (0.20) 50
12/31/2003 10,505,127 0.20 (0.20) 109
12/31/2002 9,085,611 0.20 (0.20) 55
INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND
06/30/2007(1) 31,413,844 0.20* (0.20)* 7
12/31/2006 29,956,207 0.20 (0.20) 55
12/31/2005 29,281,323 0.20 (0.20) 29
12/31/2004 28,720,023 0.20 (0.20) 28
12/31/2003 25,770,371 0.20 (0.20) 87
12/31/2002 20,134,380 0.20 (0.20) 53
INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND
06/30/2007(1) 52,748,514 0.20* (0.20)* 10
12/31/2006 47,293,477 0.20 (0.20) 63
12/31/2005 45,441,180 0.20 (0.20) 25
12/31/2004 40,122,473 0.20 (0.20) 34
12/31/2003 34,716,992 0.20 (0.20) 98
12/31/2002 23,622,845 0.20 (0.20) 49
</Table>
- --------
(1) Unaudited.
(a) Calculated based upon average units outstanding.
* Annualized.
36
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
10. 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, 2007 totaled $10,849,896, $31,418,845 and
$52,756,920 for Short Horizon, Intermediate Horizon, and Intermediate Long
Horizon, respectively.
Affiliates and the gain/(loss) from sales of affiliates are as follows:
<Table>
<Caption>
BEGINNING UNITS UNITS ENDING PURCHASE SALE GAIN/(LOSS)
UNITS PURCHASED SOLD UNITS COST COST ON SALES
--------- --------- ------- ------- ---------- ---------- -----------
SHORT HORIZON
- -------------
INVESTMENTS:
Diversified Investors Variable
Funds --
Core Bond......................... 175,694 11,244 5,034 181,904 $ 353,397 $ 132,662 $ 26,523
Diversified Investors Variable
Funds --
Equity Growth..................... 6,857 233 736 6,354 12,550 29,156 9,139
Diversified Investors Variable
Funds --
Growth & Income................... 5,508 39 548 4,999 1,143 10,840 4,773
Diversified Investors Variable
Funds --
High Quality Bond................. 169,024 30,763 10,815 188,972 462,477 154,896 7,350
Diversified Investors Variable
Funds --
High Yield Bond................... 50,848 1,430 3,317 48,961 27,775 39,914 23,004
Diversified Investors Variable
Funds --
International Equity.............. 6,501 44 941 5,604 1,225 12,549 12,766
Diversified Investors Variable
Funds --
Money Market...................... 1,275 130,469 122,423 9,321 2,641,345 2,476,854 2,426
Diversified Investors Variable
Funds --
Special Equity.................... 2,249 19 236 2,032 772 5,389 3,830
Diversified Investors Variable
Funds --
Value & Income.................... 5,694 39 734 4,999 2,580 26,532 20,535
---------- ---------- --------
$3,503,264 $2,888,792 $110,346
========== ========== ========
INTERMEDIATE HORIZON
- -------------
INVESTMENTS:
Diversified Investors Variable
Funds --
Core Bond......................... 266,362 3,366 -- 269,728 $ 107,430 $ -- $ --
Diversified Investors Variable
Funds --
Equity Growth..................... 92,831 1,120 -- 93,951 58,938 -- --
Diversified Investors Variable
Funds --
Growth & Income................... 74,984 894 -- 75,878 26,110 -- --
Diversified Investors Variable
Funds --
High Quality Bond................. 282,352 3,563 -- 285,915 53,715 -- --
Diversified Investors Variable
Funds --
High Yield Bond................... 77,028 931 -- 77,959 17,906 -- --
Diversified Investors Variable
Funds --
International Equity.............. 89,877 1,001 -- 90,878 27,976 -- --
Diversified Investors Variable
Funds --
Money Market...................... 24,778 102,699 104,570 22,907 2,075,632 2,103,676 10,931
Diversified Investors Variable
Funds --
Special Equity.................... 30,931 357 -- 31,288 14,548 -- --
Diversified Investors Variable
Funds --
Value & Income.................... 76,954 897 -- 77,851 58,938 -- --
---------- ---------- --------
$2,441,193 $2,103,676 $ 10,931
========== ========== ========
</Table>
37
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
10. INVESTMENTS IN AFFILIATES (CONTINUED)
Affiliates and the gain/(loss) from sales of affiliates are as follows:
<Table>
<Caption>
BEGINNING UNITS UNITS ENDING PURCHASE SALE GAIN/(LOSS)
UNITS PURCHASED SOLD UNITS COST COST ON SALES
--------- --------- ------- ------- ---------- ---------- -----------
INTERMEDIATE LONG HORIZON
- -------------
INVESTMENTS:
Diversified Investors Variable
Funds --
Core Bond......................... 240,925 15,753 -- 256,678 $ 501,695 $ -- $ --
Diversified Investors Variable
Funds --
Equity Growth..................... 203,842 12,300 -- 216,142 660,566 -- --
Diversified Investors Variable
Funds --
Growth & Income................... 163,941 9,699 -- 173,640 292,654 -- --
Diversified Investors Variable
Funds --
High Quality Bond................. 255,340 16,579 -- 271,919 250,847 -- --
Diversified Investors Variable
Funds --
High Yield Bond................... 69,726 4,297 -- 74,023 83,614 -- --
Diversified Investors Variable
Funds --
International Equity.............. 197,775 10,805 -- 208,580 313,560 -- --
Diversified Investors Variable
Funds --
Money Market...................... 43,902 251,034 240,958 53,978 5,081,536 4,859,243 21,704
Diversified Investors Variable
Funds --
Special Equity.................... 67,178 3,914 -- 71,092 163,052 -- --
Diversified Investors Variable
Funds --
Value & Income.................... 168,736 9,720 -- 178,456 660,566 -- --
---------- ---------- -------
$8,008,090 $4,859,243 $21,704
========== ========== =======
</Table>
38
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
APPROVAL OF INVESTMENT ADVISORY CONTRACTS
JUNE 30, 2007
(UNAUDITED)
Diversified Investment Advisors, Inc. ("Diversified") manages the assets of each
Subaccount pursuant to an Investment Advisory Agreement with Transamerica
Financial Life Insurance Company ("TFLIC") with respect to such Subaccount.
In approving the continuation of each Investment Advisory Agreement relating to
each Subaccount, the Managing Board of the Separate Account, including the
independent Managing Board members, reviewed extensive information provided by
Diversified regarding, among other things: the nature and quality of services
provided; legal, regulatory and compliance matters; and other practices and
developments. The Managing Board members considered the advisory fees and total
expenses of the Subaccounts. In this regard, the Managing Board members
reviewed, among other things, comparative fee information with respect to
comparable funds, including additional information from Lipper Analytical
Services provided at the Managing Board members' request. The Managing Board
members discussed the advisory fees and expense ratios, before and after the
advisory and other fee waivers, and compared them to investment advisory fees
paid by and expense ratios of other investment companies with similar investment
objectives. The Managing Board members noted Diversified's confirmation that it
did not have any non-mutual fund clients to whom advisory services were
provided.
The Managing Board members also considered the costs of the services provided to
the Subaccounts and the resulting profitability of the relationship with the
Subaccounts. It was noted that Diversified's relationship with the Subaccounts
also included the provision of administrative and distribution services; that
the Trustees had received information concerning the advisory, administration
and distribution fees paid to Diversified and Diversified Investors Securities
Corp. ("DISC") as the Subaccount's adviser and distributor, respectively; and
that the Board had reviewed materials relating to the cost to Diversified of the
services provided to the Subaccounts and the resulting profitability to
Diversified of its relationship with the Subaccounts. The Board also received
information about how Diversified prices its services to its retirement plan
clients and how those pricing arrangements in certain circumstances result in
credits to plan participant accounts.
The Managing Board members then reviewed the investment performance of each of
the Subaccounts, which was considered in connection with each Subaccount's total
expenses, contractual management fees, and Diversified's profitability. The
Managing Board members noted that Diversified's profitability with respect to
each Subaccount, on a pre-tax basis, was reasonable under the circumstances. In
reviewing performance, the Managing Board members considered gross performance
results relative to benchmark for the past one-, three- and (where available)
five-year periods.
After requesting and reviewing such information as they deemed necessary
(including additional information provided by Diversified in response to
inquiries from the independent Managing Board members) and after meetings
conducted by the independent Trustees without management being present, the
Board concluded that the continuation of each Investment Advisory Agreement was
in the best interests of the applicable Subaccount and its contractholders. The
Board based its conclusions, in part, on its observations regarding the
performance of and the management fees and total expenses paid by each
Subaccount, some of which observations are summarized below. In reaching these
conclusions, the Managing Board noted that this continuation reaffirmed the
choice of each contractholder in each Subaccount, who had decided to invest in a
Subaccount overseen by Diversified.
In the case of each of Short Horizon Strategic Variable Fund, Intermediate
Horizon Strategic Variable Fund and Intermediate-Long Horizon Strategic Variable
Fund, the Managing Board members noted that performance (prior to deducting fees
and expenses) was below the applicable benchmark for the one- and three-year
periods, and that net performance was below the Lipper universe 50th percentile
for the 1 and 3 year periods. The Board also noted that both contractual
management fees and total expenses were below the median for the applicable peer
group. In reviewing profitability for these Subaccounts, the Trustees concluded
it was
39
DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS
APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
appropriate to consider that profitability together with Diversified's
profitability from the underlying funds, and that these profitability levels
were reasonable under the circumstances.
It was also noted that these conclusions were based upon the Managing Board's
determination for each Subaccount that the Subaccount's performance compared
sufficiently favorably with other funds in the individual Subaccount's peer
group and/or benchmark over recent periods, with the exceptions discussed above;
that management fees and total expenses after giving effect to waivers and
reimbursements compared sufficiently favorably to the peer group, with the
exceptions discussed above; and that, in reviewing Diversified's profitability
with respect to its services for the Subaccount, that profitability (together
with additional benefits received by Diversified and its affiliate, DISC) was
reasonable under the circumstances and in view of the nature and quality of the
services provided by Diversified. In addition to the foregoing, the Managing
Board members were satisfied with the overall quality of the services provided
by Diversified, including providing compliance services to the Subaccounts.
40
(This page intentionally left blank)
41
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
HIGH INFLATION-
MONEY QUALITY PROTECTED
MARKET BOND SECURITIES (1)
------------ ------------ --------------
ASSETS:
Securities, at value, including investments held
as collateral for
securities out on loan (Notes 2 and 4).......... $802,294,810 $861,108,119 $134,627,081
Repurchase agreements (cost equals market)........ 144,296,775 16,179,501 2,757,541
Cash.............................................. -- -- --
Restricted cash................................... -- -- --
Cash at broker.................................... -- -- --
Foreign currency holdings, at value (cost $4,670,
$21,859,453, $3 and $3, respectively)........... -- -- 4,737
Receivable for securities sold.................... -- -- --
Unrealized appreciation on foreign currency
forward contracts (Note 10)..................... -- -- 76,146
Unrealized appreciation on open swaps contracts... -- -- --
Variation margin.................................. -- -- --
Interest receivable............................... 4,364,828 5,248,003 1,179,051
Dividends receivable.............................. -- -- --
Foreign tax reclaim receivable.................... -- -- --
Receivable from Advisor........................... -- -- --
Receivable from securities lending (net).......... -- 18,598 9,123
------------ ------------ ------------
Total assets...................................... 950,956,413 882,554,221 138,653,679
------------ ------------ ------------
LIABILITIES:
Due to Advisor.................................... -- -- 211
Due to Custodian.................................. -- -- --
Due to Broker for swap contracts.................. -- -- --
Collateral for securities out on loan............. -- 12,842,999 --
Payable for securities purchased.................. -- 13,629,091 3,058,128
Securities sold short, at value (proceeds
$396,048,543)................................... -- -- --
Written options, at value (premium $601,920,
$114,801 and $60,653, respectively)............. -- -- --
Unrealized depreciation on open swap contracts.... -- -- --
Unrealized depreciation on foreign currency
forward contracts (Note 10)..................... -- -- 44,807
Variation margin.................................. -- -- 14,697
Investment advisory fees.......................... 192,456 238,127 37,861
Accrued expenses.................................. 39,867 48,493 36,349
Contingent liability (Note 6)..................... -- -- --
------------ ------------ ------------
Total liabilities................................. 232,323 26,758,710 3,192,053
------------ ------------ ------------
NET ASSETS........................................ $950,724,090 $855,795,511 $135,461,626
============ ============ ============
SECURITIES, AT COST............................... $802,294,810 $869,147,836 $138,451,172
============ ============ ============
</Table>
- --------
(1) Formerly, Intermediate Government Bond.
See notes to financial statements.
42
<Table>
<Caption>
TOTAL
CORE RETURN HIGH YIELD VALUE &
BOND BOND BOND BALANCED INCOME VALUE
- -------------- ------------ ------------ ------------ -------------- ------------
$2,447,222,741 $388,923,156 $522,928,687 $409,485,874 $3,887,418,009 $172,805,197
20,317,861 79,088,307 32,187,362 14,424,271 53,220,091 6,733,344
-- 202 -- -- -- 137
-- -- -- 82,700 -- --
-- 1,179,225 -- 1,087,086 -- --
21,061,454 3 -- 3 -- --
614,605,244 38,526,764 6,068,747 18,600,332 2,674,941 2,053,232
-- 2,196 -- 3,732 -- --
1,279,724 -- -- -- -- --
1,384,836 -- -- -- -- --
15,793,437 2,199,499 9,665,101 1,231,888 42,650 3,466
-- -- -- 282,106 4,709,050 182,883
-- -- -- -- 74,008 --
-- 1,853 -- 3,710 -- 447
8,334 2,053 -- 1,160 35,655 8,269
- -------------- ------------ ------------ ------------ -------------- ------------
3,121,673,631 509,923,258 570,849,897 445,202,862 3,948,174,404 181,786,975
- -------------- ------------ ------------ ------------ -------------- ------------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
5,441,625 32,645,613 -- 11,890,436 244,204,605 17,660,618
583,720,200 164,013,124 8,537,686 55,538,137 12,908,926 243,782
394,055,644 -- -- -- -- --
976,410 124,344 -- 65,406 -- --
1,616,425 -- -- -- -- --
370,069 116,001 -- 92,963 -- --
-- 447,573 -- 634,441 -- --
589,858 78,336 251,486 136,236 1,336,710 65,746
100,732 25,437 38,372 59,242 81,785 29,286
-- -- -- -- -- --
- -------------- ------------ ------------ ------------ -------------- ------------
986,870,963 197,450,428 8,827,544 68,416,861 258,532,026 17,999,432
- -------------- ------------ ------------ ------------ -------------- ------------
$2,134,802,668 $312,472,830 $562,022,353 $376,786,001 $3,689,642,378 $163,787,543
============== ============ ============ ============ ============== ============
$2,483,714,418 $391,094,332 $516,422,640 $376,789,920 $3,158,854,703 $165,017,398
============== ============ ============ ============ ============== ============
</Table>
43
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
GROWTH & EQUITY AGGRESSIVE
INCOME GROWTH EQUITY
-------------- -------------- ------------
ASSETS:
Securities, at value, including investments held
as collateral for securities out on loan
(Notes 2 and 4)............................... $1,117,710,793 $2,446,530,650 $432,431,448
Repurchase agreements (cost equals market)...... 6,015,524 2,729,778 3,352,666
Cash............................................ 35,550 -- --
Cash at broker.................................. 91,100 -- --
Foreign currency holdings, at value (cost
$15,934,019 and $2,392,512 respectively)...... -- 15,243,740 --
Receivable for securities sold.................. 7,457,534 35,532,369 16,428,870
Unrealized appreciation on foreign currency
forward contracts (Note 10)................... -- -- --
Interest receivable............................. 7,746 6,172 10,573
Dividends receivable............................ 1,150,659 2,397,171 225,853
Foreign tax reclaim receivable.................. -- 231,438 15,831
Receivable from Advisor......................... -- -- 5,466
Receivable from securities lending (net)........ 10,457 27,647 25,170
-------------- -------------- ------------
Total assets.................................... 1,132,479,363 2,502,698,965 452,495,877
-------------- -------------- ------------
LIABILITIES:
Due to Advisor.................................. -- -- --
Due to Custodian................................ -- 4,257,929 --
Collateral for securities out on loan........... 47,663,319 39,846,175 69,461,923
Payable for securities purchased................ 6,171,196 20,743,010 16,476,902
Unrealized depreciation on foreign currency
forward contracts (Note 10)................... -- 4,891 --
Variation margin................................ 2,550 -- --
Investment advisory fees........................ 524,713 1,219,295 226,486
Accrued expenses................................ 72,778 90,377 26,732
Contingent liability (Note 6)................... -- -- --
-------------- -------------- ------------
Total liabilities............................... 54,434,556 66,161,677 86,192,043
-------------- -------------- ------------
NET ASSETS...................................... $1,078,044,807 $2,436,537,288 $366,303,834
============== ============== ============
SECURITIES, AT COST............................. $1,006,290,476 $2,238,035,868 $365,056,340
============== ============== ============
</Table>
See notes to financial statements.
44
<Table>
<Caption>
MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP INTERNATIONAL
VALUE GROWTH VALUE EQUITY GROWTH EQUITY
- -------------- ------------ ------------ -------------- ------------ --------------
$1,281,665,974 $373,848,283 $272,750,826 $1,445,990,702 $220,686,054 $2,513,118,676
25,029,050 7,138,156 1,640,031 21,754,785 2,314,011 18,259,432
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- 2,211,056
6,394,290 2,309,110 895,702 4,820,250 3,360,744 30,052,060
-- -- -- -- -- 68,490
30,915 11,176 6,390 44,600 6,050 31,033
1,641,519 97,777 599,256 1,420,470 43,218 3,317,512
54 562 -- -- -- 1,533,864
-- -- -- -- 45 --
18,330 25,730 44,226 119,286 11,868 27,968
- -------------- ------------ ------------ -------------- ------------ --------------
1,314,780,132 383,430,794 275,936,431 1,474,150,093 226,421,990 2,568,620,091
- -------------- ------------ ------------ -------------- ------------ --------------
1,516 251 420 -- -- --
-- -- -- -- -- --
181,765,144 70,162,239 42,332,931 286,107,422 39,388,316 196,242,413
3,359,400 4,600,009 -- 5,359,581 2,435,753 18,440,918
-- -- -- -- -- 54,040
-- -- -- 32,000 -- --
606,202 180,398 158,769 763,215 128,958 1,393,961
72,866 40,110 33,155 84,082 70,236 142,829
-- -- -- -- -- --
- -------------- ------------ ------------ -------------- ------------ --------------
185,805,128 74,983,007 42,525,275 292,346,300 42,023,263 216,274,161
- -------------- ------------ ------------ -------------- ------------ --------------
$1,128,975,004 $308,447,787 $233,411,156 $1,181,803,793 $184,398,727 $2,352,345,930
============== ============ ============ ============== ============ ==============
$1,142,811,203 $324,332,239 $266,120,341 $1,322,687,266 $198,897,933 $1,933,860,466
============== ============ ============ ============== ============ ==============
</Table>
45
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
HIGH INFLATION-
MONEY QUALITY PROTECTED
MARKET BOND SECURITIES(1)
----------- ----------- -------------
INVESTMENT INCOME (NOTE 2):
Interest income..................................... $25,420,492 $20,013,872 $ 4,973,391
Securities lending income (net)..................... -- 10,472 11,800
Dividend income..................................... -- -- --
Less: foreign withholding taxes..................... -- -- --
----------- ----------- -----------
Total income........................................ 25,420,492 20,024,344 4,985,191
----------- ----------- -----------
EXPENSES (NOTE 2):
Investment advisory fees............................ 1,185,761 1,473,801 255,477
Custody fees........................................ 78,700 90,492 29,052
Audit fees.......................................... 13,936 14,902 14,387
Legal fees.......................................... 3,738 3,153 45
Reports to shareholders............................. 2,147 1,905 325
Other fees.......................................... 11,178 9,471 1,587
----------- ----------- -----------
Total expenses...................................... 1,295,460 1,593,724 300,873
Expenses reimbursed by the Advisor.................. -- -- (9,342)
----------- ----------- -----------
Net expenses........................................ 1,295,460 1,593,724 291,531
----------- ----------- -----------
NET INVESTMENT INCOME (LOSS)........................ 24,125,032 18,430,620 4,693,660
----------- ----------- -----------
REALIZED AND UNREALIZED GAINS (LOSSES) ON
INVESTMENTS (NOTE 2):
Net realized gains (losses) on transactions from:
Securities........................................ -- (231,695) (797,904)
Swap contracts.................................... -- -- --
Futures........................................... -- -- 262,210
Written options................................... -- -- --
Foreign currency transactions..................... -- -- (25,473)
Change in net unrealized appreciation (depreciation)
on:
Securities........................................ -- (1,233,897) (3,836,963)
Futures........................................... -- -- (78,287)
Written options................................... -- -- --
Short sales....................................... -- -- --
Swap contracts.................................... -- -- --
Foreign currency translations..................... -- -- 31,185
----------- ----------- -----------
Net realized and unrealized gains (losses) on
investments....................................... -- (1,465,592) (4,445,232)
----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................................ $24,125,032 $16,965,028 $ 248,428
=========== =========== ===========
</Table>
- --------
(1) Formerly, Intermediate Government Bond.
See notes to financial statements.
46
<Table>
<Caption>
TOTAL
CORE RETURN HIGH YIELD VALUE &
BOND BOND BOND BALANCED INCOME VALUE
- ------------ ----------- ----------- ----------- ------------ ----------
$ 55,073,309 $ 5,531,699 $22,323,509 $ 4,253,363 $ 1,827,920 $ 175,460
27,958 16,692 -- 18,212 197,108 63,157
-- 5,377 122,321 1,988,226 35,123,049 1,109,241
-- -- -- -- (184,409) (2,967)
- ------------ ----------- ----------- ----------- ------------ ----------
55,101,267 5,553,768 22,445,830 6,259,801 36,963,668 1,344,891
- ------------ ----------- ----------- ----------- ------------ ----------
3,694,055 355,921 1,474,573 854,756 8,117,252 355,195
258,846 55,837 63,398 104,040 295,123 34,295
17,623 15,902 14,646 15,143 18,890 15,865
8,312 551 2,808 2,134 45,787 685
4,787 346 1,184 651 8,193 259
23,399 1,357 5,912 5,098 46,382 1,157
- ------------ ----------- ----------- ----------- ------------ ----------
4,007,022 429,914 1,562,521 981,822 8,531,627 407,456
-- (23,147) -- (32,093) -- (16,746)
- ------------ ----------- ----------- ----------- ------------ ----------
4,007,022 406,767 1,562,521 949,729 8,531,627 390,710
- ------------ ----------- ----------- ----------- ------------ ----------
51,094,245 5,147,001 20,883,309 5,310,072 28,432,041 954,181
- ------------ ----------- ----------- ----------- ------------ ----------
(6,323,371) (2,029,670) 4,001,022 11,241,692 157,781,864 4,899,508
(1,108,735) -- -- -- -- --
(6,978,289) (723,652) -- (429,177) -- --
-- 27,769 -- 35,260 -- --
(2,894,036) 1,637 -- 8,570 -- --
(19,228,182) (2,081,385) (7,235,827) (3,509,853) 64,155,099 1,441,473
(931,419) (5,573) -- (101,731) -- --
(354,756) (12,283) -- (9,759) -- --
1,056,767 -- -- -- -- --
(3,642,605) -- -- -- -- --
664,349 (123,930) -- (100,946) -- 32
- ------------ ----------- ----------- ----------- ------------ ----------
(39,740,277) (4,947,087) (3,234,805) 7,134,056 221,936,963 6,341,013
- ------------ ----------- ----------- ----------- ------------ ----------
$ 11,353,968 $ 199,914 $17,648,504 $12,444,128 $250,369,004 $7,295,194
============ =========== =========== =========== ============ ==========
</Table>
47
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE PERIOD ENDED JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
GROWTH & EQUITY AGGRESSIVE
INCOME GROWTH EQUITY
------------ ------------- -----------
INVESTMENT INCOME (NOTE 2):
Interest income................................... $ 298,397 $ 999,472 $ 42,806
Securities lending income (net)................... 76,449 63,830 161,120
Dividend income................................... 8,755,977 12,087,696 1,032,447
Less: foreign withholding taxes................... (5,049) (176,704) (19,704)
------------ ------------- -----------
Total income...................................... 9,125,774 12,974,294 1,216,669
------------ ------------- -----------
EXPENSES (NOTE 2):
Investment advisory fees.......................... 3,340,548 7,638,716 1,407,597
Custody fees...................................... 145,127 220,074 55,673
Audit fees........................................ 15,654 17,983 13,990
Legal fees........................................ 4,429 9,878 1,510
Reports to shareholders........................... 2,632 5,782 796
Other fees........................................ 14,742 32,194 5,029
------------ ------------- -----------
Total expenses.................................... 3,523,132 7,924,627 1,484,595
Expenses reimbursed by the Advisor................ -- -- (22,157)
------------ ------------- -----------
Net expenses...................................... 3,523,132 7,924,627 1,462,438
------------ ------------- -----------
NET INVESTMENT INCOME (LOSS)...................... 5,602,642 5,049,667 (245,769)
------------ ------------- -----------
REALIZED AND UNREALIZED GAINS (LOSSES) ON
INVESTMENTS (NOTE 2):
Net realized gains (losses) on transactions from:
Securities...................................... 98,477,600 241,774,094 25,497,016
Swap contracts.................................. -- -- --
Futures......................................... 243,412 -- --
Written options................................. -- -- --
Foreign currency transactions................... -- 14,200 --
Change in net unrealized appreciation
(depreciation) on:
Securities...................................... (34,363,743) (114,413,382) 12,599,587
Futures......................................... (17,737) -- --
Written options................................. -- -- --
Short sales..................................... -- -- --
Swap contracts.................................. -- -- --
Foreign currency translations................... 623 14,257 --
------------ ------------- -----------
Net realized and unrealized gains (losses) on
investments..................................... 64,340,155 127,389,169 38,096,603
------------ ------------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................. $ 69,942,797 $ 132,438,836 $37,850,834
============ ============= ===========
</Table>
See notes to financial statements.
48
<Table>
<Caption>
MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP INTERNATIONAL
VALUE GROWTH VALUE EQUITY GROWTH EQUITY
- ------------ ----------- ----------- ------------ ----------- -------------
$ 723,314 $ 193,334 $ 206,273 $ 653,044 $ 38,436 $ 684,600
96,072 76,548 168,963 575,192 49,163 439,930
9,330,274 670,849 2,079,718 7,497,407 318,736 41,290,189
(60,770) (1,647) -- -- -- (4,355,743)
- ------------ ----------- ----------- ------------ ----------- ------------
10,088,890 939,084 2,454,954 8,725,643 406,335 38,058,976
- ------------ ----------- ----------- ------------ ----------- ------------
3,482,089 1,083,982 938,461 4,748,912 708,146 8,241,664
133,063 39,498 21,443 188,192 43,991 1,069,747
12,728 12,155 12,093 16,917 10,933 18,882
7,321 1,858 2,223 2,046 1,025 10,206
2,464 621 522 2,067 274 4,885
12,713 4,000 3,020 15,514 2,073 27,713
- ------------ ----------- ----------- ------------ ----------- ------------
3,650,378 1,142,114 977,762 4,973,648 766,442 9,373,097
(13,269) (13,357) (5,248) -- (34,600) --
- ------------ ----------- ----------- ------------ ----------- ------------
3,637,109 1,128,757 972,514 4,973,648 731,842 9,373,097
- ------------ ----------- ----------- ------------ ----------- ------------
6,451,781 (189,673) 1,482,440 3,751,995 (325,507) 28,685,879
- ------------ ----------- ----------- ------------ ----------- ------------
60,561,949 26,388,029 13,459,781 102,587,390 13,324,879 141,095,632
-- -- -- -- -- --
-- -- -- 83,025 -- --
-- -- -- -- -- --
(402) -- -- -- -- (92,895)
39,666,957 12,400,679 (5,260,936) (32,116,734) 7,088,143 73,658,962
-- -- -- (55,698) -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- (211,823)
- ------------ ----------- ----------- ------------ ----------- ------------
100,228,504 38,788,708 8,198,845 70,497,983 20,413,022 214,449,876
- ------------ ----------- ----------- ------------ ----------- ------------
$106,680,285 $38,599,035 $ 9,681,285 $ 74,249,978 $20,087,515 $243,135,755
============ =========== =========== ============ =========== ============
</Table>
49
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
HIGH INFLATION-
MONEY QUALITY PROTECTED
MARKET BOND SECURITIES(1)
--------------- ------------- -------------
FROM OPERATIONS:
Net investment income (loss).................... $ 24,125,032 $ 18,430,620 $ 4,693,660
Net realized gains (losses) on transactions
from:
Securities.................................... -- (231,695) (797,904)
Swap contracts................................ -- -- --
Futures....................................... -- -- 262,210
Written options............................... -- -- --
Foreign currency transactions................. -- -- (25,473)
Change in net unrealized appreciation
(depreciation) on:
Securities.................................... -- (1,233,897) (3,836,963)
Futures....................................... -- -- (78,287)
Written options............................... -- -- --
Short sales................................... -- -- --
Swap contracts................................ -- -- --
Foreign currency translations................. -- -- 31,185
--------------- ------------- ------------
Net increase (decrease) in net assets resulting
from operations............................... 24,125,032 16,965,028 248,428
--------------- ------------- ------------
FROM TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS:
Contributions................................... 1,506,689,033 163,967,709 30,982,989
Withdrawals..................................... (1,506,030,584) (142,760,412) (46,450,959)
--------------- ------------- ------------
Net increase (decrease) in net assets resulting
from transactions in investors' beneficial
interests..................................... 658,449 21,207,297 (15,467,970)
--------------- ------------- ------------
Net increase (decrease) in net assets........... 24,783,481 38,172,325 (15,219,542)
NET ASSETS:
Beginning of period............................. 925,940,609 817,623,186 150,681,168
--------------- ------------- ------------
End of period................................... $ 950,724,090 $ 855,795,511 $135,461,626
=============== ============= ============
</Table>
- --------
(1) Formerly, Intermediate Government Bond.
See notes to financial statements.
50
<Table>
<Caption>
TOTAL
CORE RETURN HIGH YIELD VALUE &
BOND BOND BOND BALANCED INCOME VALUE
- -------------- ------------ ------------ ------------ -------------- ------------
$ 51,094,245 $ 5,147,001 $ 20,883,309 $ 5,310,072 $ 28,432,041 $ 954,181
(6,323,371) (2,029,670) 4,001,022 11,241,692 157,781,864 4,899,508
(1,108,735) -- -- -- -- --
(6,978,289) (723,652) -- (429,177) -- --
-- 27,769 -- 35,260 -- --
(2,894,036) 1,637 -- 8,570 -- --
(19,228,182) (2,081,385) (7,235,827) (3,509,853) 64,155,099 1,441,473
(931,419) (5,573) -- (101,731) -- --
(354,756) (12,283) -- (9,759) -- --
1,056,767 -- -- -- -- --
(3,642,605) -- -- -- -- --
664,349 (123,930) -- (100,946) -- 32
- -------------- ------------ ------------ ------------ -------------- ------------
11,353,968 199,914 17,648,504 12,444,128 250,369,004 7,295,194
- -------------- ------------ ------------ ------------ -------------- ------------
308,342,743 219,983,652 129,149,865 50,041,312 472,763,604 78,467,928
(262,715,492) (28,347,163) (87,106,072) (67,348,240) (572,433,956) (23,258,485)
- -------------- ------------ ------------ ------------ -------------- ------------
45,627,251 191,636,489 42,043,793 (17,306,928) (99,670,352) 55,209,443
- -------------- ------------ ------------ ------------ -------------- ------------
56,981,219 191,836,403 59,692,297 (4,862,800) 150,698,652 62,504,637
2,077,821,449 120,636,427 502,330,056 381,648,801 3,538,943,726 101,282,906
- -------------- ------------ ------------ ------------ -------------- ------------
$2,134,802,668 $312,472,830 $562,022,353 $376,786,001 $3,689,642,378 $163,787,543
============== ============ ============ ============ ============== ============
</Table>
51
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE PERIOD ENDED JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
GROWTH & EQUITY AGGRESSIVE
INCOME GROWTH EQUITY
-------------- -------------- -------------
FROM OPERATIONS:
Net investment income (loss).................... $ 5,602,642 $ 5,049,667 $ (245,769)
Net realized gains (losses) on transactions
from:
Securities.................................... 98,477,600 241,774,094 25,497,016
Swap contracts................................ -- -- --
Futures....................................... 243,412 -- --
Written options............................... -- -- --
Foreign currency transactions................. -- 14,200 --
Change in net unrealized appreciation
(depreciation) on:
Securities.................................... (34,363,743) (114,413,382) 12,599,587
Futures....................................... (17,737) -- --
Written options............................... -- -- --
Short sales................................... -- -- --
Swap contracts................................ -- -- --
Foreign currency translations................. 623 14,257 --
-------------- -------------- -------------
Net increase (decrease) in net assets resulting
from operations............................... 69,942,797 132,438,836 37,850,834
-------------- -------------- -------------
FROM TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS:
Contributions................................... 98,057,506 234,749,930 52,384,871
Withdrawals..................................... (248,975,741) (457,568,934) (106,599,779)
-------------- -------------- -------------
Net increase (decrease) in net assets resulting
from transactions in investors' beneficial
interests..................................... (150,918,235) (222,819,004) (54,214,908)
-------------- -------------- -------------
Net increase (decrease) in net assets........... (80,975,438) (90,380,168) (16,364,074)
NET ASSETS:
Beginning of period............................. 1,159,020,245 2,526,917,456 382,667,908
-------------- -------------- -------------
End of period................................... $1,078,044,807 $2,436,537,288 $ 366,303,834
============== ============== =============
</Table>
See notes to financial statements.
52
<Table>
<Caption>
MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP INTERNATIONAL
VALUE GROWTH VALUE EQUITY GROWTH EQUITY
- -------------- ------------ ------------ -------------- ------------ --------------
$ 6,451,781 $ (189,673) $ 1,482,440 $ 3,751,995 $ (325,507) $ 28,685,879
60,561,949 26,388,029 13,459,781 102,587,390 13,324,879 141,095,632
-- -- -- -- -- --
-- -- -- 83,025 -- --
-- -- -- -- -- --
(402) -- -- -- -- (92,895)
39,666,957 12,400,679 (5,260,936) (32,116,734) 7,088,143 73,658,962
-- -- -- (55,698) -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- (211,823)
- -------------- ------------ ------------ -------------- ------------ --------------
106,680,285 38,599,035 9,681,285 74,249,978 20,087,515 243,135,755
- -------------- ------------ ------------ -------------- ------------ --------------
216,966,983 38,644,918 38,806,409 148,803,460 36,781,799 387,074,482
(131,646,469) (78,705,227) (51,393,256) (252,806,104) (27,473,591) (379,016,780)
- -------------- ------------ ------------ -------------- ------------ --------------
85,320,514 (40,060,309) (12,586,847) (104,002,644) 9,308,208 8,057,702
- -------------- ------------ ------------ -------------- ------------ --------------
192,000,799 (1,461,274) (2,905,562) (29,752,666) 29,395,723 251,193,457
936,974,205 309,909,061 236,316,718 1,211,556,459 155,003,004 2,101,152,473
- -------------- ------------ ------------ -------------- ------------ --------------
$1,128,975,004 $308,447,787 $233,411,156 $1,181,803,793 $184,398,727 $2,352,345,930
============== ============ ============ ============== ============ ==============
</Table>
53
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 2006
<Table>
<Caption>
HIGH INFLATION-
MONEY QUALITY PROTECTED
MARKET BOND SECURITIES*
--------------- ------------- -------------
FROM OPERATIONS:
Net investment income (loss)................ $ 42,013,106 $ 32,679,639 $ 8,427,753
Net realized gains (losses) on transactions
from:
Securities................................ 3,069 (3,537,144) (4,284,109)
Swap contracts............................ -- -- --
Futures................................... -- -- --
Written options........................... -- -- --
Foreign currency transactions............. -- -- --
Change in net unrealized appreciation
(depreciation) on:
Securities................................ -- 5,974,556 1,003,748
Futures................................... -- -- --
Written options........................... -- -- --
Short sales............................... -- -- --
Swap contracts............................ -- -- --
Foreign currency translations............. -- -- --
--------------- ------------- -------------
Net increase (decrease) in net assets
resulting from operations................. 42,016,175 35,117,051 5,147,392
--------------- ------------- -------------
FROM TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS:
Contributions............................... 3,826,219,117 473,191,503 61,946,831
Withdrawals................................. (3,708,071,941) (479,084,534) (177,519,578)
--------------- ------------- -------------
Net increase (decrease) in net assets
resulting from transactions in investors'
beneficial interests...................... 118,147,176 (5,893,031) (115,572,747)
--------------- ------------- -------------
Net increase (decrease) in net assets....... 160,163,351 29,224,020 (110,425,355)
NET ASSETS:
Beginning of year........................... 765,777,258 788,399,166 261,106,523
--------------- ------------- -------------
End of year................................. $ 925,940,609 $ 817,623,186 $ 150,681,168
=============== ============= =============
</Table>
- --------
* Formerly, Intermediate Government Bond.
See notes to financial statements.
54
<Table>
<Caption>
TOTAL
CORE RETURN HIGH YIELD VALUE &
BOND BOND BOND BALANCED INCOME VALUE
-------------- ------------ ------------- ------------- -------------- ------------
$ 92,310,620 $ 3,955,397 $ 35,746,824 $ 10,580,519 $ 47,215,411 $ 769,673
(15,300,239) 326,862 4,415,516 17,865,917 237,630,133 3,727,354
(2,724,944) -- -- -- -- --
8,144,851 15,462 -- (45,252) -- --
536,040 31,702 -- 60,625 -- --
264,388 (31,694) (4,253) (117,991) -- --
181,854 (63,335) 11,570,829 14,431,295 327,033,667 5,766,022
(2,947,122) (15,115) -- 21,196 -- --
(136,174) 2,740 -- 5,006 -- --
1,503,739 -- -- -- -- --
3,305,904 -- -- -- -- --
(1,473,081) 6,996 2,243 50,342 -- (33)
-------------- ------------ ------------- ------------- -------------- ------------
83,665,836 4,229,015 51,731,159 42,851,657 611,879,211 10,263,016
-------------- ------------ ------------- ------------- -------------- ------------
642,373,668 97,088,124 179,319,765 89,543,901 898,961,139 71,879,254
(701,111,090) (50,753,571) (144,748,123) (161,494,412) (989,956,921) (15,997,876)
-------------- ------------ ------------- ------------- -------------- ------------
(58,737,422) 46,334,553 34,571,642 (71,950,511) (90,995,782) 55,881,378
-------------- ------------ ------------- ------------- -------------- ------------
24,928,414 50,563,568 86,302,801 (29,098,854) 520,883,429 66,144,394
2,052,893,035 70,072,859 416,027,255 410,747,655 3,018,060,297 35,138,512
-------------- ------------ ------------- ------------- -------------- ------------
$2,077,821,449 $120,636,427 $ 502,330,056 $ 381,648,801 $3,538,943,726 $101,282,906
============== ============ ============= ============= ============== ============
</Table>
55
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 2006
<Table>
<Caption>
GROWTH & EQUITY AGGRESSIVE
INCOME GROWTH EQUITY
-------------- -------------- -------------
FROM OPERATIONS:
Net investment income (loss)................. $ 12,883,130 $ 10,764,574 $ (650,069)
Net realized gains (losses) on transactions
from:
Securities................................. 90,273,462 151,657,940 27,520,364
Swap contracts............................. -- -- --
Futures.................................... 126,420 -- --
Written options............................ -- -- --
Foreign currency transactions.............. -- 893 --
Change in net unrealized appreciation
(depreciation) on:
Securities................................. 26,080,459 (62,370,923) (3,115,975)
Futures.................................... 27,131 -- --
Written options............................ -- -- --
Short sales................................ -- -- --
Swap contracts............................. -- -- --
Foreign currency translations.............. 87 15 --
-------------- -------------- -------------
Net increase (decrease) in net assets
resulting from operations.................. 129,390,689 100,052,499 23,754,320
-------------- -------------- -------------
FROM TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS:
Contributions................................ 289,738,820 619,135,082 140,452,458
In-Kind Transfer (Note 20)................... -- -- --
Withdrawals.................................. (438,868,133) (779,652,186) (163,667,930)
-------------- -------------- -------------
Net increase (decrease) in net assets
resulting from
transactions in investors' beneficial
interests.................................. (149,129,313) (160,517,104) (23,215,472)
-------------- -------------- -------------
Net increase (decrease) in net assets........ (19,738,624) (60,464,605) 538,848
NET ASSETS:
Beginning of year............................ 1,178,758,869 2,587,382,061 382,129,060
-------------- -------------- -------------
End of year.................................. $1,159,020,245 $2,526,917,456 $ 382,667,908
============== ============== =============
</Table>
See notes to financial statements.
56
<Table>
<Caption>
MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP INTERNATIONAL
VALUE GROWTH VALUE EQUITY GROWTH EQUITY
- ------------- ------------- ------------ -------------- ------------ --------------
$ 9,167,028 $ (937,487) $ 639,914 $ 3,607,626 $ (438,967) $ 33,424,401
62,499,240 15,761,237 20,567,140 138,381,086 (3,321,892) 212,988,414
-- -- -- -- -- --
-- -- -- 303,934 -- --
-- -- -- -- -- --
234 -- -- -- -- 617,122
59,305,077 (10,452,049) (1,285,523) (3,739,450) 14,657,485 209,750,250
-- -- -- 103,313 -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- 6 -- 57,605
- ------------- ------------- ------------ -------------- ------------ --------------
130,971,579 4,371,701 19,921,531 138,656,515 10,896,626 456,837,792
- ------------- ------------- ------------ -------------- ------------ --------------
367,313,600 128,657,239 73,958,616 448,521,133 56,928,632 652,020,924
-- -- -- (80,105,926) -- --
(202,842,512) (106,070,321) (76,312,650) (592,187,172) (45,725,788) (729,492,392)
- ------------- ------------- ------------ -------------- ------------ --------------
164,471,088 22,586,918 (2,354,034) (223,771,965) 11,202,844 (77,471,468)
- ------------- ------------- ------------ -------------- ------------ --------------
295,442,667 26,958,619 17,567,497 (85,115,450) 22,099,470 379,366,324
641,531,538 282,950,442 218,749,221 1,296,671,909 132,903,534 1,721,786,149
- ------------- ------------- ------------ -------------- ------------ --------------
$ 936,974,205 $ 309,909,061 $236,316,718 $1,211,556,459 $155,003,004 $2,101,152,473
============= ============= ============ ============== ============ ==============
</Table>
57
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
COMMERCIAL PAPER -- 37.0%
$ 44,000,000 Bank of America Corp.,
5.24%, 08/31/07........ $ 43,602,924
43,420,000 Barclays US Funding LLC,
5.24%, 08/15/07........ 43,129,279
15,577,000 Chariot Funding
LLC -- 144A,
5.26%, 07/27/07........ 15,515,549
25,438,000 Chariot Funding
LLC -- 144A,
5.26%, 07/30/07........ 25,326,497
48,160,000 Citigroup Funding, Inc.,
5.25%, 09/19/07........ 47,591,110
32,000,000 Falcon Asset
Securitization
Corp. -- 144A,
5.26%, 08/03/07........ 31,841,182
36,320,000 HBOS Treasury Service PLC,
5.23%, 07/26/07........ 36,182,880
31,500,000 Jupiter Securitization
Corp. LLC -- 144A,
5.29%, 07/17/07........ 31,421,311
16,390,000 Sheffield
Receivables -- 144A,
5.29%, 07/09/07........ 16,368,324
21,110,000 Sheffield
Receivables -- 144A,
5.29%, 07/13/07........ 21,069,674
40,840,000 UBS Finance Delaware,
Inc.,
5.19%, 12/06/07........ 39,903,845
------------
TOTAL COMMERCIAL PAPER
(Cost $351,952,575).... 351,952,575
------------
YANKEE CERTIFICATES OF DEPOSIT -- 23.4%
41,000,000 Abbey National Treasury,
5.30%, 10/31/07........ 41,000,000
37,580,000 BNP Paribas New York
Branch,
5.31%, 10/09/07........ 37,580,000
37,730,000 Credit Suisse First
Boston -- New York
Branch,
5.29%, 04/14/08........ 37,730,000
30,000,000 Deutsche Bank AG --
New York Branch,
5.35%, 08/07/07........ 30,000,000
15,270,000 Dresdner Bank AG --
New York Branch,
5.30%, 10/09/07........ 15,270,000
15,370,000 Dresdner Bank AG --
New York Branch,
5.30%, 01/10/08........ 15,370,000
10,550,000 HBOS Treasury Service PLC,
5.28%, 09/04/07........ 10,548,839
35,000,000 Toronto Dominion Bank,
5.31%, 07/09/07........ 35,000,000
------------
TOTAL YANKEE CERTIFICATES
OF DEPOSIT
(Cost $222,498,839).... 222,498,839
------------
SHORT TERM CORPORATE NOTES -- 23.2%
5,790,000 American Express Bank,
Variable Rate,
5.40%, 11/21/07 (1).... 5,792,529
16,900,000 American Express Credit
Corp.,
Series MTNB, Variable
Rate, 5.42%,
03/05/08 (1)........... 16,900,000
44,000,000 Bank of
Montreal -- Chicago,
Variable Rate,
5.28%, 06/06/08 (1).... 44,000,000
10,440,000 Canadian Imperial Bank
Community New York,
Variable Rate,
5.30%, 05/22/08 (1).... 10,440,000
34,000,000 Goldman Sachs Group LP,
Series MTN -- 144A,
Variable Rate,
5.45%, 09/14/07 (1).... 34,010,867
36,170,000 Greenwich Capital
Holdings,
Variable Rate,
5.28%, 11/09/07 (1).... 36,170,000
14,000,000 Merrill Lynch & Company,
Inc.,
Variable Rate,
5.57%, 07/11/07 (1).... 14,000,000
33,850,000 Morgan Stanley, Series
EXLS,
Variable Rate,
5.36%, 06/02/08 (1).... 33,850,000
25,000,000 Societe Generale New York,
Variable Rate,
5.38%, 03/27/08 (1).... 25,000,000
------------
TOTAL SHORT TERM CORPORATE
NOTES
(Cost $220,163,396).... 220,163,396
------------
TIME DEPOSIT -- 0.8%
7,680,000 Calyon New York,
5.38%, 07/02/07
(Cost $7,680,000)...... 7,680,000
------------
TOTAL SECURITIES
(Cost $802,294,810).... 802,294,810
------------
REPURCHASE AGREEMENTS -- 15.2%
6,775 With Investors Bank &
Trust, dated 06/29/07,
4.76%, due 07/02/07,
repurchase proceeds at
maturity $6,778
(Collateralized by
Small Business
Administration, 8.38%,
due 06/25/25, with a
value of $7,114)....... 6,775
144,290,000 With Deutsche Bank,
dated 06/29/07,
5.35% -- 5.40%, due
07/02/07, repurchase
proceeds at maturity
$144,354,627
(Collateralized by
various Fannie Maes,
4.15% -- 7.41%, due
08/01/34 -- 03/01/37,
with a total value of
$104,181,237 and
various Freddie Macs,
5.00% -- 6.50%, due
09/01/35 -- 06/01/37,
with a total value of
$42,994,564)........... 144,290,000
------------
TOTAL REPURCHASE
AGREEMENTS
(Cost $144,296,775).... 144,296,775
------------
</Table>
See notes to financial statements.
58
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
VALUE
------------
Total Investments -- 99.6%
(Cost $946,591,585).......... $946,591,585
Other assets less
liabilities -- 0.4%.......... 4,132,505
------------
NET ASSETS -- 100.0%............ $950,724,090
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $946,591,585.
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
59
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
US TREASURY SECURITIES -- 2.6%
US TREASURY NOTES
$10,000,000 4.88%, 05/31/08 (8)....... $ 9,993,760
2,000,000 5.00%, 07/31/08 (8)....... 2,000,002
10,000,000 4.75%, 12/31/08........... 9,972,660
------------
TOTAL US TREASURY
SECURITIES
(Cost $21,972,476)..... 21,966,422
------------
US GOVERNMENT AGENCY SECURITIES -- 16.5%
ASSET BACKED: MORTGAGE AND
HOME EQUITY -- 11.6%
5,400,000 Fannie Mae,
Series 2003-32, Class
PE,
4.00%, 03/25/26........ 5,286,050
1,246,393 Fannie Mae,
Series 2003-34, Class
GT,
4.00%, 01/25/27........ 1,227,892
2,550,000 Fannie Mae,
Series 2003-62, Class
OD,
3.50%, 04/25/26........ 2,461,956
1,163,824 Fannie Mae,
Series 2003-63, Class
GU,
4.00%, 07/25/33........ 1,145,155
781,980 Fannie Mae,
Series 2003-67, Class
GL,
3.00%, 01/25/25........ 765,781
4,957,991 Fannie Mae,
Series 2003-69, Class
GJ,
3.50%, 12/25/31........ 4,640,208
2,841,888 Fannie Mae,
Series 2003-92, Class
KQ,
3.50%, 06/25/23........ 2,795,899
214,227 Fannie Mae,
Series 2004-21, Class
QA,
4.00%, 11/25/17........ 213,669
2,764,909 Fannie Mae,
Series 2004-70, Class
DN,
4.00%, 12/25/29........ 2,628,843
4,777,563 Fannie Mae,
Series 2004-80, Class
LG,
4.00%, 10/25/16........ 4,660,950
4,334,927 Federal Home Loan Bank,
Series 1Y-9009, Class
A,
4.06%, 08/25/09........ 4,252,347
2,247,852 Federal Home Loan Bank,
Series 3Q-9009, Class
1,
3.92%, 09/25/09........ 2,189,187
7,354,545 Freddie Mac,
Series 2416, Class PE,
6.00%, 10/15/21........ 7,433,225
952,796 Freddie Mac,
Series 2454, Class BG,
6.50%, 08/15/31........ 960,706
2,106,702 Freddie Mac,
Series 2614, Class JA,
3.76%, 03/15/29........ 1,995,200
5,287,029 Freddie Mac,
Series 2625, Class JD,
3.25%, 07/15/17........ 4,972,721
4,666,611 Freddie Mac,
Series 2627, Class KP,
2.87%, 12/15/16........ 4,395,773
5,375,588 Freddie Mac,
Series 2630, Class HC,
4.00%, 01/15/17........ 5,185,364
5,800,000 Freddie Mac,
Series 2631, Class CD,
4.00%, 10/15/26........ 5,620,204
5,417,117 Freddie Mac,
Series 2637, Class A,
3.38%, 03/15/18........ 5,053,185
4,168,590 Freddie Mac,
Series 2672, Class HA,
4.00%, 09/15/16........ 4,023,263
1,782,733 Freddie Mac,
Series 2760, Class EA,
4.50%, 04/15/13........ 1,772,220
1,849,490 Freddie Mac,
Series 2782, Class HE,
4.00%, 09/15/17........ 1,771,157
3,927,512 Freddie Mac,
Series 3056, Class AP,
5.50%, 01/15/27........ 3,925,274
5,591,377 Government National
Mortgage Association,
Series 2006-67, Class
A,
3.95%, 11/16/30........ 5,411,895
6,720,955 Government National
Mortgage Association,
Series 2007-15, Class
A,
4.51%, 10/16/28........ 6,578,253
3,000,000 Government National
Mortgage Association,
Series 2007-34, Class
A,
4.27%, 11/16/26........ 2,932,515
4,960,965 Government National
Mortgage Association,
Series 2007-4, Class A,
4.21%, 06/16/29........ 4,823,507
------------
99,122,399
------------
ASSET BACKED: US GOVERNMENT
AGENCIES -- 0.6%
5,000,000 Student Loan Marketing
Association Student
Loan Trust -- 144A,
Series 2003-4, Class
A5B,
3.39%, 03/15/33........ 4,914,725
------------
FANNIE MAE -- 2.7%
3,800,000 5.00%, 09/15/08........... 3,788,867
580,501 PL# 254062,
6.00%, 10/01/11........ 583,479
1,512,777 PL# 254754,
4.50%, 05/01/10........ 1,479,356
2,138,933 PL# 254758,
4.50%, 06/01/13........ 2,085,516
</Table>
See notes to financial statements.
60
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
US GOVERNMENT AGENCY SECURITIES
(CONTINUED)
FANNIE MAE (CONTINUED)
$ 1,063,731 PL# 254805,
5.00%, 06/01/13........ $ 1,049,151
2,034,654 PL# 254807,
5.00%, 07/01/13........ 2,006,755
4,001,397 PL# 254914,
4.50%, 09/01/13........ 3,898,126
543,415 PL# 323743,
5.00%, 04/01/14........ 530,658
304,324 PL# 429168,
6.00%, 05/01/13........ 307,116
115,001 PL# 50903,
6.00%, 09/01/08........ 115,243
172,203 PL# 50973,
6.00%, 01/01/09........ 172,566
324,260 PL# 517699,
6.00%, 07/01/14........ 326,295
969,872 PL# 545038,
6.00%, 09/01/14........ 980,180
2,402,370 PL# 555154,
5.50%, 12/01/22........ 2,349,983
3,337,389 PL# 555487,
5.00%, 05/01/18........ 3,237,706
81,723 PL# 609771,
6.00%, 09/01/08........ 81,821
------------
22,992,818
------------
FEDERAL HOME LOAN BANK -- 0.8%
2,500,000 3.75%, 08/18/09........... 2,431,148
4,545,354 Series 6T-9009,
3.84%, 11/25/09........ 4,411,275
------------
6,842,423
------------
FREDDIE MAC GOLD -- 0.6%
115,327 PL# E00532,
6.50%, 02/01/13........ 118,000
203,681 PL# E00542,
6.50%, 04/01/13........ 208,407
534,830 PL# E00676,
5.50%, 06/01/14........ 531,097
879,496 PL# E89557,
5.50%, 04/01/17........ 869,526
2,968,480 PL# G40426,
5.50%, 03/01/11........ 2,982,163
690,860 PL# M90802,
4.00%, 03/01/08........ 683,392
------------
5,392,585
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 0.2%
1,658,367 PL# 436708,
5.75%, 12/15/22........ 1,644,792
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES
(Cost $143,378,834).... 140,909,742
------------
CORPORATE BONDS AND NOTES -- 76.7%
BANKS -- 9.3%
5,000,000 American Express Bank FSB,
Series BKNT,
Floating Rate,
5.38%, 06/22/09 (3).... 5,005,245
4,700,000 American Express Centurion
Bank,
Series BKNT,
4.38%, 07/30/09........ 4,623,056
4,330,000 Bank of America Corp.,
7.13%, 03/01/09........ 4,453,977
1,375,000 Bank of America Corp.,
7.80%, 02/15/10........ 1,454,239
4,600,000 Bank of Scotland -- 144A
(United Kingdom),
3.50%, 11/30/07........ 4,570,385
13,100,000 Bank One Corp.,
2.63%, 06/30/08........ 12,748,042
2,650,000 BankBoston NA,
Series BKNT,
6.38%, 04/15/08........ 2,667,729
14,385,000 Capital One Financial
Corp.,
Series MTN,
5.70%, 09/15/11........ 14,327,014
2,000,000 HBOS Treasury Services
PLC -- 144A
(United Kingdom),
3.75%, 09/30/08........ 1,959,826
3,025,000 National City Bank,
Series BKNT,
4.25%, 01/29/10........ 2,944,217
3,630,000 US Bank NA,
Series BKNT,
4.13%, 03/17/08........ 3,596,887
3,125,000 Wachovia Corp.,
5.63%, 12/15/08........ 3,140,516
7,000,000 Wachovia Corp.,
Floating Rate,
5.41%, 07/20/07 (3).... 7,000,469
3,000,000 Wells Fargo & Company,
4.20%, 01/15/10........ 2,925,756
8,500,000 Wells Fargo & Company,
Floating Rate,
5.42%, 03/23/10 (2).... 8,512,971
------------
79,930,329
------------
CONSUMER GOODS AND SERVICES -- 0.8%
7,220,000 The Procter & Gamble
Company -- 144A,
Floating Rate,
5.37%, 07/06/09 (2).... 7,220,000
------------
DIVERSIFIED OPERATIONS AND
SERVICES -- 0.4%
3,825,000 Capmark Financial
Group -- 144A,
5.88%, 05/10/12........ 3,778,802
------------
EQUIPMENT RENTAL AND LEASING -- 1.0%
8,420,000 International Lease
Finance Corp.,
Series MTNQ,
5.75%, 06/15/11........ 8,462,580
------------
</Table>
See notes to financial statements.
61
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCIAL SERVICES -- 9.2%
$ 5,000,000 Citigroup, Inc.,
3.50%, 02/01/08........ $ 4,950,125
8,472,000 Citigroup, Inc.,
4.63%, 08/03/10........ 8,298,747
9,110,000 Countrywide Financial
Corp.,
Series MTN,
5.80%, 06/07/12........ 9,055,385
8,155,000 Credit Suisse First Boston
USA, Inc.,
4.70%, 06/01/09........ 8,068,427
2,500,000 General Electric Capital
Corp.,
Series MTNA,
4.00%, 06/15/09........ 2,441,438
2,800,000 Goldman Sachs Group, Inc.,
4.50%, 06/15/10........ 2,731,826
4,000,000 Goldman Sachs Group, Inc.,
Series MTNB, Floating
Rate, 5.75%,
10/07/11 (2)........... 4,028,132
6,250,000 Lehman Brothers Holdings,
Inc.,
Series MTNG,
3.95%, 11/10/09........ 6,064,131
4,000,000 Lehman Brothers Holdings,
Inc.,
Series MTNI, Floating
Rate, 5.59%,
01/12/12 (2)........... 3,999,776
7,775,000 Merrill Lynch & Company,
Inc.,
Series MTNC,
4.83%, 10/27/08........ 7,706,782
6,000,000 Merrill Lynch & Company,
Inc.,
Series MTNC,
4.13%, 01/15/09........ 5,891,304
3,294,000 Morgan Stanley,
3.88%, 01/15/09........ 3,224,800
2,425,000 Morgan Stanley,
Series MTN,
5.63%, 01/09/12........ 2,422,148
5,675,000 SLM Corp.,
Series MTNA,
4.50%, 07/26/10........ 5,250,833
2,750,000 The Bear Stearns
Companies, Inc.,
2.88%, 07/02/08........ 2,678,935
2,000,000 The Bear Stearns
Companies, Inc.,
5.35%, 02/01/12........ 1,964,492
------------
78,777,281
------------
INSURANCE -- 1.9%
11,000,000 Met Life Global
Funding I -- 144A,
Series MTN,
5.75%, 07/25/11........ 11,098,054
2,500,000 New York Life Global
Funding -- 144A,
3.88%, 01/15/09........ 2,446,768
2,785,000 Prudential Financial,
Inc.,
Series MTN,
3.75%, 05/01/08........ 2,747,266
------------
16,292,088
------------
MACHINERY -- 0.2%
2,000,000 Caterpillar, Inc.,
7.25%, 09/15/09........ 2,076,248
------------
PHARMACEUTICALS/RESEARCH AND
DEVELOPMENT -- 0.3%
2,525,000 Abbott Laboratories,
3.50%, 02/17/09........ 2,455,108
------------
PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR
VEHICLES, AUTOMOTIVE
EQUIPMENT AND REPAIRS -- 12.3%
4,500,000 Bay View Auto Trust,
Series 2005-LJ1, Class
A4, 4.09%, 05/25/12.... 4,412,570
2,500,000 BMW Vehicle Owner Trust,
Series 2006-A, Class
A4,
5.07%, 08/25/11........ 2,482,213
1,953,180 Capital Auto Receivables
Asset Trust,
Series 2005-1, Class
A4,
4.05%, 07/15/09........ 1,944,965
791,520 Capital One Auto Finance
Trust,
Series 2005-A, Class
A3,
4.28%, 07/15/09........ 791,362
951,696 Capital One Auto Finance
Trust,
Series 2005-BSS, Class
A3, 4.08%, 11/15/09.... 949,501
1,274,224 Capital One Auto Finance
Trust,
Series 2005-C, Class
A3,
4.61%, 07/15/10........ 1,271,651
3,500,000 Capital One Prime Auto
Receivables Trust,
Series 2004-3, Class
A4,
3.69%, 06/15/10........ 3,448,622
625,232 Capital One Prime Auto
Receivables Trust,
Series 2006-1, Class
A2,
5.04%, 11/15/08........ 625,738
3,000,000 Capital One Prime Auto
Receivables Trust,
Series 2007-1, Class
B1,
5.76%, 12/15/13........ 3,015,000
4,124,444 Carmax Auto Owner Trust,
Series 2004-2, Class
A4,
3.46%, 09/15/11........ 4,065,635
3,100,000 Carmax Auto Owner Trust,
Series 2005-2, Class
A4,
4.34%, 09/15/10........ 3,054,750
482,217 Chase Manhattan Auto
Owner Trust,
Series 2004-A, Class
CTFS,
2.58%, 09/15/10........ 475,107
2,890,532 Chase Manhattan Auto
Owner Trust,
Series 2005-A, Class
CTFS,
4.04%, 04/15/11........ 2,867,072
</Table>
See notes to financial statements.
62
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR
VEHICLES, AUTOMOTIVE EQUIPMENT
AND REPAIRS (CONTINUED)
$ 2,000,000 Chase Manhattan Auto
Owner Trust,
Series 2006-A, Class
A4,
5.36%, 01/15/13........ $ 2,002,686
2,500,000 Chase Manhattan Auto
Owner Trust,
Series 2006-A, Class
CTFS,
5.47%, 01/15/13........ 2,502,709
3,200,000 Chase Manhattan Auto
Owner Trust,
Series 2006-B, Class
A4,
5.11%, 04/15/14........ 3,181,230
4,614,513 Fifth Third Auto Trust,
Series 2004-A, Class
A4,
3.70%, 10/20/11........ 4,603,472
2,250,000 Ford Credit Auto Owner
Trust,
Series 2005-B, Class B,
4.64%, 04/15/10........ 2,232,368
1,000,000 Ford Credit Auto Owner
Trust,
Series 2005-B, Class C,
4.83%, 08/15/10........ 995,144
1,745,698 Ford Credit Auto Owner
Trust,
Series 2005-C, Class
A3,
4.30%, 08/15/09........ 1,738,328
3,800,000 Ford Credit Auto Owner
Trust,
Series 2005-C, Class B,
4.52%, 09/15/10........ 3,754,003
864,304 Ford Credit Auto Owner
Trust,
Series 2006-A, Class
A2A,
5.04%, 09/15/08........ 864,947
1,000,000 Ford Credit Auto Owner
Trust,
Series 2007-A, Class B,
5.60%, 10/15/12........ 997,188
1,861,012 Harley-Davidson Motorcycle
Trust,
Series 2004-1, Class
A2,
2.53%, 11/15/11........ 1,814,825
5,000,000 Hertz Vehicle Financing
LLC -- 144A,
Series 2005-2A, Class
A2,
4.93%, 02/25/10........ 4,968,148
2,000,000 Hertz Vehicle Financing
LLC -- 144A,
Series 2005-2A, Class
A4,
5.01%, 02/25/11........ 1,982,865
4,500,000 Honda Auto Receivables
Owner Trust,
Series 2006-1, Class
A3,
5.07%, 02/18/10........ 4,494,325
3,000,000 Hyundai Auto Receivables
Trust,
Series 2006-B, Class B,
5.19%, 05/15/13........ 2,983,571
2,806,076 Long Beach Auto
Receivables Trust,
Series 2005-B, Class
A3,
4.41%, 05/15/10........ 2,797,995
695,176 Long Beach Auto
Receivables Trust,
Series 2006-A, Class
A2,
5.36%, 11/15/09........ 695,827
1,360,273 Nissan Auto Receivables
Owner Trust,
Series 2006-B, Class
A2,
5.18%, 08/15/08........ 1,361,478
3,250,000 Onyx Acceptance Owner
Trust,
Series 2005-A, Class
A4,
3.91%, 09/15/11........ 3,211,444
5,958,016 Susquehanna Auto Lease
Trust -- 144A,
Series 2005-1, Class
A3,
4.43%, 06/16/08........ 5,944,508
2,000,000 Susquehanna Auto Lease
Trust -- 144A,
Series 2005-1, Class B,
4.71%, 07/14/08........ 1,991,201
4,000,000 Susquehanna Auto Lease
Trust -- 144A,
Series 2005-1, Class C,
5.09%, 11/14/08........ 3,982,722
2,500,000 Susquehanna Auto Lease
Trust,
Series 2007-1, Class
A2,
5.32%, 04/14/09........ 2,499,672
1,250,000 Susquehanna Auto Lease
Trust,
Series 2007-1, Class B,
5.31%, 07/14/10........ 1,245,025
6,000,000 Triad Auto Receivables
Owner Trust,
Series 2007-A, Class
A3,
5.28%, 02/13/12........ 5,992,849
2,465,935 WFS Financial Owner Trust,
Series 2004-1, Class
A4,
2.81%, 08/22/11........ 2,443,160
4,550,000 World Omni Auto
Receivables Trust,
Series 2006-B, Class
A4,
5.12%, 06/15/12........ 4,527,132
------------
105,213,008
------------
PRIVATE ASSET BACKED: CREDIT
CARDS -- 5.9%
8,000,000 Cabela's Master Credit
Card Trust -- 144A,
Series 2006-3A, Class
A1,
5.26%, 10/15/14........ 7,946,870
7,000,000 Capital One Multi-Asset
Execution Trust,
Series 2006-A6, Class
A6,
5.30%, 02/18/14........ 6,986,092
8,000,000 Citibank Credit Card
Issuance Trust,
Series 2004-A4, Class
A4,
3.20%, 08/24/09........ 7,982,903
</Table>
See notes to financial statements.
63
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: CREDIT CARDS
(CONTINUED)
$ 8,000,000 Citibank Credit Card
Issuance Trust,
Series 2006-A4, Class
A4,
5.45%, 05/10/13........ $ 8,007,211
1,925,000 Citibank Credit Card
Issuance Trust,
Series 2006-B2, Class
B2,
5.15%, 03/07/11........ 1,916,882
6,325,000 GE Capital Credit Card
Master Note Trust,
Series 2004-2, Class A,
5.36%, 09/15/10........ 6,329,510
8,000,000 GE Capital Credit Card
Master Note Trust,
Series 2006-1, Class A,
5.08%, 09/15/12........ 7,972,094
3,000,000 GE Capital Credit Card
Master Note Trust,
Series 2007-3, Class B,
5.49%, 06/15/13........ 2,999,266
------------
50,140,828
------------
PRIVATE ASSET BACKED: FINANCIAL
SERVICES -- 4.3%
5,000,000 Caterpillar Financial
Asset Trust,
Series 2005-A, Class
A4,
4.10%, 06/25/10........ 4,948,331
3,000,000 Caterpillar Financial
Asset Trust,
Series 2006-A, Class B,
5.71%, 06/25/12........ 3,023,579
2,257,060 Community Program Loan
Trust,
Series 1987-A, Class
A4,
4.50%, 10/01/18........ 2,223,089
5,781,290 Greenwich Capital
Commercial Funding
Corp.,
Series 2005-GG5, Class
A1, 4.79%, 04/10/37.... 5,725,984
4,901,256 Greenwich Capital
Commercial Funding
Corp.,
Series 2006-GG7, Class
A1, 5.74%, 07/10/38.... 4,929,731
533,881 Morgan Stanley Capital I,
Series 2003-T11, Class
A1, 3.26%, 06/13/41.... 526,449
4,138,458 Morgan Stanley Capital I,
Series 2005-HQ5, Class
A1, 4.52%, 01/14/42.... 4,090,565
2,199,019 Morgan Stanley Capital I,
Series 2005-HQ6, Class
A1, 4.65%, 08/13/42.... 2,167,888
4,651,384 Morgan Stanley Capital I,
Series 2006-HQ10, Class
A1, 5.13%, 11/12/41.... 4,612,258
3,418,163 Morgan Stanley Capital I,
Series 2006-IQ11, Class
A1, 5.55%, 10/15/42.... 3,420,511
1,527,228 Public Service New
Hampshire Funding LLC,
Series 2001-1, Class
A2,
5.73%, 11/01/10........ 1,532,263
------------
37,200,648
------------
PRIVATE ASSET BACKED: MORTGAGE AND
HOME EQUITY -- 14.2%
1,534,900 American General Mortgage
Loan Trust,
Series 2006-1, Class
A1,
5.75%, 12/25/35........ 1,532,420
1,310,246 Banc of America Commercial
Mortgage, Inc.,
Series 2003-2, Class
A1,
3.41%, 03/11/41........ 1,288,375
5,000,000 Banc of America Commercial
Mortgage, Inc.,
Series 2006-4, Class
A2,
5.52%, 09/10/11........ 4,977,270
295,175 Bear Stearns Commercial
Mortgage Securities,
Inc.,
Series 1998-C1, Class
A1,
6.34%, 06/16/30........ 294,994
127,642 Bear Stearns Commercial
Mortgage Securities,
Inc.,
Series 1999-C1, Class
A1,
5.91%, 02/14/31........ 127,576
604,563 Bear Stearns Commercial
Mortgage Securities,
Inc.,
Series 2001-TOP4, Class
A1, 5.06%, 11/15/16.... 600,650
1,755,895 Bear Stearns Commercial
Mortgage Securities,
Inc.,
Series 2002-PBW1, Class
A1, 3.97%, 11/11/35.... 1,719,166
786,070 Bear Stearns Commercial
Mortgage Securities,
Inc.,
Series 2004-PWR5, Class
A1, 3.76%, 07/11/42.... 772,571
1,410,818 Bear Stearns Commercial
Mortgage Securities,
Inc.,
Series 2005-PWR9, Class
A1, 4.50%, 09/11/42.... 1,389,119
3,410,915 Bear Stearns Commercial
Mortgage Securities,
Inc.,
Series 2006-T22, Class
A1, 5.42%, 04/12/38.... 3,407,094
7,000,000 Bear Stearns Commercial
Mortgage Securities,
Inc.,
Series 2007-PW15, Class
A2, 5.21%, 02/11/44.... 6,867,573
3,222,176 Chase Funding Mortgage
Loan Asset-Backed,
Series 2003-4, Class
1A6,
4.43%, 10/25/14........ 3,051,203
</Table>
See notes to financial statements.
64
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: MORTGAGE AND
HOME EQUITY (CONTINUED)
$ 3,360,520 Citigroup/Deutsche Bank
Commercial Mortgage
Trust,
Series 2005-CD1, Class
A1, 5.05%, 07/15/44.... $ 3,337,598
789,908 Commercial Mortgage Pass-
Through Certificates,
Series 2004-LB2A, Class
A1, 2.96%, 03/10/39.... 776,403
3,949,155 Credit Suisse First Boston
Mortgage Securities
Corp.,
Series 2001-CP4, Class
A2, 5.87%, 12/15/35.... 3,948,523
1,338,680 Credit Suisse First Boston
Mortgage Securities
Corp.,
Series 2003-C3, Class
A1,
2.08%, 05/15/38........ 1,318,841
383,643 GE Capital Commercial
Mortgage Corp.,
Series 2001-3, Class
A1,
5.56%, 06/10/38........ 384,235
4,812,458 GE Capital Commercial
Mortgage Corp.,
Series 2002-1A, Class
A2,
5.99%, 12/10/35........ 4,857,531
2,899,025 GE Capital Commercial
Mortgage Corp.,
Series 2002-3A, Class
A1,
4.23%, 12/10/37........ 2,834,830
1,395,638 GE Capital Commercial
Mortgage Corp.,
Series 2004-C3, Class
A1,
3.75%, 07/10/39........ 1,371,883
1,243,411 GE Capital Commercial
Mortgage Corp.,
Series 2005-C1, Class
A1,
4.01%, 06/10/48........ 1,224,517
1,534,746 GMAC Mortgage Corp.
Loan Trust,
Series 2004-GH1, Class
A2, 4.39%, 12/25/25.... 1,523,355
6,400,000 GS Mortgage Securities
Corp. II,
Series 2007-GG10, Class
A1, 5.69%, 08/10/45.... 6,399,987
640,039 Interstar Millennium
Trust,
Series 2003-3G, Class
A2 (Australia),
Floating Rate, 5.61%,
09/27/35 (2)........... 641,711
1,121,711 Interstar Millennium
Trust,
Series 2004-2G, Class A
(Australia), Floating
Rate, 5.56%,
03/14/36 (2)........... 1,124,142
681,970 JPMorgan Chase Commercial
Mortgage Securities
Corp.,
Series 2002-C2, Class
A1,
4.33%, 12/12/34........ 665,961
1,749,145 JPMorgan Chase Commercial
Mortgage Securities
Corp.,
Series 2005-LDP4, Class
A1,
4.61%, 10/15/42........ 1,735,881
5,558,212 JPMorgan Mortgage Trust,
Series 2006-S2, Class
1A17, 6.00%, 07/25/36.. 5,564,615
851,400 LB-UBS Commercial
Mortgage Trust,
Series 2003-C1, Class
A1,
2.72%, 03/15/27........ 840,638
1,850,000 LB-UBS Commercial
Mortgage Trust,
Series 2003-C1, Class
A2,
3.32%, 03/15/27........ 1,824,473
1,824,510 LB-UBS Commercial
Mortgage Trust,
Series 2003-C3, Class
A1,
2.60%, 05/15/27........ 1,795,019
3,000,000 LB-UBS Commercial
Mortgage Trust,
Series 2003-C5, Class
A2,
3.48%, 07/15/27........ 2,942,781
3,350,000 LB-UBS Commercial
Mortgage Trust,
Series 2003-C7, Class
A3,
4.56%, 09/15/27........ 3,251,822
894,577 LB-UBS Commercial
Mortgage Trust,
Series 2004-C8, Class
A1,
3.94%, 12/15/29........ 883,773
779,316 LB-UBS Commercial
Mortgage Trust,
Series 2005-C5, Class
A1,
4.74%, 09/15/40........ 771,986
3,828,719 LB-UBS Commercial Mortgage
Trust,
Series 2005-C7, Class
A1,
4.99%, 11/15/30........ 3,803,743
5,758,376 Nomura Home Equity Loan,
Inc.,
Series 2006-AF1, Class
A1, 6.03%, 10/25/36.... 5,753,562
2,300,000 Permanent Financing PLC,
Series 7, Class 2A
(United Kingdom),
Floating Rate,
5.40%, 09/10/14 (2).... 2,300,081
3,000,000 Popular ABS Mortgage
Pass-Through Trust,
Series 2005-3, Class
AF3,
4.44%, 07/25/35........ 2,976,363
3,300,000 Residential Funding
Mortgage Securities II,
Series 2007-HSA3, Class
1A3, 6.03%, 05/25/37... 3,288,583
5,604,898 Structured Adjustable Rate
Mortgage Loan,
Series 2005-23, Class
1A3, 5.45%, 01/25/36... 5,574,846
</Table>
See notes to financial statements.
65
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: MORTGAGE AND
HOME EQUITY (CONTINUED)
$ 5,934,314 Structured Adjustable Rate
Mortgage Loan,
Series 2006-1, Class
5A1,
5.25%, 02/25/36........ $ 5,890,915
2,496,920 Wachovia Bank Commercial
Mortgage Trust,
Series 2003-4, Class
A1,
3.00%, 04/15/35........ 2,463,372
7,430,118 Washington Mutual Mortgage
Pass-Through
Certificates,
WMALT Series 2005-8,
Class 1A8, 5.50%,
10/25/35............... 7,393,399
1,261,964 Wells Fargo Mortgage
Backed Securities
Trust,
Series 2003-11, Class
1A1, 3.50%, 10/25/18... 1,246,693
4,703,625 Wells Fargo Mortgage
Backed Securities
Trust,
Series 2005-9, Class
1A1,
4.75%, 10/25/35........ 4,618,046
------------
121,358,119
------------
PRIVATE ASSET BACKED: OTHER -- 10.1%
4,913,793 ALG Student Loan
Trust -- 144A,
Series 2006-1A, Class
A1, Floating Rate,
5.36%, 10/28/18 (2).... 4,918,338
966,689 Bear Stearns Asset Backed
Securities, Inc.,
Series 2003-AC3, Class
A1, 4.00%, 07/25/33.... 948,127
1,714,107 California Infrastructure
PG&E Corp.,
Series 1997-1, Class
A8,
6.48%, 12/26/09........ 1,722,523
7,170,000 CIT Equipment Collateral,
Series 2006-VT1, Class
A3, 5.13%, 12/21/09.... 7,161,739
6,500,000 CIT Equipment Collateral,
Series 2006-VT1, Class
A4, 5.16%, 02/20/13.... 6,487,046
429,459 CIT RV Trust,
Series 1998-A, Class
A5,
6.12%, 11/15/13........ 429,858
276,440 CNH Equipment Trust,
Series 2004-A, Class
A3B, 2.94%, 10/15/08... 276,370
3,000,000 CNH Equipment Trust,
Series 2006-B, Class B,
5.36%, 06/17/13........ 2,984,515
2,000,000 CNH Equipment Trust,
Series 2007-A, Class B,
5.09%, 06/16/14........ 1,973,324
1,355,883 Crusade Global Trust,
Series 2004-2, Class A1
(Australia), Floating
Rate, 5.49%,
11/19/37 (2)........... 1,357,268
10,000,000 CW Capital Cobalt,
Series 2006-C1, Class
A2,
5.17%, 08/15/48........ 9,818,343
5,500,000 GE Equipment Midticket
LLC,
Series 2006-1, Class
A2,
5.10%, 05/15/09........ 5,495,013
2,454,074 Goal Capital Funding
Trust,
Series 2006-1, Class
A1,
Floating Rate,
5.36%, 08/25/20 (2).... 2,455,684
3,750,000 Great America Leasing
Receivables -- 144A,
Series 2006-1, Class
A3,
5.34%, 01/15/10........ 3,747,111
7,400,000 John Deere Owner Trust,
Series 2006-A, Class
A3,
5.38%, 07/15/10........ 7,406,340
8,000,000 John Deere Owner Trust,
Series 2007-A, Class
A4,
5.07%, 04/15/14........ 7,912,426
3,501,000 Marlin Leasing Receivables
LLC -- 144A,
Series 2006-1A, Class
A4,
5.33%, 09/15/13........ 3,499,359
9,250,000 Massachusetts RRB Special
Purpose Trust,
Series 1999-1, Class
A5,
7.03%, 03/15/12........ 9,510,066
2,400,000 Providian Gateway Master
Trust -- 144A,
Series 2004-FA, Class
A,
3.65%, 11/15/11........ 2,385,374
5,598,000 PSE&G Transition Funding
LLC,
Series 2001-1, Class
A6,
6.61%, 06/15/15........ 5,866,399
------------
86,355,223
------------
PRIVATE ASSET BACKED:
TRANSPORTATION -- 0.8%
2,150,000 E-Trade RV and Marine
Trust,
Series 2004-1, Class
A3,
3.62%, 10/08/18........ 2,082,375
4,443,137 Railcar Leasing LLC,
Series 1, Class A2,
7.13%, 01/15/13........ 4,590,804
------------
6,673,179
------------
TELECOMMUNICATIONS EQUIPMENT
AND SERVICES -- 1.1%
8,925,000 BellSouth Corp.,
6.00%, 10/15/11........ 9,046,398
------------
UTILITIES -- 4.9%
6,725,000 Alabama Power Company,
Series G,
5.38%, 10/01/08........ 6,718,826
5,125,000 Consolidated Edison
Company of New York,
Inc.,
4.70%, 06/15/09........ 5,062,701
</Table>
See notes to financial statements.
66
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
UTILITIES (CONTINUED)
$ 2,900,000 Dominion Resources, Inc.,
4.13%, 02/15/08........ $ 2,876,812
11,420,000 Exelon Generation Company
LLC,
6.95%, 06/15/11 (8).... 11,866,430
3,195,000 Northern States Power
Company -- Minnesota,
6.88%, 08/01/09........ 3,278,814
5,200,000 Northern States Power
Company -- Wisconsin,
7.64%, 10/01/08........ 5,328,040
6,664,000 Ohio Edison,
4.00%, 05/01/08........ 6,583,506
450,000 Xcel Energy, Inc.,
3.40%, 07/01/08........ 440,622
------------
42,155,751
------------
TOTAL CORPORATE BONDS AND
NOTES
(Cost $662,675,174).... 657,135,590
------------
FOREIGN GOVERNMENT OBLIGATIONS -- 0.5%
4,000,000 Province of Ontario
(Canada),
5.50%, 10/01/08
(Cost $4,080,379)...... 4,010,680
------------
MUNICIPAL BONDS -- 0.7%
TEXAS
6,350,000 Brazos Texas Higher
Education Authority,
Revenue Bond, Series A-
5, 4.91%, 12/01/40
(Cost $6,281,539)...... 6,326,251
------------
SECURITIES LENDING COLLATERAL -- 1.5%
12,842,999 Securities Lending
Collateral Investment
(Note 4)
(Cost $12,842,999)..... 12,842,999
------------
SHORT TERM US GOVERNMENT AGENCY
SECURITIES -- 2.1%
FANNIE MAE -- 1.1%
5,000,000 5.11%, 07/03/07........... 4,997,871
4,000,000 5.14%, 09/12/07........... 3,957,762
------------
8,955,633
------------
FEDERAL HOME LOAN BANK -- 0.8%
5,000,000 5.16%, 07/18/07........... 4,987,110
2,000,000 5.16%, 07/20/07........... 1,994,272
------------
6,981,382
------------
FREDDIE MAC -- 0.2%
2,000,000 5.15%, 09/10/07........... 1,979,420
------------
TOTAL SHORT TERM US
GOVERNMENT AGENCY
SECURITIES
(Cost $17,916,435)..... 17,916,435
------------
TOTAL SECURITIES
(Cost $869,147,836).... 861,108,119
------------
REPURCHASE AGREEMENTS -- 1.9%
16,179,501 With Investors Bank and
Trust,
dated 06/29/07, 4.76%,
due
07/02/07, repurchase
proceeds at maturity
$16,185,919
(Collateralized by
various Small Business
Administrations,
8.02% -- 8.08%, due
03/25/18 -- 06/25/30
with a total value of
$16,988,476)
(Cost $16,179,501)..... 16,179,501
------------
Total
Investments -- 102.5%
(Cost $885,327,337).... 877,287,620
Liabilities less other
assets -- (2.5)%....... (21,492,109)
------------
NET ASSETS -- 100.0%...... $855,795,511
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $885,327,337.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation... $ 470,720
Gross unrealized depreciation... (8,510,437)
-----------
Net unrealized depreciation..... $(8,039,717)
===========
</Table>
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
67
INFLATION-PROTECTED SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
US TREASURY SECURITIES -- 91.7%
US TREASURY INFLATION INDEX -- 91.5%
$ 2,380,909 3.88%, 01/15/09........... $ 2,419,601
7,422,958 4.25%, 01/15/10........... 7,706,544
10,752,724 0.88%, 04/15/10........... 10,215,099
1,566,880 3.50%, 01/15/11........... 1,612,540
7,879,310 2.38%, 04/15/11........... 7,795,600
2,873,845 3.38%, 01/15/12........... 2,967,248
287,260 3.00%, 07/15/12........... 292,916
5,691,792 1.88%, 07/15/13........... 5,461,456
18,297,870 2.00%, 01/15/14........... 17,590,274
9,853,220 2.00%, 07/15/14........... 9,461,407
8,644,940 1.63%, 01/15/15........... 8,038,446
5,131,686 2.00%, 01/15/15........... 4,873,901
5,427,535 1.88%, 07/15/15........... 5,130,720
808,170 2.50%, 07/15/16 (5)....... 799,394
1,562,302 2.38%, 01/15/17........... 1,525,808
10,839,638 2.38%, 01/15/25........... 10,426,388
10,731,782 2.00%, 01/15/26........... 9,724,003
4,251,509 2.38%, 01/15/27........... 4,084,110
2,567,453 3.63%, 04/15/28........... 2,975,239
8,237,800 3.88%, 04/15/29........... 9,948,436
867,128 3.38%, 04/15/32........... 998,282
------------
124,047,412
------------
US TREASURY NOTES -- 0.2%
220,000 4.63%, 11/15/16........... 213,280
------------
TOTAL US TREASURY
SECURITIES
(Cost $128,081,831).... 124,260,692
------------
US GOVERNMENT AGENCY SECURITIES -- 2.3%
FANNIE MAE
3,200,000 TBA,
5.50%, 07/01/37
(Cost $3,052,750)...... 3,086,499
------------
CORPORATE BONDS AND NOTES -- 1.1%
FINANCIAL SERVICES -- 0.5%
900,000 SLM Corp.,
Series CPI, Floating
Rate,
4.90%, 01/31/14 (3).... 733,572
------------
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY -- 0.6%
750,000 Wachovia Bank Commercial
Mortgage Trust, Series
2006-C25, Class A4,
Floating Rate,
5.76%, 05/15/43 (3).... 747,865
------------
TOTAL CORPORATE BONDS AND
NOTES
(Cost $1,518,138)...... 1,481,437
------------
SHORT TERM US GOVERNMENT AGENCY
SECURITIES -- 4.3%
FEDERAL HOME LOAN BANK
5,800,000 4.80%, 07/02/07
(Cost $5,798,453)...... 5,798,453
------------
TOTAL SECURITIES
(Cost $138,451,172).... 134,627,081
------------
REPURCHASE AGREEMENTS -- 2.0%
2,757,541 With Investors Bank and
Trust,
dated 06/29/07, 4.76%,
due 07/02/07,
repurchase proceeds at
maturity $2,758,635
(Collateralized by
Small Business
Administration, 8.63%,
due 11/25/15, with a
value of $2,895,419)
(Cost $2,757,541)...... 2,757,541
------------
Total
Investments -- 101.4%
(Cost $141,208,713).... 137,384,622
Liabilities less other
assets -- (1.4)%....... (1,922,996)
------------
NET ASSETS -- 100.0%...... $135,461,626
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $141,208,713.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation... $ 60,019
Gross unrealized depreciation... (3,884,110)
-----------
Net unrealized depreciation..... $(3,824,091)
===========
</Table>
- --------
The principal amounts -- and thus the interest payments -- of inflation-
protected securities are adjusted over time to reflect inflation.
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
68
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US TREASURY SECURITIES -- 3.9%
US TREASURY BONDS -- 1.1%
$ 4,500,000 6.25%, 08/15/23 (8)..... $ 4,998,168
2,840,000 4.50%, 02/15/36......... 2,572,421
15,950,000 4.75%, 02/15/37......... 15,044,104
--------------
22,614,693
--------------
US TREASURY NOTES -- 1.9%
43,820,000 4.63%, 02/15/17......... 42,450,669
--------------
US TREASURY STRIPS -- 0.9%
12,125,000 Zero coupon,
11/15/21............. 5,717,920
38,580,000 Zero coupon,
11/15/27............. 13,478,578
--------------
19,196,498
--------------
TOTAL US TREASURY
SECURITIES
(Cost $84,965,653)... 84,261,860
--------------
US GOVERNMENT AGENCY SECURITIES -- 57.1%
ASSET BACKED: MORTGAGE AND
HOME EQUITY -- 3.0%
23,679,478 Fannie Mae IO Strips,
Series 360, Class 2,
5.00%, 08/01/35...... 6,198,199
23,383,885 Fannie Mae IO Strips,
Series 378, Class 4,
5.00%, 07/01/36...... 5,720,332
2,174,205 Fannie Mae,
Series 1999-7, Class
AB, 6.00%, 03/25/29.. 2,153,334
8,956,387 Fannie Mae,
Series 2003-35, Class
TE, 5.00%, 05/25/18.. 8,709,846
4,813,719 Fannie Mae,
Series 2004-101,
Class AR, 5.50%,
01/25/35............. 4,787,558
5,759,136 Fannie Mae,
Series 2004-60, Class
LB, 5.00%, 04/25/34.. 5,596,890
6,837,161 Fannie Mae,
Series 2004-99, Class
A0, 5.50%, 01/25/34.. 6,770,743
6,418,824 Fannie Mae,
Series 2005-51, Class
TA, 5.50%, 12/25/33.. 6,360,151
235,307 Fannie Mae,
Series 2005-70, Class
NA, 5.50%, 08/25/35.. 233,512
5,760,229 Freddie Mac,
Series 2825, Class
VP, 5.50%, 06/15/15.. 5,744,533
3,982,409 Freddie Mac,
Series 2877, Class
PA, 5.50%, 07/15/33.. 3,963,334
8,006,391 Freddie Mac,
Series 2927, Class
BA, 5.50%, 10/15/33.. 7,966,163
--------------
64,204,595
--------------
ASSET BACKED: US GOVERNMENT
AGENCIES -- 0.2%
1,672,661 Small Business
Administration,
Series 2002-P10B,
Class 1, 5.20%,
08/01/12............. 1,661,449
2,044,009 Small Business
Administration,
Series 2004-P10A,
Class 1, 4.50%,
02/10/14............. 1,953,001
--------------
3,614,450
--------------
FANNIE MAE -- 40.8%
25,000,000 4.38%, 12/17/07......... 24,888,100
14,550,000 7.25%, 01/15/10......... 15,258,570
14,850,000 4.63%, 06/01/10......... 14,603,549
4,100,000 5.25%, 08/01/12......... 4,069,279
10,200,000 4.63%, 05/01/13......... 9,790,154
280,849 PL# 252571,
7.00%, 07/01/29...... 291,312
4,433 PL# 252716,
7.00%, 09/01/29...... 4,598
1,119 PL# 253264,
7.00%, 05/01/30...... 1,161
922 PL# 253346,
7.50%, 06/01/30...... 963
13,878 PL# 253479,
7.00%, 10/01/30...... 14,397
30,835 PL# 253990,
7.00%, 09/01/16...... 31,774
24,377 PL# 254008,
7.00%, 10/01/31...... 25,273
344,518 PL# 254346,
6.50%, 06/01/32...... 350,673
294,575 PL# 254406,
6.50%, 08/01/32...... 299,838
14,322 PL# 255032,
5.50%, 12/01/18...... 14,167
192,857 PL# 255950,
6.00%, 09/01/15...... 194,009
546,722 PL# 256137,
6.00%, 02/01/16...... 549,987
609,500 PL# 256335,
6.00%, 07/01/16...... 613,140
100,000 PL# 256567,
7.00%, 01/01/37...... 102,713
3,098,753 PL# 256800,
6.00%, 07/01/37...... 3,066,056
819,696 PL# 323842,
5.50%, 07/01/14...... 814,305
46,449 PL# 323967,
7.00%, 10/01/29...... 48,179
</Table>
See notes to financial statements.
69
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES
(CONTINUED)
FANNIE MAE (CONTINUED)
$ 2,324,620 PL# 357327,
5.00%, 01/01/18...... $ 2,255,187
4,750 PL# 492742,
7.00%, 05/01/29...... 4,927
4,954 PL# 503916,
7.50%, 06/01/29...... 5,184
2,183 PL# 508415,
7.00%, 08/01/29...... 2,265
10,772 PL# 515946,
7.00%, 10/01/29...... 11,173
401 PL# 524164,
7.00%, 11/01/29...... 416
112,917 PL# 524657,
7.00%, 01/01/30...... 117,144
22,006 PL# 526053,
7.00%, 12/01/29...... 22,826
482 PL# 527717,
7.50%, 01/01/30...... 504
4,545 PL# 528107,
7.00%, 02/01/30...... 4,715
1,301 PL# 531092,
7.50%, 10/01/29...... 1,362
8,210 PL# 531497,
7.00%, 02/01/30...... 8,517
6,437 PL# 531735,
7.00%, 02/01/30...... 6,678
942 PL# 533841,
7.50%, 12/01/30...... 984
22,905 PL# 535030,
7.00%, 12/01/29...... 23,758
32,487 PL# 535103,
7.00%, 01/01/15...... 33,484
8,748 PL# 535159,
7.00%, 02/01/30...... 9,073
40,857 PL# 535195,
7.00%, 03/01/30...... 42,379
12,121 PL# 535277,
7.00%, 04/01/30...... 12,573
394,711 PL# 535675,
7.00%, 01/01/16...... 406,524
908 PL# 535722,
7.00%, 02/01/31...... 942
6,046 PL# 535723,
7.00%, 02/01/31...... 6,272
1,422 PL# 535811,
6.50%, 04/01/31...... 1,450
91,915 PL# 535880,
7.00%, 02/01/31...... 95,346
1,512 PL# 540211,
7.50%, 06/01/30...... 1,579
4,837 PL# 542999,
7.50%, 08/01/30...... 5,053
114,210 PL# 545249,
5.50%, 10/01/16...... 112,983
581,277 PL# 545298,
5.50%, 11/01/16...... 575,034
6,362 PL# 545363,
5.50%, 11/01/16...... 6,294
2,287,232 PL# 545411,
5.50%, 01/01/17...... 2,262,666
29,581 PL# 545477,
7.00%, 03/01/32...... 30,650
231,792 PL# 545759,
6.50%, 07/01/32...... 235,933
916,118 PL# 545760,
6.50%, 07/01/32...... 932,486
170,146 PL# 545762,
6.50%, 07/01/32...... 173,186
65,504 PL# 548822,
7.00%, 08/01/30...... 67,956
40,263 PL# 549659,
7.00%, 02/01/16...... 41,489
14,703 PL# 549962,
7.00%, 10/01/30...... 15,254
45,710 PL# 549975,
7.00%, 10/01/30...... 47,421
5,526 PL# 550440,
7.00%, 02/01/16...... 5,694
52,430 PL# 554493,
7.00%, 10/01/30...... 54,392
259,861 PL# 555114,
5.50%, 12/01/17...... 257,005
30,453 PL# 555144,
7.00%, 10/01/32...... 31,593
404,332 PL# 555254,
6.50%, 01/01/33...... 412,258
232,966 PL# 555798,
6.50%, 05/01/33...... 237,533
1,602 PL# 558362,
7.50%, 11/01/30...... 1,674
539 PL# 558519,
7.50%, 11/01/30...... 563
4,671 PL# 559277,
7.00%, 10/01/30...... 4,846
40,580 PL# 559313,
7.00%, 12/01/30...... 42,099
1,272 PL# 559741,
7.50%, 01/01/31...... 1,328
25,429 PL# 560384,
7.00%, 11/01/30...... 26,381
1,441 PL# 560596,
7.50%, 01/01/31...... 1,505
2,797 PL# 561678,
7.50%, 12/01/30...... 2,922
1,485 PL# 564080,
7.50%, 12/01/30...... 1,551
10,925 PL# 564183,
7.00%, 12/01/30...... 11,334
</Table>
See notes to financial statements.
70
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES
(CONTINUED)
FANNIE MAE (CONTINUED)
$ 1,448 PL# 564529,
7.50%, 12/01/30...... $ 1,512
11,312 PL# 566658,
7.00%, 02/01/31...... 11,728
83,711 PL# 572453,
5.50%, 04/01/16...... 82,812
6,384 PL# 575285,
7.50%, 03/01/31...... 6,665
6,116 PL# 579161,
6.50%, 04/01/31...... 6,236
451,145 PL# 580165,
5.50%, 09/01/16...... 446,300
13,301 PL# 580179,
7.00%, 10/01/16...... 13,706
699 PL# 580377,
7.50%, 04/01/31...... 730
50,803 PL# 580515,
5.50%, 04/01/16...... 50,257
9,607 PL# 584811,
7.00%, 05/01/31...... 9,960
108,617 PL# 585248,
7.00%, 06/01/31...... 112,683
205,020 PL# 589120,
5.50%, 11/01/16...... 202,818
1,123 PL# 589405,
7.50%, 06/01/31...... 1,172
10,222 PL# 589893,
7.00%, 06/01/31...... 10,598
4,665 PL# 592129,
7.50%, 06/01/31...... 4,870
8,276 PL# 596895,
6.50%, 07/01/31...... 8,439
11,250 PL# 598125,
7.00%, 09/01/16...... 11,593
10,212 PL# 602148,
5.50%, 09/01/16...... 10,102
69,114 PL# 604517,
5.50%, 11/01/16...... 68,372
7,704 PL# 606551,
6.50%, 10/01/31...... 7,855
3,052 PL# 606600,
7.00%, 10/01/31...... 3,164
48,493 PL# 607386,
5.50%, 11/01/16...... 47,972
64,510 PL# 607493,
5.50%, 11/01/16...... 63,818
22,338 PL# 610128,
7.00%, 10/01/31...... 23,159
200,782 PL# 610579,
5.50%, 12/01/16...... 198,625
8,758 PL# 611323,
7.00%, 10/01/16...... 9,025
29,725 PL# 612071,
5.50%, 11/01/16...... 29,406
180,476 PL# 614506,
5.50%, 11/01/16...... 178,537
1,824,140 PL# 619054,
5.50%, 02/01/17...... 1,804,095
6,060 PL# 622119,
6.50%, 01/01/32...... 6,179
238,461 PL# 624035,
6.50%, 01/01/32...... 244,382
11,484 PL# 629236,
6.50%, 02/01/32...... 11,689
682,254 PL# 631321,
5.50%, 02/01/17...... 674,757
55,775 PL# 631606,
5.50%, 03/01/17...... 55,162
51,552 PL# 632269,
7.00%, 05/01/32...... 53,447
8,008 PL# 634563,
6.50%, 03/01/32...... 8,152
60,291 PL# 634949,
7.00%, 05/01/32...... 62,470
251,547 PL# 635164,
6.50%, 08/01/32...... 256,041
2,480 PL# 644932,
6.50%, 07/01/32...... 2,524
5,535 PL# 647556,
7.00%, 01/01/30...... 5,742
491,075 PL# 648795,
6.50%, 08/01/32...... 499,849
173,610 PL# 650206,
5.50%, 01/01/18...... 171,702
70,652 PL# 650291,
6.50%, 07/01/32...... 71,914
246,521 PL# 651649,
6.50%, 08/01/32...... 250,925
1,024,255 PL# 652127,
6.50%, 06/01/32...... 1,042,557
3,464 PL# 663353,
6.50%, 09/01/32...... 3,526
36,436 PL# 664188,
5.50%, 09/01/17...... 36,036
65,734 PL# 664194,
5.50%, 09/01/17...... 65,012
422,058 PL# 670402,
6.50%, 06/01/32...... 429,599
198,107 PL# 675314,
5.50%, 12/01/17...... 195,930
313,108 PL# 676800,
5.50%, 01/01/18...... 309,668
442,033 PL# 679631,
5.50%, 02/01/18...... 437,101
8,355 PL# 681343,
5.50%, 02/01/18...... 8,261
372,716 PL# 683199,
5.50%, 02/01/18...... 368,557
</Table>
See notes to financial statements.
71
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES
(CONTINUED)
FANNIE MAE (CONTINUED)
$ 3,201,803 PL# 684231,
5.00%, 01/01/18...... $ 3,106,170
5,357,050 PL# 687889,
5.50%, 03/01/33...... 5,191,241
842,352 PL# 688521,
5.00%, 03/01/18...... 817,306
858,932 PL# 691189,
6.50%, 09/01/36...... 867,420
854,244 PL# 694200,
4.50%, 05/01/18...... 814,381
5,589 PL# 694372,
6.50%, 11/01/32...... 5,689
295,223 PL# 694380,
5.00%, 03/01/18...... 286,445
78,893 PL# 695925,
5.50%, 05/01/18...... 78,013
1,379,078 PL# 701161,
4.50%, 04/01/18...... 1,314,464
10,622 PL# 701236,
5.50%, 05/01/18...... 10,503
4,537,701 PL# 703443,
5.00%, 05/01/18...... 4,402,778
8,394 PL# 708637,
5.50%, 06/01/18...... 8,300
554,194 PL# 711636,
4.50%, 05/01/18...... 528,228
4,710,660 PL# 711997,
4.50%, 09/01/18...... 4,489,952
2,240,148 PL# 720317,
5.00%, 07/01/18...... 2,173,540
14,106 PL# 725071,
5.50%, 12/01/18...... 13,948
8,677,234 PL# 725162,
6.00%, 02/01/34...... 8,627,713
17,822,454 PL# 725206,
5.50%, 02/01/34...... 17,270,822
12,287 PL# 725269,
5.50%, 03/01/19...... 12,152
226,162 PL# 725407,
6.50%, 01/01/34...... 230,595
317,648 PL# 725418,
6.50%, 05/01/34...... 323,874
4,926,938 PL# 725519,
5.50%, 05/01/19...... 4,872,798
5,077,826 PL# 725704,
6.00%, 08/01/34...... 5,048,847
12,396,800 PL# 725717,
4.00%, 08/01/19...... 11,507,296
11,419,263 PL# 725946,
5.50%, 11/01/34...... 11,057,748
12,832 PL# 732724,
5.50%, 08/01/18...... 12,688
4,420,350 PL# 735454,
5.50%, 11/01/18...... 4,371,777
26,908,689 PL# 735504,
6.00%, 04/01/35...... 26,788,166
1,195,359 PL# 735611,
5.50%, 03/01/20...... 1,182,224
106,187,193 PL# 735989,
5.50%, 02/01/35...... 102,923,001
167,608 PL# 738632,
5.00%, 11/01/18...... 162,625
10,253 PL# 741355,
5.50%, 10/01/18...... 10,138
5,433,180 PL# 743575,
5.00%, 11/01/18...... 5,271,631
10,341,307 PL# 745140,
5.00%, 11/01/35...... 9,717,738
12,334,616 PL# 745193,
5.50%, 06/01/20...... 12,199,075
41,992,183 PL# 745275,
5.00%, 02/01/36...... 39,460,101
23,771,269 PL# 745412,
5.50%, 12/01/35...... 23,018,709
17,454,814 PL# 745735,
5.00%, 03/01/21...... 16,883,377
13,666,224 PL# 745740,
5.00%, 07/01/36...... 12,818,316
61,113 PL# 745823,
6.00%, 08/01/36...... 60,502
555,234 PL# 748257,
4.50%, 10/01/18...... 529,219
5,055 PL# 748655,
6.50%, 09/01/33...... 5,137
2,718 PL# 749118,
5.50%, 11/01/18...... 2,688
14,539 PL# 749153,
5.50%, 11/01/18...... 14,377
9,375 PL# 753643,
5.50%, 11/01/18...... 9,270
18,522 PL# 755167,
5.50%, 11/01/18...... 18,315
142,536 PL# 757687,
5.50%, 07/01/34...... 138,024
12,481 PL# 759423,
5.50%, 01/01/19...... 12,327
11,213 PL# 761018,
5.50%, 12/01/18...... 11,088
34,982 PL# 761808,
5.50%, 05/01/18...... 34,598
465,289 PL# 766312,
5.50%, 03/01/19...... 459,542
224,822 PL# 768313,
5.50%, 01/01/19...... 222,313
211,752 PL# 781889,
5.50%, 03/01/17...... 209,477
6,336,028 PL# 806549, Variable
Rate,
4.56%, 01/01/35 (1).. 6,298,086
</Table>
See notes to financial statements.
72
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES
(CONTINUED)
FANNIE MAE (CONTINUED)
$ 56,774 PL# 817808,
6.00%, 09/01/36...... $ 56,207
1,433,110 PL# 826273,
6.00%, 07/01/20...... 1,439,722
1,680,932 PL# 831361,
5.50%, 03/01/21...... 1,656,671
74,660 PL# 831500,
6.00%, 05/01/16...... 75,106
4,877,257 PL# 831511,
6.00%, 06/01/16...... 4,906,386
924,466 PL# 845420,
6.00%, 02/01/36...... 916,308
828,007 PL# 849239,
5.50%, 01/01/21...... 816,488
9,053,717 PL# 850867, Variable
Rate,
5.65%, 01/01/36 (1).. 8,957,665
902,509 PL# 870770,
6.50%, 07/01/36...... 911,428
1,999,999 PL# 870843,
6.00%, 10/01/36...... 1,980,027
166,175 PL# 871059,
6.00%, 01/01/37...... 164,516
654,935 PL# 871436,
6.00%, 06/01/36...... 648,395
59,704 PL# 878340,
6.00%, 04/01/37...... 59,074
853,329 PL# 880770,
5.50%, 05/01/21...... 841,013
105,531 PL# 881578,
5.50%, 05/01/21...... 104,008
888,645 PL# 885071,
5.50%, 05/01/21...... 875,819
885,006 PL# 887841,
6.50%, 09/01/36...... 893,752
47,297,090 PL# 888306,
5.00%, 12/01/36...... 44,445,128
900,527 PL# 891805,
6.00%, 06/01/36...... 891,534
6,995,608 PL# 891814,
6.50%, 07/01/36...... 7,064,740
2,719,783 PL# 892817,
6.50%, 08/01/36...... 2,746,661
881,724 PL# 892970,
6.50%, 09/01/36...... 890,438
814,081 PL# 892975,
6.50%, 09/01/36...... 822,126
807,088 PL# 893596,
6.50%, 09/01/36...... 815,064
811,416 PL# 893628,
6.50%, 09/01/36...... 819,435
845,001 PL# 893833,
6.50%, 10/01/36...... 853,352
25,268 PL# 893926,
6.00%, 10/01/36...... 25,015
991,899 PL# 894979,
6.50%, 09/01/36...... 1,001,702
1,984,041 PL# 894985,
6.50%, 09/01/36...... 2,003,648
808,302 PL# 895303,
6.50%, 09/01/36...... 816,290
967,691 PL# 896049,
6.00%, 06/01/36...... 958,027
53,663 PL# 897820,
6.00%, 09/01/36...... 53,127
832,527 PL# 898124,
6.00%, 09/01/36...... 824,213
668,663 PL# 898330,
6.00%, 12/01/36...... 661,986
812,435 PL# 900290,
6.50%, 09/01/36...... 820,464
905,422 PL# 900303,
6.00%, 09/01/36...... 896,381
769,803 PL# 900340,
6.50%, 09/01/36...... 777,410
858,493 PL# 900961,
6.50%, 09/01/36...... 866,977
810,784 PL# 901110,
6.50%, 09/01/36...... 818,796
899,980 PL# 901717,
6.00%, 10/01/36...... 890,993
152,155 PL# 904102,
6.00%, 11/01/36...... 150,636
1,000,000 PL# 904907,
6.00%, 11/01/36...... 990,015
905,782 PL# 905674,
6.00%, 12/01/36...... 896,737
12,001,194 PL# 906064,
6.00%, 01/01/37...... 11,881,351
100,059 PL# 907735,
6.00%, 12/01/36...... 99,060
14,194,476 PL# 909787,
6.00%, 02/01/37...... 14,044,699
649,250 PL# 911420,
6.00%, 05/01/37...... 642,399
795,038 PL# 911440,
6.00%, 02/01/37...... 786,649
807,012 PL# 911446,
6.00%, 03/01/37...... 798,496
772,712 PL# 912441,
6.00%, 03/01/37...... 764,559
692,471 PL# 913180,
6.00%, 03/01/37...... 685,164
794,136 PL# 913345,
6.00%, 05/01/37...... 785,756
97,037 PL# 916302,
6.00%, 04/01/37...... 96,013
37,903 PL# 916386,
6.00%, 05/01/37...... 37,503
</Table>
See notes to financial statements.
73
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES
(CONTINUED)
FANNIE MAE (CONTINUED)
$ 850,085 PL# 916946,
6.00%, 06/01/37...... $ 841,115
124,715 PL# 918561,
6.00%, 05/01/37...... 123,399
697,349 PL# 919389,
6.00%, 05/01/37...... 689,991
58,794 PL# 919490,
6.00%, 05/01/37...... 58,174
164,040 PL# 922044,
6.00%, 02/01/37...... 162,402
876,121 PL# 923382,
6.00%, 06/01/37...... 866,876
836,059 PL# 928306,
6.00%, 05/01/37...... 827,237
802,903 PL# 938111,
6.00%, 07/01/37...... 794,431
4,000,000 PL# 938783,
6.00%, 06/01/37...... 3,957,793
75,900 PL# 940198,
6.00%, 06/01/37...... 75,099
243,207 PL# 940761,
6.00%, 06/01/37...... 240,641
3,000,000 TBA,
5.00%, 07/01/22...... 2,899,218
3,000,000 TBA,
5.50%, 07/01/22...... 2,955,468
52,000,000 TBA,
6.00%, 07/01/22...... 52,235,612
28,200,000 TBA,
5.00%, 07/01/37...... 26,424,274
167,200,000 TBA,
5.50%, 07/01/37...... 161,269,582
30,700,000 TBA,
6.00%, 07/01/37...... 30,369,023
9,000,000 TBA,
6.50%, 07/01/37...... 9,085,779
10,300,000 TBA,
5.00%, 08/01/37...... 9,648,206
--------------
870,558,134
--------------
FEDERAL AGRICULTURAL MORTGAGE
CORPORATION -- 2.1%
45,175,000 144A, 5.50%, 07/15/11... 45,471,800
--------------
FEDERAL HOME LOAN BANK -- 0.9%
18,840,000 4.00%, 02/01/08......... 18,694,461
--------------
FREDDIE MAC -- 2.2%
16,800,000 4.75%, 06/28/12......... 16,431,795
5,113,224 PL# 1B2853,
Variable Rate,
4.29%, 04/01/35 (1).. 5,029,888
11,257,222 PL# 1G1119,
Variable Rate,
4.76%, 09/01/35 (1).. 10,992,776
15,850,000 Series MTN,
5.00%, 12/14/18...... 14,926,278
--------------
47,380,737
--------------
FREDDIE MAC GOLD -- 7.0%
243,964 PL# A32037,
5.00%, 03/01/35...... 229,319
25,806 PL# A38585,
5.50%, 10/01/35...... 24,951
396,084 PL# B10307,
4.50%, 10/01/18...... 377,656
486,179 PL# B11431,
4.50%, 12/01/18...... 463,559
3,437,541 PL# B11446,
5.00%, 12/01/18...... 3,335,347
47,697 PL# B13285,
4.50%, 04/01/19...... 45,404
677,629 PL# B14218,
4.50%, 05/01/19...... 645,050
974,087 PL# B14518,
4.50%, 01/01/20...... 927,256
1,491,286 PL# B17118,
4.50%, 11/01/19...... 1,419,588
22,951 PL# B17892,
4.50%, 10/01/19...... 21,883
738,729 PL# B19028,
4.50%, 03/01/20...... 701,686
4,391,677 PL# B19043,
4.50%, 03/01/20...... 4,171,459
22,890 PL# B19177,
4.50%, 05/01/20...... 21,742
950,406 PL# B19187,
4.50%, 04/01/20...... 902,748
182,255 PL# B19188,
4.50%, 05/01/20...... 173,116
196,379 PL# B19272,
4.50%, 05/01/20...... 186,532
505,817 PL# B19621,
5.00%, 07/01/20...... 489,288
959,813 PL# C01271,
6.50%, 12/01/31...... 979,428
3,028,455 PL# C57150,
6.00%, 05/01/31...... 3,021,767
3,546 PL# C67653,
7.00%, 06/01/32...... 3,656
56,073 PL# C67868,
7.00%, 06/01/32...... 57,814
13,015 PL# C67999,
7.00%, 06/01/32...... 13,419
89,781 PL# C68001,
7.00%, 06/01/32...... 92,567
126,823 PL# C90229,
7.00%, 08/01/18...... 131,635
</Table>
See notes to financial statements.
74
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES
(CONTINUED)
FREDDIE MAC GOLD (CONTINUED)
$ 18,427 PL# E00570,
6.00%, 09/01/13...... $ 18,605
392,704 PL# E00592,
6.00%, 12/01/13...... 396,383
18,940 PL# E00720,
6.00%, 07/01/14...... 19,090
18,898 PL# E01007,
6.00%, 08/01/16...... 19,008
63,098 PL# E01095,
6.00%, 01/01/17...... 63,464
402,362 PL# E01490,
5.00%, 11/01/18...... 390,388
784,973 PL# E01538,
5.00%, 12/01/18...... 761,624
30,338 PL# E01638,
4.00%, 04/01/19...... 28,249
26,091 PL# E69171,
6.00%, 02/01/13...... 26,324
20,728 PL# E73319,
6.00%, 11/01/13...... 20,913
32,212 PL# E73769,
6.00%, 12/01/13...... 32,500
15,920 PL# E75990,
6.00%, 04/01/14...... 16,084
25,371 PL# E76341,
6.00%, 04/01/14...... 25,519
37,834 PL# E76730,
6.00%, 05/01/14...... 38,054
29,708 PL# E76731,
6.00%, 05/01/14...... 29,880
20,600 PL# E78995,
6.00%, 11/01/14...... 20,720
219,890 PL# E84191,
6.00%, 07/01/16...... 221,158
3,974 PL# E84758,
5.50%, 07/01/16...... 3,930
17,320 PL# E85885,
6.00%, 11/01/16...... 17,420
243,402 PL# E86502,
5.50%, 12/01/16...... 240,708
4,556 PL# E86565,
5.50%, 12/01/16...... 4,505
227,564 PL# E87961,
6.00%, 02/01/17...... 228,876
347,476 PL# E88001,
6.00%, 02/01/17...... 349,454
42,351 PL# E88452,
6.00%, 03/01/17...... 42,592
290,477 PL# E88749,
6.00%, 03/01/17...... 292,151
465,936 PL# E88789,
6.00%, 04/01/17...... 468,588
135,774 PL# E88979,
5.50%, 04/01/17...... 134,235
283,184 PL# E89282,
6.00%, 04/01/17...... 284,796
576,519 PL# E89336,
6.00%, 05/01/17...... 579,800
24,781 PL# E89653,
6.00%, 04/01/17...... 24,923
410,200 PL# E89913,
6.00%, 05/01/17...... 412,534
729,254 PL# E91644,
5.50%, 10/01/17...... 720,987
252,233 PL# E91754,
5.50%, 10/01/17...... 249,374
321,709 PL# E91774,
5.50%, 10/01/17...... 318,062
159,564 PL# E91968,
5.50%, 10/01/17...... 157,755
261,708 PL# E92113,
5.50%, 10/01/17...... 258,742
22,509 PL# E95352,
4.50%, 04/01/18...... 21,461
48,089 PL# E98821,
4.50%, 09/01/18...... 45,851
1,240,998 PL# G01391,
7.00%, 04/01/32...... 1,283,390
15,395 PL# G11111,
6.00%, 04/01/16...... 15,485
107,534 PL# G11394,
4.50%, 05/01/18...... 102,531
6,713,462 PL# G11618,
4.50%, 05/01/18...... 6,402,224
417,064 PL# G11639,
4.50%, 12/01/19...... 397,012
2,951,087 PL# G11681,
5.00%, 04/01/20...... 2,859,820
8,406,048 PL# G11720,
4.50%, 08/01/20...... 8,001,906
12,906,850 PL# G11769,
5.00%, 10/01/20...... 12,485,094
193,573 PL# G18052,
4.50%, 05/01/20...... 183,866
2,698,268 PL# J00156,
5.00%, 10/01/20...... 2,610,097
631,915 PL# J00726,
5.00%, 12/01/20...... 611,266
3,082,135 PL# M80813,
4.00%, 04/01/10...... 3,009,323
25,000,000 TBA,
6.00%, 07/01/37...... 24,769,525
64,000,000 TBA,
5.50%, 08/01/37...... 61,710,017
--------------
149,863,133
--------------
</Table>
See notes to financial statements.
75
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES
(CONTINUED)
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 0.8%
$ 107,373 PL# 3173,
6.50%, 12/20/31...... $ 109,720
1,065 PL# 434615,
7.00%, 11/15/29...... 1,111
164,157 PL# 435071,
7.00%, 03/15/31...... 171,091
23,612 PL# 493966,
7.00%, 06/15/29...... 24,622
52,290 PL# 494742,
7.00%, 04/15/29...... 54,527
1,102 PL# 530260,
7.00%, 02/15/31...... 1,149
216,932 PL# 531025,
6.00%, 04/15/32...... 216,495
575 PL# 538271,
7.00%, 11/15/31...... 599
78,625 PL# 538312,
6.00%, 02/15/32...... 78,467
109,153 PL# 543989,
7.00%, 03/15/31...... 113,764
790 PL# 547545,
7.00%, 04/15/31...... 823
258,016 PL# 550985,
7.00%, 10/15/31...... 268,915
248 PL# 551549,
7.00%, 07/15/31...... 259
17,356 PL# 552413,
7.00%, 02/15/32...... 18,092
85,371 PL# 554808,
6.00%, 05/15/31...... 85,216
67,704 PL# 555360,
6.00%, 06/15/31...... 67,581
73,437 PL# 555733,
6.00%, 03/15/32...... 73,289
456 PL# 557664,
7.00%, 08/15/31...... 475
54,827 PL# 557678,
7.00%, 08/15/31...... 57,142
3,794 PL# 561050,
7.00%, 05/15/31...... 3,954
634 PL# 561996,
7.00%, 07/15/31...... 661
11,328 PL# 563346,
7.00%, 09/15/31...... 11,806
41,870 PL# 563599,
7.00%, 06/15/32...... 43,647
88,461 PL# 564086,
7.00%, 07/15/31...... 92,198
38,841 PL# 564300,
6.00%, 08/15/31...... 38,770
7,474 PL# 564706,
7.00%, 07/15/31...... 7,790
74,979 PL# 565808,
6.00%, 11/15/31...... 74,842
178,150 PL# 567622,
6.00%, 04/15/32...... 177,791
79,861 PL# 569567,
7.00%, 01/15/32...... 83,251
63,220 PL# 570517,
6.00%, 01/15/32...... 63,092
39,446 PL# 572821,
6.00%, 12/15/31...... 39,374
81,055 PL# 574873,
6.00%, 12/15/31...... 80,908
83,363 PL# 575906,
6.00%, 01/15/32...... 83,194
34,862 PL# 576323,
6.00%, 12/15/31...... 34,798
1,276 PL# 579377,
7.00%, 04/15/32...... 1,330
234,039 PL# 581015,
7.00%, 02/15/32...... 243,975
87,406 PL# 581070,
6.00%, 02/15/32...... 87,229
61,615 PL# 582956,
7.00%, 02/15/32...... 64,231
260,768 PL# 587122,
7.00%, 06/15/32...... 271,838
4,937 PL# 587494,
7.00%, 06/15/32...... 5,146
936 PL# 589696,
7.00%, 05/15/32...... 976
42,639 PL# 592030,
6.00%, 02/15/32...... 42,553
16,294 PL# 780802,
6.50%, 05/15/28...... 16,646
27,538 PL# 781113,
7.00%, 11/15/29...... 28,716
169,025 PL# 781148,
6.00%, 07/15/29...... 168,817
84,726 PL# 781276,
6.50%, 04/15/31...... 86,567
24,263 PL# 781287,
7.00%, 05/15/31...... 25,299
38,568 PL# 781324,
7.00%, 07/15/31...... 40,205
212,523 PL# 781328,
7.00%, 09/15/31...... 221,597
165,648 PL# 781330,
6.00%, 09/15/31...... 165,433
43,186 PL# 781496,
6.50%, 09/15/32...... 44,100
56,058 PL# 781548,
7.00%, 11/15/32...... 58,434
</Table>
See notes to financial statements.
76
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
US GOVERNMENT AGENCY SECURITIES
(CONTINUED)
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION (CONTINUED)
$ 33,035 PL# 781584,
7.00%, 05/15/32...... $ 34,439
2,677,312 PL# 781804,
6.00%, 09/15/34...... 2,668,272
2,428,396 PL# 781847,
6.00%, 12/15/34...... 2,420,136
2,504,300 PL# 781902,
6.00%, 02/15/35...... 2,495,742
6,242,559 PL# 80916,
3.75%, 05/20/34...... 6,222,567
--------------
17,593,661
--------------
RESOLUTION FUNDING STRIPS -- 0.1%
1,200,000 Zero coupon, 07/15/18... 668,201
1,200,000 Zero coupon, 10/15/18... 658,375
--------------
1,326,576
--------------
TOTAL US GOVERNMENT
AGENCY SECURITIES
(Cost
$1,232,343,526)...... 1,218,707,547
--------------
CORPORATE BONDS AND NOTES -- 48.5%
AUTOMOBILES/MOTOR
VEHICLES, AUTOMOTIVE
EQUIPMENT AND
REPAIRS -- 0.0%
280,000 Daimler Chrysler NA
Holding,
4.05%, 06/04/08...... 276,133
--------------
BANKS -- 6.7%
85,000 BAC Capital Trust XI,
6.63%, 05/23/36...... 86,952
404,000 Bank of America Corp.,
4.50%, 08/01/10...... 394,805
15,675,000 Bank of America Corp.,
Floating Rate,
5.37%, 03/24/09 (2).. 15,683,432
3,025,000 Bank of America NA,
5.30%, 03/15/17...... 2,893,900
2,550,000 Bank of America NA,
Series BKNT,
6.10%, 06/15/17...... 2,583,673
1,250,000 Bank of Scotland -- 144A
(United Kingdom),
3.50%, 11/30/07...... 1,241,953
2,000,000 BankBoston NA, Series
BKNT,
6.38%, 03/25/08...... 2,012,544
26,675,000 Barclays Bank PLC New
York,
Series YCD, Floating
Rate,
5.37%, 03/13/09 (2).. 26,709,543
6,250,000 Depfa ACS Bank -- 144A
(Ireland),
4.25%, 08/16/10...... 6,064,619
2,850,000 HBOS Treasury Services
PLC -- 144A
(United Kingdom),
3.75%, 09/30/08...... 2,792,752
1,495,000 JPMorgan Chase &
Company,
3.63%, 05/01/08...... 1,473,197
2,100,000 JPMorgan Chase &
Company,
5.75%, 10/15/08...... 2,107,955
1,100,000 JPMorgan Chase &
Company,
7.00%, 11/15/09...... 1,136,900
7,750,000 JPMorgan Chase Bank NA,
Series BKNT,
6.00%, 07/05/17...... 7,750,232
746,000,000 Kreditanstalt fuer
Wiederaufbau
(Germany),
Series EMTN, Floating
Rate,
0.46%,
08/08/11 (2)(21)..... 6,062,179
3,175,000 Mellon Capital IV,
Series 1, Variable
Rate,
6.24%, perpetual
(1).................. 3,207,017
21,975,000 Rabobank
Nederland -- 144A
(the Netherlands),
Floating Rate,
5.35%, 04/06/09 (2).. 21,995,612
2,990,000 SunTrust Banks, Inc.,
3.63%, 10/15/07...... 2,974,787
2,000,000 SunTrust Banks, Inc.,
4.00%, 10/15/08...... 1,964,728
1,535,000 SunTrust Banks, Inc.,
Series CD,
4.42%, 06/15/09...... 1,510,355
2,125,000 SunTrust Capital VIII,
Variable Rate,
6.10%, 12/15/36 (1).. 1,952,291
2,150,000 The Bank of New York
Company, Inc.,
Series BKNT,
3.80%, 02/01/08...... 2,130,949
980,000 UBS Preferred Funding
Trust I,
Variable Rate,
8.62%, perpetual
(1).................. 1,065,120
490,000 US Bancorp,
Series MTNN,
3.95%, 08/23/07...... 489,054
4,315,000 US Bank NA,
Series BKNT,
4.40%, 08/15/08...... 4,256,027
540,000 Wachovia Bank NA,
Series BKNT,
4.38%, 08/15/08...... 532,533
9,125,000 Wachovia Bank NA,
Series DPNT, Floating
Rate,
5.40%, 03/23/09 (2).. 9,130,720
2,340,000 Wachovia Corp.,
6.30%, 04/15/08 (6).. 2,355,325
2,760,000 Wells Fargo & Company,
4.20%, 01/15/10...... 2,691,696
4,090,000 Wells Fargo & Company,
4.63%, 08/09/10...... 4,002,323
</Table>
See notes to financial statements.
77
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
BANKS (CONTINUED)
$ 4,525,000 Wells Fargo & Company,
4.88%, 01/12/11...... $ 4,444,871
--------------
143,698,044
--------------
BROADCAST SERVICES/MEDIA -- 0.7%
5,374,000 Comcast Cable
Communications
Holdings,
8.38%, 03/15/13...... 6,005,917
1,800,000 Comcast Cable
Communications, Inc.,
6.75%, 01/30/11...... 1,864,568
965,000 Comcast Corp.,
7.05%, 03/15/33...... 999,003
465,000 Cox Communications,
Inc.,
7.75%, 11/01/10...... 494,881
195,000 Echostar DBS Corp.,
7.00%, 10/01/13...... 193,050
200,000 Echostar DBS Corp.,
7.13%, 02/01/16...... 196,500
1,070,000 News America Holdings,
7.63%, 11/30/28...... 1,161,466
260,000 News America, Inc.,
7.28%, 06/30/28...... 273,056
1,675,000 TCI Communications,
Inc.,
7.13%, 02/15/28...... 1,728,108
725,000 Time Warner
Entertainment,
8.38%, 07/15/33...... 843,820
1,910,000 Time Warner, Inc.,
7.57%, 02/01/24...... 2,045,247
--------------
15,805,616
--------------
CHEMICALS -- 0.1%
590,000 Lyondell Chemical
Company,
8.00%, 09/15/14...... 609,175
1,430,000 Lyondell Chemical
Company,
6.88%, 06/15/17...... 1,387,100
--------------
1,996,275
--------------
COMPUTER EQUIPMENT, SOFTWARE AND
SERVICES -- 0.0%
345,000 Seagate Technology HDD
Holdings (Cayman
Islands),
6.80%, 10/01/16...... 332,925
--------------
CONSTRUCTION SERVICES AND
SUPPLIES -- 0.1%
2,875,000 Belvoir Land
LLC -- 144A,
5.40%, 12/15/47...... 2,554,150
--------------
ELECTRONICS -- 0.0%
155,000 L-3 Communications
Corp.,
Series B, 6.38%,
10/15/15............. 147,250
--------------
EQUIPMENT RENTAL AND LEASING -- 0.0%
225,000 United Rentals
North America, Inc.,
6.50%, 02/15/12...... 222,188
--------------
FINANCIAL SERVICES -- 6.8%
390,000 American Real Estate
Partners,
LP/American Real
Estate Finance Corp.,
8.13%, 06/01/12...... 393,413
225,000 American Real Estate
Partners,
LP/American Real
Estate Finance Corp.,
7.13%, 02/15/13...... 218,250
9,050,000 Citigroup, Inc.,
3.50%, 02/01/08 (6).. 8,959,726
14,330,000 Citigroup, Inc.,
3.63%, 02/09/09 (5).. 13,961,991
820,000 Citigroup, Inc.,
6.20%, 03/15/09 (6).. 831,350
8,000,000 Citigroup, Inc.,
4.13%, 02/22/10...... 7,765,376
4,620,000 Citigroup, Inc.,
5.88%, 05/29/37...... 4,419,529
8,220,000 Credit Suisse
(Guernsey),
Variable Rate,
5.86%, perpetual
(1).................. 7,934,215
8,225,000 Eksportfinans ASA,
Series MTN (Norway),
3.38%, 01/15/08...... 8,148,039
2,675,000 Ford Motor Credit
Company,
5.80%, 01/12/09...... 2,619,360
14,675,000 General Electric Capital
Corp.,
5.00%, 11/15/11...... 14,394,928
5,680,000 General Electric Capital
Corp.,
Series MTN,
5.00%, 04/10/12...... 5,549,621
2,000,000 General Electric Capital
Corp.,
Series MTNA,
6.50%, 12/10/07...... 2,010,048
3,230,000 Goldman Sachs Capital
II,
Variable Rate,
5.79%, perpetual
(1).................. 3,155,613
13,605,000 Goldman Sachs Group,
Inc.,
5.25%, 10/15/13...... 13,206,510
2,925,000 HSBC Finance Corp.,
6.50%, 11/15/08...... 2,967,032
5,415,000 Lehman Brothers Capital
Trust VII,
Series MTN, Variable
Rate, 5.86%,
perpetual (1)........ 5,309,868
7,310,000 Morgan Stanley,
5.05%, 01/21/11...... 7,164,597
425,000 Morgan Stanley,
6.75%, 04/15/11...... 441,016
17,410,000 Morgan Stanley,
Floating Rate,
5.60%, 01/09/12 (2).. 17,395,410
1,950,000 Morgan Stanley,
Series MTNF,
5.55%, 04/27/17...... 1,874,332
</Table>
See notes to financial statements.
78
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
$ 4,000,000 Nationwide Building
Society -- 144A
(United Kingdom),
3.50%, 07/31/07...... $ 3,995,512
355,000 Nationwide Building
Society -- 144A
(United Kingdom),
4.25%, 02/01/10...... 344,487
3,365,000 SLM Corp.,
Series MTN,
5.40%, 10/25/11...... 3,084,897
1,000,000 The Bear Stearns
Companies, Inc.,
Series MTNB,
4.55%, 06/23/10...... 973,179
2,475,000 TIAA Global
Markets -- 144A,
3.88%, 01/22/08...... 2,452,049
1,955,000 USAA Capital Corp.,
Series MTNB,
4.00%, 12/10/07...... 1,942,445
2,895,000 ZFS Finance USA
Trust V -- 144A,
Variable Rate,
6.50%, 05/09/37 (1).. 2,804,882
--------------
144,317,675
--------------
INSURANCE -- 1.4%
1,775,000 ASIF Global Financial
XXIII -- 144A,
3.90%, 10/22/08...... 1,742,273
2,000,000 Berkshire Hathaway
Finance Corp.,
3.40%, 07/02/07...... 2,000,000
2,850,000 Berkshire Hathaway
Finance Corp.,
3.38%, 10/15/08...... 2,781,894
2,815,000 Berkshire Hathaway
Finance Corp.,
4.13%, 01/15/10...... 2,738,457
3,800,000 Chubb Corp.,
Variable Rate,
6.38%, 03/29/37 (1)
(4).................. 3,722,670
2,350,000 Lincoln National Corp.,
Variable Rate,
7.00%, 05/17/66 (1).. 2,415,252
4,455,000 MetLife, Inc.,
6.40%, 12/15/36...... 4,139,938
1,600,000 New York Life Global
Funding -- 144A,
3.88%, 01/15/09...... 1,565,931
3,595,000 Progressive Corp.,
Variable Rate,
6.70%, 06/15/37 (1).. 3,579,369
2,150,000 Reinsurance Group of
America,
Variable Rate,
6.75%, 12/15/65 (1).. 2,098,705
4,125,000 The Travelers Companies,
Inc.,
Variable Rate,
6.25%, 03/15/37 (1).. 3,970,981
--------------
30,755,470
--------------
LEISURE AND RECREATION -- 0.1%
730,000 Harrahs Operating
Company, Inc.,
5.75%, 10/01/17...... 585,059
325,000 Mohegan Tribal Gaming
Authority,
6.13%, 02/15/13...... 316,875
200,000 Travelport LLC,
9.88%, 09/01/14...... 213,000
--------------
1,114,934
--------------
MACHINERY -- 0.1%
2,150,000 Atlantic Marine,
Inc. -- 144A,
5.34%, 12/01/50...... 1,951,340
--------------
MANUFACTURING -- 0.0%
395,000 Briggs & Stratton Corp.,
8.88%, 03/15/11...... 422,204
--------------
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES -- 0.3%
1,536,000 Triad Hospitals, Inc.,
7.00%, 11/15/13...... 1,618,482
3,600,000 WellPoint, Inc.,
5.95%, 12/15/34...... 3,345,692
1,295,000 WellPoint, Inc.,
5.85%, 01/15/36...... 1,185,570
--------------
6,149,744
--------------
METALS AND MINING -- 0.3%
3,005,000 Freeport-McMoRan Copper
& Gold, Inc.,
8.38%, 04/01/17...... 3,215,350
1,999,000 Ispat Inland ULC
(Canada),
9.75%, 04/01/14...... 2,216,431
--------------
5,431,781
--------------
OIL, COAL AND GAS -- 0.7%
3,670,000 Arch Western Finance,
6.75%, 07/01/13...... 3,541,549
210,000 Chesapeake Energy Corp.,
6.38%, 06/15/15...... 201,338
90,000 Chesapeake Energy Corp.,
6.25%, 01/15/18...... 84,488
275,000 Chesapeake Energy Corp.,
6.88%, 11/15/20 (8).. 264,688
270,000 Colorado Interstate Gas,
6.80%, 11/15/15...... 279,022
120,000 Compton Petroleum
Finance Corp.
(Canada),
7.63%, 12/01/13...... 119,100
</Table>
See notes to financial statements.
79
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
OIL, COAL AND GAS (CONTINUED)
$ 1,425,000 Consolidated Natural
Gas,
Series A,
5.00%, 03/01/14...... $ 1,359,657
365,000 El Paso Natural Gas,
8.63%, 01/15/22...... 429,066
15,000 El Paso Natural Gas,
8.38%, 06/15/32...... 17,664
2,600,000 Enterprise Products
Operating LP,
4.95%, 06/01/10...... 2,554,841
1,225,000 Enterprise Products
Operating LP,
Series B,
4.00%, 10/15/07...... 1,220,009
190,000 KCS Energy, Inc.,
7.13%, 04/01/12...... 188,575
2,690,000 Sabine Pass LNG,
LP -- 144A,
7.50%, 11/30/16...... 2,683,274
35,000 Targa Resources,
Inc. -- 144A,
8.50%, 11/01/13...... 35,700
665,000 Tennessee Gas Pipeline
Company,
7.00%, 10/15/28...... 688,157
935,000 Transcontinental Gas
Pipe
Line Corp.,
Series B,
8.88%, 07/15/12...... 1,051,875
750,000 Williams Companies,
Inc.,
7.63%, 07/15/19...... 795,000
--------------
15,514,003
--------------
PAPER AND FOREST PRODUCTS -- 0.2%
365,000 Bowater Canada Finance
(Canada),
7.95%, 11/15/11...... 345,381
400,000 Catalyst Paper Corp.,
Series D (Canada),
8.63%, 06/15/11...... 389,000
880,000 Domtar, Inc. (Canada),
7.13%, 08/15/15...... 856,900
3,530,000 Georgia-Pacific
Corp. -- 144A,
7.13%, 01/15/17...... 3,406,450
--------------
4,997,731
--------------
PHARMACEUTICALS/RESEARCH AND
DEVELOPMENT -- 0.4%
170,000 Bio-Rad Laboratories,
Inc.,
7.50%, 08/15/13...... 172,125
530,000 Bio-Rad Laboratories,
Inc.,
6.13%, 12/15/14...... 500,850
600,000 Bristol-Myers Squibb,
6.88%, 08/01/97...... 620,668
766,000,000 Pfizer, Inc.,
Series INTL,
0.80%,
03/18/08 (21)........ 6,214,782
1,580,000 Wyeth,
6.00%, 02/15/36...... 1,528,558
--------------
9,036,983
--------------
PRINTING AND PUBLISHING -- 0.1%
1,070,000 Idearc, Inc.,
8.00%, 11/15/16...... 1,086,050
--------------
PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR
VEHICLES, AUTOMOTIVE EQUIPMENT
AND REPAIRS -- 2.3%
8,244,410 Daimler Chrysler Auto
Trust,
Series 2005-B, Class
A3,
4.04%, 09/08/09...... 8,211,883
14,770,000 Daimler Chrysler Auto
Trust,
Series 2006-B, Class
A3,
5.33%, 08/08/10...... 14,781,032
4,082,463 Ford Credit Auto Owner
Trust,
Series 2005-A, Class
A3,
3.48%, 11/15/08...... 4,073,998
3,953,368 Ford Credit Auto Owner
Trust,
Series 2005-B, Class
A3,
4.17%, 01/15/09...... 3,945,476
18,911,000 Nissan Auto Receivables
Owner Trust,
Series 2006-B, Class
A4,
5.22%, 11/15/11...... 18,884,883
--------------
49,897,272
--------------
PRIVATE ASSET BACKED: BANKS -- 0.2%
3,655,861 Bank of America
Alternative Loan
Trust,
Series 2004-7, Class
4A1,
5.00%, 08/25/19...... 3,516,481
--------------
PRIVATE ASSET BACKED: CREDIT
CARDS -- 3.1%
14,000,000 American Express Credit
Account Master Trust,
Series 2005-3,
Class A, Floating
Rate,
5.32%, 01/18/11 (3).. 13,992,226
12,075,000 Chase Issuance Trust,
Series 2004-A9, Class
A9,
3.22%, 06/15/10...... 12,011,490
14,850,000 Citibank Credit Card
Issuance Trust,
Series 2004-A4, Class
A4,
3.20%, 08/24/09...... 14,818,264
15,125,000 Citibank Credit Card
Issuance Trust,
Series 2006-A2, Class
A2,
4.85%, 02/10/11...... 15,022,731
11,500,000 MBNA Credit Card Master
Note Trust,
Series 2003-A6, Class
A6,
2.75%, 10/15/10...... 11,255,723
--------------
67,100,434
--------------
</Table>
See notes to financial statements.
80
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: FINANCIAL
SERVICES -- 2.3%
$ 2,805,000 Greenwich Capital
Commercial Funding
Corp.,
Series 2004-GG1,
Class A4,
4.76%, 06/10/36...... $ 2,760,301
11,200,000 Greenwich Capital
Commercial Funding
Corp.,
Series 2005-GG3,
Class A3,
4.57%, 08/10/42...... 10,746,706
2,828,183 Morgan Stanley Capital
I,
Series 1999-FNV1,
Class A2,
6.53%, 03/15/31...... 2,858,485
4,430,612 SLM Student Loan Trust,
Series 2005-5, Class
A1, Floating Rate,
5.36%, 01/25/18 (2).. 4,434,404
14,200,000 SLM Student Loan Trust,
Series 2005-6, Class
A5B, Floating Rate,
5.36%, 07/27/26 (2).. 14,211,448
14,030,000 Washington Mutual Asset
Securities
Corp. -- 144A,
Series 2005-C1A,
Class A2,
5.15%, 05/25/36...... 13,918,996
--------------
48,930,340
--------------
PRIVATE ASSET BACKED: MORTGAGE AND
HOME EQUITY -- 18.8%
4,116,439 ACE Securities Corp.,
Series 2006-HE1,
Class A2A, Floating
Rate,
5.40%, 02/25/36 (3).. 4,119,679
11,960,000 Banc of America
Commercial Mortgage,
Inc.,
Series 2000-1, Class
A2A,
7.33%, 11/15/31...... 12,346,019
8,714,767 Banc of America
Commercial Mortgage,
Inc.,
Series 2001-1, Class
A2,
6.50%, 04/15/36...... 8,943,187
16,715,000 Banc of America
Commercial Mortgage,
Inc.,
Series 2002-2, Class
A3,
5.12%, 07/11/43...... 16,383,970
11,170,000 Banc of America
Commercial Mortgage,
Inc.,
Series 2002-PB2,
Class A4,
6.19%, 06/11/35...... 11,411,130
13,250,000 Banc of America
Commercial Mortgage,
Inc.,
Series 2007-2, Class
A4,
5.69%, 04/10/49...... 13,117,996
514,776 Bear Stearns Commercial
Mortgage Securities,
Inc.,
Series 2001, Class
A1,
6.08%, 02/15/35...... 518,729
2,545,000 Bear Stearns Commercial
Mortgage Securities,
Inc.,
Series 2005-PWR8,
Class A4,
4.67%, 06/11/41...... 2,369,034
2,046,271 Carrington Mortgage
Loan Trust,
Series 2006-OPT1,
Class A1, Floating
Rate,
5.39%, 02/25/36 (3).. 2,047,753
3,475,000 Chase Commercial
Mortgage Securities
Corp.,
Series 2000-3, Class
A2,
7.32%, 10/15/32...... 3,627,730
3,913,302 Commercial Mortgage
Acceptance Corp.,
Series 1998-C2, Class
A2,
6.03%, 09/15/30...... 3,917,712
1,277,089 Countrywide Asset-Backed
Certificates,
Series 2004-13, Class
AV4, Floating Rate,
5.61%, 06/25/35 (3).. 1,278,270
2,233,243 Countrywide Asset-Backed
Certificates,
Series 2005-IM3,
Class A1, Floating
Rate,
5.44%, 03/25/36 (3).. 2,234,796
1,598,793 Countrywide Asset-Backed
Certificates,
Series 2006-IM1,
Class A1, Floating
Rate,
5.41%, 04/25/36 (3).. 1,599,910
21,535,130 Credit Suisse First
Boston Mortgage
Securities Corp.,
Series 1998-C2, Class
A2,
6.30%, 11/15/30...... 21,717,762
14,955,000 Credit Suisse First
Boston Mortgage
Securities Corp.,
Series 2002-CKS4,
Class A2,
5.18%, 11/15/36...... 14,636,917
13,110,000 Credit Suisse First
Boston Mortgage
Securities Corp.,
Series 2003-C3, Class
A5,
3.94%, 05/15/38...... 11,992,484
4,561,798 Credit Suisse Mortgage
Capital Certificates,
Series 2006-3,
Class 1A1A, Floating
Rate,
5.41%, 04/25/36 (3).. 4,565,330
4,502,875 DLJ Commercial
Mortgage Corp.,
Series 2000-CKP1,
Class A1B,
7.18%, 11/10/33...... 4,689,249
7,239,922 Fieldstone Mortgage
Investment Corp.,
Series 2006-1, Class
A1, Floating Rate,
5.40%, 05/25/36 (3).. 7,244,978
</Table>
See notes to financial statements.
81
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: MORTGAGE AND
HOME EQUITY (CONTINUED)
$ 5,672,106 First Franklin Mortgage
Loan Asset Backed
Certificates,
Series 2006-FF4,
Class A1, Floating
Rate,
5.39%, 03/25/36 (3).. $ 5,674,444
12,570,000 First Union National
Bank Commercial
Mortgage,
Series 2001-C2, Class
A2,
6.66%, 01/12/43...... 12,995,408
10,380,000 GE Capital Commercial
Mortgage Corp.,
Series 2002-1A, Class
A3,
6.27%, 12/10/35...... 10,642,639
11,875,000 GE Capital Commercial
Mortgage Corp.,
Series 2002-2A, Class
A3,
5.35%, 08/11/36...... 11,723,057
5,979,043 GMAC Commercial Mortgage
Securities, Inc.,
Series 1999-C2, Class
A2,
6.95%, 09/15/33...... 6,106,916
6,035,505 GMAC Commercial Mortgage
Securities, Inc.,
Series 1999-C3, Class
A2,
7.18%, 08/15/36...... 6,198,361
3,175,000 GS Mortgage Securities
Corp. II,
Series 2005-GG4,
Class A4A,
4.75%, 07/10/39...... 2,969,686
5,027,000 GS Mortgage Securities
Corp. II,
Series 2005-GG4,
Class AJ,
4.78%, 07/10/39...... 4,688,566
9,912,945 Harborview Mortgage
Loan Trust,
Series 2006-11, Class
A1A, Floating Rate,
5.49%, 12/19/36 (3).. 9,931,928
10,490,000 JPMorgan Chase
Commercial Mortgage
Securities Corp.,
Series 2001-C1, Class
A3,
5.86%, 10/12/35...... 10,573,763
6,650,000 JPMorgan Chase
Commercial Mortgage
Securities Corp.,
Series 2001-CIB2,
Class A3,
6.43%, 04/15/35...... 6,835,681
9,286,825 JPMorgan Chase
Commercial Mortgage
Securities Corp.,
Series 2001-CIBC,
Class A3,
6.26%, 03/15/33...... 9,469,640
9,350,000 JPMorgan Chase
Commercial Mortgage
Securities Corp.,
Series 2005-CB12,
Class A4,
4.90%, 09/12/37...... 8,806,128
10,900,000 JPMorgan Chase
Commercial Mortgage
Securities Corp.,
Series 2006-CB17,
Class A4,
5.43%, 12/12/43...... 10,556,957
17,899,611 JPMorgan Mortgage Trust,
Series 2006-A2, Class
4A1, Floating Rate,
3.88%, 08/25/34 (3).. 17,635,675
7,005,679 LB Commercial Conduit
Mortgage Trust,
Series 1998-C4, Class
A1B,
6.21%, 10/15/35...... 7,047,475
12,853,579 LB-UBS Commercial
Mortgage Trust,
Series 2000-C3, Class
A2,
7.95%, 05/15/25...... 13,516,215
6,391,573 LB-UBS Commercial
Mortgage Trust,
Series 2000-C4, Class
A2,
7.37%, 08/15/26...... 6,676,980
7,395,000 LB-UBS Commercial
Mortgage Trust,
Series 2003-C7, Class
A3,
4.56%, 09/15/27...... 7,178,275
9,100,000 LB-UBS Commercial
Mortgage Trust,
Series 2004-C8, Class
A4,
4.51%, 12/15/29...... 8,724,814
11,910,000 LB-UBS Commercial
Mortgage Trust,
Series 2006-C7, Class
A3,
5.35%, 11/15/38...... 11,472,347
9,658,000 LB-UBS Commercial
Mortgage Trust,
Series 2007-C2, Class
A3,
5.43%, 02/15/40...... 9,343,151
5,212,208 New Century Home Equity
Loan Trust,
Series 2006-1, Class
A2A, Floating Rate,
5.38%, 05/25/36 (3).. 5,214,854
9,714,203 Popular ABS Mortgage
Pass-Through Trust,
Series 2006-D, Class
A1, Floating Rate,
5.38%, 11/25/46 (3).. 9,719,533
3,766,917 Residential Asset
Mortgage Products,
Inc.,
Series 2006-RS2,
Class A1, Floating
Rate,
5.40%, 03/25/36 (3).. 3,768,961
11,412,831 Residential Asset
Securitization Trust,
Series 2005-A14,
Class A4,
5.50%, 12/25/35...... 11,373,533
8,748,061 Salomon Brothers
Mortgage Securities
VII,
Series 1999-C1, Class
A2, Floating Rate,
7.08%, 05/18/32 (3).. 8,885,452
</Table>
See notes to financial statements.
82
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: MORTGAGE AND
HOME EQUITY (CONTINUED)
$ 9,099,504 Salomon Brothers
Mortgage Securities
VII,
Series 2001-C2, Class
A3,
6.50%, 10/13/11...... $ 9,374,938
2,477,219 Structured Asset
Investment Loan
Trust,
Series 2006-2, Class
A1, Floating Rate,
5.38%, 04/25/36 (3).. 2,478,341
--------------
398,346,353
--------------
PRIVATE ASSET BACKED: OTHER -- 0.3%
4,288,274 Structured Asset
Securities
Corp. -- 144A,
Series 2003-AL2,
Class A,
3.36%, 01/25/31...... 3,908,210
3,521,012 Terra LNR, Ltd. -- 144A,
Series 2006-1A, Class
A1(Cayman Islands),
Floating Rate,
5.45%, 06/15/17 (3).. 3,520,977
--------------
7,429,187
--------------
PRIVATE ASSET BACKED: UTILITIES -- 0.4%
8,000,000 Peco Energy Transition
Trust,
Series 2000-A, Class
A4,
7.65%, 03/01/10...... 8,367,650
--------------
REAL ESTATE DEVELOPMENT AND
SERVICES -- 0.2%
4,865,000 American Real Estate
Partners LP -- 144A,
7.13%, 02/15/13...... 4,719,050
--------------
REAL ESTATE INVESTMENT TRUSTS -- 0.4%
910,000 AvalonBay Communities,
Series MTN,
6.63%, 09/15/11...... 945,555
725,000 The Rouse Company,
3.63%, 03/15/09...... 698,501
4,135,000 The Rouse Company,
5.38%, 11/26/13...... 3,879,350
2,200,000 The Rouse Company/TRC
Co-issuer,
Inc. -- 144A,
6.75%, 05/01/13...... 2,209,046
--------------
7,732,452
--------------
SEMICONDUCTORS -- 0.2%
2,285,000 Freescale
Semiconductor -- 144A,
9.13%,
12/15/14 (12)........ 2,159,325
295,000 Freescale
Semiconductor -- 144A,
Floating Rate,
9.24%, 12/15/14 (2).. 286,150
1,195,000 Momentive Performance
Materials -- 144A,
10.13%, 12/01/14..... 1,203,963
--------------
3,649,438
--------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 1.7%
625,000 America Movil SA de CV
(Mexico),
6.38%, 03/01/35...... 617,064
810,000 Cincinnati Bell, Inc.,
7.25%, 07/15/13...... 834,300
800,000 Citizens Communications
Company,
6.25%, 01/15/13...... 771,000
550,000 Intelsat Bermuda, Ltd.
(Bermuda),
9.25%, 06/15/16...... 587,125
545,000 Intelsat Corp.,
9.00%, 06/15/16...... 573,613
2,350,000 New England Telephone &
Telegraph,
7.88%, 11/15/29...... 2,578,100
970,000 New Jersey Bell
Telephone,
7.85%, 11/15/29...... 1,067,279
468,000,000 Nippon Telegraph and
Telephone Corp.
(Japan),
2.50%,
07/25/07 (21)........ 3,805,094
860,000 Qwest Corp.,
7.88%, 09/01/11...... 900,850
675,000 Qwest Corp., Floating
Rate,
8.61%, 06/15/13 (2).. 735,750
890,000 Rogers Wireless, Inc.
(Canada),
7.50%, 03/15/15...... 954,776
1,950,000 Sprint Nextel Corp.,
6.00%, 12/01/16...... 1,853,128
1,725,000 Telecom Italia Capital
(Luxembourg),
5.25%, 10/01/15...... 1,606,637
555,000 Telecom Italia Capital
(Luxembourg),
6.00%, 09/30/34...... 501,595
75,000 Telefonica Emisiones
SAU (Spain),
6.42%, 06/20/16...... 76,175
2,950,000 Telefonica Emisiones
SAU (Spain),
7.05%, 06/20/36...... 3,064,554
850,000 Telefonica Europe BV
(the Netherlands),
7.75%, 09/15/10...... 901,706
215,000 Verizon Maryland, Inc.,
Series B,
5.13%, 06/15/33...... 174,538
</Table>
See notes to financial statements.
83
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES (CONTINUED)
$ 1,470,000 Vodafone Group PLC
(United Kingdom),
5.00%, 12/16/13...... $ 1,397,579
500,000 Vodafone Group PLC
(United Kingdom),
5.00%, 09/15/15...... 465,507
7,910,000 Vodafone Group PLC
(United Kingdom),
Floating Rate,
5.45%, 12/28/07 (2).. 7,914,271
890,000 Wind Acquisition Finance
SA -- 144A
(Luxembourg),
10.75%, 12/01/15..... 1,025,725
1,375,000 Windstream Corp.,
8.13%, 08/01/13...... 1,443,750
2,925,000 Windstream Corp.,
8.63%, 08/01/16...... 3,107,813
--------------
36,957,929
--------------
TRANSPORTATION -- 0.0%
560,000 Overseas Shipholding
Group,
7.50%, 02/15/24...... 557,200
--------------
UTILITIES -- 0.6%
340,783 AES Ironwood LLC,
8.86%, 11/30/25...... 379,973
235,000 AES Red Oak LLC, Series
B,
9.20%, 11/30/29...... 278,475
2,735,000 Centerpoint Energy,
Inc.,
Series B,
7.25%, 09/01/10...... 2,858,133
287,127 Elwood Energy LLC,
8.16%, 07/05/26...... 302,994
1,000,000 Florida Power & Light,
5.63%, 04/01/34...... 940,397
122,500 Homer City Funding LLC,
8.14%, 10/01/19...... 130,463
82,769 Homer City Funding LLC,
8.73%, 10/01/26...... 91,459
438,270 Midwest Generation LLC,
Series B,
8.56%, 01/02/16...... 467,579
560,000 NRG Energy, Inc.,
7.38%, 02/01/16...... 562,800
445,000 Orion Power Holdings,
Inc.,
12.00%, 05/01/10..... 505,075
545,000 Reliant Energy, Inc.,
6.75%, 12/15/14...... 558,625
200,000 Suncor Energy, Inc.
(Canada),
6.50%, 06/15/38...... 201,645
5,325,000 TXU Corp., Series O,
4.80%, 11/15/09...... 5,207,611
--------------
12,485,229
--------------
TOTAL CORPORATE BONDS
AND NOTES
(Cost
$1,057,212,661)...... 1,035,499,511
--------------
FOREIGN GOVERNMENT OBLIGATIONS -- 1.6%
9,700,000 AID-Israel (Israel),
5.50%, 09/18/23...... 9,647,726
39,350,000 Mexican Fixed Rate
Bonds,
Series M20 (Mexico),
8.00%,
12/07/23 (22)........ 3,747,602
2,930,000 Province of Manitoba
(Canada),
6.38%,
09/01/15 (23)........ 2,082,251
3,365,000 Province of Ontario,
Series GMTN (Canada),
6.25%,
06/16/15 (23)........ 2,367,289
7,040,000 Republic of Argentina
(Argentina),
Floating Rate,
5.48%,
08/03/12 (11)........ 5,147,999
545,504 Republic of Argentina
(Argentina),
8.28%, 12/31/33...... 527,775
622,900,000 Republic of Finland,
Series EMTN
(Finland),
0.30%,
10/18/07 (21)........ 5,050,653
890,000 Republic of Venezuela
(Venezuela),
7.65%, 04/21/25...... 816,575
4,208,850 Russian
Federation -- 144A
(Russia),
7.50%, 03/31/30...... 4,642,808
--------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS
(Cost $34,469,433)... 34,030,678
--------------
SHORT TERM US GOVERNMENT AGENCY
SECURITIES -- 3.2%
FEDERAL HOME LOAN BANK
69,300,000 4.80%, 07/02/07
(Cost $69,281,520)... 69,281,520
--------------
SECURITIES LENDING COLLATERAL -- 0.3%
5,441,625 Securities Lending
Collateral Investment
(Note 4)
(Cost $5,441,625).... 5,441,625
--------------
TOTAL SECURITIES
(Cost
$2,483,714,418)...... 2,447,222,741
--------------
</Table>
See notes to financial statements.
84
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
REPURCHASE AGREEMENTS -- 1.0%
$ 20,317,861 With Investors Bank and
Trust,
dated 06/29/07,
4.76%, due
07/02/07, repurchase
proceeds at maturity
$20,325,921
(Collateralized by
Fannie Mae Adjustable
Rate Mortgage, 4.29%,
due 06/01/34, with a
value of $11,645,573
and Small Business
Administration,
8.05%, due 03/25/30,
with a value of
$9,688,181)
(Cost $20,317,861)... $ 20,317,861
--------------
Total Investments before
Call and Put Options
Written and
Securities Sold Short
-- 115.6%
(Cost
$2,504,032,279)...... 2,467,540,602
--------------
<Caption>
CONTRACTS
---------
CALL OPTIONS WRITTEN -- (0.0)%
(34,200,000) Expiring 12/13/07. If
exercised the Series
pays 4.40%, and
receives floating 3
month LIBOR, expiring
12/17/17, European
Style
(Premium $229,140)... (3,078)
--------------
PUT OPTIONS WRITTEN -- (0.0)%
(34,200,000) Expiring 12/13/07. If
exercised the Series
pays floating 3 month
LIBOR, and receives
5.40%, expiring
12/17/17, European
Style (Premium
$372,780)............ (973,332)
--------------
<Caption>
PRINCIPAL
---------
SECURITIES SOLD SHORT -- (18.5)%
$ (28,200,000) Fannie Mae, TBA,
5.00%, 07/12/07...... (26,424,274)
(140,000,000) Fannie Mae, TBA,
5.50%, 07/12/07...... (135,034,340)
(115,500,000) Fannie Mae, TBA,
6.00%, 07/12/07...... (114,254,794)
(9,000,000) Fannie Mae, TBA,
6.50%, 07/12/07...... (9,085,779)
(500,000) Fannie Mae, TBA,
4.50%, 07/17/07...... (474,532)
(27,000,000) Fannie Mae, TBA,
5.50%, 07/17/07...... (26,599,212)
(53,100,000) Fannie Mae, TBA,
6.00%, 07/17/07...... (53,340,596)
(21,100,000) Fannie Mae, TBA,
5.00%, 08/14/07...... (19,764,771)
(9,000,000) Fannie Mae, TBA,
6.50%, 08/14/07...... (9,077,346)
--------------
TOTAL SECURITIES SOLD
SHORT
(Proceeds
$396,048,543)........ (394,055,644)
--------------
Total Investments net of
Call and Put Options
Written and
Securities Sold Short
--
97.1%
(Cost
$2,107,381,816)...... 2,072,508,548
Other assets less
liabilities -- 2.9%.. 62,294,120
--------------
NET ASSETS -- 100.0%.... $2,134,802,668
==============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $2,107,381,816.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.. $ 7,562,230
Gross unrealized depreciation.. (42,435,498)
------------
Net unrealized depreciation.... $(34,873,268)
============
</Table>
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
85
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- -------------
US TREASURY SECURITIES -- 16.4%
US TREASURY BONDS -- 1.6%
$ 740,000 8.88%, 08/15/17 (8)....... $ $958,879
550,000 6.13%, 11/15/27 (8)....... 613,164
425,000 4.50%, 02/15/36 (8)....... 384,957
3,150,000 4.75%, 02/15/37 (8)....... 2,971,093
-------------
4,928,093
-------------
US TREASURY INFLATION INDEX -- 2.5%
98,149 0.88%, 04/15/10........... 93,241
249,806 2.38%, 04/15/11........... 247,152
465,247 1.63%, 01/15/15........... 432,608
106,214 1.88%, 07/15/15........... 100,405
218,591 2.00%, 01/15/16........... 207,610
1,483,350 2.50%, 07/15/16........... 1,467,243
256,115 2.38%, 01/15/17........... 250,132
197,284 2.38%, 01/15/25........... 189,762
83,273 2.00%, 01/15/26........... 75,453
5,081,322 2.38%, 01/15/27........... 4,881,251
-------------
7,944,857
-------------
US TREASURY NOTES -- 11.9%
2,880,000 3.38%, 02/15/08........... 2,851,877
3,340,000 3.75%, 05/15/08 (8)....... 3,304,516
6,350,000 4.88%, 01/31/09 (8)....... 6,343,555
750,000 4.50%, 03/31/09........... 744,785
10,000,000 4.50%, 05/15/10 (8)....... 9,898,440
200,000 5.13%, 06/30/11........... 201,578
2,850,000 4.63%, 10/31/11 (8)....... 2,817,715
190,000 4.50%, 03/31/12 (8)....... 186,586
5,430,000 4.50%, 04/30/12 (8)....... 5,330,734
4,330,000 4.75%, 05/31/12 (8)....... 4,297,529
40,000 4.25%, 08/15/14........... 38,275
67,000 5.13%, 05/15/16........... 67,398
1,150,000 4.50%, 05/15/17 (8)....... 1,102,922
-------------
37,185,910
-------------
US TREASURY STRIPS -- 0.4%
2,995,000 Zero coupon, 11/15/24..... 1,209,300
-------------
TOTAL US TREASURY
SECURITIES
(Cost $51,587,077)..... 51,268,160
-------------
US GOVERNMENT AGENCY SECURITIES -- 47.0%
FANNIE MAE -- 37.0%
150,000 6.63%, 09/15/09........... 154,494
1,331,376 PL# 256219, 5.50%,
04/01/36............... 1,276,792
428,158 PL# 735809, Variable Rate,
4.48%, 08/01/35 (1).... 425,066
29,190 PL# 759626, 6.00%,
02/01/34............... 29,009
42,833 PL# 795774, 6.00%,
10/01/34............... 42,526
187,699 PL# 796050, 6.00%,
08/01/34............... 186,352
1,296,231 PL# 796278, 6.00%,
12/01/34............... 1,286,926
50,953 PL# 801516, Variable Rate,
4.72%, 08/01/34 (1).... 50,812
529,261 PL# 809169, 6.00%,
01/01/35............... 525,462
109,566 PL# 810896, Variable Rate,
4.84%, 01/01/35 (1).... 109,006
23,860 PL# 820426, 6.00%,
03/01/35............... 23,649
473,217 PL# 893681, 6.00%,
10/01/36............... 468,492
864,810 PL# 893923, 6.00%,
10/01/36............... 856,174
1,152,969 PL# 894005, 6.00%,
10/01/36............... 1,141,456
4,469,566 PL# 916397, 6.50%,
05/01/37............... 4,512,680
7,100,000 TBA, 5.50%, 07/01/22 (5).. 6,994,608
100,000 TBA, 6.00%, 07/01/22 (5).. 100,453
34,190,000 TBA, 5.00%, 07/01/37 (5).. 32,037,089
23,500,000 TBA, 5.50%, 07/01/37 (5).. 22,666,479
21,800,000 TBA, 6.00%, 07/01/37 (4)
(5).................... 21,564,974
1,520,000 TBA, 6.50%, 07/01/37...... 1,534,487
7,200,000 TBA, 5.00%, 08/01/37 (5).. 6,744,377
9,000,000 TBA, 5.50%, 08/01/37 (5).. 8,675,154
3,900,000 TBA, 6.00%, 08/01/37...... 3,855,517
-------------
115,262,034
-------------
FEDERAL AGRICULTURAL MORTGAGE
CORP. -- 0.3%
80,000 4.25%, 07/29/08........... 79,148
900,000 144A, 5.13%, 04/19/17..... 870,282
-------------
949,430
-------------
FEDERAL HOME LOAN BANK -- 0.8%
260,000 5.40%, 01/02/09........... 259,898
1,700,000 5.50%, 05/21/09........... 1,699,996
680,000 5.50%, 07/15/36 (5)....... 670,719
-------------
2,630,613
-------------
FREDDIE MAC -- 1.8%
430,000 4.38%, 11/16/07........... 428,446
720,000 4.75%, 01/18/11........... 710,059
209,239 PL# 1A1145, Variable Rate,
6.67%, 02/01/37 (1).... 211,647
119,717 PL# 1B2694, Variable Rate,
4.34%, 12/01/34 (1).... 117,657
829,542 PL# 1N0344, Variable Rate,
6.61%, 01/01/37 (1).... 842,758
364,448 PL# 1N1447, Variable Rate,
5.85%, 02/01/37 (1).... 365,862
2,214,933 PL# 1N1454, Variable Rate,
5.92%, 04/01/37 (1).... 2,226,016
800,000 PL# 1N1463, Variable Rate,
6.04%, 05/01/37 (1).... 804,526
-------------
5,706,971
-------------
</Table>
See notes to financial statements.
86
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- -------------
US GOVERNMENT AGENCY SECURITIES
(CONTINUED)
FREDDIE MAC GOLD -- 0.8%
$ 875,948 PL# A39756, 5.00%,
11/01/35............... $ 823,364
300,000 TBA, 5.00%, 07/01/22...... 289,922
1,200,000 TBA, 5.00%, 08/01/22...... 1,157,062
400,000 TBA, 5.00%, 07/01/37...... 374,938
-------------
2,645,286
-------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 6.2%
664,379 PL# 605617, 5.00%,
07/15/34............... 629,764
1,456,582 PL# 612902, 5.00%,
07/15/33............... 1,381,193
633,818 PL# 636084, 5.00%,
01/15/35............... 600,320
1,820,673 PL# 644631, 5.00%,
09/15/35............... 1,724,449
14,950,000 TBA, 6.00%, 07/01/37...... 14,872,917
20,000 TBA, 6.50%, 07/01/37...... 20,316
-------------
19,228,959
-------------
TENNESSEE VALLEY AUTHORITY -- 0.1%
440,000 5.98%, 04/01/36........... 464,488
-------------
TOTAL US GOVERNMENT AGENCY
SECURITIES
(Cost $147,691,149).... 146,887,781
-------------
CORPORATE BONDS AND NOTES -- 49.7%
ADVERTISING -- 0.0%
90,000 Lamar Media Corp., Series
B,
6.63%, 08/15/15........ 85,725
-------------
AEROSPACE AND DEFENSE -- 0.0%
45,000 DRS Technologies, Inc.,
6.63%, 02/01/16........ 43,650
-------------
AIRLINES -- 0.1%
300,000 Continental Airlines,
Inc., Series A,
5.98%, 04/19/22........ 291,750
-------------
AUTOMOBILE: RENTAL -- 0.0%
75,000 Hertz Corp.,
8.88%, 01/01/14........ 78,563
-------------
AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE
EQUIPMENT AND REPAIRS -- 0.8%
60,000 Daimler Chrysler NA
Holding,
4.05%, 06/04/08........ 59,171
600,000 Daimler Chrysler NA
Holding,
5.88%, 03/15/11........ 603,558
1,100,000 Ford Motor Company,
7.45%, 07/16/31 (8).... 884,125
840,000 General Motors Corp.,
8.25%, 07/15/23 (8).... 769,650
150,000 General Motors Corp.,
8.38%, 07/15/33 (8).... 137,625
60,000 Visteon Corp.,
8.25%, 08/01/10........ 59,850
-------------
2,513,979
-------------
BANKS -- 3.6%
900,000 Bank of America Corp.,
5.38%, 08/15/11 (5).... 896,884
230,000 European Investment Bank,
4.63%, 03/21/12 (5).... 224,009
290,000 Glitnir Banki HF -- 144A
(Iceland),
6.33%, 07/28/11........ 295,427
800,000 Glitnir Banki HF -- 144A
(Iceland),
Variable Rate, 6.69%,
06/15/16 (1)........... 824,690
100,000 HBOS Treasury Services
PLC -- 144A,
5.25%, 02/21/17........ 98,289
490,000 ICICI Bank, Ltd. -- 144A
(India),
Variable Rate, 6.38%,
04/30/22 (1)........... 466,099
270,000 ICICI Bank, Ltd. -- 144A
(India),
Variable Rate, 6.38%,
04/30/22 (1)........... 257,023
200,000 Kaupthing Bank -- 144A
(Iceland),
7.13%, 05/19/16........ 211,621
1,070,000 Kaupthing Bank -- 144A
(Iceland),
Floating Rate, 6.05%,
04/12/11 (2)........... 1,079,200
320,000 Landisbanki Islands
HF -- 144A (Iceland),
6.10%, 08/25/11........ 324,339
10,000 Rabobank Capital Funding
Trust II -- 144A,
Variable Rate, 5.26%,
perpetual(1)........... 9,603
20,000 Rabobank Capital Funding
Trust III -- 144A,
Variable Rate, 5.25%,
perpetual(1)........... 18,760
490,000 Resona Preferred Global
Securities -- 144A
(Cayman Islands),
Variable Rate, 7.19%,
perpetual(1)........... 501,784
780,000 RSHB Capital -- 144A
(Luxembourg),
6.30%, 05/15/17........ 765,414
220,000 Santander
Issuances -- 144A
(Spain),
Variable Rate, 5.81%,
06/20/16 (1)........... 221,149
610,000 Shinsei Financial,
Ltd. -- 144A (Cayman
Islands),
Variable Rate,
6.42%, perpetual (1)... 594,094
400,000 SunTrust Banks, Inc.,
Series CD,
4.42%, 06/15/09........ 393,578
</Table>
See notes to financial statements.
87
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- -------------
CORPORATE BONDS AND NOTES (CONTINUED)
BANKS (CONTINUED)
$ 150,000 SunTrust Capital VIII,
Variable Rate,
6.10%, 12/01/66 (1).... $ 137,809
200,000 Turanalem Finance
BV -- 144A (the
Netherlands),
8.25%, 01/22/37........ 192,500
520,000 Turanalem Finance
BV -- 144A (the
Netherlands),
8.25%, 01/22/37........ 501,800
500,000 Wachovia Bank NA, Series
BKNT,
5.80%, 12/01/08........ 503,877
460,000 Wachovia Capital Trust
III, Variable Rate,
5.80%, perpetual(1).... 458,372
1,150,000 Wachovia Corp.,
5.25%, 08/01/14........ 1,118,718
985,000 Wells Fargo & Company,
5.30%, 08/26/11........ 978,759
340,000 Wells Fargo Capital X,
5.95%, 12/15/36........ 318,194
-------------
11,391,992
-------------
BROADCAST SERVICES/MEDIA -- 1.4%
130,000 CCH I, LLC/CCH I
Capital Corp.,
11.00%, 10/01/15....... 136,338
10,000 Clear Channel
Communications, Inc.,
4.63%, 01/15/08........ 9,916
20,000 Clear Channel
Communications, Inc.,
6.25%, 03/15/11........ 19,262
90,000 Clear Channel
Communications, Inc.,
5.50%, 09/15/14........ 77,020
50,000 Clear Channel
Communications, Inc.,
4.90%, 05/15/15........ 40,421
320,000 Comcast Cable
Communications,
8.88%, 05/01/17........ 379,106
730,000 Comcast Corp.,
6.50%, 01/15/15........ 749,611
210,000 Comcast Corp.,
5.88%, 02/15/18........ 203,783
80,000 Cox Communications, Inc.,
3.88%, 10/01/08........ 78,374
115,000 Echostar DBS Corp.,
7.00%, 10/01/13........ 113,850
40,000 Echostar DBS Corp.,
7.13%, 02/01/16........ 39,300
1,030,000 Liberty Media Corp.,
7.88%, 07/15/09........ 1,073,567
20,000 News America, Inc.,
6.20%, 12/15/34........ 18,703
40,000 Quebecor Media, Inc.,
(Canada),
7.75%, 03/15/16........ 40,800
60,000 Rogers Cable, Inc.
(Canada),
6.75%, 03/15/15........ 61,951
9,000 Sinclair Broadcast Group,
8.00%, 03/15/12........ 9,270
180,000 Time Warner Entertainment,
8.38%, 07/15/33........ 209,500
720,000 Time Warner, Inc.,
6.88%, 05/01/12 (5).... 751,922
290,000 Time Warner, Inc.,
7.70%, 05/01/32 (5).... 314,495
70,000 Univision Communications,
Inc. -- 144A,
9.75%, 03/15/15 (12)... 69,475
-------------
4,396,664
-------------
CHEMICALS -- 0.1%
280,000 FMC Finance III SA -- 144A
(Luxembourg),
6.88%, 07/15/17........ 276,080
60,000 Georgia Gulf Corp.,
9.50%, 10/15/14........ 60,000
30,000 Lyondell Chemical Company,
8.00%, 09/15/14........ 30,975
15,000 Lyondell Chemical Company,
8.25%, 09/15/16........ 15,750
44,000 Westlake Chemical Corp.,
6.63%, 01/15/16........ 41,910
-------------
424,715
-------------
COMPUTER EQUIPMENT, SOFTWARE AND
SERVICES -- 0.2%
530,000 Electronic Data Systems,
7.13%, 10/15/09........ 545,731
20,000 Sungard Data Systems,
Inc.,
9.13%, 08/15/13........ 20,575
60,000 Sungard Data Systems,
Inc.,
10.25%, 08/15/15 (8)... 63,750
-------------
630,056
-------------
CONSUMER GOODS AND SERVICES -- 0.3%
820,000 Altria Group, Inc.,
7.00%, 11/04/13........ 870,844
190,000 Reynolds American, Inc.,
6.75%, 06/15/17........ 191,613
-------------
1,062,457
-------------
CONTAINERS AND PACKAGING -- 0.1%
110,000 Graham Packaging Company,
LP,
8.50%, 10/15/12........ 111,238
45,000 Graham Packaging Company,
LP,
9.88%, 10/15/14 (8).... 45,731
-------------
156,969
-------------
</Table>
See notes to financial statements.
88
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- -------------
CORPORATE BONDS AND NOTES (CONTINUED)
ELECTRONICS -- 0.0%
$ 15,000 NXP BV/NXP Funding LLC
(the Netherlands),
7.88%, 10/15/14........ $ 14,850
105,000 NXP BV/NXP Funding LLC
(the Netherlands),
9.50%, 10/15/15 (8).... 103,950
-------------
118,800
-------------
ENVIRONMENTAL WASTE MANAGEMENT AND
RECYCLING SERVICES -- 0.2%
600,000 Waste Management, Inc.,
6.38%, 11/15/12........ 614,336
-------------
EQUIPMENT RENTAL AND LEASING -- 0.1%
440,000 International Lease
Finance Corp. E-Capital
Trust II -- 144A,
Variable Rate, 6.25%,
12/21/65 (1)........... 429,843
-------------
FINANCIAL SERVICES -- 9.7%
100,000 AGFC Capital Trust
I -- 144A,
Variable Rate, 6.00%,
01/15/67 (1) (5)....... 95,803
420,000 Aiful Corp. -- 144A
(Japan),
5.00%, 08/10/10 (5).... 409,671
390,000 American Express Company,
Variable Rate, 6.80%,
09/01/66 (1)........... 402,820
1,010,000 Citigroup, Inc.,
5.10%, 09/29/11........ 995,382
2,896,653 Countrywide Alternative
Loan Trust, Series
2005-36, Class 2A1A,
Floating Rate,
5.63%, 08/25/35 (3).... 2,905,565
80,000 Countrywide Financial
Corp., Series MTN,
Floating Rate, 5.49%,
01/05/09 (2)........... 79,802
2,440,000 Countrywide Financial
Corp.,
Series MTNA,
4.50%, 06/15/10........ 2,362,620
120,000 Countrywide Financial
Corp.,
Series MTNB, Floating
Rate, 5.52%,
02/27/08 (2)........... 120,039
100,000 Countrywide Financial
Corp.,
Series MTNB, Floating
Rate, 5.47%,
06/18/08 (2)........... 100,024
160,000 Credit Suisse (Guernsey),
Variable Rate,
5.86%, perpetual(1).... 154,437
3,645,000 Ford Motor Credit Company,
5.80%, 01/12/09........ 3,569,185
720,000 Ford Motor Credit Company,
7.38%, 10/28/09........ 715,086
90,000 General Electric Capital
Corp.,
Series MTNA,
4.25%, 01/15/08........ 89,499
1,440,000 General Electric Capital
Corp.,
Series MTNA,
4.13%, 09/01/09........ 1,405,850
120,000 General Motors Acceptance
Corp.,
6.13%, 08/28/07........ 120,086
800,000 General Motors Acceptance
Corp.,
5.85%, 01/14/09........ 788,711
30,000 General Motors Acceptance
Corp.,
Series GM,
6.31%, 11/30/07........ 29,931
60,000 General Motors Acceptance
Corp.,
Series MTN,
4.38%, 12/10/07........ 59,574
40,000 GMAC LLC,
5.13%, 05/09/08........ 39,508
2,040,000 GMAC LLC,
5.63%, 05/15/09........ 1,995,440
1,870,000 GMAC LLC,
6.63%, 05/15/12........ 1,807,664
590,000 GMAC LLC,
8.00%, 11/01/31........ 604,954
1,020,000 HSBC Finance Corp.,
4.63%, 01/15/08........ 1,016,181
960,000 HSBC Finance Corp.,
4.63%, 09/15/10........ 934,940
920,000 JPMorgan Chase & Company,
5.13%, 09/15/14........ 884,746
1,100,000 JPMorgan Chase & Company,
5.15%, 10/01/15........ 1,047,707
80,000 Lehman Brothers Holdings,
Inc.,
4.50%, 07/26/10........ 77,825
1,370,000 Lehman Brothers Holdings,
Inc.,
Series MTN,
5.25%, 02/06/12........ 1,347,966
350,000 Mitsubishi UFJ Financial
Group Capital Financial
I, Ltd. (Cayman
Islands),
Variable Rate, 6.35%,
perpetual(1)........... 344,485
30,000 Morgan Stanley,
3.63%, 04/01/08........ 29,595
610,000 Morgan Stanley, Series
MTN,
5.63%, 01/09/12........ 609,283
200,000 Morgan Stanley, Series
MTN, Floating Rate,
5.81%, 10/18/16 (2).... 200,136
1,810,000 Residential Capital LLC,
6.00%, 02/22/11........ 1,752,824
220,000 Residential Capital LLC,
6.50%, 06/01/12........ 214,896
120,000 SLM Corp., Series MTN,
5.05%, 11/14/14........ 99,935
560,000 SLM Corp., Series MTNA,
5.00%, 10/01/13........ 478,415
985,000 SLM Corp., Series MTNA,
5.38%, 05/15/14........ 845,240
</Table>
See notes to financial statements.
89
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- -------------
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
$ 40,000 SLM Corp., Series MTNA,
5.00%, 04/15/15........ $ 32,921
80,000 SLM Corp., Series MTNA,
5.63%, 08/01/33........ 62,567
460,000 The Bear Stearns
Companies, Inc.,
5.55%, 01/22/17 (8).... 435,489
380,000 The Goldman Sachs Group,
Inc.,
4.50%, 06/15/10........ 370,748
240,000 The Goldman Sachs Group,
Inc.,
5.00%, 01/15/11........ 235,752
-------------
29,873,302
-------------
FUNERAL SERVICES -- 0.0%
50,000 Service Corp.
International,
7.63%, 10/01/18........ 50,875
55,000 Service Corp.
International -- 144A,
7.50%, 04/01/27........ 52,113
-------------
102,988
-------------
INSURANCE -- 0.7%
20,000 ASIF Global Financing
XIX -- 144A,
4.90%, 01/17/13........ 19,409
600,000 MERNA Reinsurance, Ltd.
(Bermuda), Floating
Rate,
7.11%, 07/01/12 (2).... 599,982
930,000 MetLife, Inc.,
6.40%, 12/15/36........ 864,229
640,000 The Travelers Companies,
Inc.,
Variable Rate,
6.25%, 03/15/37 (1).... 616,104
-------------
2,099,724
-------------
LEISURE AND RECREATION -- 0.2%
35,000 AMC Entertainment, Inc.,
11.00%, 02/01/16 (8)... 38,850
15,000 Boyd Gaming Corp.,
6.75%, 04/15/14........ 14,775
40,000 Boyd Gaming Corp.,
7.13%, 02/01/16........ 39,000
60,000 Inn of The Mountain Gods,
12.00%, 11/15/10....... 64,650
60,000 Mandalay Resort Group,
9.50%, 08/01/08........ 62,100
155,000 MGM MIRAGE,
7.63%, 01/15/17........ 148,219
30,000 River Rock Entertainment
Authority,
9.75%, 11/01/11........ 31,650
140,000 Station Casinos, Inc.,
7.75%, 08/15/16........ 139,300
-------------
538,544
-------------
MANUFACTURING -- 0.2%
120,000 Tyco International Group
SA (Luxembourg),
6.38%, 10/15/11........ 123,734
440,000 Tyco International Group
SA (Luxembourg),
6.00%, 11/15/13........ 452,402
-------------
576,136
-------------
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES -- 0.3%
190,000 Community Health
Systems, Inc. -- 144A,
8.88%, 07/15/15........ 193,562
230,000 DaVita, Inc. -- 144A,
6.63%, 03/15/13........ 225,687
56,000 HCA, Inc.,
6.25%, 02/15/13........ 50,680
110,000 HCA, Inc.,
6.75%, 07/15/13........ 100,375
3,000 HCA, Inc.,
6.50%, 02/15/16........ 2,554
10,000 HCA, Inc. -- 144A,
9.13%, 11/15/14........ 10,538
100,000 HCA, Inc. -- 144A,
9.25%, 11/15/16........ 106,750
27,000 HCA, Inc. -- 144A,
9.63%, 11/15/16........ 29,093
65,000 Tenet Healthcare Corp.,
9.88%, 07/01/14........ 64,675
-------------
783,914
-------------
METALS AND MINING -- 0.4%
320,000 Freeport-McMoRan Copper &
Gold, Inc.,
8.38%, 04/01/17........ 342,400
105,000 Steel Dynamics,
Inc. -- 144A,
6.75%, 04/01/15........ 103,425
859,000 Vale Overseas, Ltd.
(Cayman Islands),
6.88%, 11/21/36........ 865,602
-------------
1,311,427
-------------
OFFICE EQUIPMENT, SUPPLIES, AND
SERVICES -- 0.0%
30,000 Xerox Corp.,
6.75%, 02/01/17........ 30,827
-------------
OIL, COAL AND GAS -- 3.7%
15,000 AmeriGas Partners
LP/AmeriGas Eagle
Finance Corp.,
7.13%, 05/20/16........ 14,813
740,000 Anadarko Finance Company,
Series B, 7.50%,
05/01/31............... 797,370
1,360,000 Anadarko Petroleum Corp.,
6.45%, 09/15/36........ 1,312,277
60,000 Chesapeake Energy Corp.,
6.38%, 06/15/15........ 57,525
</Table>
See notes to financial statements.
90
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- -------------
CORPORATE BONDS AND NOTES (CONTINUED)
OIL, COAL AND GAS (CONTINUED)
$ 150,000 ChevronTexaco Capital
Company (Canada),
3.50%, 09/17/07........ $ 149,496
195,000 Complete Production
Service -- 144A,
8.00%, 12/15/16........ 197,925
290,000 Conoco, Inc.,
6.95%, 04/15/29........ 317,415
245,000 Dynegy Holdings,
Inc. -- 144A,
7.75%, 06/01/19........ 229,075
1,660,000 El Paso Corp.,
7.00%, 06/15/17........ 1,635,099
19,000 El Paso Corp., Series MTN,
7.80%, 08/01/31........ 19,335
92,000 El Paso Corp., Series MTN,
7.75%, 01/15/32........ 93,133
110,000 El Paso Natural Gas,
8.38%, 06/15/32........ 129,536
770,000 Gaz Capital
(Gazprom) -- 144A
(Luxembourg),
6.51%, 03/07/22........ 761,915
30,000 Hess Corp.,
7.88%, 10/01/29........ 33,909
490,000 Hess Corp.,
7.30%, 08/15/31........ 527,025
200,000 Kerr-McGee Corp.,
6.95%, 07/01/24........ 208,021
295,000 Kerr-McGee Corp.,
7.88%, 09/15/31........ 341,884
30,000 Kinder Morgan Energy
Partners, LP,
6.30%, 02/01/09........ 30,333
600,000 Kinder Morgan Energy
Partners, LP,
6.75%, 03/15/11........ 621,427
440,000 Kinder Morgan Energy
Partners, LP,
6.00%, 02/01/17........ 431,365
210,000 OPTI Canada, Inc. -- 144A
(Canada),
7.88%, 12/15/14........ 210,869
70,000 OPTI Canada, Inc. -- 144A
(Canada),
8.25%, 12/15/14........ 71,400
45,000 Peabody Energy Corp.,
Series B,
6.88%, 03/15/13........ 45,000
120,000 Pemex Project Funding
Master Trust,
7.38%, 12/15/14........ 131,021
770,000 Pemex Project Funding
Master Trust,
6.63%, 06/15/35........ 782,513
180,000 Petrobas International
Finance Company (Cayman
Islands),
6.13%, 10/06/16........ 177,300
100,000 Pogo Producing Company,
6.88%, 10/01/17 (8).... 99,750
25,000 Semgroup LP,
8.75%, 11/15/15........ 25,250
5,000 Southern Natural Gas,
8.00%, 03/01/32........ 5,696
60,000 Southern Natural
Gas -- 144A,
5.90%, 04/01/17........ 58,333
65,000 Suburban Propane Partners,
6.88%, 12/15/13........ 63,050
20,000 Tennessee Gas Pipeline,
7.63%, 04/01/37........ 22,046
108,000 TNK-BP Finance SA -- 144A
(Luxembourg),
7.50%, 07/18/16........ 111,643
270,000 TNK-BP Finance SA -- 144A
(Luxembourg),
7.50%, 07/18/16........ 279,045
100,000 TNK-BP Finance SA -- 144A
(Luxembourg),
6.63%, 03/20/17........ 97,130
50,000 Western Oil Sands, Inc.
(Canada),
8.38%, 05/01/12........ 54,938
80,000 Williams Companies, Inc.,
8.75%, 03/15/32........ 93,000
630,000 Williams Companies, Inc.,
Series A, 7.50%,
01/15/31 (8)........... 655,200
550,000 XTO Energy, Inc.,
7.50%, 04/15/12........ 591,900
-------------
11,483,962
-------------
PAPER AND FOREST PRODUCTS -- 0.3%
820,000 Weyerhaeuser Company,
6.75%, 03/15/12........ 849,266
-------------
PHARMACEUTICALS/RESEARCH AND
DEVELOPMENT -- 0.1%
470,000 Wyeth,
5.95%, 04/01/37........ 450,694
-------------
PRINTING AND PUBLISHING -- 0.1%
180,000 Idearc, Inc.,
8.00%, 11/15/16........ 182,700
80,000 TL Acquisitions,
Inc. -- 144A,
10.50%, 01/15/15....... 79,517
-------------
262,217
-------------
PRIVATE ASSET BACKED: BANKS -- 1.5%
279,981 Washington Mutual Mortgage
Pass-Through
Certificates,
Series 2005-AR13, Class
A1A1, Floating Rate,
5.61%, 10/25/45 (3).... 280,639
</Table>
See notes to financial statements.
91
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- -------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: BANKS (CONTINUED)
$ 330,691 Washington Mutual Mortgage
Pass-Through
Certificates,
Series 2005-AR15, Class
A1A2, Floating Rate,
5.60%, 11/25/45 (3).... $ 332,074
221,622 Washington Mutual Mortgage
Pass-Through
Certificates,
Series 2005-AR8, Class
2A1A, Floating Rate,
5.61%, 07/25/45 (3).... 222,110
758,489 Washington Mutual Mortgage
Pass-Through
Certificates, Series
2007-HY4, Class 4A1,
5.53%, 09/25/36........ 755,787
3,000,000 Washington Mutual Mortgage
Pass-Through
Certificates,
Series 2007-OA6, Class
1A1B, Floating Rate,
5.84%, 07/25/47 (3).... 2,996,251
-------------
4,586,861
-------------
PRIVATE ASSET BACKED: FINANCIAL
SERVICES -- 0.7%
271,416 Lehman XS Trust, Series
2005-5N,
Class 1A1, Floating
Rate, 5.62%,
11/25/35 (3)........... 272,149
206,681 Lehman XS Trust, Series
2005-7N,
Class 1A1B, Floating
Rate, 5.62%,
12/25/35 (3)........... 207,083
140,000 Morgan Stanley Capital I,
Series 2005-HQ6, Class
A4A, 4.99%, 08/13/42... 132,881
630,000 Morgan Stanley Capital I,
Series 2006-IQ12, Class
A4, 5.33%, 12/15/43.... 605,645
900,000 Morgan Stanley Capital I,
Series 2007-IQI4, Class
A4, 5.69%, 04/15/49.... 886,935
-------------
2,104,693
-------------
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY -- 21.5%
1,010,421 AAMES Mortgage Investment
Trust -- 144A, Series
2005-3, Class A1,
Floating Rate,
5.47%, 08/25/35 (3).... 1,010,578
299,534 Accredited Mortgage Loan
Trust, Series 2005-3,
Class A1, Floating
Rate,
5.56%, 09/25/35 (3).... 299,863
121,047 Adjustable Rate Mortgage
Trust,
Series 2004-2, Class
7A2, Floating Rate,
5.74%, 02/25/35 (3).... 121,551
92,313 Adjustable Rate Mortgage
Trust,
Series 2004-5, Class
7A2, Floating Rate,
5.70%, 04/25/35 (3).... 92,523
348,501 American Home Mortgage
Investment Trust,
Series 2005-4, Class
1A1, Floating Rate,
5.61%, 11/25/45 (3).... 349,451
400,000 Banc of America Commercial
Mortgage, Inc., Series
2005-3, Class A4,
4.67%, 07/10/43........ 372,173
623,298 Banc of America Mortgage
Securities, Series
2005-A, Class 2A1,
4.46%, 02/25/35........ 610,815
557,306 Bear Stearns ALT-A Trust,
Series 2004-11, Class
2A2, Floating Rate,
4.93%, 11/25/34 (3).... 571,821
1,182,096 Bear Stearns Mortgage
Funding Trust, Series
2006-AR5, Class 1A1,
Floating Rate,
5.48%, 12/25/36 (3).... 1,183,802
1,773,211 Bear Stearns Mortgage
Funding Trust, Series
2006-AR5, Class 1A2,
Floating Rate,
5.53%, 12/25/36 (3).... 1,778,705
2,547,322 Bear Stearns Second Lien
Trust -- 144A, Series
2007-SV1A, Class A3,
Floating Rate,
5.57%, 12/25/36 (3).... 2,549,312
34,894 Chevy Chase Mortgage
Funding Corp. -- 144A,
Series 2003-2A, Class
A1, Floating Rate,
5.70%, 05/25/34 (3).... 34,903
364,142 Countrywide Alternative
Loan Trust, Series
2005-36, Class 3A1,
Floating Rate,
4.94%, 08/25/35 (3).... 361,523
864,004 Countrywide Alternative
Loan Trust, Series
2005-38, Class A3,
Floating Rate,
5.67%, 09/25/35 (3).... 866,098
194,041 Countrywide Alternative
Loan Trust, Series
2005-44,
Class 1A1, Floating
Rate,
5.65%, 10/25/35 (3).... 194,309
2,375,141 Countrywide Alternative
Loan Trust, Series
2005-51, Class 3A3A,
Floating Rate,
5.64%, 11/20/35 (3).... 2,384,287
383,140 Countrywide Alternative
Loan Trust, Series
2005-59, Class 1A1,
Floating Rate,
5.65%, 11/20/35 (3).... 384,731
909,768 Countrywide Alternative
Loan Trust, Series
2005-72, Class A1,
Floating Rate,
5.59%, 01/25/36 (3).... 910,280
</Table>
See notes to financial statements.
92
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- -------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY (CONTINUED)
$ 2,001,614 Countrywide Alternative
Loan Trust, Series
2005-J12, Class 2A1,
Floating Rate,
5.59%, 08/25/35 (3).... $ 2,008,787
1,111,196 Countrywide Alternative
Loan Trust, Series
2006-OA2, Class A5,
Floating Rate,
5.55%, 05/20/46 (3).... 1,111,881
523,766 Countrywide Alternative
Loan Trust, Series
2006-OA6, Class 1A1A,
Floating Rate,
5.53%, 07/25/46 (3).... 523,912
107,359 Countrywide Asset-Backed
Certificates, Series
2005-11, Class AF1,
Floating Rate,
5.50%, 02/25/36 (3).... 107,445
117,445 Countrywide Asset-Backed
Certificates, Series
2005-4, Class AF3,
4.46%, 10/25/35........ 116,128
668,861 Countrywide Home Equity
Loan Trust -- 144A,
Series 2006-RES, Class
4Q1B, Floating Rate,
5.62%, 12/15/33 (3).... 669,690
219,830 Countrywide Home Equity
Loan Trust, Series
2005-G, Class 2A,
Floating Rate,
5.55%, 12/15/35 (3).... 220,143
396,319 Countrywide Home
Loans -- 144A, Series
2005-R3, Class AF,
Floating Rate,
5.72%, 09/25/35 (3).... 399,085
243,084 Countrywide Home Loans,
Series 2004-23, Class
A, Floating Rate,
7.44%, 11/25/34 (3).... 250,214
637,762 Countrywide Home Loans,
Series 2005-3, Class
1A2, Floating Rate,
5.61%, 04/25/35 (3).... 639,708
481,049 Credit Suisse Mortgage
Capital
Certificates -- 144A,
Series 2006-CF2, Class
A1, Floating Rate,
5.58%, 05/25/36 (3).... 480,341
54,291 First Franklin Mortgage
Loan Asset Backed
Certificates,
Series 2004-FF10, Class
A2, Floating Rate,
5.72%, 12/25/32 (3).... 54,369
210,000 GE Capital Commercial
Mortgage Corp., Series
2005-C4, Class A4,
Floating Rate,
5.33%, 11/10/45 (3).... 204,386
600,000 GE Capital Commercial
Mortgage Corp., Series
2007-C1, Class A4,
5.54%, 12/10/49........ 584,691
1,000,000 GMAC Commercial Mortgage
Securities, Inc. Series
2006-C1, Class A4,
5.24%, 11/10/45........ 960,893
258,322 GMAC Mortgage Corp. Loan
Trust, Series 2003-AR2,
Class 1A1, Floating
Rate,
5.59%, 12/19/33 (3).... 263,551
333,183 GMAC Mortgage Corp. Loan
Trust, Series 2005-AR1,
Class 3A, Floating
Rate,
4.66%, 03/18/35 (3).... 328,277
662,309 Greenpoint Mortgage
Funding Trust, Series
2006-AR4, Class A1A,
Floating Rate,
5.42%, 09/25/46 (3).... 662,500
1,610,377 Greenpoint Mortgage
Funding Trust, Series
2007-AR1, Class 1A1A,
Floating Rate,
5.40%, 02/25/47 (3).... 1,611,938
200,000 GS Mortgage Securities
Corp. II,
Series 2005-GG4, Class
AABA,
4.68%, 07/10/39........ 191,288
179,047 Impac CMB Trust, Series
2004-6,
Class 1A1, Floating
Rate,
5.72%, 10/25/34 (3).... 179,266
2,914,288 IndyMac Index Mortgage
Loan Trust, Series
2005-AR14, Class 2A1A,
Floating Rate,
5.62%, 08/25/35 (3).... 2,922,695
115,447 IndyMac Index Mortgage
Loan Trust, Series
2005-AR15, Class A2,
5.10%, 09/25/35........ 112,496
98,610 IXIS Real Estate Capital
Trust,
Series 2006-HE1, Class
A1, Floating Rate,
5.41%, 03/25/36 (3).... 98,676
630,000 JPMorgan Chase Commercial
Mortgage Securities,
Series 2007-LDPX, Class
A3,
5.42%, 01/15/49........ 608,587
324,200 JPMorgan Mortgage Trust,
Series 2004-A3, Class
1A1, Floating Rate,
4.31%, 07/25/34 (3).... 319,164
100,000 LB-UBS Commercial
Mortgage Trust, Series
2005-C3, Class A5,
4.74%, 07/15/30........ 93,479
100,000 LB-UBS Commercial
Mortgage Trust, Series
2005-C3, Class AAB,
4.66%, 07/15/30........ 95,538
200,000 LB-UBS Commercial
Mortgage Trust, Series
2005-C5, Class A4,
4.95%, 09/15/40........ 189,380
</Table>
See notes to financial statements.
93
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- -------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY (CONTINUED)
$ 1,550,053 Lehman XS Trust, Series
2005-5N, Class 3A1A,
Floating Rate,
5.62%, 11/25/35 (3).... $ 1,554,086
618,436 Lehman XS Trust, Series
2006-GP4,
Class 3A1A, Floating
Rate,
5.39%, 08/25/46 (3).... 618,448
1,345,569 Lehman XS Trust, Series
2007-2N, Class 3A1,
Floating Rate,
5.41%, 02/25/37 (3).... 1,346,310
1,634,182 Master Adjustable Rate
Mortgages Trust,
Series 2006-OA2, Class
1A1, Floating Rate,
5.83%, 12/25/46 (3).... 1,634,721
600,000 Merrill Lynch Countrywide
Commercial Mortgage
Trust,
Series 2007-5, Class
A4,
5.38%, 08/12/48........ 577,036
500,000 Merrill Lynch Countrywide
Commercial Mortgage
Trust,
Series 2007-6, Class
A4,
5.49%, 03/12/51........ 484,732
2,573,193 Merrill Lynch Mortgage
Investors Trust, Series
2007-SD1, Class A1,
Floating Rate,
5.77%, 02/25/47 (3).... 2,574,790
500,000 Merrill Lynch Mortgage
Investors, Inc.,
Series 2005-A4, Class
2A2,
4.46%, 07/25/35........ 486,275
400,000 Merrill Lynch Mortgage
Investors, Inc.,
Series 2005-A5, Class
A3,
4.44%, 06/25/35........ 387,946
330,000 Merrill Lynch Mortgage
Trust,
Series 2006-C1, Class
A4, Floating Rate,
5.66%, 05/12/39 (3).... 327,854
217,809 MLCC Mortgage Investors,
Inc.,
Series 2003-F, Class
A1, Floating Rate,
5.64%, 10/25/28 (3).... 217,838
659,109 Morgan Stanley Mortgage
Loan Trust, Series
2004-8AR, Class 4A2,
Floating Rate,
5.35%, 10/25/34 (3).... 659,656
542,572 Prime Mortgage
Trust -- 144A,
Series 2006-DR1, Class
1A1,
5.50%, 05/25/35........ 530,420
261,107 Prime Mortgage
Trust -- 144A,
Series 2006-DR1, Class
1A2,
6.00%, 05/25/35........ 260,669
1,217,106 Prime Mortgage
Trust -- 144A,
Series 2006-DR1, Class
2A1,
5.50%, 05/25/35........ 1,194,590
1,033,762 Prime Mortgage
Trust -- 144A,
Series 2006-DR1, Class
2A2,
6.00%, 05/25/35........ 1,015,510
2,683,141 RAAC -- 144A,
Series 2007-RP4, Class
A, Floating Rate,
5.67%, 11/25/46 (3).... 2,682,953
1,500,000 Renaissance Home Equity
Loan Trust,
Series 2007-2, Class
AF6,
5.88%, 06/25/37........ 1,492,260
1,168,912 Residential Accredited
Loans, Inc.,
Series 2006-Q010, Class
A1, Floating Rate,
5.48%, 01/25/37 (3).... 1,167,108
1,360,669 Residential Accredited
Loans, Inc.,
Series 2007-Q01, Class
A1, Floating Rate,
5.47%, 02/25/37 (3).... 1,360,166
2,585,185 Residential Accredited
Loans, Inc.,
Series 2007-Q04, Class
A1A, Floating Rate,
5.51%, 05/25/47 (3).... 2,584,900
103,260 Residential Asset Mortgage
Products, Inc.,
Series 2004-RS9, Class
AII2, Floating Rate,
5.66%, 05/25/34 (3).... 103,360
2,700,000 Securitized Asset Backed
Receivables LLC,
Series 2007-BR3, Class
A2B, Floating Rate,
5.54%, 04/25/37 (3).... 2,701,669
316,587 Structured Adjustable Rate
Mortgage Loan Trust,
Series 2005-15, Class
1A1,
5.06%, 07/25/35........ 312,707
841,653 Structured Adjustable Rate
Mortgage Loan Trust,
Series 2005-16XS, Class
A1, Floating Rate,
5.66%, 08/25/35 (3).... 844,205
1,023,019 Structured Adjustable Rate
Mortgage Loan Trust,
Series 2005-19XS, Class
1A1, Floating Rate,
5.64%, 10/25/35 (3).... 1,027,825
175,919 Structured Asset Mortgage
Investments, Inc.,
Series 2003-AR4, Class
A1, Floating Rate,
5.67%, 01/19/34 (3).... 176,280
</Table>
See notes to financial statements.
94
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- -------------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: MORTGAGE AND HOME
EQUITY (CONTINUED)
$ 595,673 Structured Asset Mortgage
Investments, Inc.,
Series 2006-AR6, Class
1A3, Floating Rate,
5.51%, 07/25/36 (3).... $ 597,166
3,000,000 Structured Asset
Securities
Corp. -- 144A,
Series 2007-TC1, Class
A, Floating Rate,
5.62%, 04/25/31 (3).... 2,999,671
1,472,709 Thornburg Mortgage
Securities Trust,
Series 2004-2, Class
A4, Floating Rate,
5.66%, 06/25/44 (3).... 1,474,616
716,579 Thornburg Mortgage
Securities Trust,
Series 2005-4, Class
A4, Floating Rate,
5.52%, 12/25/35 (3).... 716,841
900,573 Thornburg Mortgage
Securities Trust,
Series 2006-1, Class
A3, Floating Rate,
5.49%, 01/25/36 (3).... 900,356
1,860,674 Zuni Mortgage Loan Trust,
Series 2006-0A1, Class
A1, Floating Rate,
5.45%, 08/25/36 (3).... 1,860,892
-------------
66,959,089
-------------
PRIVATE ASSET BACKED: OTHER -- 0.2%
700,000 SLM Student Loan Trust,
Series 2006-5, Class
A2, Floating Rate,
5.34%, 07/25/17 (2).... 700,562
-------------
REAL ESTATE DEVELOPMENT AND
SERVICES -- 0.0%
35,000 Forest City Enterprises,
Inc.,
7.63%, 06/01/15........ 35,438
30,000 Forest City Enterprises,
Inc.,
6.50%, 02/01/17........ 28,575
-------------
64,013
-------------
REAL ESTATE INVESTMENT TRUSTS -- 0.0%
40,000 Host Marriott LP, Series
Q,
6.75%, 06/01/16........ 39,400
10,000 Ventas Realty LP/Ventas
Capital Corp.,
9.00%, 05/01/12........ 10,975
30,000 Ventas Realty LP/Ventas
Capital Corp.,
6.50%, 06/01/16........ 29,400
-------------
79,775
-------------
SCIENTIFIC AND TECHNICAL
INSTRUMENTS -- 0.1%
100,000 Cie Generale de
Geophysique (France),
7.50%, 05/15/15........ 100,500
105,000 Cie Generale de
Geophysique (France),
7.75%, 05/15/17........ 106,838
-------------
207,338
-------------
SEMICONDUCTORS -- 0.0%
35,000 Freescale Semiconductor,
Inc. -- 144A,
8.88%, 12/15/14........ 33,600
-------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 1.5%
410,000 AT&T, Inc.,
5.10%, 09/15/14........ 391,653
10,000 Bellsouth Corp.,
4.75%, 11/15/12........ 9,568
55,000 Cincinnati Bell, Inc.,
7.00%, 02/15/15........ 54,175
95,000 Citizens Communications
Company,
7.13%, 03/15/19........ 90,250
20,000 Citizens Communications
Company,
7.88%, 01/15/27........ 19,550
375,000 Deutsche Telecom
International Finance
BV (the Netherlands),
5.75%, 03/23/16........ 366,435
40,000 Intelsat Bermuda, Ltd.
(Bermuda),
9.25%, 06/15/16........ 42,700
50,000 Intelsat Corp.,
9.00%, 06/15/16........ 52,625
320,000 Koninklijke KPN NV (the
Netherlands),
8.00%, 10/01/10........ 342,732
445,000 Koninklijke KPN NV (the
Netherlands),
8.38%, 10/01/30........ 500,339
90,000 Level 3 Financing, Inc.,
9.25%, 11/01/14 (8).... 91,350
80,000 Level 3 Financing,
Inc. -- 144A,
8.75%, 02/15/17........ 79,500
300,000 Nextel Communications,
Inc.,
Series E, 6.88%,
10/31/13............... 298,033
127,000 Qwest Communications
International, Inc.,
Floating Rate, 8.86%,
02/15/09 (2)........... 128,905
150,000 Sprint Capital Corp.,
8.38%, 03/15/12........ 163,568
180,000 Sprint Capital Corp.,
8.75%, 03/15/32........ 202,710
580,000 Sprint Nextel Corp.,
6.00%, 12/01/16........ 551,186
</Table>
See notes to financial statements.
95
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- -------------
CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES (CONTINUED)
$ 390,000 Telecom Italia Capital
(Luxembourg),
5.25%, 10/01/15........ $ 363,240
160,000 Verizon Global Funding
Corp.,
7.38%, 09/01/12........ 172,512
560,000 Verizon New York, Inc.,
Series A, 6.88%,
04/01/12............... 584,447
165,000 Windstream Corp.,
8.63%, 08/01/16........ 175,313
-------------
4,680,791
-------------
TRANSPORTATION -- 0.1%
40,000 Gulfmark Offshore, Inc.,
7.75%, 07/15/14........ 40,600
70,000 Horizon Lines LLC,
9.00%, 11/01/12........ 74,375
130,000 Teekay Shipping Corp.
(Marshall Islands),
8.88%, 07/15/11........ 138,450
180,000 Union Pacific Corp.,
5.38%, 05/01/14........ 174,064
-------------
427,489
-------------
UTILITIES -- 1.5%
67,000 AES Corp.,
7.75%, 03/01/14........ 67,503
30,000 Dominion Resources, Inc.,
4.75%, 12/15/10........ 29,322
580,000 Dominion Resources, Inc.,
5.70%, 09/17/12 (8).... 581,107
720,000 Duke Energy Carolinas,
5.63%, 11/30/12........ 720,619
110,000 Edison Mission
Energy -- 144A,
7.00%, 05/15/17........ 104,225
140,000 Edison Mission
Energy -- 144A,
7.20%, 05/15/19........ 132,300
50,000 Edison Mission
Energy -- 144A,
7.63%, 05/15/27........ 47,500
475,000 Exelon Corp., 5.63%,
06/15/35............... 425,769
650,000 FirstEnergy Corp.,
Series B, 6.45%,
11/15/11............... 667,147
425,000 FirstEnergy Corp.,
Series C, 7.38%,
11/15/31............... 461,435
30,000 NRG Energy, Inc.,
7.25%, 02/01/14........ 30,150
150,000 NRG Energy, Inc.,
7.38%, 02/01/16........ 150,750
45,000 NRG Energy, Inc.,
7.38%, 01/15/17........ 45,281
210,000 Pacific Gas & Electric
Company,
6.05%, 03/01/34........ 204,085
140,000 Pacific Gas & Electric
Company,
5.80%, 03/01/37........ 131,032
440,000 TXU Corp., Series P,
5.55%, 11/15/14........ 375,728
40,000 TXU Corp., Series Q,
6.50%, 11/15/24........ 33,274
645,000 TXU Corp., Series R,
6.55%, 11/15/34........ 524,913
-------------
4,732,140
-------------
TOTAL CORPORATE BONDS AND
NOTES
(Cost $156,254,271).... 155,178,851
-------------
CONVERTIBLE BONDS -- 0.0%
AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE
EQUIPMENT AND REPAIRS
30,000 Ford Motor Company,
4.25%, 12/15/36
(Cost $30,000)......... 37,725
-------------
MUNICIPAL BONDS -- 0.2%
VIRGINIA
660,357 Virginia State Housing
Development Authority,
Series C, Revenue Bond,
6.00%, 06/25/34 (Cost
$649,580).............. 650,795
-------------
FOREIGN GOVERNMENT OBLIGATIONS -- 0.7%
10,000 Federal Republic of Brazil
(Brazil),
8.88%, 04/15/24........ 12,475
35,000 Federal Republic of Brazil
(Brazil),
10.13%, 05/15/27....... 49,438
244,000 Federal Republic of Brazil
(Brazil),
11.00%, 08/17/40 (8)... 320,311
100,000 Republic of Colombia,
Series MTN, (Colombia),
7.38%, 09/18/37........ 111,250
94,000 Republic of Panama
(Panama),
7.13%, 01/29/26........ 100,580
1,054,700 Russian Federation -- 144A
(Russia),
7.50%, 03/31/30........ 1,163,445
8,000 United Mexican States
(Mexico),
5.63%, 01/15/17........ 7,852
439,000 United Mexican States,
Series MTNA, (Mexico),
6.75%, 09/27/34........ 469,291
-------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS
(Cost $2,184,262)...... 2,234,642
-------------
</Table>
See notes to financial statements.
96
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
CONTRACTS VALUE
--------- -------------
PURCHASED CALL OPTIONS -- 0.0%
46 Euribor, receives 3 month
floating LIBOR,
Expiring September 2007
@ 95.88................ $ 389
13 Euro-Bund, Expiring August
2007 @ 113............. 2,287
123 IMM Euro September Future,
Expiring September 2007
@ 94.63................ 16,913
-------------
TOTAL PURCHASED CALL
OPTIONS
(Cost $52,380)......... 19,589
-------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 10.4%
$32,645,613 Securities Lending
Collateral Investment
(Note 4)
(Cost $32,645,613)..... 32,645,613
-------------
TOTAL SECURITIES
(Cost $391,094,332).... 388,923,156
-------------
REPURCHASE AGREEMENTS -- 25.3%
79,088,307 With Investors Bank and
Trust,
dated 06/29/07, 4.76%,
due 07/02/07,
repurchase proceeds at
maturity $79,119,679
(Collateralized by
various Freddie Macs,
5.51%- 5.67%, due
04/01/36 -- 07/15/36,
with a total value of
$83,042,722) (Cost
$79,088,307)........... 79,088,307
-------------
Total Investments before
Call and Put Options
Written -- 149.7%
(Cost $470,182,639)..... 468,011,463
-------------
<Caption>
Contracts Value
- --------- -------------
CALL OPTIONS WRITTEN -- (0.0)%
(173) US Treasury Note (10 year)
September Future,
Expiring August 2007 @
106
(Premium $55,635)....... $ (105,422)
-------------
PUT OPTIONS
WRITTEN--(0.0)%
(173) US Treasury Note (10 year)
September Future,
Expiring August 2007 @
103
(Premium $59,166)....... (18,922)
-------------
Total Investments net of
Call and Put Options
Written -- 149.7%
(Cost $470,067,838)..... 467,887,119
Liabilities less other
assets -- (49.7)%...... (155,414,289)
-------------
NET ASSETS -- 100.0%...... $ 312,472,830
=============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $470,067,838.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation... $ 607,979
Gross unrealized depreciation... (2,788,698)
-----------
Net unrealized depreciation..... $(2,180,719)
===========
</Table>
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
97
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES -- 80.9%
ADVERTISING -- 0.5%
$ 470,000 Affinion Group, Inc.,
10.13%, 10/15/13........... $ 504,075
945,000 Affinion Group, Inc.,
11.50%, 10/15/15........... 1,025,325
1,305,000 RH Donnelley Corp.,
6.88%, 01/15/13............ 1,243,013
------------
2,772,413
------------
AEROSPACE AND DEFENSE -- 0.8%
980,000 DRS Technologies, Inc.,
7.63%, 02/01/18............ 994,700
480,000 Hawker Beechcraft Acquisition
Company -- 144A,
8.50%, 04/01/15............ 496,800
765,000 Hawker Beechcraft Acquisition
Company -- 144A,
8.88%, 04/01/15............ 789,863
480,000 Hawker Beechcraft Acquisition
Company -- 144A,
9.75%, 04/01/17............ 502,800
1,725,000 Transdigm, Inc. -- 144A,
7.75%, 07/15/14............ 1,750,875
------------
4,535,038
------------
AGRICULTURAL EQUIPMENT -- 0.6%
3,035,000 Case New Holland, Inc.,
9.25%, 08/01/11............ 3,196,462
------------
AGRICULTURE -- 0.2%
675,000 The Mosaic Company -- 144A,
7.38%, 12/01/14............ 685,125
675,000 The Mosaic Company -- 144A,
7.63%, 12/01/16............ 693,563
------------
1,378,688
------------
AIRLINES -- 0.1%
554,137 Continental Airlines, Inc.,
Series 2001-1,
7.03%, 06/15/11............ 549,288
------------
APPAREL: MANUFACTURING AND RETAIL -- 2.7%
4,035,000 Levi Strauss & Company,
12.25%, 12/15/12........... 4,388,062
690,000 Levi Strauss & Company,
9.75%, 01/15/15............ 741,750
2,110,000 Levi Strauss & Company,
8.88%, 04/01/16............ 2,173,300
2,695,000 Oxford Industries, Inc.,
8.88%, 06/01/11............ 2,796,063
3,340,000 Perry Ellis International,
Inc.,
Series B, 8.88%, 09/15/13.. 3,406,799
655,000 Phillips Van-Heusen Corp.,
7.25%, 02/15/11............ 668,100
685,000 Phillips Van-Heusen Corp.,
8.13%, 05/01/13............ 716,681
335,000 Quiksilver, Inc.,
6.88%, 04/15/15............ 316,575
------------
15,207,330
------------
AUTOMOBILE: RENTAL -- 0.7%
2,545,000 Hertz Corp.,
8.88%, 01/01/14............ 2,665,887
535,000 Neff Corp. -- 144A,
10.00%, 06/01/15........... 536,338
475,000 Rental Service Corp. -- 144A,
9.50%, 12/01/14............ 486,875
------------
3,689,100
------------
AUTOMOBILE: RETAIL -- 0.1%
660,000 AutoNation, Inc.,
Floating Rate, 7.36%,
04/15/13 (2)............... 661,650
------------
AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE
EQUIPMENT AND REPAIRS -- 2.2%
760,000 American Axle and
Manufacturing, Inc.,
7.88%, 03/01/17............ 750,500
395,000 Commercial Vehicle Group,
8.00%, 07/01/13............ 395,988
7,700,000 General Motors Corp.,
6.38%, 05/01/08............ 7,671,125
1,000,000 Tenneco Automotive, Inc.,
8.63%, 11/15/14............ 1,035,000
2,195,000 Tenneco Automotive, Inc.,
Series B, 10.25%,
07/15/13................... 2,370,600
------------
12,223,213
------------
BROADCAST SERVICES/MEDIA -- 5.5%
620,000 Adelphia Communications,
10.25%, 11/01/06 (9) (13).. 190,650
840,000 Adelphia Communications,
10.25%, 06/15/11 (9)....... 275,100
1,305,000 Adelphia Communications,
Series B, 9.25%,
10/01/02 (9) (13).......... 407,813
190,000 Cablevision Systems Corp.,
Series B, Floating Rate,
9.82%, 04/01/09 (11)....... 199,500
1,610,000 Cablevision Systems Corp.,
Series B, 8.00%, 04/15/12.. 1,597,925
1,780,000 CCH I Holdings LLC,
11.75%, 05/15/14........... 1,757,750
1,530,000 CCH I, LLC/CCH I
Capital Corp.,
11.00%, 10/01/15........... 1,604,588
1,450,000 CCH II LLC/CCH II
Capital Corp.,
Series B, 10.25%,
09/15/10................... 1,520,688
5,970,000 CCO Holdings LLC/Capital
Corp.,
8.75%, 11/15/13............ 6,104,324
980,000 CSC Holdings, Inc.,
7.25%, 07/15/08............ 989,800
105,000 CSC Holdings, Inc.,
Series B,
8.13%, 07/15/09............ 107,363
635,000 CSC Holdings, Inc.,
Series B,
8.13%, 08/15/09............ 649,288
825,000 CSC Holdings, Inc.,
Series B,
7.63%, 04/01/11............ 822,938
</Table>
See notes to financial statements.
98
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
BROADCAST SERVICES/MEDIA (CONTINUED)
$ 4,700,000 Insight Communications
Company, Inc.,
12.25%, 02/15/11........... $ 4,923,249
1,235,000 Kabel Deutschland GMBH
(Germany),
10.63%, 07/01/14........... 1,358,500
715,000 LBI Media, Inc.,
10.13%, 07/15/12........... 753,431
570,000 LBI Media, Inc.,
zero coupon, 10/15/13 (7).. 524,400
1,215,000 Mediacom Broadband
LLC/Mediacom Broadband
Corp. -- 144A,
8.50%, 10/15/15............ 1,227,150
1,880,000 Rainbow National
Services LLC -- 144A,
8.75%, 09/01/12............ 1,964,599
2,670,000 Rainbow National
Services LLC -- 144A,
10.38%, 09/01/14........... 2,943,674
965,000 Sirius Satellite Radio, Inc.,
9.63%, 08/01/13............ 950,525
------------
30,873,255
------------
BUSINESS SERVICES AND SUPPLIES -- 0.1%
620,000 Deluxe Corp. -- 144A,
7.38%, 06/01/15............ 620,000
------------
CHEMICALS -- 2.1%
691,000 Equistar Chemical/Funding,
10.63%, 05/01/11........... 730,733
1,086,000 Huntsman LLC,
11.63%, 10/15/10........... 1,170,165
2,230,000 Ineos Group Holdings
PLC -- 144A
(United Kingdom),
8.50%, 02/15/16............ 2,190,974
1,301,000 Lyondell Chemical Company,
10.50%, 06/01/13........... 1,411,585
1,865,000 Lyondell Chemical Company,
8.00%, 09/15/14............ 1,925,613
930,000 Lyondell Chemical Company,
8.25%, 09/15/16............ 976,500
680,000 MacDermid, Inc. -- 144A,
9.50%, 04/15/17............ 686,800
830,000 Nova Chemicals Corp.
(Canada), Floating Rate,
8.48%, 11/15/13 (11)....... 834,150
2,055,000 Reichhold Industries,
Inc. -- 144A,
9.00%, 08/15/14............ 2,126,925
------------
12,053,445
------------
COMPUTER EQUIPMENT, SOFTWARE AND
SERVICES -- 0.6%
1,800,000 Interface, Inc.,
10.38%, 02/01/10........... 1,944,000
170,000 Interface, Inc.,
9.50%, 02/01/14............ 184,025
295,000 Open Solutions, Inc. -- 144A,
9.75%, 02/01/15............ 299,425
1,125,000 Sungard Data Systems, Inc.,
9.13%, 08/15/13............ 1,157,344
------------
3,584,794
------------
CONSTRUCTION SERVICES AND SUPPLIES -- 2.7%
1,775,000 Dayton Superior Corp.,
10.75%, 09/15/08........... 1,823,813
775,000 ESCO Corp. -- 144A,
8.63%, 12/15/13............ 817,625
775,000 ESCO Corp. -- 144A,
Floating Rate, 9.24%,
12/15/13 (2)............... 794,375
2,416,000 Goodman Global Holdings,
Series B, Floating Rate,
8.36%, 06/15/12 (11)....... 2,440,160
650,000 Interline Brands, Inc.,
8.13%, 06/15/14............ 658,125
3,755,000 Nortek, Inc.,
8.50%, 09/01/14............ 3,595,412
1,985,000 NTK Holdings, Inc.,
zero coupon, 03/01/14 (7).. 1,449,050
2,715,000 Panolam Industries
International -- 144A,
10.75%, 10/01/13........... 2,850,749
325,000 Ply Gem Industries, Inc.,
9.00%, 02/15/12............ 293,719
330,000 Stanley-Martin Communities
LLC,
9.75%, 08/15/15............ 292,050
------------
15,015,078
------------
CONSUMER GOODS AND SERVICES -- 0.5%
1,310,000 Amscan Holdings, Inc.,
8.75%, 05/01/14............ 1,300,175
1,580,000 Revlon Consumer Products
Corp.,
8.63%, 02/01/08............ 1,556,300
------------
2,856,475
------------
CONTAINERS AND PACKAGING -- 1.5%
2,120,000 Berry Plastics Holding
Company,
8.88%, 09/15/14............ 2,157,099
555,000 Berry Plastics Holding
Company, Floating Rate,
9.24%, 09/15/14 (2)........ 563,325
1,055,000 Intertape Polymer US, Inc.,
8.50%, 08/01/14............ 1,049,725
400,000 Jefferson Smurfit Corp.,
7.50%, 06/01/13............ 390,000
1,048,875 Pliant Corp.,
11.85%, 06/15/09 (14)...... 1,127,607
850,000 Smurfit-Stone Container Corp.,
8.38%, 07/01/12............ 855,313
2,195,000 Stone Container,
8.00%, 03/15/17............ 2,140,125
------------
8,283,194
------------
DISTRIBUTION -- 0.2%
1,085,000 Varietal Distribution
Holdings LLC -- 144A,
10.25%, 07/15/15 (12)...... 1,087,713
------------
</Table>
See notes to financial statements.
99
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
DIVERSIFIED OPERATIONS AND SERVICES -- 0.2%
$ 455,000 ARAMARK Corp. -- 144A,
8.50%, 02/01/15............ $ 465,238
770,000 ARAMARK Corp. -- 144A,
Floating Rate, 8.86%,
02/01/15 (2)............... 785,400
------------
1,250,638
------------
EDUCATION -- 0.9%
1,700,000 Education Management LLC,
8.75%, 06/01/14............ 1,751,000
3,125,000 Education Management LLC,
10.25%, 06/01/16........... 3,304,688
------------
5,055,688
------------
ELECTRONICS -- 0.2%
450,000 CPI Holdco, Inc., Floating
Rate,
11.15%, 02/01/15 (11)...... 465,750
550,000 Muzak LLC,
10.00%, 02/15/09........... 549,313
------------
1,015,063
------------
ENERGY SERVICES -- 0.1%
475,000 Verasun Energy Corp.,
9.88%, 12/15/12............ 501,125
------------
ENGINEERING -- 0.3%
1,470,000 Alion Science & Technology
Corp.,
10.25%, 02/01/15........... 1,525,125
------------
ENVIRONMENTAL WASTE MANAGEMENT AND
RECYCLING SERVICES -- 1.4%
1,160,000 Aleris International,
Inc. -- 144A,
9.00%, 12/15/14............ 1,175,950
3,430,000 Aleris International,
Inc. -- 144A,
10.00%, 12/15/16........... 3,421,425
1,150,000 Allied Waste North America,
Inc.,
7.25%, 03/15/15............ 1,144,250
1,800,000 Waste Services, Inc.,
9.50%, 04/15/14............ 1,901,250
------------
7,642,875
------------
EQUIPMENT RENTAL AND LEASING -- 0.1%
365,000 United Rentals North America,
Inc.,
7.75%, 11/15/13............ 367,281
------------
FINANCIAL SERVICES -- 4.7%
5,220,000 Ford Motor Credit Company,
Floating Rate
8.36%, 11/02/07 (2)........ 5,253,731
1,765,000 Ford Motor Credit Company,
6.63%, 06/16/08............ 1,764,208
3,090,000 Ford Motor Credit Company,
7.38%, 10/28/09............ 3,068,911
1,465,000 Ford Motor Credit Company,
7.88%, 06/15/10............ 1,465,665
100,000 Ford Motor Credit Company,
9.88%, 08/10/11............ 105,051
335,000 Ford Motor Credit Company LLC,
7.38%, 02/01/11............ 327,532
470,000 General Motors Acceptance
Corp.,
5.85%, 01/14/09............ 463,368
6,990,000 General Motors Acceptance
Corp.,
7.00%, 02/01/12............ 6,862,068
935,000 GMAC LLC,
5.13%, 05/09/08............ 923,510
1,485,000 GMAC LLC,
8.00%, 11/01/31............ 1,522,637
745,000 Kar Holdings, Inc. -- 144A,
Floating Rate, 9.36%,
05/01/14 (2)............... 746,863
4,175,000 Residential Capital
Corp. -- 144A,
Floating Rate, 7.19%,
04/17/09 (2)............... 4,158,070
------------
26,661,614
------------
FOOD AND BEVERAGE -- 1.6%
3,725,000 ASG Consolidated LLC/ASG
Finance, Inc.,
zero coupon, 11/01/11 (7).. 3,482,875
2,810,000 Dole Foods Company, Inc.,
8.63%, 05/01/09............ 2,817,025
2,070,000 Dole Foods Company, Inc.,
7.25%, 06/15/10............ 2,007,900
545,000 Pierre Foods, Inc.,
9.88%, 07/15/12............ 555,900
------------
8,863,700
------------
FUNERAL SERVICES -- 0.1%
655,000 Service Corp. International,
7.00%, 06/15/17............ 627,163
------------
INSURANCE -- 0.5%
2,815,000 Multiplan, Inc. -- 144A,
10.38%, 04/15/16........... 3,012,050
------------
LEISURE AND RECREATION -- 11.5%
2,465,000 AMC Entertainment, Inc.,
8.00%, 03/01/14............ 2,428,025
820,000 AMC Entertainment, Inc.,
11.00%, 02/01/16........... 910,200
2,000,000 Buffalo Thunder Development
Authority -- 144A,
9.38%, 12/15/14............ 2,010,000
1,105,000 CCM Merger, Inc. -- 144A,
8.00%, 08/01/13............ 1,105,000
1,200,000 Chukchansi Economic
Development
Authority -- 144A,
Floating Rate, 8.86%,
11/15/12 (11).............. 1,227,000
181,058 Eldorado Casino Shreveport,
10.00%, 08/01/12........... 184,227
4,395,000 Fontainebleau Las
Vegas -- 144A,
10.25%, 06/15/15........... 4,351,049
2,240,000 Galaxy Entertainment
Finance -- 144A (Hong
Kong),
9.88%, 12/15/12............ 2,419,200
2,020,000 Galaxy Entertainment
Finance -- 144A (Hong
Kong),
Floating Rate, 10.41%,
12/15/10 (11).............. 2,115,950
3,025,000 GreekTown Holdings -- 144A,
10.75%, 12/01/13........... 3,221,624
1,118,917 HRP Myrtle Beach
Holdings/CA -- 144A,
14.50%, 04/01/14 (12)...... 1,135,701
</Table>
See notes to financial statements.
100
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
LEISURE AND RECREATION (CONTINUED)
$ 945,000 HRP Myrtle Beach
Operations/CA -- 144A,
12.50%, 04/01/13........... $ 959,175
1,730,000 HRP Myrtle Beach
Operations/CA -- 144A,
Floating Rate,
10.07%, 04/01/12 (11)...... 1,738,650
2,420,000 Inn of The Mountain Gods,
12.00%, 11/15/10........... 2,607,550
165,000 Las Vegas Sands Corp.,
6.38%, 02/15/15............ 157,781
890,000 Majestic Holdco LLC -- 144A,
zero coupon, 10/15/11 (7).. 671,950
3,365,000 Marquee Holdings, Inc.,
zero coupon, 08/15/14 (7).. 2,944,375
1,500,000 MGM MIRAGE, 6.63%,
07/15/15................... 1,370,625
1,735,000 MGM MIRAGE,
7.50%, 06/01/16............ 1,654,756
460,000 Mohegan Tribal Gaming
Authority,
8.00%, 04/01/12............ 477,250
2,275,000 OED Corp./Diamond JO,
8.75%, 04/15/12............ 2,286,375
1,605,000 Pinnacle Entertainment,
Inc. -- 144A,
7.50%, 06/15/15............ 1,556,850
595,000 Pokagon Gaming
Authority -- 144A,
10.38%, 06/15/14........... 658,963
1,330,000 San Pasqual Casino -- 144A,
8.00%, 09/15/13............ 1,349,950
995,000 Seminole Hard Rock
Entertainment -- 144A,
Floating Rate, 7.86%,
03/15/14 (2)............... 1,007,438
455,000 Station Casinos, Inc.,
6.00%, 04/01/12............ 429,975
250,000 Station Casinos, Inc.,
7.75%, 08/15/16............ 248,750
1,340,000 The Majestic Star Casino LLC,
9.50%, 10/15/10............ 1,400,300
2,720,000 Travelport LLC,
9.88%, 09/01/14............ 2,896,800
7,865,000 Trump Entertainment Resorts,
Inc.,
8.50%, 06/01/15............ 7,845,337
2,435,000 Tunica-Biloxi Gaming
Authority -- 144A,
9.00%, 11/15/15............ 2,556,750
375,000 Turning Stone Resort
Casino -- 144A,
9.13%, 09/15/14............ 383,438
2,915,000 Universal City Development
Partners, Ltd.,
11.75%, 04/01/10........... 3,097,188
3,340,000 Universal City Florida,
Floating Rate,
10.11%, 05/01/10 (2)....... 3,423,499
1,760,000 Waterford Gaming LLC -- 144A,
8.63%, 09/15/12............ 1,843,600
------------
64,675,301
------------
MACHINERY -- 0.8%
1,050,000 Altra Industrial Motion, Inc.,
9.00%, 12/01/11............ 1,092,000
630,000 Altra Industrial
Motion, Inc. -- 144A,
9.00%, 12/01/11............ 655,200
830,000 Chart Industries, Inc.,
9.13%, 10/15/15............ 875,650
1,535,000 Stewart & Stevenson
LLC -- 144A,
10.00%, 07/15/14........... 1,611,750
305,000 The Manitowoc Company, Inc.,
10.50%, 08/01/12........... 321,775
------------
4,556,375
------------
MANUFACTURING -- 1.0%
1,000,000 American Railcar Industries,
Inc.,
7.50%, 03/01/14............ 1,000,000
1,535,000 Bombardier, Inc. -- 144A
(Canada),
8.00%, 11/15/14............ 1,596,400
595,000 Harland Clarke
Holdings -- 144A,
9.50%, 05/15/15............ 572,688
380,000 Nutro Products, Inc. -- 144A,
Floating Rate,
9.37%, 10/15/13 (11)....... 403,028
965,000 RBS Global & Rexnord Corp.,
9.50%, 08/01/14............ 993,950
870,000 RBS Global & Rexnord Corp.,
11.75%, 08/01/16........... 939,600
720,000 Venture Holdings Trust,
Series B, 9.50%,
07/01/05 (9)(13)........... 3,600
------------
5,509,266
------------
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES -- 5.9%
1,485,000 Accellent, Inc.,
10.50%, 12/01/13........... 1,481,288
2,900,000 Advanced Medical
Optics -- 144A,
7.50%, 05/01/17............ 2,755,000
2,235,000 AMR Holding Company/Emcare
Holding Company,
10.00%, 02/15/15........... 2,424,975
4,260,000 Community Health Systems,
Inc. -- 144A,
8.88%, 07/15/15............ 4,339,874
2,160,000 HCA, Inc.,
8.75%, 09/01/10............ 2,259,900
840,000 HCA, Inc.,
7.88%, 02/01/11............ 854,717
3,165,000 HCA, Inc. -- 144A,
9.25%, 11/15/16............ 3,378,637
1,105,000 National Mentor Holdings,
Inc.,
11.25%, 07/01/14........... 1,198,925
1,170,000 Norcross Safety Products LLC -
Series B,
9.88%, 08/15/11............ 1,234,350
1,000,000 Omnicare, Inc.,
6.88%, 12/15/15............ 955,000
985,000 Res-Care, Inc.,
7.75%, 10/15/13............ 1,014,550
</Table>
See notes to financial statements.
101
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES (CONTINUED)
$ 2,321,175 Safety Products Holdings,
Series B, 11.75%,
01/01/12 (12)(14).......... $ 2,429,286
2,060,000 Triad Hospitals, Inc.,
7.00%, 05/15/12............ 2,157,844
425,000 Universal Hospital Services,
Inc. -- 144A,
8.50%, 06/01/15 (12)....... 422,875
425,000 Universal Hospital Services,
Inc. -- 144A,
Floating Rate, 8.76%,
06/01/15 (2)............... 427,125
3,095,000 US Oncology, Inc.,
9.00%, 08/15/12............ 3,203,325
1,775,000 US Oncology, Inc.,
10.75%, 08/15/14........... 1,908,125
580,000 Vanguard Health Holding
Company I LLC,
11.25%, 10/01/15........... 475,600
289,000 Viant Holdings, Inc. -- 144A,
10.13%, 07/15/17........... 291,890
------------
33,213,286
------------
METALS AND MINING -- 1.8%
215,000 AK Steel Corp.,
7.88%, 02/15/09............ 215,538
2,585,000 FMG Finance Property,
Ltd. -- 144A (Australia),
10.63%, 09/01/16........... 3,089,074
1,065,000 FMG Finance Property,
Ltd. -- 144A (Australia),
Floating Rate,
9.36%, 09/01/11 (2)........ 1,134,225
1,349,000 Ispat Inland ULC (Canada),
9.75%, 04/01/14............ 1,495,731
1,770,000 Novelis, Inc. (Canada),
7.25%, 02/15/15............ 1,825,313
2,145,000 RathGibson, Inc.,
11.25%, 02/15/14........... 2,262,975
------------
10,022,856
------------
OIL, COAL AND GAS -- 6.3%
2,075,000 Allis-Chalmers Energy, Inc.,
9.00%, 01/15/14............ 2,121,687
480,000 Allis-Chalmers Energy, Inc.
-- 144A,
8.50%, 03/01/17............ 481,800
415,000 Alpha Natural Resources,
10.00%, 06/01/12........... 439,900
695,000 Cimarex Energy Company,
7.13%, 05/01/17............ 681,100
1,025,000 Clayton William Energy,
7.75%, 08/01/13............ 948,125
2,020,000 Compton Petroleum Finance
Corp. (Canada),
7.63%, 12/01/13............ 2,004,850
320,000 Copano Energy LLC,
8.13%, 03/01/16............ 326,400
290,000 Denbury Resources, Inc.,
7.50%, 12/15/15............ 290,725
1,895,000 Dynegy Holdings, Inc.,
8.38%, 05/01/16............ 1,861,838
1,550,000 Dynegy Holdings, Inc.,
7.63%, 10/15/26............ 1,379,500
2,320,000 Dynegy Holdings, Inc. -- 144A,
7.75%, 06/01/19............ 2,169,199
740,000 El Paso Corp.,
9.63%, 05/15/12............ 827,734
685,000 Encore Acquisition Corp.,
7.25%, 12/01/17............ 633,625
695,000 Giant Industries, Inc.,
8.00%, 05/15/14............ 752,199
1,305,000 Inergy LP/Inergy Finance
Corp.,
6.88%, 12/15/14............ 1,243,013
135,000 Inergy LP/Inergy Finance
Corp.,
8.25%, 03/01/16............ 139,388
1,055,000 Ocean Rig Norway AS -- 144A
(Norway),
8.38%, 07/01/13............ 1,091,925
1,075,000 OPTI Canada, Inc. -- 144A
(Canada),
7.88%, 12/15/14............ 1,080,375
970,000 OPTI Canada, Inc. -- 144A
(Canada),
8.25%, 12/15/14............ 989,400
525,000 Parker Drilling Company,
9.63%, 10/01/13............ 563,063
4,215,000 Petrohawk Energy Corp.,
9.13%, 07/15/13............ 4,478,437
1,435,000 Plains Exploration &
Production Company,
7.00%, 03/15/17............ 1,366,838
1,015,000 Quicksilver Resources, Inc.,
7.13%, 04/01/16............ 984,550
440,000 Ram Energy, Inc.,
11.50%, 02/15/08........... 452,100
2,985,000 Semgroup LP,
8.75%, 11/15/15............ 3,014,849
290,000 SESI LLC,
6.88%, 06/01/14............ 283,475
2,840,000 United Refining Company,
10.50%, 08/15/12........... 2,953,599
2,035,000 United Refining
Company -- 144A,
10.50%, 08/15/12........... 2,116,400
------------
35,676,094
------------
PAPER AND FOREST PRODUCTS -- 1.8%
1,060,000 Abitibi-Consolidated Finance,
7.88%, 08/01/09............ 1,028,200
995,000 Abitibi-Consolidated, Inc.
(Canada),
8.55%, 08/01/10............ 955,200
115,000 Georgia-Pacific Corp.,
9.50%, 12/01/11............ 122,475
333,000 MDP Acquisitions PLC
(Ireland),
9.63%, 10/01/12............ 350,483
3,910,000 NewPage Corp.,
10.00%, 05/01/12........... 4,242,349
665,000 NewPage Corp.,
Floating Rate, 11.61%,
05/01/12 (2)............... 728,175
</Table>
See notes to financial statements.
102
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
PAPER AND FOREST PRODUCTS (CONTINUED)
$ 2,655,000 Verso Paper Holdings, LLC/
Verso Paper, Inc. -- 144A,
11.38%, 08/01/16........... $ 2,847,488
------------
10,274,370
------------
PRINTING AND PUBLISHING -- 2.3%
2,281,634 CanWest Media, Inc. (Canada),
8.00%, 09/15/12............ 2,275,930
410,000 CBD Media LLC/CBD Finance,
Inc.,
8.63%, 06/01/11............ 416,150
1,041,000 Dex Media West Finance
Company,
Series B,
9.88%, 08/15/13............ 1,119,075
1,145,000 Idearc, Inc.,
8.00%, 11/15/16............ 1,162,175
475,000 MediaNews Group, Inc.,
6.88%, 10/01/13............ 410,875
1,150,000 Medimedia USA, Inc. -- 144A,
11.38%, 11/15/14........... 1,239,125
1,000,000 Primedia, Inc., Floating Rate,
10.74%, 05/15/10 (2)....... 1,033,750
5,390,000 Reader's Digest
Association -- 144A,
9.00%, 02/15/17............ 5,066,600
------------
12,723,680
------------
REAL ESTATE DEVELOPMENT AND SERVICES -- 0.7%
630,000 Ashton Woods USA, LLC/Ashton
Woods Finance Company,
9.50%, 10/01/15............ 585,900
915,000 HydroChem Industrial
Services, Inc. -- 144A,
9.25%, 02/15/13............ 947,025
2,430,000 Realogy Corp. -- 144A,
10.50%, 04/15/14........... 2,320,650
------------
3,853,575
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
950,000 Host Hotels & Resorts LP,
6.88%, 11/01/14............ 944,063
------------
RETAIL -- 6.8%
4,020,000 Bon-Ton Department Stores,
Inc.,
10.25%, 03/15/14........... 4,090,350
1,925,000 General Nutrition
Centers -- 144A,
9.80%, 03/15/14 (12)....... 1,867,250
1,925,000 General Nutrition
Centers -- 144A,
10.75%, 03/15/15 (12)...... 1,934,625
4,890,000 GSC Holdings Corp.,
8.00%, 10/01/12............ 5,134,500
1,615,000 Michaels Stores, Inc. -- 144A,
10.00%, 11/01/14........... 1,663,450
660,000 Michaels Stores, Inc. -- 144A,
11.38%, 11/01/16........... 693,000
2,020,000 Neiman Marcus Group, Inc.,
9.00%, 10/15/15............ 2,171,500
5,720,000 Neiman Marcus Group, Inc.,
10.38%, 10/15/15........... 6,320,599
2,910,000 Rite Aid Corp.,
7.50%, 01/15/15............ 2,888,175
4,885,000 Rite Aid Corp. -- 144A,
6.13%, 12/15/08............ 4,811,725
5,355,000 Rite Aid Corp. -- 144A,
9.50%, 06/15/17............ 5,167,575
465,000 Toys "R" Us, Inc.,
7.63%, 08/01/11............ 434,775
1,135,000 Toys "R" Us, Inc.,
7.38%, 10/15/18............ 961,913
------------
38,139,437
------------
RETAIL: RESTAURANTS -- 0.6%
1,720,000 El Pollo Loco, Inc.,
11.75%, 11/15/13........... 1,823,200
1,665,000 NPC International, Inc.,
Series WI, 9.50%,
05/01/14................... 1,623,375
------------
3,446,575
------------
RUBBER PRODUCTS -- 0.3%
960,000 The Goodyear Tire & Rubber
Company -- 144A,
Floating Rate, 9.13%,
12/01/09 (11).............. 967,200
675,000 The Goodyear Tire & Rubber
Company -- 144A,
8.63%, 12/01/11............ 713,813
------------
1,681,013
------------
SEMICONDUCTORS -- 0.6%
535,000 Advanced Micro Devices, Inc.,
7.75%, 11/01/12............ 505,575
825,000 Avago Technologies Finance
Pte.,
Ltd. (Singapore),
10.13%, 12/01/13........... 882,750
605,000 Avago Technologies Finance
Pte., Ltd . (Singapore),
11.88%, 12/01/15........... 679,113
1,600,000 Freescale Semiconductor,
Inc. -- 144A,
8.88%, 12/15/14............ 1,536,000
------------
3,603,438
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 6.5%
1,460,000 Centennial Cellular/
Communications,
10.13%, 06/15/13........... 1,573,150
1,170,000 Citizens Communications
Company,
7.13%, 03/15/19............ 1,111,500
2,235,000 Digicel Group, Ltd. -- 144A
(Bermuda),
8.88%, 01/15/15............ 2,195,888
2,685,000 Digicel Group, Ltd. -- 144A
(Bermuda),
9.13%, 01/15/15 (12)....... 2,654,794
2,060,000 Digicel, Ltd. -- 144A
(Bermuda),
9.25%, 09/01/12............ 2,181,025
2,130,000 Intelsat Bermuda, Ltd.
(Bermuda),
5.25%, 11/01/08............ 2,108,700
3,600,000 Intelsat Bermuda, Ltd.
(Bermuda),
9.25%, 06/15/16............ 3,842,999
</Table>
See notes to financial statements.
103
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
CORPORATE BONDS AND NOTES (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES (CONTINUED)
$ 695,000 iPCS, Inc. -- 144A,
Floating Rate, 7.48%,
05/01/13 (2)............... $ 699,344
1,210,000 Level 3 Financing, Inc.,
9.25%, 11/01/14............ 1,228,150
1,690,000 Level 3 Financing,
Inc. -- 144A,
8.75%, 02/15/17............ 1,679,438
2,960,000 NTL Cable PLC
(United Kingdom),
8.75%, 04/15/14............ 3,063,599
460,000 Qwest Capital Funding, Inc.,
7.00%, 08/03/09............ 462,300
530,000 Qwest Capital Funding, Inc.,
7.90%, 08/15/10............ 541,925
290,000 Qwest Communications
International,
Series B, 7.50%, 11/01/08.. 292,900
1,745,000 Qwest Communications
International,
Series B, 7.50%, 02/15/14.. 1,775,538
515,000 Qwest Corp.,
8.88%, 03/15/12............ 557,488
470,000 Qwest Corp.,
7.63%, 06/15/15............ 487,625
110,000 Qwest Corp.,
7.20%, 11/10/26............ 108,625
2,430,000 Qwest Corp.,
Floating Rate, 8.61%,
06/15/13 (2)............... 2,648,700
3,610,000 West Corp.,
9.50%, 10/15/14............ 3,718,299
495,000 West Corp.,
11.00%, 10/15/16........... 519,750
905,000 Windstream Corp.,
8.13%, 08/01/13............ 950,250
1,870,000 Windstream Corp.,
8.63%, 08/01/16............ 1,986,875
------------
36,388,862
------------
TRANSPORTATION -- 1.4%
497,000 H-Lines Finance Holding,
zero coupon, 04/01/13 (7).. 489,545
1,277,000 Horizon Lines LLC,
9.00%, 11/01/12............ 1,356,813
705,000 Kansas City Southern,
9.50%, 10/01/08............ 733,200
625,000 Kansas City Southern de
Mexico -- 144A (Mexico),
7.38%, 06/01/14............ 621,875
1,295,000 Kansas City Southern de
Mexico, S de RL de
CV -- 144A (Mexico),
7.63%, 12/01/13............ 1,295,000
675,000 Sabre Holdings Corp.,
8.35%, 03/15/16............ 610,875
2,325,000 TFM, SA de CV (Mexico),
9.38%, 05/01/12............ 2,499,375
------------
7,606,683
------------
Utili-
tie-
s -- 1.2%
400,000 AES Corp. -- 144A,
8.75%, 05/15/13............ 424,000
310,000 AES Corp. -- 144A,
9.00%, 05/15/15............ 329,763
459,385 AES Eastern Energy,
Series 99-A,
9.00%, 01/02/17............ 512,502
660,000 NRG Energy, Inc.,
7.25%, 02/01/14............ 663,300
655,000 NRG Energy, Inc.,
7.38%, 02/01/16............ 658,275
2,005,000 NRG Energy, Inc.,
7.38%, 01/15/17............ 2,017,531
2,015,000 Orion Power Holdings, Inc.,
12.00%, 05/01/10........... 2,287,025
------------
6,892,396
------------
TOTAL CORPORATE BONDS AND
NOTES
(Cost $448,748,269)........ 454,316,728
------------
LOAN PARTICIPATIONS -- 9.7%
2,800,000 ADESA, Inc., Term Loan B,
Floating Rate,
7.61%, 10/18/13 (2)........ 2,805,603
1,000,000 Advanced Medical Optics, Inc.,
Term Loan B, Floating Rate,
7.09%, 04/02/14 (2)........ 996,875
880,000 AMSCAN Holdings, Inc.,
Floating Rate,
7.63%, 05/25/13 (2)........ 882,017
2,010,000 BLB Worldwide Holdings,
Floating Rate,
9.63%, 06/30/12 (2)........ 2,021,306
860,000 Cannery Casino Resorts, LLC,
Floating Rate,
9.61%, 05/18/14 (2)........ 866,450
3,680,000 Claire's Stores, Inc.,
Term Loan B,
Floating Rate, 8.11%,
05/24/14 (2)............... 3,622,500
1,120,000 Dresser, Inc., Floating Rate,
7.86%, 05/04/14 (2)........ 1,126,184
560,000 Dresser, Inc.,
Floating Rate,
11.11%, 05/04/15 (2)....... 568,190
1,723,733 Freeport McMoRan Copper &
Gold, Inc.,
Term Loan B, Floating Rate,
9.00%, 03/19/14 (2)........ 1,726,717
2,400,000 Great Lakes Entertainment,
LLC,
9.00%, 08/15/12............ 2,370,000
96,738 Hawker Beechcraft Acquisition
Company, LLC,
Floating Rate,
5.26%, 03/26/14 (2)........ 96,932
1,143,262 Hawker Beechcraft Acquisition
Company, LLC,
Term Loan B,
Floating Rate,
7.26%, 03/26/14 (2)........ 1,145,559
4,169,550 HCA, Inc., Term Loan B,
Floating Rate,
7.61%, 11/18/13 (2)........ 4,192,758
</Table>
See notes to financial statements.
104
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
LOAN PARTICIPATIONS (CONTINUED)
$ 3,260,000 Hit Entertainment, Inc.,
Tranche LN227528,
Floating Rate,
10.86%, 02/05/13 (2)....... $ 3,295,658
1,321,439 Houghton Mifflin, Inc.,
Floating Rate,
12.06%, 12/21/07 (2)....... 1,324,743
1,100,000 Intelsat, Ltd. (Bermuda),
Floating Rate,
7.86%, 02/01/14 (2)........ 1,102,505
2,050,000 Level 3 Financing, Inc.,
Floating Rate,
7.61%, 03/13/14 (2)........ 2,053,985
1,420,000 Michaels Stores, Inc.,
Term Loan B,
Floating Rate,
7.63%, 10/31/13 (2)........ 1,408,365
750,000 Neff Rental, Inc.,
Floating Rate,
8.90%, 05/31/13 (2)........ 755,469
6,965,000 Nielsen Finance, LLC,
Floating Rate,
7.61%, 08/09/13 (2)........ 7,015,063
126,080 Ply Gem Industries, Inc.,
Floating Rate,
8.11%, 08/15/11 (2)........ 125,765
3,373,920 Ply Gem Industries, Inc.,
Term Loan B-3,
Floating Rate,
8.11%, 08/15/11 (2)........ 3,365,485
738,182 Realogy Corp.,
Floating Rate,
8.32%, 09/01/14 (2)........ 731,928
2,741,818 Realogy Corp.,
Floating Rate,
8.35%, 09/01/14 (2)........ 2,718,590
827,674 Rental Services Corp.,
Floating Rate,
8.86%, 11/30/13 (2)........ 841,952
3,605,406 Sabre, Inc., Term Loan B,
Floating Rate,
7.61%, 09/30/14 (2)........ 3,578,928
3,040,000 Sandridge Energy, Inc.,
8.63%, 04/01/15............ 3,116,000
700,000 USI Holdings Corp.,
Floating Rate,
8.11%, 05/04/14 (2)........ 705,833
------------
TOTAL LOAN PARTICIPATIONS
(Cost $54,385,899)......... 54,561,360
------------
<Caption>
SHARES
------
COMMON STOCKS -- 0.7%
AIRLINES -- 0.0%
11,466 Delta Air Lines, Inc.*........ 225,880
500,000 Delta Air Lines, Inc.
(Escrow Certificates)*..... 33,438
------------
259,318
------------
BROADCAST SERVICES/MEDIA -- 0.5%
50,250 Time Warner Cable
Inc. -- Class A*........... 1,968,292
------------
FINANCIAL SERVICES -- 0.0%
2,697,805 Adelphia Contingent Value
Vehicle CVV, Series
Acc -- 1*.................. $ 256,291
------------
LEISURE AND RECREATION -- 0.2%
970 HRP -- Class B*(14)........... 10
1,100 Shreveport Gaming
Holdings, Inc.* (14)....... 19,635
104,876 Trump Entertainment
Resorts, Inc.*............. 1,316,194
------------
1,335,839
------------
UTILITIES -- 0.0%
550,000 Mirant Corp.
(Escrow Certificates)*..... 38,335
1,220,000 Mirant Corp.
(Escrow Certificates)*..... 72,102
------------
110,437
------------
TOTAL COMMON STOCKS
(Cost $4,484,141).......... 3,930,177
------------
PREFERRED STOCKS -- 0.5%
LEISURE AND RECREATION
2,905 Fontainebleau Equity
Holdings, LLC,
12.50%, perpetual(12)
(Cost $2,905,000).......... 2,905,000
------------
CONVERTIBLE PREFERRED STOCKS -- 0.9%
OIL, COAL AND GAS -- 0.5%
5,273 Chesapeake Energy
Corp. -- 144A,
5.00%...................... 588,599
21,865 Chesapeake Energy Corp.,
4.50%...................... 2,197,432
------------
2,786,031
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 0.4%
38,375 Crown Castle International
Corp.,
6.25%...................... 2,216,156
------------
TOTAL CONVERTIBLE PREFERRED
STOCKS
(Cost $4,427,021).......... 5,002,187
------------
WARRANTS -- 0.1%
1,125 American Tower Corp.,
Expires 08/01/08*
(Cost $75,400)............. 666,422
------------
<Caption>
PRINCIPAL
---------
CONVERTIBLE BONDS -- 0.3%
AEROSPACE AND DEFENSE -- 0.3%
$ 1,305,000 L-3 Communications
Corp. -- 144A, 3.00%,
08/01/35................... 1,477,913
------------
BROADCAST SERVICES/MEDIA -- 0.0%
80,000 XM Satellite Radio Holdings,
Inc., 1.75%, 12/01/09...... 68,900
------------
TOTAL CONVERTIBLE BONDS
(Cost $1,396,910).......... 1,546,813
------------
TOTAL SECURITIES
(Cost $516,422,640)........ 522,928,687
------------
</Table>
See notes to financial statements.
105
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- ------------
REPURCHASE AGREEMENTS -- 5.7%
$32,187,362 With Investors Bank and
Trust, dated
06/29/07, 4.76%, due
07/02/07, repurchase
proceeds at maturity
$32,200,130 (Collateralized
by various Fannie Mae
Adjustable Rate Mortgages,
4.58%-5.67%, due 11/01/33-
05/25/34, with a total
value of $24,461,137 and
Small Business
Administration, 8.09%, due
05/25/29, with a value of
$9,335,593) (Cost
$32,187,362)............... $ 32,187,362
------------
Total Investments -- 98.8%
(Cost $548,610,002)........ 555,116,049
Other assets less
liabilities -- 1.2%........ 6,906,304
------------
NET ASSETS -- 100.0%.......... $562,022,353
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $548,610,002.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation... $13,284,478
Gross unrealized depreciation... (6,778,431)
-----------
Net unrealized appreciation..... $ 6,506,047
===========
</Table>
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
106
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 61.3%
AEROSPACE AND DEFENSE -- 1.8%
14,350 Lockheed Martin Corp. .... $ 1,350,766
24,171 Northrop Grumman Corp. ... 1,882,196
32,250 Raytheon Company.......... 1,737,953
20,000 The Boeing Company........ 1,923,199
------------
6,894,114
------------
AGRICULTURE -- 0.6%
31,100 Monsanto Company.......... 2,100,494
------------
APPAREL: MANUFACTURING AND RETAIL -- 0.1%
1,300 NIKE, Inc. -- Class B..... 75,777
8,000 Payless ShoeSource,
Inc.*.................. 252,400
------------
328,177
------------
AUTOMOBILE: RENTAL -- 0.0%
2,200 Avis Budget Group, Inc.*.. 62,546
------------
AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE
EQUIPMENT AND REPAIRS -- 0.7%
64,000 AutoNation, Inc.*......... 1,436,160
11,700 PACCAR, Inc. ............. 1,018,368
5,200 TRW Automotive
Holdings Corp.*........ 191,516
------------
2,646,044
------------
BANKS -- 3.4%
79,712 Bank of America Corp. .... 3,897,120
19,500 Regions Financial Corp. .. 645,450
10,900 SunTrust Banks, Inc. ..... 934,566
4,200 The Bank of New York
Company, Inc. ......... 174,048
21,182 US Bancorp................ 697,947
57,645 Wachovia Corp. ........... 2,954,306
97,500 Wells Fargo & Company..... 3,429,075
------------
12,732,512
------------
BROADCAST SERVICES/MEDIA -- 3.2%
55,650 CBS Corp. -- Class B...... 1,854,258
20,650 Comcast Corp. -- Class
A*..................... 580,678
9,200 Liberty Media
Corp. -- Capital -- S-
eries A*............... 1,082,656
62,000 The DIRECTV Group,
Inc.* (8).............. 1,432,820
25,600 The McGraw-Hill Companies,
Inc. .................. 1,742,848
75,200 The Walt Disney Company... 2,567,328
134,990 Time Warner, Inc. ........ 2,840,190
------------
12,100,778
------------
BUSINESS SERVICES AND SUPPLIES -- 1.2%
34,400 Accenture, Ltd. -- Class A
(Bermuda).............. 1,475,416
2,600 First Data Corp. ......... 84,942
5,400 Gartner, Inc.*............ 132,786
15,200 Manpower, Inc. ........... 1,402,048
23,300 Moody's Corp. ............ 1,449,260
------------
4,544,452
------------
CHEMICALS -- 0.5%
17,200 Ashland, Inc. ............ 1,099,940
10,000 Celanese Corp. -- Series
A...................... 387,800
300 EI du Pont de Nemours and
Company................ 15,252
4,800 Lyondell Chemical
Company................ 178,176
3,500 The Dow Chemical Company.. 154,770
------------
1,835,938
------------
COLLECTIBLES -- 0.0%
1,100 Sotheby's................. 50,622
------------
COMPUTER EQUIPMENT, SOFTWARE AND
SERVICES -- 4.9%
1,900 Adobe Systems, Inc.*...... 76,285
16,900 Apple, Inc.*.............. 2,062,476
3,900 Automatic Data Processing,
Inc. .................. 189,033
2,600 Computer Sciences Corp.*.. 153,790
37,300 Dell, Inc.*............... 1,064,915
1,700 Electronic Data Systems
Corp. ................. 47,141
77,300 EMC Corp.*................ 1,399,130
71,887 Hewlett-Packard Company... 3,207,597
21,150 International Business
Machines Corp. ........ 2,226,038
21,100 Lexmark International,
Inc. -- Class A*....... 1,040,441
197,050 Microsoft Corp. .......... 5,807,063
58,100 Oracle Corp.*............. 1,145,151
14,100 Sun Microsystems, Inc.*... 74,166
------------
18,493,226
------------
CONSTRUCTION SERVICES AND
SUPPLIES -- 0.0%
700 Vulcan Materials Company.. 80,178
------------
CONSUMER GOODS AND SERVICES -- 2.5%
51,050 Altria Group, Inc. ....... 3,580,647
17,600 American Greetings
Corp. -- Class A(8).... 498,608
5,200 Avon Products, Inc. ...... 191,100
3,500 Energizer Holdings,
Inc.*.................. 348,600
1,300 NBTY, Inc.*............... 56,160
42,798 Procter & Gamble Company.. 2,618,810
19,000 The Estee Lauder
Companies,
Inc. -- Class A........ 864,690
25,400 UST, Inc. ................ 1,364,234
------------
9,522,849
------------
</Table>
See notes to financial statements.
107
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
DISTRIBUTION -- 0.1%
7,400 Tech Data Corp.*.......... $ 284,604
------------
DIVERSIFIED OPERATIONS AND
SERVICES -- 2.0%
192,700 General Electric Company.. 7,376,556
------------
EDUCATION -- 0.3%
8,800 ITT Educational Services,
Inc.*.................. 1,032,944
------------
ELECTRONICS -- 0.7%
6,200 Avnet, Inc.*.............. 245,768
36,500 Emerson Electric Company.. 1,708,200
23,300 Synopsys, Inc.*........... 615,819
------------
2,569,787
------------
FINANCIAL SERVICES -- 5.1%
6,700 American Express Company.. 409,906
6,920 Ameriprise Financial,
Inc. .................. 439,904
79,699 Citigroup, Inc. .......... 4,087,762
42,400 Countrywide Financial
Corp.(8)............... 1,541,240
800 Franklin Resources,
Inc. .................. 105,976
16,200 Janus Capital Group,
Inc.(8)................ 451,008
86,700 JPMorgan Chase & Company.. 4,200,614
8,200 MasterCard, Inc. -- Class
A(8)................... 1,360,134
31,300 Merrill Lynch & Company,
Inc. .................. 2,616,054
34,600 Morgan Stanley............ 2,902,248
3,200 SLM Corp. ................ 184,256
1,500 T Rowe Price Group,
Inc. .................. 77,835
23,550 Washington Mutual, Inc. .. 1,004,172
------------
19,381,109
------------
FOOD AND BEVERAGE -- 1.6%
6,100 General Mills, Inc. ...... 356,362
56,754 Kraft Foods, Inc. -- Class
A...................... 2,000,578
3,500 Molson Coors Brewing
Company -- Class B..... 323,610
12,400 PepsiCo, Inc. ............ 804,140
22,450 The Coca-Cola Company..... 1,174,360
66,300 Tyson Foods, Inc. -- Class
A...................... 1,527,552
------------
6,186,602
------------
INSURANCE -- 3.6%
16,100 Ambac Financial Group,
Inc. .................. 1,403,759
25,603 American International
Group, Inc. ........... 1,792,978
31,300 CIGNA Corp. .............. 1,634,486
400 CNA Financial Corp.(8).... 19,076
46,000 Genworth Financial,
Inc. -- Class A........ 1,582,400
29,100 Loews Corp. .............. 1,483,518
21,302 MBIA, Inc.(8)............. 1,325,410
33,200 MetLife, Inc. ............ 2,140,737
34,800 The Travelers Companies,
Inc. .................. 1,861,800
3,100 XL Capital, Ltd. -- Class
A (Cayman Islands)..... 261,299
------------
13,505,463
------------
INTERNET SERVICES -- 2.4%
8,900 Amazon.com, Inc.*(8)...... 608,849
157,450 Cisco Systems, Inc.*...... 4,384,983
8,400 eBay, Inc.*............... 270,312
2,900 Expedia, Inc.*............ 84,941
2,190 Google, Inc. -- Class A*.. 1,146,202
22,300 IAC/InterActive
Corp.*(8).............. 771,803
3,500 Juniper Networks, Inc.*... 88,095
87,000 Symantec Corp.*........... 1,757,400
------------
9,112,585
------------
LEISURE AND RECREATION -- 0.4%
2,900 Carnival Corp. (Panama)... 141,433
32,900 Marriott International,
Inc. -- Class A........ 1,422,596
------------
1,564,029
------------
MACHINERY -- 0.7%
2,700 Cummins, Inc. ............ 273,267
9,400 Deere & Company........... 1,134,956
16,500 Terex Corp.*.............. 1,341,450
------------
2,749,673
------------
MANUFACTURING -- 0.7%
15,300 SPX Corp. ................ 1,343,493
40,900 Tyco International, Ltd.
(Bermuda)*............. 1,382,011
------------
2,725,504
------------
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES -- 1.7%
1,800 Baxter International,
Inc. .................. 101,412
22,900 Humana, Inc.*............. 1,394,839
44,750 Johnson & Johnson......... 2,757,495
18,150 Medtronic, Inc. .......... 941,259
900 St Jude Medical, Inc.*.... 37,341
12,800 Zimmer Holdings, Inc.*.... 1,086,592
------------
6,318,938
------------
METALS AND MINING -- 0.6%
1,900 Newmont Mining Corp. ..... 74,214
28,100 Nucor Corp. .............. 1,648,065
1,000 Southern Copper Corp.(8).. 94,260
5,200 United States Steel
Corp. ................. 565,500
------------
2,382,039
------------
</Table>
See notes to financial statements.
108
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
OIL, COAL AND GAS -- 6.6%
13,614 Apache Corp. ............. $ 1,110,766
41,900 Chevron Corp. ............ 3,529,656
10,962 ConocoPhillips............ 860,517
24,850 Devon Energy Corp. ....... 1,945,507
1,600 Dresser-Rand Group,
Inc.*.................. 63,200
114,950 Exxon Mobil Corp. ........ 9,642,005
13,700 GlobalSantaFe Corp.
(Cayman Islands)....... 989,825
12,300 Halliburton Company....... 424,350
33,800 Marathon Oil Corp. ....... 2,026,648
1,500 National-Oilwell Varco,
Inc.*.................. 156,360
4,100 Noble Energy, Inc. ....... 255,799
3,400 ONEOK, Inc. .............. 171,394
2,400 Plains Exploration &
Production Company*.... 114,744
17,100 Schlumberger, Ltd.
(Netherlands
Antilles).............. 1,452,474
22,500 Tesoro Corp. ............. 1,285,875
400 Valero Energy Corp. ...... 29,544
10,800 XTO Energy, Inc. ......... 649,080
------------
24,707,744
------------
PAPER AND FOREST PRODUCTS -- 0.2%
67,700 Domtar Corp.*............. 755,532
------------
PHARMACEUTICALS/RESEARCH AND
DEVELOPMENT -- 5.3%
24,300 Abbott Laboratories....... 1,301,265
28,400 AmerisourceBergen Corp. .. 1,404,948
23,334 Amgen, Inc.*.............. 1,290,137
16,600 Biogen Idec, Inc.*........ 888,100
1,800 Celgene Corp.*............ 103,194
14,300 Eli Lilly and Company..... 799,084
34,700 Forest Laboratories,
Inc.*.................. 1,584,055
42,800 Gilead Sciences, Inc.*.... 1,659,356
12,500 Medco Health Solutions,
Inc.*.................. 974,875
61,000 Merck & Company, Inc. .... 3,037,800
21,300 Millennium
Pharmaceuticals,
Inc.*.................. 225,141
177,960 Pfizer, Inc. ............. 4,550,436
70,600 Schering-Plough Corp. .... 2,149,064
------------
19,967,455
------------
REAL ESTATE DEVELOPMENT AND
SERVICES -- 0.2%
14,700 CB Richard Ellis Group,
Inc. -- Class A*....... 536,550
1,100 Jones Lang LaSalle,
Inc. .................. 124,850
------------
661,400
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.6%
1,000 Boston Properties, Inc. .. 102,130
3,700 Health Care Property
Investors, Inc. ....... 107,041
9,800 HRPT Properties Trust..... 101,920
24,300 ProLogis.................. 1,382,670
6,600 Simon Property Group,
Inc. .................. 614,064
------------
2,307,825
------------
RETAIL -- 1.0%
11,800 CVS Caremark Corp. ....... 430,110
8,800 Dollar Tree Stores,
Inc.*.................. 383,240
5,700 JC Penney Company, Inc. .. 412,566
200 Kohl's Corp.*............. 14,206
31,200 RadioShack Corp.(8)....... 1,033,968
32,900 Rite Aid Corp.*........... 209,902
1,972 The Home Depot, Inc. ..... 77,598
27,970 Wal-Mart Stores, Inc. .... 1,345,637
------------
3,907,227
------------
RETAIL: RESTAURANTS -- 0.8%
47,900 McDonald's Corp. ......... 2,431,404
18,000 YUM! Brands, Inc. ........ 588,960
------------
3,020,364
------------
RETAIL: SUPERMARKETS -- 0.8%
44,400 Safeway, Inc. ............ 1,510,932
58,900 The Kroger Company........ 1,656,857
------------
3,167,789
------------
SCIENTIFIC AND TECHNICAL
INSTRUMENTS -- 0.1%
4,300 Applera Corp.-Applied
Biosystems Group....... 131,322
4,500 Waters Corp.*............. 267,120
------------
398,442
------------
SEMICONDUCTORS -- 1.7%
91,700 Atmel Corp.*.............. 509,852
79,850 Intel Corp. .............. 1,897,236
5,000 MEMC Electronic
Materials, Inc.*....... 305,600
23,200 Novellus Systems,
Inc.*(8)............... 658,184
12,200 NVIDIA Corp.*............. 503,982
63,250 Texas Instruments, Inc. .. 2,380,098
------------
6,254,952
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 2.7%
5,900 ALLTEL Corp. ............. 398,545
3,800 Andrew Corp.*(8).......... 54,872
100,145 AT&T, Inc. ............... 4,156,017
30,750 CenturyTel, Inc. ......... 1,508,288
</Table>
See notes to financial statements.
109
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES (CONTINUED)
1,200 Polycom, Inc.*............ $ 40,320
35,400 Qwest Communications
International, Inc.*... 343,380
112,150 Sprint Nextel Corp. ...... 2,322,627
29,100 UTStarcom, Inc.*(8)....... 163,251
32,900 Verizon Communications,
Inc. .................. 1,354,493
------------
10,341,793
------------
TOYS -- 0.1%
6,300 Hasbro, Inc. ............. 197,883
3,100 Mattel, Inc. ............. 78,399
------------
276,282
------------
TRANSPORTATION -- 0.6%
36,100 CSX Corp. ................ 1,627,388
5,100 Union Pacific Corp. ...... 587,265
------------
2,214,653
------------
UTILITIES -- 1.8%
4,700 Constellation Energy
Group.................. 409,699
37,600 Duke Energy Corp. ........ 688,080
1,090 Dynegy, Inc. -- Class A*.. 10,290
200 Edison International...... 11,224
15,050 Entergy Corp. ............ 1,615,617
6,200 FirstEnergy Corp. ........ 401,326
3,600 NRG Energy, Inc.*......... 149,652
33,150 PG&E Corp. ............... 1,501,695
44,200 Reliant Energy, Inc.*..... 1,191,190
10,400 TXU Corp. ................ 699,920
------------
6,678,693
------------
TOTAL COMMON STOCKS
(Cost $196,826,299).... 231,241,914
------------
<Caption>
PRINCIPAL
---------
US TREASURY SECURITIES -- 2.1%
US TREASURY BONDS -- 0.1%
$ 50,000 8.88%, 08/15/17 (8)....... 64,789
380,000 4.50%, 02/15/36 (8)....... 344,197
150,000 4.75%, 02/15/37........... 141,481
------------
550,467
------------
US TREASURY INFLATION INDEX -- 1.4%
130,865 0.88%, 04/15/10........... 124,322
83,269 2.38%, 04/15/11........... 82,384
941,314 1.63%, 01/15/15........... 875,275
191,185 1.88%, 07/15/15........... 180,730
447,591 2.00%, 01/15/16........... 425,107
531,960 2.50%, 07/15/16........... 526,183
163,914 2.38%, 01/15/17........... 160,085
317,846 2.38%, 01/15/25........... 305,728
187,364 2.00%, 01/15/26........... 169,769
2,294,790 2.38%, 01/15/27........... 2,204,435
------------
5,054,018
------------
US TREASURY NOTES -- 0.2%
350,000 5.13%, 06/30/11........... 352,762
40,000 4.63%, 10/31/11 (8)....... 39,547
100,000 4.50%, 03/31/12 (8)....... 98,203
420,000 4.50%, 04/30/12........... 412,322
6,000 5.13%, 05/15/16........... 6,036
------------
908,870
------------
US TREASURY STRIPS -- 0.4%
3,270,000 Zero coupon, 11/15/24..... 1,320,338
------------
TOTAL US TREASURY
SECURITIES
(Cost $8,021,881)...... 7,833,693
------------
US GOVERNMENT AGENCY SECURITIES -- 19.4%
ASSET BACKED: MORTGAGE AND HOME
EQUITY -- 0.7%
600,000 Fannie Mae Grantor Trust,
Series 2001-T2, Class
B, 6.02%,
11/25/10 (5)........... 611,614
209,562 Fannie Mae,
Series 1999-7, Class
AB, 6.00%,
03/25/29 (5)........... 207,550
760,000 Fannie Mae,
Series 2003-35, Class
TE, 5.00%,
05/25/18 (5)........... 739,080
440,823 Fannie Mae,
Series 2004-60, Class
LB, 5.00%,
04/25/34 (5)........... 428,404
563,333 Fannie Mae,
Series 2004-99, Class
A0, 5.50%,
01/25/34 (5)........... 557,860
------------
2,544,508
------------
FANNIE MAE -- 14.1%
1,952,685 PL# 256219, 5.50%,
04/01/36 (5)........... 1,872,629
118,689 PL# 535675, 7.00%,
01/01/16 (5)........... 122,241
948 PL# 549906, 7.50%,
09/01/30 (5)........... 991
2,294 PL# 552549, 7.50%,
09/01/30 (5)........... 2,397
585 PL# 558384, 7.50%,
01/01/31 (5)........... 612
2,465 PL# 568677, 7.50%,
01/01/31 (5)........... 2,575
887 PL# 572762, 7.50%,
03/01/31 (5)........... 926
</Table>
See notes to financial statements.
110
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL
---------
US GOVERNMENT AGENCY SECURITIES
(CONTINUED)
FANNIE MAE (CONTINUED)
$ 15,843 PL# 582178, 7.50%,
06/01/31 (5)........... $ 16,540
13,132 PL# 594316, 6.50%,
07/01/31 (5)........... 13,389
2,504 PL# 602859, 6.50%,
10/01/31 (5)........... 2,553
14,081 PL# 614924, 7.00%,
12/01/16 (5)........... 14,510
1,039,812 PL# 735809, Variable Rate,
4.48%, 08/01/35 (1)
(5).................... 1,032,303
78,618 PL# 745000, 6.00%,
10/01/35 (5)........... 77,924
52,364 PL# 779545, 6.00%,
06/01/34 (5)........... 51,988
44,505 PL# 785183, 6.00%,
07/01/34 (5)........... 44,185
202,518 PL# 787311, 6.00%,
06/01/34 (5)........... 201,065
2,346,028 PL# 790915, 6.00%,
09/01/34 (5)........... 2,329,187
1,764,573 PL# 792113, 6.00%,
09/01/34 (4) (5)....... 1,751,906
54,227 PL# 793193, 5.50%,
07/01/19 (4)........... 53,557
341,708 PL# 793693, 6.00%,
08/01/34 (4)........... 339,255
101,906 PL# 801516, Variable Rate,
4.72%, 08/01/34 (1)
(4).................... 101,624
438,265 PL# 810896, Variable Rate,
4.84%, 01/01/35 (1)
(4).................... 436,024
1,062,877 PL# 835136, 6.00%,
09/01/35 (4)........... 1,053,498
1,339,486 PL# 844183, 6.00%,
11/01/35 (4)........... 1,327,667
757,148 PL# 893681, 6.00%,
10/01/36 (4)........... 749,587
1,537,439 PL# 893923, 6.00%,
10/01/36 (4)........... 1,522,086
1,825,534 PL# 894005, 6.00%,
10/01/36 (4)........... 1,807,305
5,649,874 PL# 911205, 6.50%,
05/01/37 (4)........... 5,704,373
2,200,000 TBA, 5.50%, 07/01/22 (5).. 2,167,343
200,000 TBA, 6.00%, 07/01/22 (5).. 200,906
8,800,000 TBA, 5.00%, 07/01/37 (5).. 8,245,872
5,100,000 TBA, 5.50%, 07/01/37 (5).. 4,919,108
100,000 TBA, 6.00%, 07/01/37 (5).. 98,922
6,500,000 TBA, 5.00%, 08/01/37 (5).. 6,064,299
7,500,000 TBA, 5.50%, 08/01/37 (5).. 7,205,858
3,900,000 TBA, 6.00%, 08/01/37 (5).. 3,845,767
------------
53,380,972
------------
FEDERAL AGRICULTURAL MORTGAGE
CORP. -- 0.2%
220,000 4.25%, 07/29/08 (5)....... 217,658
600,000 144A, 5.13%,
04/19/17 (5)........... 580,188
------------
797,846
------------
FEDERAL HOME LOAN BANK -- 0.8%
300,000 5.40%, 01/02/09........... 299,882
1,110,000 5.50%, 05/21/09........... 1,109,998
1,790,000 5.50%, 07/15/36 (5)....... 1,765,568
------------
3,175,448
------------
FREDDIE MAC -- 0.8%
1,060,000 4.38%, 11/16/07........... 1,056,169
430,000 5.63%, 11/23/35 (5)....... 403,582
133,152 PL# 1A1145,
Variable Rate, 6.67%,
02/01/37 (1) (5)....... 134,684
529,495 PL# 1N0344,
Variable Rate, 6.61%,
01/01/37 (1) (5)....... 537,931
239,768 PL# 1N1447,
Variable Rate, 5.85%,
02/01/37 (1) (5)....... 240,699
500,000 PL# 1N1463,
Variable Rate, 6.04%,
05/01/37 (1) (5)....... 502,829
------------
2,875,894
------------
FREDDIE MAC GOLD -- 0.5%
900,000 TBA, 5.00%, 07/01/22 (5).. 869,765
1,000,000 TBA, 5.00%, 07/01/37 (5).. 937,344
------------
1,807,109
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 2.0%
3,303 PL# 461836, 7.00%,
01/15/28............... 3,445
1,508 PL# 596647, 7.00%,
09/15/32............... 1,572
216,986 PL# 604404, 5.00%,
06/15/33............... 205,756
646,912 PL# 604845, 5.00%,
12/15/33............... 613,429
797,584 PL# 608280, 5.00%,
09/15/33............... 756,302
772,905 PL# 615892, 5.00%,
08/15/33............... 732,901
820,842 PL# 616832, 5.00%,
01/15/35............... 777,460
728,811 PL# 620521, 5.00%,
08/15/33............... 691,089
651,189 PL# 637934, 5.00%,
01/15/35............... 616,774
808,701 PL# 639093, 5.00%,
01/15/35............... 765,961
452,252 PL# 639865, 5.00%,
06/15/35............... 428,351
104,341 PL# 781881, 5.00%,
03/15/35............... 98,852
2,000,000 TBA, 6.00%, 07/01/37...... 1,989,687
------------
7,681,579
------------
</Table>
See notes to financial statements.
111
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL
---------
US GOVERNMENT AGENCY SECURITIES
(CONTINUED)
RESOLUTION FUNDING STRIPS -- 0.1%
$ 250,000 Zero coupon, 07/15/18..... $ 139,208
250,000 Zero coupon, 10/15/18..... 137,162
------------
276,370
------------
TENNESSEE VALLEY AUTHORITY -- 0.2%
630,000 5.98%, 04/01/36........... 665,063
------------
TOTAL US GOVERNMENT AGENCY
SECURITIES
(Cost $74,142,857)..... 73,204,789
------------
CORPORATE BONDS AND NOTES -- 21.8%
ADVERTISING -- 0.0%
40,000 Lamar Media Corp.,
7.25%, 01/01/13........ 40,100
60,000 Lamar Media Corp.,
Series B, 6.63%,
08/15/15............... 57,150
------------
97,250
------------
AEROSPACE AND DEFENSE -- 0.0%
25,000 DRS Technologies, Inc.,
6.63%, 02/01/16........ 24,250
------------
AIRLINES -- 0.1%
300,000 Delta Air Lines, Inc.,
Series 2000-1, Class A-
2, 7.57%,
11/18/10 (5)........... 311,501
------------
AUTOMOBILE: RENTAL -- 0.0%
35,000 Hertz Corp., 8.88%,
01/01/14............... 36,663
------------
AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE
EQUIPMENT AND REPAIRS -- 0.5%
45,000 Daimler Chrysler NA
Holding,
4.05%, 06/04/08........ 44,378
300,000 Daimler Chrysler NA
Holding,
5.88%, 03/15/11 (5).... 301,779
580,000 Ford Motor Company,
7.45%, 07/16/31 (8).... 466,175
970,000 General Motors Corp.,
8.25%, 07/15/23 (8).... 888,763
50,000 Visteon Corp.,
8.25%, 08/01/10........ 49,875
------------
1,750,970
------------
BANKS -- 1.6%
450,000 Bank of America Corp.,
5.38%, 08/15/11 (5).... 448,442
170,000 European Investment Bank,
4.63%, 03/21/12 (5).... 165,572
160,000 Glitnir Banki HF -- 144A
(Iceland),
6.33%, 07/28/11........ 162,994
380,000 Glitnir Banki HF -- 144A
(Iceland),
Variable Rate, 6.69%,
06/15/16 (1)........... 391,728
200,000 ICICI Bank, Ltd. -- 144A
(India),
Variable Rate, 6.38%,
04/30/22 (1)........... 190,245
162,000 ICICI Bank, Ltd. -- 144A
(India),
Variable Rate, 6.38%,
04/30/22 (1) (8)....... 154,214
130,000 Kaupthing Bank -- 144A
(Iceland),
7.13%, 05/19/16........ 137,554
600,000 Kaupthing Bank -- 144A
(Iceland), Floating
Rate,
6.05%, 04/12/11 (2).... 605,158
510,000 Landisbanki Islands
HF -- 144A (Iceland),
6.10%, 08/25/11........ 516,916
20,000 Rabobank Capital Funding
Trust II -- 144A,
Variable Rate, 5.26%,
perpetual (1).......... 19,206
40,000 Rabobank Capital Funding
Trust III -- 144A,
Variable Rate, 5.25%,
perpetual (1).......... 37,520
235,000 Resona Preferred Global
Securities -- 144A
(Cayman Islands),
Variable Rate, 7.19%,
perpetual (1).......... 240,651
270,000 RSHB Capital Bank -- 144A
(Luxembourg),
6.30%, 05/15/17........ 264,951
260,000 Santander
Issuances -- 144A
(Spain),
Variable Rate, 5.81%,
06/20/16 (1)........... 261,358
300,000 Shinsei Financial,
Ltd. -- 144A (Cayman
Islands),
Variable Rate, 6.42%,
perpetual (1).......... 292,178
215,000 SunTrust Banks, Inc.,
Series CD, 4.42%,
06/15/09............... 211,548
390,000 Turanalem Finance
BV -- 144A (the
Netherlands),
8.25%, 01/22/37........ 376,350
270,000 Wachovia Bank NA, Series
BKNT,
5.80%, 12/01/08........ 272,093
220,000 Wachovia Capital Trust
III, Variable Rate,
5.80%, perpetual (1)... 219,221
540,000 Wachovia Corp.,
5.25%, 08/01/14........ 525,311
175,000 Wells Fargo & Company,
5.30%, 08/26/11........ 173,891
200,000 Wells Fargo Capital X,
5.95%, 12/15/36........ 187,173
------------
5,854,274
------------
</Table>
See notes to financial statements.
112
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL
---------
CORPORATE BONDS AND NOTES (CONTINUED)
BROADCAST SERVICES/MEDIA -- 0.6%
$ 60,000 CCH I, LLC/CCH I
Capital Corp.,
11.00%, 10/01/15....... $ 62,925
20,000 Clear Channel
Communications, Inc.,
4.63%, 01/15/08........ 19,833
100,000 Clear Channel
Communications, Inc.,
4.25%, 05/15/09 (5).... 96,691
170,000 Clear Channel
Communications, Inc.,
5.50%, 09/15/14 (5).... 145,483
60,000 Clear Channel
Communications, Inc.,
4.90%, 05/15/15 (5).... 48,505
150,000 Comcast Cable
Communications,
8.88%, 05/01/17 (5).... 177,706
240,000 Comcast Corp.,
6.50%, 01/15/15 (5).... 246,448
20,000 Comcast Corp.,
5.88%, 02/15/18 (5).... 19,408
180,000 Cox Communications, Inc.,
3.88%, 10/01/08 (5).... 176,341
40,000 CSC Holdings, Inc.,
7.88%, 02/15/18........ 38,800
15,000 CSC Holdings, Inc.,
7.63%, 07/15/18........ 14,325
10,000 CSC Holdings, Inc.,
Series B, 7.63%,
04/01/11............... 9,975
70,000 DIRECTV Holdings
LLC/DIRECTV Financing
Company, Inc.,
8.38%, 03/15/13........ 73,588
30,000 Echostar DBS Corp.,
7.00%, 10/01/13........ 29,700
90,000 Echostar DBS Corp.,
7.13%, 02/01/16........ 88,425
280,000 Liberty Media Corp.,
7.88%, 07/15/09........ 291,843
10,000 Liberty Media Corp.,
5.70%, 05/15/13........ 9,449
30,000 Quebecor Media, Inc.,
(Canada),
7.75%, 03/15/16........ 30,600
35,000 Rogers Cable, Inc.
(Canada),
6.75%, 03/15/15........ 36,138
4,000 Sinclair Broadcast Group,
8.00%, 03/15/12........ 4,120
80,000 Time Warner Entertainment,
8.38%, 07/15/33........ 93,111
350,000 Time Warner, Inc.,
6.88%, 05/01/12........ 365,517
75,000 Time Warner, Inc.,
7.70%, 05/01/32........ 81,335
30,000 Univision Communications,
Inc. -- 144A,
9.75%, 03/15/15 (12)... 29,775
------------
2,190,041
------------
CHEMICALS -- 0.1%
120,000 FMC Finance III SA -- 144A
(Luxembourg),
6.88%, 07/15/17........ 118,320
30,000 Georgia Gulf Corp.,
9.50%, 10/15/14 (8).... 30,000
30,000 Lyondell Chemical Company,
8.00%, 09/15/14........ 30,975
15,000 Lyondell Chemical Company,
8.25%, 09/15/16........ 15,750
27,000 Westlake Chemical Corp.,
6.63%, 01/15/16........ 25,718
------------
220,763
------------
COMPUTER EQUIPMENT, SOFTWARE AND
SERVICES -- 0.0%
20,000 Electronic Data Systems,
7.13%, 10/15/09 (5).... 20,594
40,000 Sungard Data Systems,
Inc.,
9.13%, 08/15/13........ 41,150
------------
61,744
------------
CONSTRUCTION SERVICES AND
SUPPLIES -- 0.0%
65,000 K Hovnanian Enterprises,
Inc., 6.25%, 01/15/15.. 55,575
------------
CONSUMER GOODS AND SERVICES -- 0.1%
390,000 Altria Group, Inc.,
7.00%, 11/04/13 (5).... 414,182
100,000 Reynolds American, Inc.,
6.75%, 06/15/17........ 100,849
------------
515,031
------------
CONTAINERS AND PACKAGING -- 0.0%
50,000 Graham Packaging Company,
LP, 8.50%, 10/15/12.... 50,563
25,000 Graham Packaging Company,
LP,
9.88%, 10/15/14 (8).... 25,406
------------
75,969
------------
ELECTRONICS -- 0.0%
15,000 NXP BV/NXP Funding LLC
(the Netherlands),
7.88%, 10/15/14........ 14,850
------------
</Table>
See notes to financial statements.
113
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL
---------
CORPORATE BONDS AND NOTES (CONTINUED)
ENVIRONMENTAL WASTE MANAGEMENT AND
RECYCLING SERVICES -- 0.1%
$ 160,000 Waste Management, Inc.,
6.50%, 11/15/08........ $ 161,859
270,000 Waste Management, Inc.,
6.38%, 11/15/12........ 276,451
------------
438,310
------------
EQUIPMENT RENTAL AND LEASING -- 0.1%
250,000 International Lease
Finance Corp. E-Capital
Trust II -- 144A,
Variable Rate, 6.25%,
12/21/65 (1)........... 244,229
------------
FINANCIAL SERVICES -- 3.8%
100,000 AGFC Capital Trust
I -- 144A,
Variable Rate, 6.00%,
01/15/67 (1)........... 95,803
200,000 Aiful Corp. -- 144A
(Japan),
5.00%, 08/10/10........ 195,082
180,000 American Express Company,
Variable Rate, 6.80%,
09/01/66 (1) (5)....... 185,917
560,000 Citigroup, Inc.,
5.10%, 09/29/11 (5).... 551,895
100,000 Countrywide Financial
Corp.,
Series MTN, Floating
Rate, 5.49%,
01/05/09 (2)........... 99,752
760,000 Countrywide Financial
Corp.,
Series MTNA, 4.50%,
06/15/10 (5)........... 735,898
280,000 Countrywide Financial
Corp.,
Series MTNB, Floating
Rate, 5.52%,
02/27/08 (2)........... 280,091
120,000 Countrywide Financial
Corp.,
Series MTNB, Floating
Rate, 5.47%,
06/18/08 (2)........... 120,029
90,000 Credit Suisse (Guernsey),
Variable Rate, 5.86%,
11/15/49 (1) (5)....... 86,871
10,000 E*TRADE Financial Corp.,
7.38%, 09/15/13........ 10,200
2,645,000 Ford Motor Credit Company,
5.80%, 01/12/09........ 2,589,985
220,000 Ford Motor Credit Company,
7.38%, 10/28/09........ 218,499
129,000 Ford Motor Credit Company
LLC,
Floating Rate, 10.61%,
06/15/11 (2)........... 139,464
210,000 General Electric Capital
Corp.,
Series MTNA, 4.25%,
01/15/08............... 208,831
300,000 General Electric Capital
Corp.,
Series MTNA, 4.13%,
09/01/09............... 292,886
800,000 General Motors Acceptance
Corp.,
6.13%, 08/28/07........ 800,574
1,130,000 General Motors Acceptance
Corp.,
5.85%, 01/14/09........ 1,114,056
110,000 General Motors Acceptance
Corp.,
Series GM, 6.31%,
11/30/07............... 109,746
120,000 General Motors Acceptance
Corp.,
Series MTN, 4.38%,
12/10/07............... 119,147
80,000 GMAC LLC,
5.13%, 05/09/08........ 79,017
1,020,000 GMAC LLC,
6.63%, 05/15/12........ 985,998
270,000 GMAC LLC,
8.00%, 11/01/31........ 276,843
160,000 GMAC LLC,
Series MTN, Floating
Rate, 6.51%,
09/23/08 (2)........... 160,048
560,000 HSBC Finance Corp.,
4.63%, 01/15/08........ 557,903
330,000 JPMorgan Chase & Company,
5.13%, 09/15/14........ 317,354
450,000 JPMorgan Chase & Company,
5.15%, 10/01/15........ 428,607
180,000 Lehman Brothers Holdings,
Inc.,
4.50%, 07/26/10........ 175,106
290,000 Lehman Brothers Holdings,
Inc.,
Series MTN, 5.25%,
02/06/12............... 285,336
170,000 Mitsubishi UFJ Financial
Group Capital Financial
I, Ltd. (Cayman
Islands),
Variable Rate, 6.35%,
perpetual (1).......... 167,321
70,000 Morgan Stanley,
3.63%, 04/01/08........ 69,055
260,000 Morgan Stanley,
Series MTN, 5.63%,
01/09/12............... 259,694
100,000 Morgan Stanley,
Series MTN, Floating
Rate, 5.81%,
10/18/16 (2)........... 100,068
640,000 Residential Capital LLC,
6.00%, 02/22/11........ 619,783
40,000 Residential Capital LLC,
6.50%, 06/01/12........ 39,072
520,000 Sigma Finance,
Inc. -- 144A,
Series MTN1, Variable
Rate, 8.50%,
08/11/16 (1)........... 519,038
60,000 SLM Corp.,
Series MTN, 5.05%,
11/14/14............... 49,968
220,000 SLM Corp.,
Series MTNA, 5.00%,
10/01/13............... 187,949
500,000 SLM Corp.,
Series MTNA, 5.38%,
05/15/14............... 429,056
10,000 SLM Corp.,
Series MTNA, 5.00%,
04/15/15............... 8,230
</Table>
See notes to financial statements.
114
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL
---------
CORPORATE BONDS AND NOTES (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
$ 40,000 SLM Corp.,
Series MTNA, 5.63%,
08/01/33............... $ 31,283
220,000 The Bear Stearns
Companies, Inc.,
5.55%, 01/22/17 (5)
(8).................... 208,277
170,000 The Goldman Sachs Group,
Inc.,
4.50%, 06/15/10........ 165,861
120,000 The Goldman Sachs Group,
Inc.,
5.00%, 01/15/11........ 117,876
------------
14,193,469
------------
FUNERAL SERVICES -- 0.0%
10,000 Service Corp.
International,
6.75%, 04/01/16........ 9,525
40,000 Service Corp.
International,
7.63%, 10/01/18........ 40,700
35,000 Service Corp.
International -- 144A,
7.50%, 04/01/27........ 33,163
------------
83,388
------------
INSURANCE -- 0.3%
40,000 ASIF Global Financing
XIX -- 144A,
4.90%, 01/17/13 (5).... 38,817
300,000 MERNA Reinsurance, Ltd.
(Bermuda),
Floating Rate, 7.11%,
07/01/12 (2)........... 299,991
430,000 MetLife, Inc.,
6.40%, 12/15/36........ 399,590
350,000 The Travelers Companies,
Inc.,
Variable Rate, 6.25%,
03/15/37 (1)........... 336,932
------------
1,075,330
------------
LEISURE AND RECREATION -- 0.1%
20,000 AMC Entertainment, Inc.,
11.00%, 02/01/16 (8)... 22,200
25,000 Boyd Gaming Corp.,
6.75%, 04/15/14........ 24,625
80,000 Boyd Gaming Corp.,
7.13%, 02/01/16........ 78,000
30,000 Inn of The Mountain Gods,
12.00%, 11/15/10....... 32,325
25,000 MGM MIRAGE,
6.00%, 10/01/09........ 24,906
50,000 MGM MIRAGE,
8.50%, 09/15/10........ 52,563
5,000 MGM MIRAGE,
6.63%, 07/15/15........ 4,569
85,000 MGM MIRAGE,
7.63%, 01/15/17........ 81,281
15,000 Mohegan Tribal Gaming
Authority,
6.13%, 02/15/13........ 14,625
90,000 Station Casinos, Inc.,
7.75%, 08/15/16........ 89,550
10,000 Station Casinos,
Inc. -- 144A,
6.88%, 03/01/16........ 8,875
------------
433,519
------------
MANUFACTURING -- 0.2%
270,000 Tyco International Group
SA (Luxembourg),
6.38%, 10/15/11........ 278,402
530,000 Tyco International Group
SA (Luxembourg),
6.00%, 11/15/13........ 544,938
------------
823,340
------------
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES -- 0.2%
90,000 Community Health Systems,
Inc. -- 144A,
8.88%, 07/15/15........ 91,688
125,000 DaVita, Inc. -- 144A,
6.63%, 03/15/13........ 122,656
10,000 Fresenius Medical Care
Capital Trust II,
7.88%, 02/01/08........ 10,050
141,000 HCA, Inc.,
6.25%, 02/15/13........ 127,605
160,000 HCA, Inc.,
6.75%, 07/15/13........ 146,000
11,000 HCA, Inc.,
5.75%, 03/15/14........ 9,336
6,000 HCA, Inc.,
6.50%, 02/15/16........ 5,108
20,000 HCA, Inc. -- 144A,
9.13%, 11/15/14........ 21,075
160,000 HCA, Inc. -- 144A,
9.25%, 11/15/16........ 170,800
26,000 HCA, Inc. -- 144A,
9.63%, 11/15/16........ 28,015
60,000 Tenet Healthcare Corp.,
6.38%, 12/01/11........ 55,125
30,000 Tenet Healthcare Corp.,
6.50%, 06/01/12........ 27,000
------------
814,458
------------
METALS AND MINING -- 0.2%
190,000 Freeport-McMoRan Copper &
Gold, Inc.,
8.38%, 04/01/17........ 203,300
65,000 Steel Dynamics,
Inc. -- 144A,
6.75%, 04/01/15........ 64,025
356,000 Vale Overseas, Ltd.
(Cayman Islands),
6.88%, 11/21/36........ 358,736
------------
626,061
------------
</Table>
See notes to financial statements.
115
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL
---------
CORPORATE BONDS AND NOTES (CONTINUED)
OFFICE EQUIPMENT, SUPPLIES, AND
SERVICES -- 0.0%
$ 40,000 Xerox Corp.,
6.75%, 02/01/17........ $ 41,103
------------
OIL, COAL AND GAS -- 2.0%
30,000 AmeriGas Partners
LP/AmeriGas Eagle
Finance Corp.,
7.13%, 05/20/16........ 29,625
235,000 Anadarko Finance Company,
Series B,
7.50%, 05/01/31 (5).... 253,219
35,000 Anadarko Petroleum Corp.,
6.45%, 09/15/36 (5).... 33,772
45,000 Chesapeake Energy Corp.,
7.75%, 01/15/15........ 46,013
5,000 Chesapeake Energy Corp.,
6.38%, 06/15/15........ 4,794
20,000 Chesapeake Energy Corp.,
6.25%, 01/15/18........ 18,775
340,000 ChevronTexaco Capital
Company (Canada),
3.50%, 09/17/07........ 338,857
105,000 Complete Production
Service -- 144A,
8.00%, 12/15/16........ 106,575
150,000 Conoco, Inc.,
6.95%, 04/15/29 (5).... 164,180
125,000 Dynegy Holdings,
Inc. -- 144A,
7.75%, 06/01/19........ 116,875
320,000 El Paso Corp.,
7.00%, 06/15/17........ 318,094
86,000 El Paso Corp.,
Series MTN, 7.80%,
08/01/31............... 87,519
25,000 El Paso Corp.,
Series MTN, 7.75%,
01/15/32............... 25,308
330,000 El Paso Natural Gas,
8.38%, 06/15/32 (5).... 388,607
500,000 El Paso Performance-
Link -- 144A,
7.75%, 07/15/11........ 517,500
190,000 Gaz Capital
(Gazprom) -- 144A
(Luxembourg),
6.51%, 03/07/22........ 188,005
720,000 Gaz Capital
(Gazprom) -- 144A
(Luxembourg),
6.21%, 11/22/16 (8).... 703,080
30,000 Hess Corp.,
7.88%, 10/01/29 (5).... 33,909
220,000 Hess Corp.,
7.30%, 08/15/31 (5).... 236,623
260,000 Intergas Finance
BV -- 144A (the
Netherlands),
6.38%, 05/14/17........ 249,600
180,000 Kerr-McGee Corp.,
6.95%, 07/01/24........ 187,219
830,000 Kerr-McGee Corp.,
7.88%, 09/15/31........ 961,910
50,000 Kinder Morgan Energy
Partners, LP,
6.30%, 02/01/09........ 50,555
240,000 Kinder Morgan Energy
Partners, LP,
6.75%, 03/15/11........ 248,571
40,000 Kinder Morgan Energy
Partners, LP,
6.00%, 02/01/17........ 39,215
70,000 OPTI Canada, Inc. -- 144A
(Canada),
7.88%, 12/15/14........ 70,290
55,000 OPTI Canada, Inc. -- 144A
(Canada),
8.25%, 12/15/14........ 56,100
40,000 Peabody Energy Corp.,
Series B, 6.88%,
03/15/13............... 40,000
310,000 Pemex Project Funding
Master Trust,
7.38%, 12/15/14........ 338,472
290,000 Petrobas International
Finance Company (Cayman
Islands),
6.13%, 10/06/16........ 285,650
5,000 Pogo Producing Company,
6.63%, 03/15/15........ 4,975
50,000 Pogo Producing Company,
6.88%, 10/01/17 (8).... 49,875
30,000 Pride International, Inc.,
7.38%, 07/15/14........ 30,225
25,000 Semgroup LP,
8.75%, 11/15/15........ 25,250
15,000 Southern Natural Gas,
8.00%, 03/01/32........ 17,087
95,000 Suburban Propane Partners,
6.88%, 12/15/13........ 92,150
40,000 Tennessee Gas Pipeline,
7.63%, 04/01/37........ 44,092
310,000 TNK-BP Finance SA -- 144A
(Luxembourg),
7.50%, 07/18/16........ 320,385
80,000 Western Oil Sands, Inc.
(Canada),
8.38%, 05/01/12........ 87,900
20,000 Williams Companies, Inc.,
7.75%, 06/15/31........ 21,275
390,000 Williams Companies, Inc.,
Series A, 7.50%,
01/15/31............... 405,600
190,000 XTO Energy, Inc.,
7.50%, 04/15/12........ 204,474
------------
7,442,200
------------
PAPER AND FOREST PRODUCTS -- 0.0%
110,000 Weyerhaeuser Company,
6.75%, 03/15/12........ 113,926
------------
</Table>
See notes to financial statements.
116
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL
---------
CORPORATE BONDS AND NOTES (CONTINUED)
PHARMACEUTICALS/RESEARCH AND
DEVELOPMENT -- 0.1%
$ 40,000 AmerisourceBergen Corp.,
5.88%, 09/15/15 (5).... $ 38,663
230,000 Wyeth,
5.95%, 04/01/37........ 220,553
------------
259,216
------------
PRINTING AND PUBLISHING -- 0.0%
105,000 Idearc, Inc.,
8.00%, 11/15/16........ 106,575
40,000 TL Acquisitions,
Inc. -- 144A,
10.50%, 01/15/15....... 39,758
------------
146,333
------------
PRIVATE ASSET BACKED: BANKS -- 0.8%
699,952 Washington Mutual Bank,
Series 2005-AR13, Class
A1B3, Floating Rate,
5.68%, 10/25/45 (3).... 702,127
402,457 Washington Mutual Mortgage
Pass-Through
Certificates,
Series 2005-AR1, Class
A1A, Floating Rate,
5.64%, 01/25/45 (3).... 403,374
653,288 Washington Mutual Mortgage
Pass-Through
Certificates,
Series 2005-AR13, Class
A1A1, Floating Rate,
5.61%, 10/25/45 (3).... 654,825
771,613 Washington Mutual Mortgage
Pass-Through
Certificates,
Series 2005-AR15, Class
A1A2, Floating Rate,
5.60%, 11/25/45 (3).... 774,840
568,867 Washington Mutual Mortgage
Pass-Through
Certificates,
Series 2007-HY4, Class
4A1, 5.53%, 09/25/36... 566,840
------------
3,102,006
------------
PRIVATE ASSET BACKED: FINANCIAL
SERVICES -- 0.4%
633,305 Lehman XS Trust,
Series 2005-5N, Class
1A1, Floating Rate,
5.62%, 11/25/35 (3).... 635,015
450,941 Lehman XS Trust,
Series 2005-7N, Class
1A1B, Floating Rate,
5.62%, 12/25/35 (3).... 451,817
300,000 Morgan Stanley Capital I,
Series 2005-HQ6, Class
A4A, 4.99%, 08/13/42... 284,746
------------
1,371,578
------------
Private
Asset
Backed:
Mortgage
and
Home
Equit-
y -- 8.9%
748,835 Accredited Mortgage Loan
Trust,
Series 2005-3, Class
A1, Floating Rate,
5.56%, 09/25/35 (3).... 749,657
302,618 Adjustable Rate Mortgage
Trust,
Series 2004-2, Class
7A2, Floating Rate,
5.74%, 02/25/35 (3).... 303,877
230,782 Adjustable Rate Mortgage
Trust,
Series 2004-5, Class
7A2, Floating Rate,
5.70%, 04/25/35 (3).... 231,308
280,000 Banc of America Commercial
Mortgage, Inc.,
Series 2005-5, Class
A4, 5.12%,
09/10/15 (5)........... 267,430
3,673,115 Bear Stearns Asset Backed
Securities, Inc.,
Series 07-SD1, Class
1A3A, 6.50%,
10/25/36 (5)........... 3,624,445
1,576,187 Bear Stearns Mortgage
Funding Trust,
Series 2006-AR5, Class
1A2, Floating Rate,
5.53%, 12/25/36 (3).... 1,581,071
126,444 Chevy Chase Mortgage
Funding Corp. -- 144A,
Series 2003-3A, Class
A1, Floating Rate,
5.67%, 07/25/34 (3).... 126,463
364,142 Countrywide Alternative
Loan Trust,
Series 2005-36, Class
3A1, Floating Rate,
4.95%, 08/25/35 (3)
(5).................... 361,523
882,647 Countrywide Alternative
Loan Trust,
Series 2005-56, Class
4A1, Floating Rate,
5.63%, 11/25/35 (3).... 886,226
957,849 Countrywide Alternative
Loan Trust,
Series 2005-59, Class
1A1, Floating Rate,
5.65%, 11/20/35 (3).... 961,827
279,134 Countrywide Asset-Backed
Certificates,
Series 2005-11, Class
AF1, Floating Rate,
5.50%, 02/25/36 (3).... 279,357
352,335 Countrywide Asset-Backed
Certificates,
Series 2005-4, Class
AF3, 4.46%, 10/25/35... 348,385
512,936 Countrywide Home Equity
Loan Trust,
Series 2005-G, Class
2A, Floating Rate,
5.55%, 12/15/35 (3).... 513,668
</Table>
See notes to financial statements.
117
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL
---------
CORPORATE BONDS AND NOTES (CONTINUED)
PRIVATE ASSET BACKED: MORTGAGE AND
HOME EQUITY (CONTINUED)
$ 924,745 Countrywide Home
Loans -- 144A,
Series 2005-R3, Class
AF, Floating Rate,
5.72%, 09/25/35 (3).... $ 931,199
126,678 First Franklin Mortgage
Loan Asset Backed
Certificates,
Series 2004-FF10, Class
A2, Floating Rate,
5.72%, 12/25/32 (3).... 126,861
874,982 GMAC Commercial Mortgage
Securities, Inc.,
Series 1999-C2, Class
A2, 6.95%, 09/15/33.... 893,695
999,550 GMAC Mortgage Corp. Loan
Trust,
Series 2005-AR1, Class
3A, Floating Rate,
4.66%, 03/18/35 (3).... 984,831
1,500,000 GMAC Mortgage Corp.
Loan Trust,
Series 2006-HE1, Class
A, Floating Rate,
5.53%, 11/25/36 (3).... 1,500,643
1,561,537 GSAMP Trust -- 144A,
Series 2006-SD2, Class
A1, Floating Rate,
5.43%, 05/25/46 (3).... 1,555,541
417,777 Impac CMB Trust,
Series 2004-6, Class
1A1, Floating Rate,
5.72%, 10/25/34 (3).... 418,288
223,679 IndyMac Index Mortgage
Loan Trust,
Series 2005-AR15, Class
A2, 5.10%, 09/25/35.... 217,962
1,080,000 JPMorgan Chase Commercial
Mortgage Securities
Corp.,
Series 2005-CB12, Class
A4, 4.90%, 09/12/37.... 1,017,178
810,501 JPMorgan Mortgage Trust,
Series 2004-A3, Class
1A1, Floating Rate,
4.30%, 07/25/34 (3).... 797,911
870,000 LB-UBS Commercial
Mortgage Trust,
Series 2005-C1, Class
A3, 4.55%, 02/15/30.... 833,207
932,292 Lehman XS Trust,
Series 2006-GP4, Class
3A1A, Floating Rate,
5.39%, 08/25/46 (3).... 932,311
1,098,000 Merrill Lynch Mortgage
Investors, Inc.,
Series 2005-A4, Class
2A2, 4.46%, 07/25/35... 1,067,861
1,300,000 Merrill Lynch Mortgage
Investors, Inc.,
Series 2005-A5, Class
A3, 4.44%, 06/25/35.... 1,260,824
500,000 Merrill Lynch Mortgage
Trust,
Series 2006-C1, Class
A4, Floating Rate,
5.84%, 05/12/39 (3).... 496,749
297,012 MLCC Mortgage Investors,
Inc.,
Series 2003-F, Class
A1,
Floating Rate, 5.64%,
10/25/28 (3)........... 297,051
238,574 Opteum Mortgage
Acceptance Corp.,
Series 2005-4, Class
1A1A, Floating Rate,
5.49%, 11/25/35 (3).... 238,687
904,287 Prime Mortgage
Trust -- 144A,
Series 2006-DR1, Class
1A1, 5.50%, 05/25/35... 884,034
435,178 Prime Mortgage
Trust -- 144A,
Series 2006-DR1, Class
1A2, 6.00%, 05/25/35... 434,448
1,872,471 Prime Mortgage
Trust -- 144A,
Series 2006-DR1, Class
2A1, 5.50%, 05/25/35... 1,837,829
1,757,704 Residential Accredit
Loans, Inc.,
Series 2005-Q03, Class
A1, Floating Rate,
5.72%, 10/25/45 (3).... 1,763,450
949,761 Structured Adjustable Rate
Mortgage Loan Trust,
Series 2005-15, Class
1A1, 5.06%, 07/25/35... 938,122
415,809 Structured Asset Mortgage
Investments, Inc.,
Series 2003-AR4, Class
A1, Floating Rate,
5.67%, 01/19/34 (3).... 416,661
2,161,375 Thornburg Mortgage
Securities Trust,
Series 2006-1, Class
A3, Floating Rate,
5.49%, 01/25/36 (3).... 2,160,853
930,337 Zuni Mortgage Loan Trust,
Series 2006-0A1, Class
A1, Floating Rate,
5.45%, 08/25/36 (3).... 930,446
------------
33,171,879
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.0%
50,000 Host Marriott LP,
Series Q, 6.75%,
06/01/16............... 49,250
50,000 Ventas Realty LP/Ventas
Capital Corp.,
6.75%, 06/01/10........ 50,750
40,000 Ventas Realty LP/Ventas
Capital Corp.,
6.75%, 04/01/17........ 39,700
------------
139,700
------------
</Table>
See notes to financial statements.
118
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL
---------
CORPORATE BONDS AND NOTES (CONTINUED)
RETAIL -- 0.0%
$ 20,000 JC Penney Company, Inc.,
7.40%, 04/01/37........ $ 21,109
------------
RETAIL: SUPERMARKETS -- 0.0%
93,000 Delhaize America, Inc.,
9.00%, 04/15/31 (5).... 112,823
------------
SCIENTIFIC AND TECHNICAL
INSTRUMENTS -- 0.0%
80,000 Cie Generale de
Geophysique (France),
7.50%, 05/15/15........ 80,400
40,000 Cie Generale de
Geophysique (France),
7.75%, 05/15/17........ 40,700
------------
121,100
------------
SEMICONDUCTORS -- 0.0%
25,000 Freescale Semiconductor,
Inc. -- 144A,
8.88%, 12/15/14........ 24,000
40,000 MagnaChip Semiconductor,
Ltd., Floating Rate,
8.61%, 12/15/11 (2)
(8).................... 36,000
------------
60,000
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 0.9%
190,000 AT&T, Inc.,
5.10%, 09/15/14........ 181,498
55,000 Cincinnati Bell, Inc.,
7.00%, 02/15/15........ 54,175
15,000 Citizens Communications
Company,
9.25%, 05/15/11........ 16,275
30,000 Citizens Communications
Company,
7.13%, 03/15/19........ 28,500
30,000 Citizens Communications
Company,
7.88%, 01/15/27........ 29,325
180,000 Deutsche Telecom
International Finance
BV (the Netherlands),
5.75%, 03/23/16 (5).... 175,889
45,000 Intelsat Bermuda, Ltd.
(Bermuda),
9.25%, 06/15/16........ 48,038
25,000 Intelsat Corp.,
9.00%, 06/15/16........ 26,313
220,000 Koninklijke KPN NV (the
Netherlands),
8.38%, 10/01/30........ 247,359
50,000 Level 3 Financing, Inc.,
9.25%, 11/01/14........ 50,750
40,000 Level 3 Financing,
Inc. -- 144A,
8.75%, 02/15/17........ 39,750
10,000 Nextel Communications,
Inc.,
Series D, 7.38%,
08/01/15............... 10,004
580,000 Nextel Communications,
Inc.,
Series E, 6.88%,
10/31/13............... 576,196
60,000 Nextel Communications,
Inc.,
Series F, 5.95%,
03/15/14............... 57,224
520,000 Qwest Communications
International, Inc.,
Floating Rate, 8.86%,
02/15/09 (2)........... 527,799
105,000 Qwest Corp.,
7.88%, 09/01/11........ 109,988
40,000 Rogers Wireless, Inc.
(Canada),
6.38%, 03/01/14........ 40,481
270,000 Sprint Capital Corp.,
8.38%, 03/15/12........ 294,423
120,000 Sprint Capital Corp.,
8.75%, 03/15/32........ 135,140
10,000 Sprint Nextel Corp.,
6.00%, 12/01/16........ 9,503
200,000 Telecom Italia Capital
(Luxembourg),
5.25%, 10/01/15........ 186,277
50,000 Verizon Global Funding
Corp.,
7.38%, 09/01/12........ 53,910
300,000 Verizon New York, Inc.,
Series A, 6.88%,
04/01/12............... 313,096
85,000 Windstream Corp.,
8.63%, 08/01/16........ 90,313
------------
3,302,226
------------
TRANSPORTATION -- 0.0%
20,000 Teekay Shipping Corp.
(Marshall Islands),
8.88%, 07/15/11........ 21,300
110,000 Union Pacific Corp.,
5.38%, 05/01/14........ 106,372
------------
127,672
------------
UTILITIES -- 0.7%
604,000 AES Corp.,
7.75%, 03/01/14........ 608,529
70,000 Dominion Resources, Inc.,
4.75%, 12/15/10 (5).... 68,418
220,000 Dominion Resources, Inc.,
5.70%, 09/17/12 (5).... 220,420
70,000 Edison Mission
Energy -- 144A,
7.00%, 05/15/17........ 66,325
90,000 Edison Mission
Energy -- 144A,
7.20%, 05/15/19........ 85,050
40,000 Edison Mission
Energy -- 144A,
7.63%, 05/15/27........ 38,000
40,000 Exelon Corp.,
5.63%, 06/15/35 (5).... 35,854
160,000 FirstEnergy Corp.,
Series B, 6.45%,
11/15/11............... 164,221
</Table>
See notes to financial statements.
119
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL
---------
CORPORATE BONDS AND NOTES (CONTINUED)
UTILITIES (CONTINUED)
$ 385,000 FirstEnergy Corp.,
Series C, 7.38%,
11/15/31............... $ 418,006
37,566 Midwest Generation LLC,
Series B, 8.56%,
01/02/16............... 40,078
80,000 NRG Energy, Inc.,
7.25%, 02/01/14........ 80,400
10,000 NRG Energy, Inc.,
7.38%, 02/01/16........ 10,050
10,000 NRG Energy, Inc.,
7.38%, 01/15/17........ 10,063
110,000 Pacific Gas & Electric
Company,
6.05%, 03/01/34........ 106,902
110,000 Pacific Gas & Electric
Company,
5.80%, 03/01/37........ 102,953
210,000 TXU Corp., Series P,
5.55%, 11/15/14........ 179,325
35,000 TXU Corp., Series Q,
6.50%, 11/15/24........ 29,115
320,000 TXU Corp., Series R,
6.55%, 11/15/34........ 260,422
------------
2,524,131
------------
TOTAL CORPORATE BONDS AND
NOTES
(Cost $82,688,169)..... 81,997,987
------------
CONVERTIBLE BONDS -- 0.0%
AUTOMOBILES/MOTOR
VEHICLES, AUTOMOTIVE
EQUIPMENT AND REPAIRS
40,000 Ford Motor Company,
4.25%, 12/15/36 (Cost
$40,000)............... 50,300
------------
MUNICIPAL BONDS -- 0.4%
VIRGINIA
1,416,187 Virginia State Housing
Development Authority,
Series C, Revenue Bond,
6.00%, 06/25/34
(Cost $1,393,076)...... 1,395,681
------------
FOREIGN GOVERNMENT OBLIGATIONS -- 0.5%
450,000 AID-Israel (Israel),
5.50%, 04/26/24........ 447,035
97,000 Federal Republic of Brazil
(Brazil),
10.13%, 05/15/27....... 137,013
292,000 Federal Republic of Brazil
(Brazil),
11.00%, 08/17/40 (8)... 383,323
230,000 Republic of Colombia,
Series MTN, (Colombia),
7.38%, 09/18/37 (5).... 255,875
206,000 Republic of Panama
(Panama),
7.13%, 01/29/26........ 220,420
14,925 Russian Federation -- 144A
(Russia),
7.50%, 03/31/30........ 16,464
16,000 United Mexican States
(Mexico),
5.63%, 01/15/17........ 15,704
357,000 United Mexican States,
Series MTNA, (Mexico),
6.75%, 09/27/34........ 381,633
------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS
(Cost $1,743,295)...... 1,857,467
------------
<Caption>
CONTRACTS
---------
PURCHASED CALL OPTIONS -- 0.0%
45 Euribor, receives 3 month
floating LIBOR,
Expiring September 2007
@ 95.88................ 381
15 Euro-Bund, Expiring August
2007 @ 113............. 2,639
77 IMM Euro September Future,
Expiring September 2007
@ 94.63................ 10,587
------------
TOTAL PURCHASED CALL
OPTIONS
(Cost $43,907)......... 13,607
------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 3.2%
$11,890,436 Securities Lending
Collateral Investment
(Note 4)
(Cost $11,890,436)..... 11,890,436
------------
TOTAL SECURITIES
(Cost $376,789,920).... 409,485,874
------------
REPURCHASE AGREEMENTS -- 3.8%
14,424,271 With Investors Bank and
Trust, dated 06/29/07,
4.76%, due 07/02/07,
repurchase proceeds at
maturity $14,429,992
(Collateralized by
Fannie Mae Adjustable
Rate Mortgage, 4.27%,
due 07/01/33, with a
value of $9,158,049 and
various Small Business
Administrations,
8.09% -- 8.13%, due
02/25/26 -- 08/25/29,
with a total value of
$5,987,436) (Cost
$14,424,271)........... 14,424,271
------------
Total Investments before
Call and Put Options
Written -- 112.5%
(Cost $391,214,191).... 423,910,145
------------
<Caption>
CONTRACTS
---------
CALL OPTIONS WRITTEN -- (0.0)%
(91) US Treasury Note (10 year)
September Future,
Expiring August 2007 @
106
(Premium $29,061)...... (55,453)
------------
</Table>
See notes to financial statements.
120
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
CONTRACTS VALUE
--------- ------------
PUT OPTIONS WRITTEN -- (0.0)%
(91) US Treasury Note (10 year)
September Future,
Expiring August 2007 @
103
(Premium $31,592)...... $ (9,953)
------------
Total Investments net of
Call and Put Options
Written -- 112.5%
(Cost $391,153,538).... 423,844,739
Liabilities less other
assets -- (12.5)%...... (47,058,738)
------------
NET ASSETS -- 100.0%...... $376,786,001
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $391,153,538.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation... $37,428,275
Gross unrealized depreciation... (4,737,074)
-----------
Net unrealized appreciation..... $32,691,201
===========
</Table>
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
121
VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 98.8%
ADVERTISING -- 0.5%
1,553,900 The Interpublic Group of
Companies, Inc.*(8)...... $ 17,714,460
------------
AEROSPACE AND DEFENSE--0.6%
300,000 Northrop Grumman Corp. ..... 23,361,000
------------
APPAREL: MANUFACTURING AND RETAIL -- 1.7%
320,000 Limited Brands, Inc. ....... 8,784,000
837,762 Macy's, Inc. ............... 33,326,172
569,800 The Gap, Inc. .............. 10,883,180
110,000 VF Corp. ................... 10,073,800
------------
63,067,152
------------
AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE
EQUIPMENT AND REPAIRS -- 1.3%
154,727 Autoliv, Inc. .............. 8,799,324
104,000 BorgWarner, Inc.(8)......... 8,948,160
825,700 General Motors Corp.(8)..... 31,211,460
------------
48,958,944
------------
BANKS -- 3.3%
1,426,082 Bank of America Corp. ...... 69,721,149
587,200 National City Corp.(8)...... 19,565,504
215,800 SunTrust Banks, Inc. ....... 18,502,692
115,000 Wachovia Corp. ............. 5,893,750
265,600 Wells Fargo & Company....... 9,341,152
------------
123,024,247
------------
BROADCAST SERVICES/MEDIA -- 6.0%
813,500 CBS Corp. -- Class B........ 27,105,820
12,671 Citadel Broadcasting
Corp.(8)................. 81,728
1,052,300 Clear Channel
Communications, Inc. .... 39,797,986
1,403,700 Comcast Corp. -- Class A*... 39,472,044
717,500 Comcast Corp. -- Special
Class A*(8).............. 20,061,300
165,000 The Walt Disney Company..... 5,633,100
4,258,300 Time Warner, Inc. .......... 89,594,632
------------
221,746,610
------------
BUSINESS SERVICES AND SUPPLIES -- 0.1%
125,000 Accenture, Ltd. -- Class A
(Bermuda)................ 5,361,250
------------
CHEMICALS -- 0.5%
200,000 EI du Pont de Nemours and
Company.................. 10,168,000
200,000 The Dow Chemical Company.... 8,844,000
------------
19,012,000
------------
COMPUTER EQUIPMENT, SOFTWARE AND
SERVICES -- 3.9%
490,000 Electronic Data Systems
Corp. ................... 13,587,700
768,100 Hewlett-Packard Company..... 34,272,622
718,200 International Business
Machines Corp. .......... 75,590,550
680,000 Microsoft Corp. ............ 20,039,600
------------
143,490,472
------------
CONSTRUCTION SERVICES AND SUPPLIES -- 0.1%
110,000 KB HOME..................... 4,330,700
------------
CONSUMER GOODS AND SERVICES -- 4.6%
525,000 Altria Group, Inc. ......... 36,823,500
1,174,900 Avon Products, Inc. ........ 43,177,575
587,800 Kimberly-Clark Corp. ....... 39,317,942
428,000 Procter & Gamble Company.... 26,189,320
115,000 The Black & Decker
Corp.(8)................. 10,155,650
215,000 The Clorox Company.......... 13,351,500
------------
169,015,487
------------
CONTAINERS AND PACKAGING -- 0.4%
440,000 Owens-Illinois, Inc.*....... 15,400,000
------------
DIVERSIFIED OPERATIONS AND SERVICES -- 2.4%
2,330,000 General Electric Company.... 89,192,400
------------
ELECTRONICS -- 2.7%
125,116 Arrow Electronics, Inc.*.... 4,808,208
1,121,400 Flextronics International,
Ltd. (Singapore)*........ 12,111,120
1,939,177 Sanmina-SCI Corp.*.......... 6,069,624
9,744,905 Solectron Corp.*............ 35,861,250
758,900 Sony Corp. (ADR) (Japan).... 38,984,693
------------
97,834,895
------------
ENVIRONMENTAL WASTE MANAGEMENT AND
RECYCLING SERVICES -- 0.5%
504,200 Waste Management, Inc. ..... 19,689,010
------------
FINANCIAL SERVICES -- 15.4%
465,900 American Express Company.... 28,503,762
281,000 Capital One Financial
Corp. ................... 22,041,640
2,026,600 Citigroup, Inc. ............ 103,944,314
616,385 Countrywide Financial
Corp.(8)................. 22,405,595
1,459,500 Fannie Mae.................. 95,349,135
399,900 Freddie Mac................. 24,273,930
2,684,640 JPMorgan Chase & Company.... 130,070,809
261,000 Legg Mason, Inc. ........... 25,677,180
1,130,500 Merrill Lynch & Company,
Inc. .................... 94,487,190
84,000 The Goldman Sachs Group,
Inc. .................... 18,207,000
------------
564,960,555
------------
FOOD AND BEVERAGE -- 3.3%
265,000 Kellogg Company............. 13,724,350
</Table>
See notes to financial statements.
122
VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
FOOD AND BEVERAGE (CONTINUED)
1,994,212 Kraft Foods, Inc. -- Class
A........................ $ 70,295,973
35,000 Molson Coors Brewing
Company -- Class B....... 3,236,100
255,000 PepsiCo, Inc. .............. 16,536,750
1,093,305 Sara Lee Corp. ............. 19,023,507
------------
122,816,680
------------
INSURANCE -- 8.5%
661,300 Aetna, Inc. ................ 32,668,220
1,194,800 American International
Group, Inc. ............. 83,671,844
72,000 Fidelity National Financial,
Inc. -- Class A.......... 1,706,400
550,000 Genworth Financial,
Inc. -- Class A.......... 18,920,000
109,400 MBIA, Inc.(8)............... 6,806,868
450,200 MetLife, Inc. .............. 29,028,896
61,566 PartnerRe, Ltd.
(Bermuda)(8)............. 4,771,365
170,000 RenaissanceRe Holdings, Ltd.
(Bermuda)................ 10,538,300
393,800 The Chubb Corp. ............ 21,320,332
145,000 The Hartford Financial
Services Group, Inc. .... 14,283,950
1,274,438 The Travelers Companies,
Inc. .................... 68,182,433
238,000 XL Capital, Ltd. -- Class A
(Cayman Islands)(8)...... 20,061,020
------------
311,959,628
------------
MANUFACTURING -- 4.0%
140,000 Eaton Corp. ................ 13,020,000
795,800 Honeywell International,
Inc. .................... 44,787,624
300,000 Ingersoll-Rand Company,
Ltd. -- Class A
(Bermuda)................ 16,446,000
592,950 Smurfit-Stone Container
Corp.*................... 7,892,165
147,700 SPX Corp. .................. 12,969,537
1,541,600 Tyco International, Ltd.
(Bermuda)*............... 52,090,664
------------
147,205,990
------------
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES -- 1.4%
1,476,600 Boston Scientific Corp.*.... 22,651,044
4,706,420 Tenet Healthcare Corp.*(8).. 30,638,794
------------
53,289,838
------------
METALS AND MINING -- 0.7%
390,000 Arcelor Mittal -- Class A
(the Netherlands)(8)..... 24,336,000
------------
OIL, COAL AND GAS -- 9.9%
275,000 BP PLC (ADR)
(United Kingdom)......... 19,838,500
1,276,300 Chevron Corp. .............. 107,515,512
1,242,602 ConocoPhillips.............. 97,544,257
1,354,800 Exxon Mobil Corp. .......... 113,640,624
78,000 Occidental Petroleum
Corp. ................... 4,514,640
234,600 Total SA (ADR) (France)..... 18,997,908
------------
362,051,441
------------
PAPER AND FOREST PRODUCTS -- 1.6%
926,100 Louisiana-Pacific Corp.(8).. 17,521,812
1,191,500 MeadWestvaco Corp. ......... 42,083,780
------------
59,605,592
------------
PHARMACEUTICALS/RESEARCH AND
DEVELOPMENT -- 6.0%
385,800 AmerisourceBergen Corp. .... 19,085,526
613,800 Merck & Company, Inc. ...... 30,567,240
2,587,400 Millennium Pharmaceuticals,
Inc.*.................... 27,348,818
4,322,200 Pfizer, Inc. ............... 110,518,654
1,018,300 Watson Pharmaceuticals,
Inc.*.................... 33,125,299
------------
220,645,537
------------
RETAIL -- 1.3%
1,313,400 Circuit City Stores, Inc. .. 19,806,072
911,900 Office Depot, Inc.*......... 27,630,570
------------
47,436,642
------------
RETAIL: RESTAURANTS -- 1.0%
705,000 McDonald's Corp. ........... 35,785,800
------------
RETAIL: SUPERMARKETS -- 1.4%
819,925 Safeway, Inc. .............. 27,902,047
779,350 The Kroger Company.......... 21,923,116
------------
49,825,163
------------
SEMICONDUCTORS -- 1.9%
2,312,100 Intel Corp. ................ 54,935,496
2,171,100 LSI Corp.*.................. 16,304,961
------------
71,240,457
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 8.2%
3,152,746 Alcatel-Lucent (ADR)
(France)(8).............. 44,138,444
2,619,855 AT&T, Inc. ................. 108,723,982
</Table>
See notes to financial statements.
123
VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES (CONTINUED)
390,000 Nokia Oyj (ADR)
(Finland) -- 144A....... $ 10,962,900
6,555,900 Qwest Communications
International,
Inc.*(8)................ 63,592,230
1,178,800 Sprint Nextel Corp.(8)..... 24,412,948
887,652 Verizon Communications,
Inc. ................... 36,544,633
451,400 Vodafone Group PLC (ADR)
(United Kingdom)........ 15,180,582
--------------
303,555,719
--------------
TOYS -- 0.8%
1,101,600 Mattel, Inc. .............. 27,859,464
--------------
TRANSPORTATION -- 1.6%
120,400 Con-way, Inc. ............. 6,048,896
1,204,900 CSX Corp. ................. 54,316,892
--------------
60,365,788
--------------
UTILITIES -- 3.2%
185,000 Allegheny Energy, Inc.*.... 9,571,900
1,159,580 American Electric Power
Company, Inc. .......... 52,227,483
224,800 Constellation Energy
Group................... 19,595,816
225,000 Entergy Corp. ............. 24,153,750
305,800 Wisconsin Energy Corp. .... 13,525,534
--------------
119,074,483
--------------
TOTAL COMMON STOCKS
(Cost $2,914,650,098)... 3,643,213,404
--------------
</Table>
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
SECURITIES LENDING COLLATERAL -- 6.6%
$244,204,605 Securities Lending
Collateral Investment
(Note 4)
(Cost $244,204,605)... $ $244,204,605
--------------
TOTAL SECURITIES
(Cost
$3,158,854,703)....... 3,887,418,009
--------------
REPURCHASE AGREEMENTS -- 1.4%
53,220,091 With Investors Bank &
Trust, dated 06/29/07,
4.76%, due 07/02/07,
repurchase proceeds at
maturity $53,241,202
(Collateralized by
Fannie Mae, 5.67%, due
05/15/36, with a value
of $45,971,062, and
various Small Business
Administrations,
8.38% -- 8.63%, due
09/25/16-05/25/28,
with a total value of
$9,910,033) (Cost
$53,220,091).......... 53,220,091
--------------
Total
Investments -- 106.8%
(Cost
$3,212,074,794)....... 3,940,638,100
Liabilities less other
assets -- (6.8)%...... (250,995,722)
--------------
NET ASSETS -- 100.0%..... $3,689,642,378
==============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $3,212,074,794.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.. $792,484,822
Gross unrealized depreciation.. (63,921,516)
------------
Net unrealized appreciation.... $728,563,306
============
</Table>
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements
124
VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 94.7%
ADVERTISING--3.2%
37,100 RH Donnelley Corp.*(8)..... $ $2,811,438
216,100 The Interpublic Group of
Companies, Inc.*(8)..... 2,463,540
------------
5,274,978
------------
AEROSPACE AND DEFENSE -- 4.0%
28,300 Empresa Brasileira de
Aeronautica SA (ADR)
(Brazil)(8)............. 1,364,343
66,700 Northrop Grumman Corp. .... 5,193,929
------------
6,558,272
------------
APPAREL: MANUFACTURING AND RETAIL -- 1.7%
141,900 The Gap, Inc. ............. 2,710,290
------------
AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE
EQUIPMENT AND REPAIRS -- 1.0%
17,600 Magna International,
Inc. -- Class A
(Canada)(8)............. 1,601,424
------------
BANKS -- 3.6%
58,555 Bank of America Corp. ..... 2,862,754
26,900 Comerica, Inc. ............ 1,599,743
21,200 KeyCorp(8)................. 727,796
13,000 UnionBanCal Corp. ......... 776,100
------------
5,966,393
------------
BUSINESS SERVICES AND SUPPLIES -- 1.7%
86,300 First Data Corp. .......... 2,819,421
------------
COMPUTER EQUIPMENT, SOFTWARE AND
SERVICES -- 14.8%
319,466 CA, Inc. .................. 8,251,807
236,100 Electronic Data Systems
Corp. .................. 6,547,053
227,200 Microsoft Corp. ........... 6,695,584
129,000 Oracle Corp.*.............. 2,542,590
------------
24,037,034
------------
CONSTRUCTION SERVICES AND SUPPLIES -- 7.1%
135,300 Centex Corp.(8)............ 5,425,530
79,100 Lennar Corp. -- Class
A(8).................... 2,891,896
150,300 Pulte Homes, Inc. ......... 3,374,235
------------
11,691,661
------------
CONSUMER GOODS AND SERVICES -- 1.5%
34,800 Altria Group, Inc. ........ 2,440,872
------------
FINANCIAL SERVICES -- 8.2%
79,100 Freddie Mac................ 4,801,370
115,600 JPMorgan Chase & Company... 5,600,820
8,700 Prudential Financial,
Inc. ................... 845,901
50,700 Washington Mutual, Inc. ... 2,161,848
------------
13,409,939
------------
FOOD AND BEVERAGE -- 0.2%
10,657 Kraft Foods, Inc. -- Class
A....................... 375,659
------------
INSURANCE -- 14.3%
13,700 Assurant, Inc. ............ 807,204
70,200 Conseco, Inc.*............. 1,466,478
139,800 Genworth Financial,
Inc. -- Class A......... 4,809,120
62,500 MetLife, Inc. ............. 4,030,000
8,200 The Hartford Financial
Services Group, Inc. ... 807,782
108,700 The Travelers Companies,
Inc. ................... 5,815,450
125,700 UnumProvident Corp. ....... 3,282,027
28,000 XL Capital, Ltd. -- Class A
(Cayman Islands)........ 2,360,120
------------
23,378,181
------------
LEISURE AND RECREATION -- 0.9%
42,620 Wyndham Worldwide Corp.*... 1,545,401
------------
MANUFACTURING -- 6.0%
38,000 Flowserve Corp. ........... 2,720,800
211,800 Tyco International, Ltd.
(Bermuda)*.............. 7,156,722
------------
9,877,522
------------
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES -- 0.9%
231,200 Tenet Healthcare
Corp.*(8)............... 1,505,112
------------
METALS AND MINING -- 1.6%
63,300 Alcoa, Inc. ............... 2,565,549
------------
OIL, COAL AND GAS -- 3.1%
41,200 Royal Dutch Shell
PLC -- Class B (ADR)
(United Kingdom)........ 3,434,020
21,100 Sunoco, Inc. .............. 1,681,248
------------
5,115,268
------------
PAPER AND FOREST PRODUCTS -- 0.6%
12,500 Weyerhaeuser Company....... 986,625
------------
PHARMACEUTICALS/RESEARCH AND
DEVELOPMENT -- 2.9%
84,900 Eli Lilly and Company...... 4,744,212
------------
PRINTING AND PUBLISHING -- 1.0%
45,100 Idearc, Inc. .............. 1,593,383
------------
REAL ESTATE DEVELOPMENT AND
SERVICES -- 1.6%
56,200 The St. Joe Company(8)..... 2,604,308
------------
RETAIL -- 6.2%
128,700 The Home Depot, Inc. ...... 5,064,345
105,700 Wal-Mart Stores, Inc. ..... 5,085,227
------------
10,149,572
------------
</Table>
See notes to financial statements.
125
VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
RETAIL: RESTAURANTS -- 1.0%
51,000 YUM! Brands, Inc. ......... $ 1,668,720
------------
RETAIL: SUPERMARKETS -- 1.0%
49,300 Safeway, Inc. ............. 1,677,679
------------
UTILITIES -- 6.6%
108,300 Exelon Corp. .............. 7,862,580
52,600 FPL Group, Inc. ........... 2,984,524
------------
10,847,104
------------
TOTAL COMMON STOCKS
(Cost $147,356,780)..... 155,144,579
------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 10.8%
$17,660,618 Securities Lending
Collateral Investment
(Note 4)
(Cost $17,660,618)...... 17,660,618
------------
TOTAL SECURITIES
(Cost $165,017,398)..... 172,805,197
------------
<Caption>
Principal Value
- --------- ------------
REPURCHASE AGREEMENTS -- 4.1%
6,733,344 With Investors Bank and
Trust, dated 06/29/07,
4.76%, due
07/02/07, repurchase
proceeds at maturity
$6,736,014
(Collateralized by
Fannie Mae Adjustable
Rate Mortgage, 4.43%,
due 07/01/33, with a
value of $5,937,083, and
Small Business
Administration, 8.00%,
due 01/25/23, with a
value of $1,131,928)
(Cost $6,733,344)....... 6,733,344
------------
Total Investments -- 109.6%
(Cost $171,750,742)..... 179,538,541
Liabilities less other
assets -- (9.6)%........ (15,750,998)
------------
NET ASSETS -- 100.0%....... $163,787,543
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $171,750,742.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation... $12,508,343
Gross unrealized depreciation... (4,720,544)
-----------
Net unrealized appreciation..... $ 7,787,799
===========
</Table>
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
126
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS -- 99.2%
AEROSPACE AND
DEFENSE--3.1%
96,020 Lockheed Martin Corp. .... $ 9,038,363
96,400 Northrop Grumman Corp. ... 7,506,668
107,668 Raytheon Company.......... 5,802,229
114,996 The Boeing Company........ 11,058,014
--------------
33,405,274
--------------
AGRICULTURE -- 0.3%
51,900 Monsanto Company.......... 3,505,326
--------------
AIRLINES -- 0.1%
60,888 AMR Corp.*................ 1,604,399
--------------
APPAREL: MANUFACTURING AND RETAIL -- 0.7%
68,925 American Eagle
Outfitters, Inc. ...... 1,768,616
59,000 Coach, Inc.*.............. 2,796,009
21,500 Jones Apparel Group,
Inc. .................. 607,375
1,300 Payless ShoeSource,
Inc.*.................. 41,015
43,768 Phillips-Van Heusen
Corp. ................. 2,651,028
--------------
7,864,043
--------------
AUTOMOBILE: RENTAL -- 0.3%
105,236 Avis Budget Group, Inc.*.. 2,991,859
--------------
AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE
EQUIPMENT AND REPAIRS -- 1.0%
103,900 AutoNation, Inc.*......... 2,331,516
19,573 AutoZone, Inc.*........... 2,674,063
1,600 Harley-Davidson, Inc. .... 95,376
31,700 PACCAR, Inc. ............. 2,759,168
76,500 TRW Automotive Holdings
Corp.*................. 2,817,495
--------------
10,677,618
--------------
BANKS -- 4.4%
206,200 Bank of America Corp. .... 10,081,118
65,200 Comerica, Inc. ........... 3,877,444
12,400 Credicorp, Ltd.
(Bermuda).............. 758,508
37,400 Regions Financial Corp. .. 1,237,940
22,200 SunTrust Banks, Inc. ..... 1,903,428
12,500 The Bank of New York
Company, Inc. ......... 518,000
136,000 US Bancorp................ 4,481,200
184,385 Wachovia Corp. ........... 9,449,731
443,940 Wells Fargo & Company..... 15,613,370
--------------
47,920,739
--------------
BROADCAST SERVICES/MEDIA -- 4.6%
92,882 CBS Corp. -- Class B...... 3,094,828
43,200 Comcast Corp. -- Class
A*..................... 1,214,784
6,500 EchoStar Communications
Corp. -- Class A*...... 281,905
6,300 Liberty Media
Corp. -- Capital --
Series A*............... 741,384
4,400 News Corp. -- Class B..... 100,936
25,200 Rogers Communications,
Inc. -- Class B
(Canada)(8)............ 1,070,748
80,300 Shaw Communications,
Inc. -- Class B
(Canada)(8)............ 3,375,812
432,019 The DIRECTV Group,
Inc.*(8)............... 9,983,959
89,889 The McGraw-Hill Companies,
Inc. .................. 6,119,643
264,682 The Walt Disney Company... 9,036,243
672,098 Time Warner, Inc. ........ 14,140,943
--------------
49,161,185
--------------
BUSINESS SERVICES AND SUPPLIES -- 1.0%
130,006 Accenture, Ltd. -- Class A
(Bermuda).............. 5,575,957
24,400 Dun & Bradstreet Corp. ... 2,512,712
20,700 First Data Corp. ......... 676,269
4,900 Gartner, Inc.*............ 120,491
33,000 Moody's Corp.(8).......... 2,052,600
5,000 Total System Services,
Inc. .................. 147,550
--------------
11,085,579
--------------
CHEMICALS -- 1.0%
26,800 Ashland, Inc. ............ 1,713,860
100,746 Celanese Corp. -- Series
A...................... 3,906,930
102,400 Methanex Corp. (Canada)... 2,574,336
3,600 NOVA Chemicals Corp.
(Canada)............... 128,052
38,063 The Lubrizol Corp. ....... 2,456,967
--------------
10,780,145
--------------
COMPUTER EQUIPMENT, SOFTWARE AND
SERVICES -- 8.5%
73,258 Apple, Inc.*.............. 8,940,406
29,600 Computer Sciences Corp.*.. 1,750,840
199,500 Compuware Corp.*.......... 2,366,070
283,208 Dell, Inc.*............... 8,085,588
102,956 Electronic Data Systems
Corp. ................. 2,854,970
126,200 EMC Corp.*................ 2,284,220
312,586 Hewlett-Packard Company... 13,947,587
91,700 Ingram Micro,
Inc. -- Class A*....... 1,990,807
122,819 International Business
Machines Corp. ........ 12,926,700
31,200 Lexmark International,
Inc. -- Class A*....... 1,538,472
872,718 Microsoft Corp. .......... 25,718,999
155,709 Nuance Communications,
Inc.*.................. 2,605,012
</Table>
See notes to financial statements.
127
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
COMPUTER EQUIPMENT, SOFTWARE AND SERVICES
(CONTINUED)
360,253 Oracle Corp.*............. $ 7,100,587
3,400 Sun Microsystems, Inc.*... 17,884
--------------
92,128,142
--------------
CONSTRUCTION SERVICES AND SUPPLIES -- 0.4%
1,200 American Standard
Companies, Inc. ....... 70,776
6,602 NVR, Inc.*(8)............. 4,487,710
1,400 Vulcan Materials Company.. 160,356
--------------
4,718,842
--------------
CONSUMER GOODS AND SERVICES -- 3.5%
130,943 Altria Group, Inc. ....... 9,184,341
41,900 American Greetings
Corp. -- Class A(8).... 1,187,027
3,900 Avon Products, Inc. ...... 143,325
30,676 Energizer Holdings,
Inc.*.................. 3,055,330
41,361 Jarden Corp.*............. 1,778,937
18,239 Loews Corp.- Carolina
Group.................. 1,409,328
34,200 NBTY, Inc.*............... 1,477,440
58,397 Newell Rubbermaid, Inc. .. 1,718,624
150,387 Procter & Gamble Company.. 9,202,180
35,000 Reynolds American,
Inc.(8)................ 2,282,000
20,268 The Black & Decker
Corp. ................. 1,789,867
3,800 The Estee Lauder
Companies,
Inc. -- Class A........ 172,938
43,100 UST, Inc. ................ 2,314,901
15,730 Whirlpool Corp. .......... 1,749,176
--------------
37,465,414
--------------
CONTAINERS AND PACKAGING -- 0.1%
26,500 Ball Corp. ............... 1,409,005
--------------
DISTRIBUTION -- 0.2%
5,500 Universal Corp. .......... 335,060
21,000 WW Grainger, Inc. ........ 1,954,050
--------------
2,289,110
--------------
DIVERSIFIED OPERATIONS AND SERVICES -- 1.1%
322,500 General Electric Company.. 12,345,300
--------------
EDUCATION -- 0.2%
14,000 ITT Educational Services,
Inc.*.................. 1,643,320
--------------
ELECTRONICS -- 1.2%
122,258 Avnet, Inc.*.............. 4,846,307
46,900 Emerson Electric Company.. 2,194,920
99,191 Synopsys, Inc.*........... 2,621,618
202,128 Vishay Intertechnology,
Inc.*.................. 3,197,665
--------------
12,860,510
--------------
ENERGY SERVICES -- 0.1%
61,100 Energy East Corp. ........ 1,594,099
--------------
ENVIRONMENTAL WASTE MANAGEMENT AND
RECYCLING SERVICES -- 0.2%
195,899 Allied Waste Industries,
Inc.*.................. 2,636,801
--------------
EQUIPMENT RENTAL AND LEASING -- 0.2%
80,163 Rent-A-Center, Inc.*...... 2,102,675
--------------
FINANCIAL SERVICES -- 10.1%
14,305 Affiliated Managers
Group, Inc.*........... 1,841,912
71,608 American Express Company.. 4,380,977
77,300 AmeriCredit Corp.*(8)..... 2,052,315
43,000 Ameriprise Financial,
Inc. .................. 2,733,510
27,900 CIT Group, Inc. .......... 1,529,757
389,300 Citigroup, Inc. .......... 19,967,196
177,100 Countrywide Financial
Corp.(8)............... 6,437,585
32,129 Franklin Resources,
Inc. .................. 4,256,129
5,600 Janus Capital Group,
Inc. .................. 155,904
373,200 JPMorgan Chase & Company.. 18,081,539
21,600 Lehman Brothers
Holdings, Inc. ........ 1,609,632
21,425 MasterCard, Inc. -- Class
A(8)................... 3,553,765
121,300 Merrill Lynch
& Company, Inc. ....... 10,138,254
149,961 Morgan Stanley............ 12,578,729
4,700 SLM Corp. ................ 270,626
10,831 T Rowe Price Group,
Inc. .................. 562,021
44,054 The Goldman Sachs
Group, Inc. ........... 9,548,705
207,800 Washington Mutual,
Inc.(8)................ 8,860,592
--------------
108,559,148
--------------
FOOD AND BEVERAGE -- 2.9%
60,600 ConAgra Foods, Inc. ...... 1,627,716
55,743 Corn Products
International, Inc. ... 2,533,519
93,095 General Mills, Inc. ...... 5,438,611
90,212 Kraft Foods, Inc. -- Class
A...................... 3,179,973
33,381 Molson Coors Brewing
Company -- Class B..... 3,086,407
52,700 PepsiCo, Inc. ............ 3,417,595
69,708 The Coca-Cola Company..... 3,646,425
21,300 The JM Smucker Company.... 1,355,958
107,803 The Pepsi Bottling Group,
Inc. .................. 3,630,805
147,900 Tyson Foods, Inc. -- Class
A...................... 3,407,616
--------------
31,324,625
--------------
</Table>
See notes to financial statements.
128
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
INSURANCE -- 5.7%
70,100 Aetna, Inc. .............. $ 3,462,940
25,000 Ambac Financial Group,
Inc. .................. 2,179,750
67,471 American International
Group, Inc. ........... 4,724,994
39,800 Assurant, Inc. ........... 2,345,016
87,100 Axis Capital Holdings,
Ltd. (Bermuda)......... 3,540,615
117,200 CIGNA Corp. .............. 6,120,184
9,000 Everest Re Group, Ltd.
(Bermuda).............. 977,760
75,900 Genworth Financial,
Inc. -- Class A........ 2,610,960
126,000 Loews Corp. .............. 6,423,480
35,552 MBIA, Inc.(8)............. 2,212,045
14,700 Nationwide Financial
Services, Inc. -- Class
A...................... 929,334
6,900 PartnerRe, Ltd.
(Bermuda)(8)........... 534,750
18,100 Principal Financial Group,
Inc. .................. 1,055,049
17,629 Prudential Financial,
Inc. .................. 1,714,068
50,000 SAFECO Corp. ............. 3,113,000
88,200 The Allstate Corp. ....... 5,425,182
26,300 The Chubb Corp. .......... 1,423,882
62,400 The PMI Group, Inc. ...... 2,787,408
130,000 The Travelers Companies,
Inc. .................. 6,955,000
33,090 XL Capital, Ltd. -- Class
A (Cayman Islands)..... 2,789,156
--------------
61,324,573
--------------
INTERNET SERVICES -- 3.0%
19,700 Amazon.com, Inc.*(8)...... 1,347,677
519,772 Cisco Systems, Inc.*...... 14,475,650
15,000 eBay, Inc.*............... 482,700
36,600 Expedia, Inc.*............ 1,072,014
14,160 Google, Inc. -- Class A*.. 7,411,061
111,941 IAC/InterActive
Corp.*(8).............. 3,874,278
11,400 Juniper Networks, Inc.*... 286,938
145,100 Symantec Corp.*........... 2,931,020
--------------
31,881,338
--------------
LEISURE AND RECREATION -- 0.3%
9,200 Carnival Corp. (Panama)... 448,684
55,000 Marriott International,
Inc. -- Class A........ 2,378,200
--------------
2,826,884
--------------
MACHINERY -- 1.8%
40,795 AGCO Corp.*............... 1,770,911
103,719 Caterpillar, Inc. ........ 8,121,197
38,189 Cummins, Inc. ............ 3,865,109
20,400 Deere & Company........... 2,463,096
55,996 Gardner Denver, Inc.*..... 2,382,630
5,100 Terex Corp.*.............. 414,630
--------------
19,017,573
--------------
MANUFACTURING -- 2.0%
21,600 3M Company................ 1,874,664
37,080 Cooper Industries,
Ltd. -- Class A
(Bermuda).............. 2,116,897
25,523 Eaton Corp. .............. 2,373,639
55,500 Honeywell International,
Inc. .................. 3,123,540
67,900 Ingersoll-Rand Company,
Ltd. -- Class A
(Bermuda).............. 3,722,278
35,400 Parker Hannifin Corp. .... 3,466,014
11,300 SPX Corp. ................ 992,253
14,400 The Timken Company........ 519,984
92,000 Tyco International, Ltd.
(Bermuda)*............. 3,108,680
--------------
21,297,949
--------------
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES -- 3.8%
65,885 Baxter International,
Inc. .................. 3,711,961
38,183 Beckman Coulter, Inc. .... 2,469,676
28,217 Becton, Dickinson and
Company................ 2,102,167
82,498 Humana, Inc.*............. 5,024,953
24,060 Invitrogen Corp.*......... 1,774,425
78,200 Johnson & Johnson......... 4,818,684
50,206 Kinetic Concepts, Inc.*... 2,609,206
64,042 LifePoint Hospitals,
Inc.*.................. 2,477,145
35,500 McKesson Corp. ........... 2,117,220
17,900 Medtronic, Inc. .......... 928,294
91,567 UnitedHealth Group,
Inc. .................. 4,682,736
40,081 WellCare Health Plans,
Inc.*.................. 3,627,731
17,800 WellPoint, Inc.*.......... 1,420,974
33,500 Zimmer Holdings, Inc.*.... 2,843,815
--------------
40,608,987
--------------
METALS AND MINING -- 1.8%
42,500 Alcan, Inc. (Canada)...... 3,455,250
34,827 Freeport-McMoRan Copper &
Gold, Inc. ............ 2,884,372
55,300 Gerdau Ameristeel Corp.
(Panama)............... 809,039
3,200 Newmont Mining Corp. ..... 124,992
72,000 Nucor Corp. .............. 4,222,800
61,855 Southern Copper Corp.(8).. 5,830,452
15,800 United States Steel
Corp. ................. 1,718,250
--------------
19,045,155
--------------
</Table>
See notes to financial statements.
129
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
OIL, COAL AND GAS -- 10.5%
27,000 Apache Corp. ............. $ 2,202,930
73,016 Chesapeake Energy Corp. .. 2,526,354
199,400 Chevron Corp. ............ 16,797,456
128,586 ConocoPhillips............ 10,094,001
41,500 Devon Energy Corp. ....... 3,249,035
1,200 Dresser-Rand Group,
Inc.*.................. 47,400
36,569 ENSCO International,
Inc. .................. 2,231,075
443,964 Exxon Mobil Corp. ........ 37,239,700
7,700 GlobalSantaFe Corp.
(Cayman Islands)....... 556,325
33,300 Halliburton Company....... 1,148,850
41,600 Holly Corp. .............. 3,086,304
139,600 Marathon Oil Corp. ....... 8,370,416
84,520 Nabors Industries, Ltd.
(Bermuda)*............. 2,821,278
9,500 National-Oilwell Varco,
Inc.*.................. 990,280
30,063 Noble Corp. (Cayman
Island)................ 2,931,744
11,300 Noble Energy, Inc. ....... 705,007
28,100 ONEOK, Inc. .............. 1,416,521
53,962 Schlumberger, Ltd.
(Netherlands
Antilles).............. 4,583,532
40,600 Sunoco, Inc. ............. 3,235,008
58,089 Superior Energy Services,
Inc.*.................. 2,318,913
51,478 Tesoro Corp. ............. 2,941,968
300 Transocean, Inc. (Cayman
Islands)*.............. 31,794
36,800 Valero Energy Corp. ...... 2,718,048
--------------
112,243,939
--------------
PAPER AND FOREST PRODUCTS -- 0.1%
87,000 Domtar Corp.*............. 970,920
--------------
PHARMACEUTICALS/RESEARCH AND
DEVELOPMENT -- 7.0%
67,267 Abbott Laboratories....... 3,602,148
112,100 AmerisourceBergen Corp. .. 5,545,587
47,300 Amgen, Inc.*.............. 2,615,217
25,000 Biogen Idec, Inc.*........ 1,337,500
173,678 Bristol-Myers Squibb
Company................ 5,481,278
3,500 Celgene Corp.*............ 200,655
21,378 Cephalon, Inc.*........... 1,718,577
28,500 Eli Lilly and Company..... 1,592,580
29,600 Express Scripts, Inc.*.... 1,480,296
50,900 Forest Laboratories,
Inc.*.................. 2,323,585
170,788 Gilead Sciences, Inc.*.... 6,621,451
101,619 King Pharmaceuticals,
Inc.*.................. 2,079,125
16,300 Medco Health Solutions,
Inc.*.................. 1,271,237
206,609 Merck & Company, Inc. .... 10,289,128
799,354 Pfizer, Inc. ............. 20,439,481
207,958 Schering-Plough Corp. .... 6,330,242
70,375 Watson Pharmaceuticals,
Inc.*.................. 2,289,299
10,800 Wyeth..................... 619,272
--------------
75,836,658
--------------
REAL ESTATE DEVELOPMENT AND
SERVICES -- 0.6%
59,399 Brookfield Asset
Management,
Inc. -- Class A
(Canada)(8)............ 2,370,020
16,200 CB Richard Ellis Group,
Inc. -- Class A*....... 591,300
33,307 Jones Lang LaSalle,
Inc. .................. 3,780,345
--------------
6,741,665
--------------
REAL ESTATE INVESTMENT TRUSTS -- 0.6%
6,800 Boston Properties, Inc. .. 694,484
2,100 Health Care Property
Investors, Inc. ....... 60,753
11,800 Kimco Realty Corp. ....... 449,226
6,600 ProLogis.................. 375,540
800 Regency Centers Corp. .... 56,400
46,654 Simon Property Group,
Inc.(8)................ 4,340,688
1,600 SL Green Realty Corp. .... 198,224
--------------
6,175,315
--------------
RETAIL -- 2.6%
67,084 Barnes & Noble, Inc. ..... 2,580,721
152,938 Big Lots, Inc.*(8)........ 4,499,436
21,400 CVS Caremark Corp. ....... 780,030
91,707 Dollar Tree Stores,
Inc.*.................. 3,993,840
54,865 GameStop Corp. -- Class
A*..................... 2,145,222
2,100 JC Penney Company, Inc. .. 151,998
12,300 Kohl's Corp.*............. 873,669
145,430 RadioShack Corp.(8)....... 4,819,550
80,376 Target Corp. ............. 5,111,914
17,700 The Home Depot, Inc. ..... 696,495
55,300 Wal-Mart Stores, Inc. .... 2,660,483
--------------
28,313,358
--------------
RETAIL: RESTAURANTS -- 0.9%
8,500 Jack in the Box, Inc.*.... 602,990
149,914 McDonald's Corp. ......... 7,609,635
41,400 YUM! Brands, Inc. ........ 1,354,608
--------------
9,567,233
--------------
RETAIL: SUPERMARKETS -- 1.3%
185,113 Safeway, Inc. ............ 6,299,395
281,988 The Kroger Company........ 7,932,323
--------------
14,231,718
--------------
</Table>
See notes to financial statements.
130
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
RUBBER PRODUCTS -- 0.2%
50,757 The Goodyear Tire & Rubber
Company*............... $ 1,764,313
--------------
SCIENTIFIC AND TECHNICAL
INSTRUMENTS -- 0.0%
200 Mettler-Toledo
International, Inc.*... 19,102
3,100 Waters Corp.*............. 184,016
--------------
203,118
--------------
SEMICONDUCTORS -- 2.5%
133,500 Atmel Corp.*.............. 742,260
491,988 Intel Corp. .............. 11,689,635
4,100 Intersil Corp. -- Class
A(8)................... 128,986
58,892 MEMC Electronic Materials,
Inc.*.................. 3,599,479
15,900 Novellus Systems,
Inc.*(8)............... 451,083
97,359 NVIDIA Corp.*............. 4,021,900
154,902 Teradyne, Inc.*........... 2,723,177
105,500 Texas Instruments, Inc. .. 3,969,965
--------------
27,326,485
--------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 3.8%
2,600 ALLTEL Corp. ............. 175,630
58,000 Andrew Corp.*(8).......... 837,520
389,022 AT&T, Inc. ............... 16,144,413
44,600 CenturyTel, Inc. ......... 2,187,630
33,980 Embarq Corp. ............. 2,153,313
335,100 Sprint Nextel Corp. ...... 6,939,921
25,900 Telephone and Data
Systems, Inc. ......... 1,620,563
9,000 Telephone and Data
Systems,
Inc. -- Special Common
Shares................. 517,950
62,700 UTStarcom, Inc.*(8)....... 351,747
255,900 Verizon Communications,
Inc. .................. 10,535,403
--------------
41,464,090
--------------
TOYS -- 0.6%
122,500 Hasbro, Inc. ............. 3,847,725
102,640 Mattel, Inc. ............. 2,595,766
--------------
6,443,491
--------------
TRANSPORTATION -- 1.8%
28,809 CH Robinson Worldwide,
Inc. .................. 1,513,049
134,736 CSX Corp. ................ 6,073,898
65,543 JB Hunt Transport
Services, Inc. ........ 1,921,721
33,700 Norfolk Southern Corp. ... 1,771,609
7,200 Overseas Shipholding
Group, Inc. ........... 586,080
47,989 Ryder System, Inc. ....... 2,581,808
48,876 Tidewater, Inc.(8)........ 3,464,331
11,900 Union Pacific Corp. ...... 1,370,285
--------------
19,282,781
--------------
UTILITIES -- 3.1%
59,500 Alliant Energy Corp. ..... 2,311,575
46,300 American Electric Power
Company, Inc. ......... 2,085,352
172,721 CenterPoint Energy,
Inc. .................. 3,005,345
23,300 DTE Energy Company........ 1,123,526
78,700 Duke Energy Corp. ........ 1,440,210
129,075 Edison International...... 7,243,689
38,700 Energen Corp. ............ 2,126,178
16,300 Entergy Corp. ............ 1,749,805
82,600 FirstEnergy Corp. ........ 5,346,698
9,000 NRG Energy, Inc.*......... 374,130
55,900 PG&E Corp. ............... 2,532,270
10,500 Public Service Enterprise
Group, Inc. ........... 921,690
68,300 Reliant Energy, Inc.*..... 1,840,685
19,400 TXU Corp. ................ 1,305,620
--------------
33,406,773
--------------
TOTAL COMMON STOCKS
(Cost $958,627,157).... 1,070,047,474
--------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 4.4%
$47,663,319 Securities Lending
Collateral Investment
(Note 4)
(Cost $47,663,319)..... 47,663,319
--------------
TOTAL SECURITIES
(Cost $1,006,290,476).. 1,117,710,793
--------------
</Table>
See notes to financial statements.
131
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PRINCIPAL VALUE
--------- --------------
REPURCHASE AGREEMENTS -- 0.6%
$ 6,015,524 With Investors Bank and
Trust, dated 06/29/07,
4.76%, due
07/02/07, repurchase
proceeds at maturity
$6,227,717
(Collateralized by
Freddie Mac Adjustable
Rate Mortgage, 6.07%,
due 06/01/32, with a
value of $1,877,231 and
Small Business
Administration, 8.88%,
due 05/25/16, with a
value of $4,439,069)
(Cost $6,015,524)...... $ 6,015,524
--------------
Total
Investments -- 104.2%
(Cost $1,012,306,000).. 1,123,726,317
Liabilities less other
assets -- (4.2)%....... (45,681,510)
--------------
NET ASSETS -- 100.0%...... $1,078,044,807
==============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $1,012,306,000.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.. $122,293,810
Gross unrealized depreciation.. (10,873,493)
------------
Net unrealized appreciation.... $111,420,317
============
</Table>
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
132
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS -- 98.8%
ADVERTISING -- 0.3%
128,364 Omnicom Group, Inc.
(China)................ $ 6,793,023
--------------
AEROSPACE AND DEFENSE -- 4.9%
87,958 Gamesa Corporacion
Tecnologica, SA
(Spain)................ 3,214,262
385,262 General Dynamics Corp. ... 30,135,194
424,130 Lockheed Martin Corp. .... 39,923,357
160,988 Raytheon Company.......... 8,675,643
381,905 The Boeing Company........ 36,723,985
--------------
118,672,441
--------------
AGRICULTURE -- 1.5%
123,981 Agrium, Inc. (Canada)..... 5,424,169
464,792 Monsanto Company.......... 31,392,051
--------------
36,816,220
--------------
AIRLINES -- 0.2%
96,942 AMR Corp.*................ 2,554,421
34,233 Continental Airlines,
Inc. -- Class B*....... 1,159,472
--------------
3,713,893
--------------
APPAREL: MANUFACTURING AND RETAIL -- 1.0%
437,906 American Eagle
Outfitters, Inc. ...... 11,236,668
94,557 Coach, Inc.*.............. 4,481,056
54,603 NIKE, Inc. -- Class B..... 3,182,809
57,625 Nordstrom, Inc. .......... 2,945,790
31,017 Polo Ralph Lauren Corp. .. 3,043,078
--------------
24,889,401
--------------
AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE
EQUIPMENT AND REPAIRS -- 2.0%
21,006 DaimlerChrysler AG
(Germany).............. 1,931,502
65,968 Honda Motor Company, Ltd.
(Japan)................ 2,411,013
312,948 Tata Motors Ltd.
(ADR) (India).......... 5,138,606
311,403 Toyota Motor Corp. (ADR)
(Japan)................ 39,199,410
--------------
48,680,531
--------------
BANKS -- 4.4%
63,247,000 Industrial and Commercial
Bank of China
Ltd. -- Class H
(China)................ 35,104,867
20,827 Julius Baer Holding, Ltd.
(Switzerland).......... 1,498,726
44,891 State Street Corp. ....... 3,070,544
803,736 UBS AG (Switzerland)...... 48,232,197
547,923 Wells Fargo & Company..... 19,270,452
--------------
107,176,786
--------------
BROADCAST SERVICES/MEDIA -- 3.7%
1,566,072 Comcast Corp. -- Class
A*..................... 44,037,945
192,751 DreamWorks Animation SKG,
Inc. -- Class A*....... 5,558,939
62,269 EchoStar Communications
Corp. -- Class A*...... 2,700,607
51,612 Liberty Global,
Inc. -- Class A*....... 2,118,156
388,895 News Corp. -- Class A..... 8,248,463
259,813 The DIRECTV Group, Inc.*.. 6,004,278
424,030 The Walt Disney Company... 14,476,384
158,151 Time Warner, Inc. ........ 3,327,497
64,744 Viacom, Inc. -- Class B*.. 2,695,293
--------------
89,167,562
--------------
BUSINESS SERVICES AND SUPPLIES -- 1.0%
464,055 Accenture, Ltd. -- Class A
(Bermuda).............. 19,903,319
48,984 Manpower, Inc. ........... 4,518,284
--------------
24,421,603
--------------
CHEMICALS -- 0.2%
77,849 Albemarle Corp. .......... 2,999,521
51,514 Rohm and Haas Company..... 2,816,786
--------------
5,816,307
--------------
COMMERCIAL SERVICES -- 0.3%
69,991 Alliance Data Systems
Corp.*................. 5,408,904
110,420 Iron Mountain, Inc.*...... 2,885,275
--------------
8,294,179
--------------
COMPUTER EQUIPMENT, SOFTWARE AND
SERVICES -- 9.4%
111,033 Adobe Systems, Inc.*...... 4,457,975
439,086 Apple, Inc.*.............. 53,586,056
117,992 Automatic Data Processing,
Inc. .................. 5,719,072
118,582 BMC Software, Inc.*....... 3,593,035
402,962 Cadence Design Systems,
Inc.*.................. 8,849,046
69,991 Citrix Systems, Inc.*..... 2,356,597
110,539 Electronic Data Systems
Corp. ................. 3,065,246
160,386 EMC Corp.*................ 2,902,987
569,513 Hewlett-Packard Company... 25,411,670
372,136 International Business
Machines Corp. ........ 39,167,314
36,785 Lexmark International,
Inc. -- Class A*....... 1,813,868
989,693 Microsoft Corp. .......... 29,166,253
200,037 Network Appliance, Inc.*.. 5,841,080
2,055,428 Oracle Corp.*............. 40,512,486
58,996 Riverbed Technology,
Inc.*.................. 2,585,205
--------------
229,027,890
--------------
</Table>
See notes to financial statements.
133
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
CONSTRUCTION SERVICES AND SUPPLIES -- 0.4%
80,467 American Standard
Companies, Inc. ....... $ 4,745,943
2,506 NVR, Inc.*................ 1,703,454
107,498 RPM International, Inc. .. 2,484,279
--------------
8,933,676
--------------
CONSUMER GOODS AND SERVICES -- 2.1%
242,255 Altria Group, Inc. ....... 16,991,765
76,618 Avon Products, Inc. ...... 2,815,712
48,165 NBTY, Inc.*............... 2,080,728
173,550 Newell Rubbermaid, Inc. .. 5,107,577
68,072 Procter & Gamble Company.. 4,165,326
144,004 Tempur-Pedic
International, Inc. ... 3,729,704
89,512 The Clorox Company........ 5,558,694
69,638 United Parcel Service,
Inc. -- Class B........ 5,083,574
85,030 UST, Inc. ................ 4,566,961
--------------
50,100,041
--------------
CONTAINERS AND PACKAGING -- 0.4%
60,620 Ball Corp. ............... 3,223,166
106,078 Packaging Corp. of
America................ 2,684,834
101,369 Sealed Air Corp. ......... 3,144,466
--------------
9,052,466
--------------
DIVERSIFIED OPERATIONS AND SERVICES -- 0.4%
128,200 General Electric Company.. 4,907,496
40,706 Textron, Inc. ............ 4,482,138
--------------
9,389,634
--------------
EDUCATION -- 0.2%
83,041 Apollo Group,
Inc. -- Class A*....... 4,852,086
--------------
ELECTRONICS -- 1.3%
112,566 AVX Corp. ................ 1,884,355
295,964 Emerson Electric Company.. 13,851,115
185,793 Rockwell Collins, Inc. ... 13,124,418
145,256 Synopsys, Inc.*........... 3,839,116
--------------
32,699,004
--------------
ENERGY SERVICES -- 0.0%
14,327 McDermott International,
Inc. (Panama)*......... 1,190,860
--------------
ENVIRONMENTAL WASTE MANAGEMENT AND
RECYCLING SERVICES -- 0.1%
54,973 Waste Management, Inc. ... 2,146,696
--------------
FINANCIAL SERVICES -- 3.4%
30,919 American Express Company.. 1,891,624
101,992 Ameriprise Financial,
Inc. .................. 6,483,631
49,543 Franklin Resources,
Inc. .................. 6,562,961
39,211 Merrill Lynch
& Company, Inc. ....... 3,277,255
38,179 Morgan Stanley............ 3,202,455
333,133 The Blackstone Group
LP*(8)................. 9,750,803
106,822 The Charles Schwab
Corp. ................. 2,191,987
27,072 The First Marblehead
Corp. ................. 1,046,062
218,345 The Goldman Sachs
Group, Inc. ........... 47,326,280
--------------
81,733,058
--------------
FOOD AND BEVERAGE -- 2.4%
124,987 General Mills, Inc. ...... 7,301,741
629,124 PepsiCo, Inc. ............ 40,798,691
128,088 Sysco Corp. .............. 4,225,623
120,404 The Coca-Cola Company..... 6,298,333
--------------
58,624,388
--------------
INSURANCE -- 0.6%
73,030 Ace, Ltd. (Cayman
Islands)............... 4,565,835
39,866 CIGNA Corp. .............. 2,081,803
91,013 Philadelphia Consolidated
Holding Corp.*......... 3,804,343
44,099 Prudential Financial,
Inc. .................. 4,287,746
--------------
14,739,727
--------------
INTERNET SERVICES -- 5.4%
25,087 Amazon.com, Inc.*......... 1,716,202
2,427,224 Cisco Systems, Inc.*...... 67,598,189
22,972 Ctrip.com International,
Ltd. (ADR) (Cayman
Islands)............... 1,806,288
275,954 eBay, Inc.*............... 8,880,200
36,023 F5 Networks, Inc.*........ 2,903,454
76,772 Google, Inc. -- Class A*.. 40,180,929
58,968 IAC/InterActive Corp.*.... 2,040,882
39,956 McAfee, Inc.*............. 1,406,451
114,953 Symantec Corp.*........... 2,322,051
109,478 Yahoo!, Inc.*............. 2,970,138
--------------
131,824,784
--------------
LEISURE AND RECREATION -- 3.9%
361,218 Las Vegas Sands Corp.*.... 27,593,443
328,497 MGM MIRAGE*............... 27,094,433
166,255 Regal Entertainment
Group -- Class A....... 3,645,972
398,301 Wynn Resorts, Ltd.(8)..... 35,723,616
--------------
94,057,464
--------------
MACHINERY -- 1.2%
69,894 AGCO Corp.*............... 3,034,099
36,694 Caterpillar, Inc. ........ 2,873,140
25,671 Cummins, Inc. ............ 2,598,162
</Table>
See notes to financial statements.
134
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
30,152 Deere & Company........... $ 3,640,552
118,975 Joy Global, Inc. ......... 6,939,812
110,037 Terex Corp.*.............. 8,946,008
16,332 The Manitowoc Company,
Inc. .................. 1,312,766
--------------
29,344,539
--------------
MANUFACTURING -- 2.2%
61,700 3M Company................ 5,354,943
53,633 Eaton Corp. .............. 4,987,869
102,257 Harsco Corp. ............. 5,317,364
87,022 Honeywell International,
Inc. .................. 4,897,598
73,452 ITT Industries, Inc. ..... 5,015,303
229,012 Parker Hannifin Corp. .... 22,422,565
92,963 Roper Industries, Inc. ... 5,308,187
--------------
53,303,829
--------------
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES -- 5.5%
64,953 Baxter International,
Inc. .................. 3,659,452
26,034 Becton, Dickinson and
Company................ 1,939,533
55,996 Coventry Health Care,
Inc.*.................. 3,228,169
61,158 Health Net, Inc.*......... 3,229,142
54,654 Henry Schein, Inc.*....... 2,920,163
63,622 Humana, Inc.*............. 3,875,216
86,735 Johnson & Johnson......... 5,344,611
267,297 McKesson Corp. ........... 15,941,593
110,399 Medtronic, Inc. .......... 5,725,292
31,629 Stryker Corp. ............ 1,995,474
1,630,495 UnitedHealth Group,
Inc. .................. 83,383,514
40,182 Varian Medical Systems,
Inc.*.................. 1,708,137
21,303 WellCare Health Plans,
Inc.*.................. 1,928,135
--------------
134,878,431
--------------
METALS AND MINING -- 2.6%
36,428 AK Steel Holding Corp.*... 1,361,314
1,109,577 Antofagasta PLC
(United Kingdom)....... 13,680,789
204,967 Aur Resources, Inc.
(Canada)............... 6,099,464
363,624 Freeport-McMoRan Copper &
Gold, Inc.(8).......... 30,115,341
26,793 Reliance Steel & Aluminum
Company................ 1,507,374
18,317 Southern Copper Corp. .... 1,726,560
36,635 Steel Dynamics, Inc. ..... 1,535,373
35,659 Titanium Metals Corp.*.... 1,137,522
22,528 Vallourec SA (France)..... 7,263,147
--------------
64,426,884
--------------
OFFICE EQUIPMENT, SUPPLIES, AND
SERVICES -- 0.6%
101,185 Pitney Bowes, Inc. ....... 4,737,482
100,065 Steelcase, Inc. -- Class
A...................... 1,851,203
415,030 Xerox Corp.*.............. 7,669,754
--------------
14,258,439
--------------
OIL, COAL AND GAS -- 10.3%
201,034 Chevron Corp. ............ 16,935,104
276,031 ConocoPhillips............ 21,668,434
146,954 Diamond Offshore Drilling,
Inc. .................. 14,924,648
71,108 ENSCO International,
Inc. .................. 4,338,299
153,893 Exxon Mobil Corp. ........ 12,908,545
404,018 GlobalSantaFe Corp.
(Cayman Islands)....... 29,190,301
32,843 Grant Prideco, Inc.*...... 1,767,939
130,074 Holly Corp. .............. 9,650,190
28,860 National-Oilwell Varco,
Inc.*.................. 3,008,366
36,734 Noble Corp. (Cayman
Islands)............... 3,582,300
26,012 Petroleo Brasileiro SA
(ADR) (Brazil)......... 2,774,960
249,154 Petroleo Brasileiro SA
(ADR) (Brazil)......... 30,214,906
738,034 Schlumberger, Ltd.
(Netherlands
Antilles).............. 62,688,608
27,175 Tesoro Corp. ............. 1,553,051
169,033 Transocean, Inc. (Cayman
Islands)*.............. 17,914,117
78,680 Valero Energy Corp. ...... 5,811,305
175,022 XTO Energy, Inc. ......... 10,518,822
--------------
249,449,895
--------------
PHARMACEUTICALS/RESEARCH AND
DEVELOPMENT -- 8.7%
311,691 Abbott Laboratories....... 16,691,053
98,288 AmerisourceBergen Corp. .. 4,862,307
51,244 Amgen, Inc.*.............. 2,833,281
35,040 Amylin Pharmaceuticals,
Inc.*.................. 1,442,246
439,732 Bristol-Myers Squibb
Company................ 13,877,942
105,105 Cardinal Health, Inc. .... 7,424,617
26,821 Celgene Corp.*............ 1,537,648
95,019 Eisai Company, Ltd.
(Japan)................ 4,151,896
326,272 Eli Lilly and Company..... 18,232,079
65,420 Express Scripts, Inc.*.... 3,271,654
318,125 Forest Laboratories,
Inc.*.................. 14,522,406
537,921 Genentech, Inc.*.......... 40,699,104
59,688 Gilead Sciences, Inc.*.... 2,314,104
32,801 Medco Health Solutions,
Inc.*.................. 2,558,150
459,573 Merck & Company, Inc. .... 22,886,735
163,076 Millennium
Pharmaceuticals,
Inc.*.................. 1,723,713
</Table>
See notes to financial statements.
135
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS/RESEARCH AND DEVELOPMENT
(CONTINUED)
1,096,466 Schering-Plough Corp. .... $ 33,376,426
260,030 Shionogi & Company, Ltd.
(Japan)................ 4,244,957
96,986 Teva Pharmaceutical
Industries, Ltd. (ADR)
(Israel)............... 4,000,673
65,841 Vertex Pharmaceuticals,
Inc.*.................. 1,880,419
149,152 Wyeth..................... 8,552,376
--------------
211,083,786
--------------
REAL ESTATE DEVELOPMENT AND
SERVICES -- 0.3%
31,040 CB Richard Ellis Group,
Inc. -- Class A*....... 1,132,960
30,983 Jones Lang LaSalle,
Inc. .................. 3,516,570
43,134 The St. Joe Company....... 1,998,830
--------------
6,648,360
--------------
REAL ESTATE INVESTMENT TRUSTS -- 0.7%
107,584 Duke Realty Corp. ........ 3,837,521
74,193 General Growth
Properties, Inc. ...... 3,928,519
82,835 Health Care REIT, Inc. ... 3,343,221
62,099 Simon Property Group,
Inc. .................. 5,777,691
--------------
16,886,952
--------------
RETAIL -- 4.5%
54,738 Best Buy Company, Inc. ... 2,554,622
45,187 Big Lots, Inc.*........... 1,329,402
778,871 CVS Caremark Corp. ....... 28,389,848
76,006 JC Penney Company, Inc. .. 5,501,314
117,784 Kohl's Corp.*............. 8,366,198
1,214,373 Lowe's Companies, Inc. ... 37,269,106
60,310 PetSmart, Inc. ........... 1,957,060
51,679 RadioShack Corp. ......... 1,712,642
51,637 Target Corp. ............. 3,284,113
102,857 The Home Depot, Inc. ..... 4,047,423
111,199 The TJX Companies, Inc. .. 3,057,973
137,383 Walgreen Company.......... 5,981,656
149,836 Wal-Mart Stores, Inc. .... 7,208,610
--------------
110,659,967
--------------
RETAIL: RESTAURANTS -- 1.9%
142,506 Brinker International,
Inc. .................. 4,171,151
743,567 McDonald's Corp. ......... 37,743,460
92,296 Starbucks Corp.*.......... 2,421,847
82,426 Wendy's International,
Inc. .................. 3,029,156
--------------
47,365,614
--------------
RETAIL: SUPERMARKETS -- 0.1%
47,510 Whole Foods Market,
Inc. .................. 1,819,633
--------------
SECURITY SERVICES -- 0.1%
26,988 The Brink's Company....... 1,670,287
--------------
SEMICONDUCTORS -- 3.8%
100,040 Advanced Micro Devices,
Inc.*.................. 1,430,572
783,935 Altera Corp. ............. 17,348,482
227,189 Applied Materials, Inc. .. 4,514,245
165,994 Emulex Corp.*............. 3,625,309
1,831,129 Intel Corp. .............. 43,507,625
43,932 MEMC Electronic Materials,
Inc.*.................. 2,685,124
81,816 National Semiconductor
Corp. ................. 2,312,938
168,178 NVIDIA Corp.*............. 6,947,433
209,046 Teradyne, Inc.*........... 3,675,029
200,229 Texas Instruments, Inc. .. 7,534,617
--------------
93,581,374
--------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 3.0%
45,581 American Tower
Corp. -- Class A*...... 1,914,402
1,115,644 AT&T, Inc. ............... 46,299,226
148,912 Corning, Inc.*............ 3,804,702
19,855 General Cable Corp.*...... 1,504,016
30,210 NII Holdings, Inc.*....... 2,439,155
117,992 Nokia Oyj (ADR)
(Finland).............. 3,316,755
287,927 QUALCOMM, Inc. ........... 12,493,153
151,960 Sonus Networks, Inc.*..... 1,294,699
25,000 Starent Networks Corp.*... 367,500
--------------
73,433,608
--------------
TOYS -- 0.4%
84,802 Hasbro, Inc. ............. 2,663,631
153,591 Mattel, Inc. ............. 3,884,316
11,003 Nintendo Company, Ltd.
(Japan)................ 4,030,338
--------------
10,578,285
--------------
TRANSPORTATION -- 3.0%
326,526 Burlington Northern Santa
Fe Corp. .............. 27,800,424
71,805 CH Robinson Worldwide,
Inc. .................. 3,771,199
53,716 CSX Corp. ................ 2,421,517
81,556 Norfolk Southern Corp. ... 4,287,399
72,650 Tidewater, Inc. .......... 5,149,432
262,587 Union Pacific Corp. ...... 30,236,892
--------------
73,666,863
--------------
UTILITIES -- 0.4%
58,186 Constellation Energy
Group.................. 5,072,074
49,437 Covanta Holding Corp.*.... 1,218,622
37,634 Exelon Corp. ............. 2,732,228
</Table>
See notes to financial statements.
136
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
UTILITIES (CONTINUED)
43,086 NRG Energy, Inc.*......... $ 1,791,085
--------------
10,814,009
--------------
TOTAL COMMON STOCKS
(Cost $2,198,189,693).. 2,406,684,475
--------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 1.6%
$39,846,175 Securities Lending
Collateral Investment
(Note 4)
(Cost $39,846,175)..... 39,846,175
--------------
TOTAL SECURITIES
(Cost $2,238,035,868).. 2,446,530,650
--------------
REPURCHASE AGREEMENTS -- 0.1%
2,729,778 With Investors Bank and
Trust, dated
06/29/2007, 4.76%, due
07/02/07, repurchase
proceeds at maturity
$2,730,861
(Collateralized by
Small Business
Administration, 8.13%,
due 11/25/28, with a
value of $2,866,267)
(Cost $2,729,778)...... 2,729,778
--------------
Total
Investments -- 100.5%
(Cost $2,240,765,646).. 2,449,260,428
Liabilities less other
assets -- (0.5)%....... (12,723,140)
--------------
NET ASSETS -- 100.0%...... $2,436,537,288
==============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $2,240,765,646.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.. $230,598,630
Gross unrealized depreciation.. (22,103,848)
------------
Net unrealized appreciation.... $208,494,782
============
</Table>
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
137
AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 99.1%
ADVERTISING -- 1.3%
92,200 Focus Media Holding, Ltd.
(ADR) (China)*(8)...... $ 4,656,100
------------
AGRICULTURE -- 1.4%
77,940 Monsanto Company.......... 5,264,068
------------
APPAREL: MANUFACTURING AND RETAIL -- 5.5%
117,800 Coach, Inc.*.............. 5,582,542
106,720 Guess?, Inc. ............. 5,126,829
46,470 Polo Ralph Lauren Corp. .. 4,559,172
104,570 Under Armour,
Inc. -- Class A*(8).... 4,773,621
------------
20,042,164
------------
BROADCAST SERVICES/MEDIA -- 1.3%
66,920 News Corp. -- Class A..... 1,419,373
81,000 Rogers Communications,
Inc. -- Class B
(Canada)(8)............ 3,441,690
------------
4,861,063
------------
COMPUTER EQUIPMENT, SOFTWARE AND
SERVICES -- 7.8%
64,360 Apple, Inc.*.............. 7,854,495
275,000 Dell, Inc.*............... 7,851,250
73,000 Riverbed Technology,
Inc.*.................. 3,198,860
106,570 Salesforce.com, Inc.*..... 4,567,590
100,530 SanDisk Corp.*............ 4,919,938
------------
28,392,133
------------
CORRECTIONAL FACILITIES -- 0.9%
51,100 Corrections Corp. of
America*............... 3,224,921
------------
DIVERSIFIED OPERATIONS AND
SERVICES -- 4.1%
391,900 General Electric Company.. 15,001,932
------------
ENERGY SERVICES -- 1.6%
91,300 SunPower Corp. -- Class
A*(8).................. 5,756,465
------------
ENGINEERING -- 2.0%
328,800 ABB, Ltd. (ADR)
(Switzerland).......... 7,430,880
------------
FINANCIAL SERVICES -- 8.3%
14,670 Chicago Mercantile
Exchange Holdings,
Inc.(8)................ 7,839,061
32,700 Franklin Resources,
Inc. .................. 4,331,769
38,500 IntercontinentalExchange,
Inc.*.................. 5,692,225
31,930 Nymex Holdings Inc.(8).... 4,011,366
38,890 The Goldman Sachs Group,
Inc. .................. 8,429,408
------------
30,303,829
------------
FOOD AND BEVERAGE -- 2.5%
124,700 Hansen Natural Corp.*..... 5,359,606
71,000 The Coca-Cola Company..... 3,714,010
------------
9,073,616
------------
INTERNET SERVICES -- 14.9%
114,140 Akamai Technologies,
Inc.*(8)............... 5,551,770
64,000 Amazon.com, Inc.*(8)...... 4,378,240
567,990 Cisco Systems, Inc.*...... 15,818,521
98,350 Expedia, Inc.*............ 2,880,672
61,180 F5 Networks, Inc.*........ 4,931,108
30,640 Google, Inc. -- Class A*.. 16,036,362
163,000 VeriSign, Inc.*........... 5,171,990
------------
54,768,663
------------
LEISURE AND RECREATION -- 2.5%
101,100 International Game
Technology............. 4,013,670
68,220 Las Vegas Sands Corp.*.... 5,211,326
------------
9,224,996
------------
MACHINERY -- 2.0%
60,440 Deere & Company........... 7,297,526
------------
MANUFACTURING -- 2.6%
33,400 Precision Castparts
Corp. ................. 4,053,424
98,600 Roper Industries,
Inc.(8)................ 5,630,060
------------
9,683,484
------------
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES -- 3.9%
94,660 Baxter International,
Inc. .................. 5,333,145
34,600 Intuitive Surgical,
Inc.*(8)............... 4,801,442
102,460 St Jude Medical,
Inc.*(8)............... 4,251,065
------------
14,385,652
------------
METALS AND MINING -- 1.3%
93,370 Cameco Corp. (Canada)(8).. 4,737,594
------------
OIL, COAL AND GAS -- 3.5%
104,000 CONSOL Energy, Inc. ...... 4,795,440
39,000 Diamond Offshore Drilling,
Inc. .................. 3,960,840
66,700 XTO Energy, Inc. ......... 4,008,670
------------
12,764,950
------------
PHARMACEUTICALS/RESEARCH AND
DEVELOPMENT -- 10.2%
72,660 Allergan, Inc. ........... 4,188,122
102,672 Celgene Corp.*(8)......... 5,886,186
78,000 Express Scripts, Inc.*.... 3,900,780
210,340 Gilead Sciences, Inc.*.... 8,154,881
51,300 Medco Health Solutions,
Inc.*.................. 4,000,887
100,000 Schering-Plough Corp. .... 3,044,000
108,670 Shire PLC (ADR)
(United Kingdom)....... 8,055,707
------------
37,230,563
------------
RETAIL -- 1.1%
106,830 GameStop Corp. -- Class
A*..................... 4,177,053
------------
</Table>
See notes to financial statements.
138
AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
SCIENTIFIC AND TECHNICAL
INSTRUMENTS -- 1.7%
122,750 Thermo Fisher Scientific,
Inc.*.................. $ 6,348,630
------------
SEMICONDUCTORS -- 9.4%
216,330 Broadcom Corp. -- Class
A*..................... 6,327,653
399,320 Intel Corp. .............. 9,487,842
109,480 KLA-Tencor Corp.(8)....... 6,015,926
122,000 NVIDIA Corp.*............. 5,039,820
198,800 Texas Instruments, Inc. .. 7,480,844
------------
34,352,085
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 7.9%
306,000 Corning, Inc.*............ 7,818,300
129,170 Crown Castle International
Corp.*(8).............. 4,684,996
39,000 Millicom International
Cellular SA
(Luxembourg)*(8)....... 3,573,960
49,670 NII Holdings, Inc.*....... 4,010,356
151,000 Nortel Networks Corp.
(Canada)*.............. 3,631,550
121,880 QUALCOMM, Inc. ........... 5,288,373
------------
29,007,535
------------
TRANSPORTATION -- 1.4%
94,890 CH Robinson Worldwide,
Inc. .................. 4,983,623
------------
TOTAL COMMON STOCKS
(Cost $295,594,417).... 362,969,525
------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 19.0%
$69,461,923 Securities Lending
Collateral Investment
(Note 4)
(Cost $69,461,923)..... 69,461,923
------------
TOTAL SECURITIES
(Cost $365,056,340).... 432,431,448
------------
REPURCHASE AGREEMENTS -- 0.9%
3,352,666 With Investors Bank and
Trust, dated 06/29/07,
4.76%, due 07/02/07,
repurchase
proceeds at maturity
$3,353,996
(Collateralized by
Small Business
Administration, 8.38%,
due 02/25/24, with a
value of $3,520,299)
(Cost $3,352,666)...... 3,352,666
------------
Total
Investments -- 119.0%
(Cost $368,409,006).... 435,784,114
Liabilities less other
assets -- (19.0)%...... (69,480,280)
------------
NET ASSETS -- 100.0%...... $366,303,834
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $368,409,006.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation... $69,117,044
Gross unrealized depreciation... (1,741,936)
-----------
Net unrealized appreciation..... $67,375,108
===========
</Table>
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
139
MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS -- 97.1%
ADVERTISING -- 0.3%
30,248 RH Donnelley Corp.*(8)... $ 2,292,193
94,099 The Interpublic Group of
Companies, Inc.*(8)... 1,072,729
--------------
3,364,922
--------------
AEROSPACE AND DEFENSE -- 2.1%
334,892 Goodrich Corp. .......... 19,946,168
43,900 L-3 Communications
Holdings, Inc. ....... 4,275,421
--------------
24,221,589
--------------
AGRICULTURE -- 0.2%
64,290 The Mosaic Company*...... 2,508,596
--------------
AIRLINES -- 0.3%
35,700 Alaska Air Group, Inc.*.. 994,602
19,571 AMR Corp.*............... 515,696
18,192 Continental Airlines,
Inc. -- Class B*(8)... 616,163
121,900 ExpressJet Holdings,
Inc.*................. 728,962
7,845 UAL Corp.*(8)............ 318,429
12,123 US Airways Group, Inc.*.. 366,963
--------------
3,540,815
--------------
APPAREL: MANUFACTURING AND RETAIL -- 1.2%
74,500 Foot Locker, Inc. ....... 1,624,100
114,000 Jones Apparel Group,
Inc. ................. 3,220,500
46,400 Kellwood Company(8)...... 1,304,768
28,787 Liz Claiborne, Inc.(8)... 1,073,755
19,817 Macy's, Inc. ............ 788,320
60,100 The Cato Corp. -- Class
A..................... 1,318,594
51,783 VF Corp. ................ 4,742,288
--------------
14,072,325
--------------
AUTOMOBILE: RETAIL -- 0.9%
241,400 Advance Auto Parts,
Inc. ................. 9,783,942
--------------
AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE
EQUIPMENT AND REPAIRS -- 3.9%
62,800 American Axle &
Manufacturing
Holdings, Inc.(8)..... 1,860,136
97,600 ArvinMeritor, Inc.(8).... 2,166,720
52,900 Autoliv, Inc. ........... 3,008,423
501,801 Ford Motor Company(8).... 4,726,965
16,967 General Motors Corp. .... 641,353
228,612 Genuine Parts Company.... 11,339,155
8,195 Johnson Controls, Inc. .. 948,735
5,210 Magna International,
Inc. -- Class A
(Canada)(8)........... 474,058
298,800 Oshkosh Truck Corp.(8)... 18,800,496
8,470 TravelCenters of America
LLC*.................. 342,612
--------------
44,308,653
--------------
BANKS -- 8.3%
129,882 Comerica, Inc. .......... 7,724,083
21,300 Downey Financial
Corp.(8).............. 1,405,374
462,900 Hudson City Bancorp,
Inc. ................. 5,656,638
210,244 Huntington Bancshares,
Inc. ................. 4,780,949
125,100 KeyCorp(8)............... 4,294,683
401,800 Mellon Financial Corp. .. 17,679,199
761,899 People's United
Financial, Inc. ...... 13,508,469
140,700 PNC Financial Services
Group, Inc. .......... 10,071,306
99,960 Regions Financial
Corp. ................ 3,308,676
186,900 State Street Corp.(8).... 12,783,960
175,000 UnionBanCal Corp. ....... 10,447,500
35,800 United Bankshares,
Inc.(8)............... 1,138,440
--------------
92,799,277
--------------
BROADCAST SERVICES/MEDIA -- 0.3%
79,800 Belo Corp. .............. 1,643,082
36,706 Tribune Company.......... 1,079,156
166,400 Westwood One, Inc. ...... 1,196,416
--------------
3,918,654
--------------
BUSINESS SERVICES AND SUPPLIES -- 2.6%
24,781 Deluxe Corp. ............ 1,006,356
101,392 Dun & Bradstreet Corp. .. 10,441,348
87,600 First Data Corp. ........ 2,861,892
13,817 Fluor Corp. ............. 1,538,799
56,500 Kelly Services,
Inc. -- Class A....... 1,551,490
114,100 Manpower, Inc. .......... 10,524,585
17,750 Ritchie Brothers
Auctioneers, Inc.
(Canada)(8)........... 1,111,505
--------------
29,035,975
--------------
CHEMICALS -- 3.6%
63,412 Eastman Chemical
Company............... 4,079,294
29,600 FMC Corp. ............... 2,645,944
19,449 Imperial Chemical
Industries PLC (ADR)
(United Kingdom)...... 949,111
30,295 Lyondell Chemical
Company............... 1,124,550
146,500 PolyOne Corp.*........... 1,053,335
102,596 PPG Industries, Inc. .... 7,808,582
223,400 Rohm and Haas
Company(8)............ 12,215,513
92,600 Sensient Technologies
Corp. ................ 2,351,114
57,100 Spartech Corp. .......... 1,516,005
78,679 The Lubrizol Corp. ...... 5,078,729
63,400 The Valspar Corp. ....... 1,801,194
--------------
40,623,371
--------------
COMPUTER EQUIPMENT, SOFTWARE AND
SERVICES -- 6.7%
49,207 BMC Software, Inc.*...... 1,490,972
286,200 Citrix Systems, Inc.*.... 9,636,354
229,054 Computer Sciences
Corp.*................ 13,548,544
160,900 Electronic Arts, Inc.*... 7,613,788
71,606 Electronic Data Systems
Corp. ................ 1,985,634
81,600 Lexmark International,
Inc. -- Class A*...... 4,023,696
557,800 NCR Corp.*............... 29,306,813
</Table>
See notes to financial statements.
140
MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
COMPUTER EQUIPMENT, SOFTWARE AND SERVICES
(CONTINUED)
326,500 Parametric Technology
Corp.*................ $ 7,055,665
76,600 Western Digital
Corp.*(8)............. 1,482,210
--------------
76,143,676
--------------
CONSTRUCTION SERVICES AND SUPPLIES -- 1.8%
160,597 American Standard
Companies, Inc. ...... 9,472,012
34,700 Beazer Homes USA,
Inc.(8)............... 856,049
29,579 Chicago Bridge & Iron
Company NV (the
Netherlands).......... 1,116,311
26,400 Eagle Materials, Inc. ... 1,294,920
8,062 Insituform Technologies,
Inc. -- Class A*(8)... 175,832
28,500 KB HOME(8)............... 1,122,045
45,400 Lennox International,
Inc. ................. 1,554,042
118,600 Masco Corp.(8)........... 3,376,542
18,283 USG Corp.*(8)............ 896,598
--------------
19,864,351
--------------
CONSUMER GOODS AND SERVICES -- 2.5%
55,900 Blyth, Inc. ............. 1,485,822
108,596 Eastman Kodak
Company(8)............ 3,022,227
69,800 Ethan Allen Interiors,
Inc.(8)............... 2,390,650
79,200 Fortune Brands, Inc.(8).. 6,523,703
52,369 Loews Corp.- Carolina
Group................. 4,046,553
6,392 Mohawk Industries,
Inc.*(8).............. 644,250
18,069 Reynolds American,
Inc.(8)............... 1,178,099
45,000 The Black & Decker
Corp. ................ 3,973,950
63,800 Tupperware Corp. ........ 1,833,612
30,125 Whirlpool Corp.(8)....... 3,349,900
--------------
28,448,766
--------------
CONTAINERS AND PACKAGING -- 0.6%
65,900 Ball Corp. .............. 3,503,903
77,700 Sonoco Products Company.. 3,326,337
--------------
6,830,240
--------------
DIVERSIFIED OPERATIONS AND
SERVICES -- 1.8%
182,622 Textron, Inc. ........... 20,108,508
--------------
ELECTRONICS -- 1.6%
326,400 Amphenol Corp. -- Class
A..................... 11,636,160
102,689 Celestica, Inc.
(Canada)*............. 641,806
335,200 Sanmina-SCI Corp.*....... 1,049,176
563,003 Solectron Corp.*......... 2,071,851
55,600 Technitrol, Inc. ........ 1,594,052
99,500 Vishay Intertechnology,
Inc.*................. 1,574,090
--------------
18,567,135
--------------
ENERGY SERVICES -- 0.4%
44,831 Energy East Corp. ....... 1,169,641
46,129 McDermott International,
Inc. (Panama)*........ 3,834,242
--------------
5,003,883
--------------
EQUIPMENT RENTAL AND LEASING -- 0.2%
60,300 United Rentals North
America, Inc.*........ 1,962,162
--------------
FINANCIAL SERVICES -- 2.3%
54,600 Advanta Corp. -- Class
B..................... 1,700,244
25,200 AG Edwards, Inc. ........ 2,130,660
80,700 AmeriCredit Corp.*(8).... 2,142,585
96,000 CIT Group, Inc. ......... 5,263,680
80,500 Friedman, Billings,
Ramsey Group,
Inc. -- Class A(8).... 439,530
36,399 Invesco PLC (United
Kingdom).............. 472,545
515,300 Invesco PLC (ADR) (United
Kingdom)(8)........... 13,320,505
--------------
25,469,749
--------------
FOOD AND BEVERAGE -- 2.8%
131,000 Brown-Forman
Corp. -- Class B(8)... 9,573,480
209,075 Del Monte Foods Company.. 2,542,352
205,600 McCormick & Company,
Inc. ................. 7,849,808
19,000 Molson Coors Brewing
Company -- Class B.... 1,756,740
28,869 Reddy Ice Holdings,
Inc.(8)............... 823,344
800 Seaboard Corp.(8)........ 1,876,000
95,600 The Pepsi Bottling Group,
Inc. ................. 3,219,808
158,035 Tyson Foods,
Inc. -- Class A....... 3,641,126
--------------
31,282,658
--------------
INSURANCE -- 9.2%
60,059 Ace, Ltd. (Cayman
Islands).............. 3,754,889
8,839 Ambac Financial Group,
Inc. ................. 770,672
103,524 Aon Corp. ............... 4,411,158
51,146 Axis Capital Holdings,
Ltd. (Bermuda)........ 2,079,085
44,400 CIGNA Corp. ............. 2,318,568
64,680 Cincinnati Financial
Corp. ................ 2,807,112
58,196 Everest Re Group, Ltd.
(Bermuda)............. 6,322,413
70,100 Horace Mann Educators
Corp. ................ 1,488,924
36,600 LandAmerica Financial
Group, Inc. .......... 3,531,534
216,207 Lincoln National Corp. .. 15,339,887
50,677 Loews Corp. ............. 2,583,513
296,598 MBIA, Inc.(8)............ 18,454,327
56,300 MGIC Investment
Corp.(8).............. 3,201,218
92,000 Nationwide Financial
Services,
Inc. -- Class A....... 5,816,240
43,792 PartnerRe, Ltd.
(Bermuda)(8).......... 3,393,880
</Table>
See notes to financial statements.
141
MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
25,100 Principal Financial
Group, Inc. .......... $ 1,463,079
71,500 Radian Group, Inc. ...... 3,861,000
106,200 SAFECO Corp. ............ 6,612,012
94,900 The Commerce Group,
Inc. ................. 3,294,928
19,621 Torchmark Corp. ......... 1,314,607
41,700 Unitrin, Inc. ........... 2,050,806
29,498 Willis Group Holdings,
Ltd. (Bermuda)........ 1,299,682
72,848 XL Capital, Ltd. -- Class
A (Cayman Islands).... 6,140,358
--------------
102,309,892
--------------
INTERNET SERVICES -- 0.1%
34,386 McAfee, Inc.*............ 1,210,387
--------------
LEISURE AND RECREATION -- 0.5%
37,605 Hilton Hotels Corp. ..... 1,258,639
30,085 National CineMedia,
Inc.*(8).............. 842,681
79,130 Regal Entertainment
Group -- Class A(8)... 1,735,321
52,411 Royal Caribbean Cruises,
Ltd. (Liberia)(8)..... 2,252,625
--------------
6,089,266
--------------
MACHINERY -- 0.6%
67,909 AGCO Corp.*.............. 2,947,929
19,506 Rockwell Automation,
Inc. ................. 1,354,497
9,343 Terex Corp.*............. 759,586
19,426 The Manitowoc Company,
Inc. ................. 1,561,462
--------------
6,623,474
--------------
MANUFACTURING -- 3.6%
46,800 American Woodmark
Corp.(8).............. 1,619,280
266,900 Carlisle Companies,
Inc. ................. 12,413,519
34,052 Cooper Industries,
Ltd. -- Class A
(Bermuda)............. 1,944,029
32,900 Crane Company............ 1,495,305
41,980 Eaton Corp. ............. 3,904,140
42,200 EnPro Industries, Inc.*.. 1,805,738
70,600 Furniture Brands
International,
Inc.(8)............... 1,002,520
62,082 Ingersoll-Rand Company,
Ltd. -- Class A
(Bermuda)............. 3,403,335
86,300 Leggett & Platt,
Inc.(8)............... 1,902,915
53,400 Parker Hannifin Corp. ... 5,228,394
37,600 Precision Castparts
Corp. ................ 4,563,136
83,400 Tredegar Corp. .......... 1,776,420
--------------
41,058,731
--------------
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES -- 5.3%
210,700 CR Bard, Inc.(8)......... 17,410,141
58,100 Dade Behring Holdings,
Inc. ................. 3,086,272
83,981 Health Management
Associates,
Inc. -- Class A....... 954,024
34,062 Health Net, Inc.*........ 1,798,474
16,443 Humana, Inc.*............ 1,001,543
557,500 IMS Health, Inc. ........ 17,912,475
60,700 Invacare Corp. .......... 1,112,631
31,400 Kindred Healthcare,
Inc.*................. 964,608
10,096 McKesson Corp. .......... 602,125
377,345 Omnicare, Inc.(8)........ 13,607,061
23,000 Universal Health
Services,
Inc. -- Class B....... 1,414,500
--------------
59,863,854
--------------
METALS AND MINING -- 0.9%
23,827 Freeport-McMoRan Copper &
Gold, Inc. ........... 1,973,352
80,216 Nucor Corp. ............. 4,704,669
33,200 United States Steel
Corp. ................ 3,610,500
--------------
10,288,521
--------------
OFFICE EQUIPMENT, SUPPLIES, AND
SERVICES -- 0.4%
99,900 IKON Office Solutions,
Inc. ................. 1,559,439
10,623 Pitney Bowes, Inc. ...... 497,369
138,400 Steelcase, Inc. -- Class
A(8).................. 2,560,400
--------------
4,617,208
--------------
OIL, COAL AND GAS -- 8.8%
31,175 BJ Services Company...... 886,617
24,341 Cameron International
Corp.*................ 1,739,651
104,028 El Paso Corp. ........... 1,792,402
57,674 Enbridge, Inc.
(Canada)(8)........... 1,948,228
183,608 ENSCO International,
Inc.(8)............... 11,201,924
196,400 Equitable Resources,
Inc. ................. 9,733,584
47,181 GlobalSantaFe Corp.
(Cayman Islands)...... 3,408,827
55,954 Hess Corp. .............. 3,299,048
109,198 Marathon Oil Corp. ...... 6,547,512
13,144 Nabors Industries, Ltd.
(Bermuda)*............ 438,747
9,487 National-Oilwell Varco,
Inc.*................. 988,925
30,048 Newfield Exploration
Company*.............. 1,368,686
146,500 ONEOK, Inc. ............. 7,385,065
188,500 Patterson-UTI Energy,
Inc.(8)............... 4,940,585
38,445 Pioneer Natural Resources
Company............... 1,872,656
542,408 Questar Corp. ........... 28,666,262
11,421 Smith International,
Inc. ................. 669,727
36,805 Southwestern Energy
Company*.............. 1,637,823
79,312 Sunoco, Inc. ............ 6,319,580
33,000 Swift Energy
Company*(8)........... 1,411,080
33,116 Weatherford
International, Ltd.
(Bermuda)*............ 1,829,328
--------------
98,086,257
--------------
</Table>
See notes to financial statements.
142
MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
PAPER AND FOREST PRODUCTS -- 0.4%
82,757 MeadWestvaco Corp. ...... $ 2,922,977
44,000 Plum Creek Timber
Company, Inc. ........ 1,833,040
--------------
4,756,017
--------------
PHARMACEUTICALS/RESEARCH AND
DEVELOPMENT -- 2.3%
16,693 Hospira, Inc.*........... 651,695
243,874 King Pharmaceuticals,
Inc.*................. 4,989,662
165,100 Millipore Corp.*(8)...... 12,397,358
81,072 Mylan Laboratories,
Inc. ................. 1,474,700
58,800 Novo Nordisk A/S (ADR)
(Denmark)............. 6,389,208
18,741 Watson Pharmaceuticals,
Inc.*................. 609,645
--------------
26,512,268
--------------
PRINTING AND PUBLISHING -- 0.4%
80,000 Gannett Company, Inc. ... 4,396,000
--------------
REAL ESTATE DEVELOPMENT AND
SERVICES -- 0.8%
196,974 Brookfield Asset
Management,
Inc. -- Class A
(Canada)(8)........... 7,859,263
17,647 The St. Joe Company(8)... 817,762
--------------
8,677,025
--------------
REAL ESTATE INVESTMENT TRUSTS -- 2.5%
56,100 American Home Mortgage
Investment Corp.(8)... 1,031,118
210,000 Anthracite Capital,
Inc.(8)............... 2,457,000
4,635 Boston Properties,
Inc. ................. 473,373
36,100 Capital Trust,
Inc. -- Class A....... 1,232,454
60,000 Entertainment Properties
Trust................. 3,226,800
32,886 Equity Residential....... 1,500,588
84,700 Hospitality Properties
Trust................. 3,514,203
114,600 HRPT Properties Trust.... 1,191,840
113,900 Innkeepers USA Trust..... 2,019,447
191,000 iStar Financial, Inc. ... 8,467,030
38,998 RAIT Investment
Trust(8).............. 1,014,728
31,349 Rayonier, Inc. .......... 1,415,094
9,255 Simon Property Group,
Inc. ................. 861,085
--------------
28,404,760
--------------
RETAIL -- 2.3%
61,000 Borders Group, Inc.(8)... 1,162,660
269,900 Dollar Tree Stores,
Inc.*................. 11,754,145
55,738 Family Dollar Stores,
Inc.(8)............... 1,912,928
20,000 JC Penney Company,
Inc.(8)............... 1,447,600
364,600 Staples, Inc. ........... 8,651,958
31,805 The Bon-Ton Stores,
Inc. ................. 1,274,108
--------------
26,203,399
--------------
RETAIL: RESTAURANTS -- 1.1%
26,500 Darden Restaurants,
Inc. ................. 1,165,735
110,900 Ruby Tuesday, Inc. ...... 2,919,997
264,800 YUM! Brands, Inc. ....... 8,664,256
--------------
12,749,988
--------------
RETAIL: SUPERMARKETS -- 0.3%
83,500 SUPERVALU, Inc. ......... 3,867,720
--------------
RUBBER PRODUCTS -- 0.1%
47,300 The Goodyear Tire &
Rubber Company*....... 1,644,148
--------------
SEMICONDUCTORS -- 2.5%
44,500 Analog Devices, Inc. .... 1,674,980
48,276 Intersil Corp. -- Class
A..................... 1,518,763
1,447,290 LSI Corp.*(8)............ 10,869,148
15,692 Maxim Integrated
Products, Inc. ....... 524,270
28,633 Microchip Technology,
Inc. ................. 1,060,566
56,224 Micron Technology,
Inc.*................. 704,487
74,700 MKS Instruments, Inc.*... 2,069,190
69,185 National Semiconductor
Corp. ................ 1,955,860
68,800 Novellus Systems,
Inc.*(8).............. 1,951,856
280,700 STMicroelectronics NV
(the Netherlands)(8).. 5,386,633
--------------
27,715,753
--------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 1.1%
129,332 CenturyTel, Inc. ........ 6,343,734
6,414 Embarq Corp. ............ 406,455
145,564 Qwest Communications
International,
Inc.*(8).............. 1,411,971
160,300 RF Micro Devices,
Inc.*(8).............. 1,000,272
130,047 Tellabs, Inc.*........... 1,399,306
105,718 Windstream Corp. ........ 1,560,398
--------------
12,122,136
--------------
TOOLS -- 0.2%
27,919 The Stanley Works........ 1,694,683
--------------
TOYS -- 0.7%
80,144 Hasbro, Inc. ............ 2,517,323
222,600 Mattel, Inc. ............ 5,629,554
--------------
8,146,877
--------------
TRANSPORTATION -- 1.2%
31,300 Arkansas Best Corp.(8)... 1,219,761
101,839 CSX Corp. ............... 4,590,902
19,334 Kansas City
Southern*(8).......... 725,798
66,800 Laidlaw International,
Inc. ................. 2,307,940
25,700 Overseas Shipholding
Group, Inc. .......... 2,091,980
57,500 YRC Worldwide, Inc.*(8).. 2,116,000
--------------
13,052,381
--------------
</Table>
See notes to financial statements.
143
MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
UTILITIES -- 7.4%
54,700 AGL Resources, Inc. ..... $ 2,214,256
237,200 Allegheny Energy, Inc.*.. 12,272,728
73,100 Alliant Energy Corp. .... 2,839,935
159,939 American Electric Power
Company, Inc. ........ 7,203,653
463,900 CMS Energy Corp. ........ 7,979,080
22,423 Consolidated Edison,
Inc.(8)............... 1,011,726
11,555 DPL, Inc.(8)............. 327,469
76,556 DTE Energy Company....... 3,691,530
30,824 Edison International..... 1,729,843
23,518 Mirant Corp.*............ 1,003,043
178,885 NiSource, Inc. .......... 3,704,708
27,900 OGE Energy Corp.(8)...... 1,022,535
121,972 Pinnacle West Capital
Corp. ................ 4,860,584
387,526 PPL Corp. ............... 18,132,341
24,800 Progress Energy, Inc. ... 1,130,632
135,900 Puget Energy, Inc. ...... 3,286,062
35,655 Sempra Energy............ 2,111,846
210,300 TECO Energy, Inc.(8)..... 3,612,954
86,300 Westar Energy, Inc. ..... 2,095,364
179,800 Xcel Energy, Inc.(8)..... 3,680,506
--------------
83,910,795
--------------
TOTAL COMMON STOCKS
(Cost $957,049,813).... 1,095,860,787
--------------
<Caption>
PRINCIPAL
---------
CONVERTIBLE BONDS -- 0.0%
TELECOMMUNICATIONS EQUIPMENT AND SERVICES
$ 251,000 Qwest Communications
International, Inc.,
3.50%, 11/15/25
(Cost $397,336)....... 441,133
--------------
SHORT TERM COMMERCIAL PAPER -- 0.3%
3,600,000 Ebury Finance, Ltd.
(Cayman Islands),
5.45%, 07/02/07
(Cost $3,598,910)..... 3,598,910
--------------
SECURITIES LENDING COLLATERAL -- 16.1%
181,765,144 Securities Lending
Collateral Investment
(Note 4)
(Cost $181,765,144)... 181,765,144
--------------
TOTAL SECURITIES
(Cost $1,142,811,203).. 1,281,665,974
--------------
<Caption>
Principal Value
- --------- --------------
REPURCHASE AGREEMENTS -- 2.2%
$ 25,029,050 With Investors Bank and
Trust, dated 06/29/07,
4.76%, due 07/02/07,
repurchase proceeds at
maturity $25,038,978
(Collateralized by
Fannie Mae Adjustable
Rate Mortgage, 4.16%,
due 04/01/34, with a
value of $11,646,078,
and various Small
Business
Administrations,
8.63%-8.88%, due
01/25/16-03/25/17,
with a total value of
$14,634,424) (Cost
$25,029,050).......... 25,029,050
--------------
Total
Investments -- 115.7%
(Cost $1,167,840,253).. 1,306,695,024
Liabilities less other
assets -- (15.7)%..... (177,720,020)
--------------
NET ASSETS -- 100.0%..... $1,128,975,004
==============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $1,167,840,253.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.. $164,336,324
Gross unrealized depreciation.. (25,481,553)
------------
Net unrealized appreciation.... $138,854,771
============
</Table>
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
144
MID-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 98.5%
ADVERTISING -- 3.5%
82,560 Focus Media Holding, Ltd.
(ADR) (China)*(8)...... $ 4,169,280
103,780 Lamar Advertising
Company -- Class A..... 6,513,233
------------
10,682,513
------------
AEROSPACE AND DEFENSE -- 1.9%
139,760 BE Aerospace, Inc.*(8).... 5,772,088
------------
APPAREL: MANUFACTURING AND RETAIL -- 8.1%
62,900 Coach, Inc.*.............. 2,980,831
135,000 Crocs, Inc.*(8)........... 5,809,050
130,605 J Crew Group, Inc.*....... 7,064,425
60,450 Nordstrom, Inc. .......... 3,090,204
106,720 Phillips-Van Heusen
Corp. ................. 6,464,030
------------
25,408,540
------------
CHEMICALS -- 2.8%
104,435 Albemarle Corp. .......... 4,023,881
89,160 International Flavors &
Fragrances, Inc. ...... 4,648,802
------------
8,672,683
------------
COMMERCIAL SERVICES -- 2.7%
267,840 Quanta Services,
Inc.*(8)............... 8,214,653
------------
COMPUTER EQUIPMENT, SOFTWARE AND
SERVICES -- 5.5%
321,910 Activision, Inc.*(8)...... 6,010,060
73,675 DST Systems, Inc.*(8)..... 5,835,797
74,801 FactSet Research Systems,
Inc. .................. 5,112,648
------------
16,958,505
------------
CONSTRUCTION SERVICES AND
SUPPLIES -- 2.0%
166,930 Chicago Bridge & Iron
Company NV (the
Netherlands)........... 6,299,938
------------
CONSUMER GOODS AND SERVICES -- 3.6%
155,465 Avon Products, Inc. ...... 5,713,338
178,538 Fossil, Inc.*............. 5,265,086
------------
10,978,424
------------
CONTAINERS AND PACKAGING -- 2.5%
216,515 Owens-Illinois, Inc.*..... 7,578,025
------------
CORRECTIONAL FACILITIES -- 2.4%
118,185 Corrections Corp. of
America*............... 7,458,655
------------
DIVERSIFIED OPERATIONS AND
SERVICES -- 2.4%
68,000 Textron, Inc. ............ 7,487,480
------------
EDUCATION -- 1.7%
30,000 Apollo Group,
Inc. -- Class A*....... 1,752,900
29,200 ITT Educational Services,
Inc.*.................. 3,427,496
------------
5,180,396
------------
ELECTRONICS -- 2.1%
333,531 Gentex Corp.(8)........... 6,567,225
------------
ENERGY SERVICES -- 3.7%
79,385 McDermott International,
Inc. (Panama)*......... 6,598,481
75,500 SunPower Corp. -- Class
A*(8).................. 4,760,275
------------
11,358,756
------------
ENVIRONMENTAL WASTE MANAGEMENT AND
RECYCLING SERVICES -- 1.3%
88,670 Stericycle, Inc.*(8)...... 3,942,268
------------
FINANCIAL SERVICES -- 1.0%
60,175 T Rowe Price Group,
Inc. .................. 3,122,481
------------
INTERNET SERVICES -- 5.1%
74,985 F5 Networks, Inc.*........ 6,043,791
302,510 VeriSign, Inc.*........... 9,598,642
------------
15,642,433
------------
MANUFACTURING -- 5.5%
46,720 Precision Castparts
Corp. ................. 5,669,939
78,378 SPX Corp. ................ 6,882,372
111,505 Zebra Technologies
Corp. -- Class A*...... 4,319,704
------------
16,872,015
------------
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES -- 5.8%
32,180 Intuitive Surgical,
Inc.*(8)............... 4,465,619
144,095 St Jude Medical,
Inc.*(8)............... 5,978,502
195,975 VCA Antech, Inc.*(8)...... 7,386,297
------------
17,830,418
------------
METALS AND MINING -- 1.9%
44,454 Carpenter Technology
Corp.(8)............... 5,792,801
------------
OIL, COAL AND GAS -- 6.7%
126,505 Cameron International
Corp.*(8).............. 9,041,312
86,500 Grant Prideco, Inc.*...... 4,656,295
102,100 Range Resources Corp. .... 3,819,561
49,000 W-H Energy Services,
Inc.*.................. 3,033,590
------------
20,550,758
------------
PHARMACEUTICALS/RESEARCH AND
DEVELOPMENT -- 4.6%
100,125 Celgene Corp.*............ 5,740,166
112,390 Shire PLC (ADR) (United
Kingdom)............... 8,331,471
------------
14,071,637
------------
RETAIL: RESTAURANTS -- 1.5%
55,000 Chipotle Mexican Grill,
Inc. -- Class A*(8).... 4,690,400
------------
</Table>
See notes to financial statements.
145
MID-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
SCIENTIFIC AND TECHNICAL
INSTRUMENTS -- 7.0%
41,655 Mettler-Toledo
International, Inc.*... $ 3,978,469
68,900 Pall Corp. ............... 3,168,711
136,725 Thermo Fisher Scientific,
Inc.*.................. 7,071,417
230,950 Trimble Navigation,
Ltd.*.................. 7,436,590
------------
21,655,187
------------
SEMICONDUCTORS -- 3.2%
79,000 NVIDIA Corp.*............. 3,263,490
615,075 ON Semiconductor Corp.*... 6,593,604
------------
9,857,094
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 10.0%
218,916 American Tower
Corp. -- Class A*...... 9,194,472
194,300 Ciena Corp.*(8)........... 7,020,059
114,620 NII Holdings, Inc.*....... 9,254,420
165,825 Polycom, Inc.*............ 5,571,720
------------
31,040,671
------------
TOTAL COMMON STOCKS
(Cost $254,170,000)..... 303,686,044
------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 22.7%
$70,162,239 Securities Lending
Collateral Investment
(Note 4)
(Cost $70,162,239)..... 70,162,239
------------
TOTAL SECURITIES
(Cost $324,332,239).... 373,848,283
------------
<Caption>
Principal Value
- --------- ------------
REPURCHASE AGREEMENTS -- 2.3%
$ 7,138,156 With Investors Bank and
Trust,
dated 06/29/07, 4.76%,
due 07/02/07,
repurchase proceeds at
maturity $7,140,987
(Collateralized by
Fannie Mae Adjustable
Rate, 4.68%, due
11/01/34, with a value
of $6,275,578 and Small
Business
Administration, 7.63%,
due 10/25/24 with a
value of $1,219,486)
(Cost $7,138,156)...... $ 7,138,156
------------
Total
Investments -- 123.5%
(Cost $331,470,395).... 380,986,439
Liabilities less other
assets -- (23.5)%...... (72,538,652)
------------
NET ASSETS -- 100.0%...... $308,447,787
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $331,470,395.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation... $50,416,416
Gross unrealized depreciation... (900,372)
-----------
Net unrealized appreciation..... $49,516,044
===========
</Table>
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
146
SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 98.8%
AEROSPACE AND DEFENSE -- 2.3%
12,403 AAR Corp.*................ $ 409,423
18,114 Curtiss-Wright Corp. ..... 844,294
67,133 United Industrial
Corp.(8)............... 4,026,637
------------
5,280,354
------------
AIRLINES -- 0.6%
32,287 Alaska Air Group, Inc.*... 899,516
71,943 ExpressJet Holdings,
Inc.*.................. 430,219
------------
1,329,735
------------
APPAREL: MANUFACTURING AND RETAIL -- 2.1%
30,775 Brown Shoe Company,
Inc. .................. 748,448
95,395 K-Swiss, Inc. -- Class
A(8)................... 2,702,541
3,097 Oxford Industries, Inc. .. 137,321
17,606 Perry Ellis International,
Inc.*.................. 566,385
3,939 Shoe Carnival, Inc.*...... 108,283
5,247 Stage Stores, Inc. ....... 109,977
16,328 Steven Madden, Ltd. ...... 534,905
------------
4,907,860
------------
AUTOMOBILE: RENTAL -- 0.3%
17,881 Dollar Thrifty Automotive
Group, Inc.*........... 730,260
------------
AUTOMOBILE: RETAIL -- 1.7%
25,163 Asbury Automotive Group,
Inc. .................. 627,817
94,431 Sonic Automotive, Inc. ... 2,735,666
32,681 The Pep Boys -- Manny, Moe
& Jack................. 658,849
------------
4,022,332
------------
AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE
EQUIPMENT AND REPAIRS -- 4.3%
5,483 ArvinMeritor, Inc. ....... 121,723
40,924 BorgWarner, Inc. ......... 3,521,101
37,489 Monaco Coach Corp. ....... 537,967
62,436 Oshkosh Truck Corp. ...... 3,928,473
104,427 Spartan Motors, Inc.(8)... 1,777,348
2,857 Tenneco Automotive,
Inc.*.................. 100,109
5,096 Winnebago Industries,
Inc. .................. 150,434
------------
10,137,155
------------
BANKS -- 10.7%
187,509 Brookline Bancorp,
Inc.(8)................ 2,158,229
136,480 Citizens Banking
Corp. -- Michigan(8)... 2,497,584
18,840 City Bank................. 593,648
3,239 Community Bank System,
Inc. .................. 64,845
129,926 Corus Bankshares,
Inc.(8)................ 2,242,523
239,314 First Commonwealth
Financial Corp.(8)..... 2,613,309
20,712 First Community
Bancshares, Inc. ...... 646,007
44,616 First Financial Bancorp... 668,794
35,653 Franklin Bank
Corp. -- Houston,
Texas*................. 531,230
33,811 Frontier Financial
Corp. ................. 761,762
14,256 IBERIABANK Corp. ......... 704,959
27,198 Integra Bank Corp. ....... 583,941
37,936 Midwest Banc Holdings,
Inc. .................. 550,072
40,237 National Penn Bancshares,
Inc. .................. 671,153
34,505 Pacific Capital Bancorp... 930,945
2,898 Prosperity Bancshares,
Inc. .................. 94,938
11,985 Simmons First National
Corp. -- Class A....... 330,666
59,566 Sterling Bancshares,
Inc. -- Texas.......... 673,691
4,823 Suffolk Bancorp........... 153,950
20,382 UMB Financial Corp. ...... 751,484
4,396 United Bankshares, Inc. .. 139,793
109,531 Washington Federal,
Inc. .................. 2,662,698
24,209 Washington Trust Bancorp,
Inc. .................. 610,309
2,207 WesBanco, Inc. ........... 65,107
19,912 West Coast Bancorp........ 605,126
81,607 Whitney Holding Corp. .... 2,456,371
------------
24,763,134
------------
BROADCAST SERVICES/MEDIA -- 1.3%
8,790 Gray Television, Inc. .... 81,483
189,985 Journal Communications,
Inc. -- Class A........ 2,471,705
32,184 Knology, Inc.*............ 559,036
------------
3,112,224
------------
BUSINESS SERVICES -- 0.1%
3,379 CRA International, Inc.*.. 162,868
------------
BUSINESS SERVICES AND SUPPLIES -- 0.7%
34,385 Gevity HR, Inc. .......... 664,662
10,386 Heidrick & Struggles
International, Inc.*... 532,179
7,433 Kelly Services,
Inc. -- Class A........ 204,110
29,019 Spherion Corp.*........... 272,488
------------
1,673,439
------------
CHEMICALS -- 0.9%
22,957 Arch Chemicals, Inc. ..... 806,709
4,240 Georgia Gulf Corp. ....... 76,786
28,653 HB Fuller Company......... 856,439
15,662 Spartech Corp. ........... 415,826
------------
2,155,760
------------
</Table>
See notes to financial statements.
147
SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
COMPUTER EQUIPMENT, SOFTWARE AND
SERVICES -- 4.2%
17,774 CACI International,
Inc. -- Class A*....... $ 868,260
210,980 Digi International,
Inc.*.................. 3,109,845
25,209 Manhattan Associates,
Inc.*.................. 703,583
79,509 MTS Systems Corp. ........ 3,551,668
38,106 PC Connection, Inc.*...... 504,523
3,828 SRA International,
Inc. -- Class A*....... 96,695
40,593 Sybase, Inc.*............. 969,767
------------
9,804,341
------------
CONSTRUCTION SERVICES AND
SUPPLIES -- 2.9%
30,565 ABM Industries, Inc. ..... 788,883
56,759 Granite Construction,
Inc. .................. 3,642,792
56,702 Universal Forest Products,
Inc.(8)................ 2,396,227
------------
6,827,902
------------
CONSUMER GOODS AND SERVICES -- 0.4%
22,025 Regis Corp. .............. 842,456
------------
CONTAINERS AND PACKAGING -- 0.3%
13,711 Silgan Holdings, Inc. .... 757,944
------------
DIVERSIFIED OPERATIONS AND
SERVICES -- 1.2%
10,917 Chemed Corp. ............. 723,688
58,299 ESCO Technologies,
Inc.*(8)............... 2,113,922
------------
2,837,610
------------
EDUCATION -- 0.2%
42,969 INVESTools, Inc.*......... 427,971
------------
ELECTRONICS -- 1.2%
17,069 CTS Corp. ................ 216,094
15,933 Littelfuse, Inc.*......... 538,057
47,172 Methode Electronics,
Inc. .................. 738,242
25,851 Plexus Corp.*............. 594,314
23,316 Technitrol, Inc. ......... 668,470
------------
2,755,177
------------
EQUIPMENT RENTAL AND LEASING -- 0.3%
28,156 Rent-A-Center, Inc.*...... 738,532
------------
FINANCIAL SERVICES -- 3.1%
13,205 ASTA Funding, Inc. ....... 507,468
4,471 Boston Private Financial
Holdings, Inc. ........ 120,136
97,167 Calamos Asset Management,
Inc. -- Class A........ 2,482,616
17,161 Cash America
International, Inc. ... 680,434
3,033 CompuCredit Corp.*........ 106,216
12,825 National Financial
Partners Corp. ........ 593,926
2,949 Piper Jaffray Companies,
Inc.*.................. 164,348
120,269 SWS Group, Inc. .......... 2,600,215
------------
7,255,359
------------
FOOD AND BEVERAGE -- 0.7%
17,609 Pilgrim's Pride Corp. .... 672,136
13,489 Ralcorp Holdings, Inc.*... 720,986
7,392 Sanderson Farms, Inc. .... 332,788
------------
1,725,910
------------
FUNERAL SERVICES -- 1.5%
270,464 Service Corp.
International.......... 3,456,530
------------
INSURANCE -- 5.3%
4,611 Argonaut Group, Inc. ..... 143,909
30,237 Aspen Insurance Holdings,
Ltd. (Bermuda)......... 848,753
38,331 CNA Surety Corp.*......... 724,839
22,631 Delphi Financial Group,
Inc. -- Class A........ 946,427
16,959 FBL Financial Group,
Inc. -- Class A........ 666,828
26,109 Max Capital Group, Ltd.
(Bermuda).............. 738,885
50,779 Meadowbrook Insurance
Group, Inc.*........... 556,538
42,411 Montpelier Re Holdings,
Ltd. (Bermuda)......... 786,300
22,637 Platinum Underwriters
Holdings, Ltd.
(Bermuda).............. 786,636
50,196 Primus Guaranty, Ltd.
(Bermuda)*............. 538,101
3,490 RLI Corp. ................ 195,266
83,498 The Commerce Group,
Inc. .................. 2,899,050
48,166 The Phoenix Companies,
Inc. .................. 722,972
9,047 United America Indemnity,
Ltd. -- Class A (Cayman
Islands)*.............. 224,999
23,147 United Fire & Casualty
Company................ 818,941
16,939 Zenith National Insurance
Corp. ................. 797,658
------------
12,396,102
------------
INTERNET SERVICES -- 0.7%
50,820 3Com Corp*................ 209,887
85,494 CMGI, Inc.*............... 166,713
57,555 RealNetworks, Inc.*....... 470,224
96,979 S1 Corp.*................. 774,862
------------
1,621,686
------------
LEISURE AND RECREATION -- 1.7%
140,347 Blockbuster, Inc. -- Class
A*..................... 604,896
41,979 Bluegreen Corp.*.......... 490,735
122,512 The Marcus Corp. ......... 2,910,884
------------
4,006,515
------------
</Table>
See notes to financial statements.
148
SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
MACHINERY -- 2.0%
132,566 Applied Industrial
Technologies, Inc. .... $ 3,910,697
22,692 Sauer-Danfoss, Inc. ...... 675,314
------------
4,586,011
------------
MANUFACTURING -- 3.8%
12,980 Acuity Brands, Inc. ...... 782,434
2,723 Ameron International
Corp. ................. 245,587
20,168 AO Smith Corp. ........... 804,502
27,011 AptarGroup, Inc. ......... 960,511
85,955 CIRCOR International,
Inc. .................. 3,475,160
5,227 EnPro Industries, Inc.*... 223,663
27,871 Gibraltar Industries,
Inc. .................. 617,343
35,621 GrafTech International,
Ltd.*.................. 599,858
10,890 Quanex Corp. ............. 530,343
33,615 Tredegar Corp. ........... 716,000
------------
8,955,401
------------
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES -- 6.2%
24,423 AMERIGROUP Corp.*......... 581,267
5,414 Centene Corp.*............ 115,968
11,858 Landauer, Inc. ........... 584,007
67,696 Magellan Health Services,
Inc.*.................. 3,145,833
13,108 MedCath Corp.*............ 416,834
69,950 Owens & Minor, Inc. ...... 2,444,053
111,547 Syneron Medical, Ltd.
(Israel)*(8)........... 2,783,098
16,392 Vital Images, Inc.*....... 445,207
72,247 West Pharmaceutical
Services, Inc.(8)...... 3,406,446
22,037 Zoll Medical Corp.*....... 491,645
------------
14,414,358
------------
METALS AND MINING -- 0.0%
2,811 Olympic Steel, Inc. ...... 80,563
------------
OIL, COAL AND GAS -- 8.8%
8,725 Dawson Geophysical
Company*............... 536,239
73,592 Frontier Oil Corp. ....... 3,221,122
20,535 Gulf Island Fabrication,
Inc. .................. 712,565
15,411 Headwaters, Inc.*......... 266,148
49,322 Holly Corp. .............. 3,659,198
72,688 National Fuel Gas
Company................ 3,148,117
17,790 Oil States International,
Inc.*.................. 735,439
36,480 Parker Drilling Company*.. 384,499
75,768 Penn Virginia Corp. ...... 3,045,874
4,341 Petroleum Development
Corp.*................. 206,111
3,229 Stone Energy Corp.*....... 110,626
100,639 World Fuel Services
Corp. ................. 4,232,875
------------
20,258,813
------------
PAPER AND FOREST PRODUCTS -- 0.4%
34,163 Buckeye Technologies,
Inc.*.................. 528,502
14,282 Rock-Tenn Company -- Class
A...................... 453,025
------------
981,527
------------
PHARMACEUTICALS/RESEARCH AND
DEVELOPMENT -- 4.8%
158,985 Exponent, Inc.*........... 3,556,495
88,399 Immunomedics, Inc.*....... 366,856
43,682 Incyte Corp.*............. 262,092
40,013 Indevus Pharmaceuticals,
Inc.*.................. 269,287
173,260 Mannatech, Inc.(8)........ 2,753,101
82,771 Maxygen, Inc.*............ 709,347
145,015 Perrigo Company........... 2,839,395
30,743 ViroPharma, Inc.*......... 424,253
------------
11,180,826
------------
PRINTING AND PUBLISHING -- 0.5%
7,521 Consolidated Graphics,
Inc.*.................. 521,055
36,423 Lee Enterprises, Inc. .... 759,784
------------
1,280,839
------------
REAL ESTATE INVESTMENT TRUSTS -- 7.8%
58,298 Ashford Hospitality
Trust.................. 685,584
16,831 BRT Realty Trust.......... 437,774
14,223 Capital Trust,
Inc. -- Class A........ 485,573
13,824 Entertainment Properties
Trust.................. 743,455
6,310 Extra Space Storage,
Inc. .................. 104,115
16,922 First Industrial Realty
Trust, Inc. ........... 655,897
82,110 Getty Realty Corp. ....... 2,157,851
53,183 Healthcare Realty Trust,
Inc.(8)................ 1,477,424
17,903 Hersha Hospitality Trust.. 211,613
14,947 LaSalle Hotel Properties.. 648,999
42,771 Lexington Realty Trust.... 889,637
63,940 MFA Mortgage Investments,
Inc. .................. 465,483
106,448 National Retail
Properties, Inc.(8).... 2,326,954
14,462 Nationwide Health
Properties, Inc. ...... 393,366
22,835 Newcastle Investment
Corp. ................. 572,473
58,135 Rayonier, Inc. ........... 2,624,215
4,344 Realty Income Corp. ...... 109,425
47,366 Sovran Self Storage,
Inc. .................. 2,281,147
25,773 Sunstone Hotel Investors,
Inc. .................. 731,695
------------
18,002,680
------------
RETAIL -- 3.1%
29,839 Casey's General Stores,
Inc. .................. 813,411
200,443 EZCORP, Inc. -- Class A*.. 2,653,865
</Table>
See notes to financial statements.
149
SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
RETAIL (CONTINUED)
20,938 Jo-Ann Stores, Inc.*...... $ 595,267
70,754 The Pantry, Inc.*......... 3,261,760
------------
7,324,303
------------
RETAIL: RESTAURANTS -- 1.0%
31,830 AFC Enterprises, Inc.*.... 550,341
28,650 Applebee's International,
Inc. .................. 690,465
20,627 CEC Entertainment, Inc.*.. 726,070
7,991 Domino's Pizza, Inc. ..... 145,996
4,343 Jack in the Box, Inc.*.... 308,092
------------
2,420,964
------------
RETAIL: SUPERMARKETS -- 1.0%
55,136 Weis Markets, Inc. ....... 2,233,559
------------
SCIENTIFIC AND TECHNICAL
INSTRUMENTS -- 0.2%
7,162 Varian, Inc.*............. 392,692
------------
SEMICONDUCTORS -- 2.3%
335,055 Conexant Systems, Inc.*... 462,376
16,657 Genesis Microchip, Inc.*.. 155,910
228,258 OmniVision Technologies,
Inc.*(8)............... 4,133,752
77,696 PMC-Sierra, Inc.*......... 600,590
------------
5,352,628
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 1.1%
38,223 Alaska Communications
Systems Group, Inc. ... 605,452
2,010 Anixter International,
Inc.*.................. 151,172
11,150 Golden Telecom, Inc. ..... 613,362
10,852 Powerwave Technologies,
Inc.*.................. 72,708
57,260 Premiere Global Services,
Inc.*.................. 745,525
13,131 Superior Essex, Inc.*..... 490,443
------------
2,678,662
------------
TOYS -- 0.2%
22,474 Marvel Entertainment,
Inc.*.................. 572,638
------------
TRANSPORTATION -- 3.4%
84,058 Arkansas Best Corp.(8).... 3,275,740
4,355 Pacer International,
Inc. .................. 102,430
27,229 Saia, Inc.*............... 742,263
52,680 Tidewater, Inc.(8)........ 3,733,958
------------
7,854,391
------------
UTILITIES -- 3.5%
70,857 American States Water
Company(8)............. 2,520,383
33,571 El Paso Electric
Company*............... 824,504
8,959 Nicor, Inc. .............. 384,520
80,860 UIL Holdings Corp. ....... 2,676,466
22,986 Unisource Energy Corp. ... 756,010
39,374 Westar Energy, Inc. ...... 956,001
------------
8,117,884
------------
TOTAL COMMON STOCKS
(Cost $223,787,410).... 230,417,895
------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 18.1%
$42,332,931 Securities Lending
Collateral Investment
(Note 4)
(Cost $42,332,931)..... 42,332,931
------------
TOTAL SECURITIES
(Cost $266,120,341).... 272,750,826
------------
REPURCHASE AGREEMENTS -- 0.7%
1,640,031 With Investors Bank and
Trust, dated 06/29/07,
4.76%, due 07/02/07,
repurchase proceeds at
maturity $1,640,682
(Collateralized by
various Small Business
Administrations, 8.13%-
8.88%, due
08/25/14 -- 04/25/27,
with a total value of
$1,722,033) (Cost
$1,640,031)............ 1,640,031
------------
Total
Investments -- 117.6%
(Cost $267,760,372).... 274,390,857
Liabilities less other
assets -- (17.6)%...... (40,979,701)
------------
NET ASSETS -- 100.0%...... $233,411,156
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $267,760,372.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation... $16,335,003
Gross unrealized depreciation... (9,704,518)
-----------
Net unrealized appreciation..... $ 6,630,485
===========
</Table>
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
150
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS -- 98.1%
AEROSPACE AND DEFENSE -- 0.7%
69,370 BE Aerospace, Inc.*...... $ 2,864,981
92,240 HEICO Corp.(8)........... 3,881,460
82,323 Orbital Sciences Corp.*.. 1,729,606
5,827 United Industrial
Corp.(8).............. 349,503
--------------
8,825,550
--------------
AGRICULTURE -- 0.4%
87,429 CF Industries Holdings,
Inc. ................. 5,236,123
--------------
AIRLINES -- 0.9%
326,020 AirTran Holdings,
Inc.*(8).............. 3,560,139
14,500 Alaska Air Group, Inc.*.. 403,970
100,060 Allegiant Travel
Company*.............. 3,075,844
8,760 Continental Airlines,
Inc. -- Class B*(8)... 296,701
113,900 ExpressJet Holdings,
Inc.*................. 681,122
146,317 Pinnacle Airlines
Corp.*(8)............. 2,743,444
--------------
10,761,220
--------------
APPAREL: MANUFACTURING AND RETAIL -- 4.9%
82,511 Aeropostale, Inc.*(8).... 3,439,058
44,700 AnnTaylor Stores Corp.*.. 1,583,274
13,650 Columbia Sportswear
Company............... 937,482
192,090 Crocs, Inc.*(8).......... 8,265,632
60,047 Deckers Outdoor
Corp.*(8)............. 6,058,742
129,190 Iconix Brand Group,
Inc.*................. 2,870,602
32,813 Jos A Bank Clothiers,
Inc.*(8).............. 1,360,755
127,155 Kellwood Company(8)...... 3,575,599
26,865 Mothers Work, Inc.*...... 840,069
3,400 Phillips-Van Heusen
Corp. ................ 205,938
536,350 Quiksilver, Inc.*........ 7,578,626
327,258 Stage Stores, Inc. ...... 6,859,328
170,075 The Cato Corp. -- Class
A..................... 3,731,446
98,146 The Talbots, Inc.(8)..... 2,456,594
174,100 The Wet Seal,
Inc. -- Class A*(8)... 1,046,341
42,150 Tween Brands, Inc.*...... 1,879,890
32,000 Urban Outfitters, Inc.*.. 768,960
40,330 Volcom, Inc.*............ 2,021,743
77,000 Wolverine World Wide,
Inc. ................. 2,133,670
--------------
57,613,749
--------------
AUTOMOBILE: RENTAL -- 0.2%
71,800 Hertz Global Holdings,
Inc.*................. 1,907,726
--------------
AUTOMOBILE: RETAIL -- 0.1%
29,500 The Pep Boys -- Manny,
Moe & Jack............ 594,720
--------------
AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE
EQUIPMENT AND REPAIRS -- 0.8%
90,629 Aftermarket Technology
Corp.*................ 2,689,869
63,900 Amerigon, Inc.*.......... 1,149,561
50,947 Hayes Lemmerz
International, Inc.*.. 272,566
77,674 Modine Manufacturing
Company............... 1,755,432
159,673 Monaco Coach Corp. ...... 2,291,308
81,606 Standard Motor Products,
Inc. ................. 1,226,538
11,776 Winnebago Industries,
Inc. ................. 347,628
--------------
9,732,902
--------------
BANKS -- 5.2%
25,997 1st Source Corp. ........ 647,845
22,416 AMCORE Financial, Inc. .. 649,840
21,292 Ameris Bancorp........... 478,431
22,378 BancFirst Corp. ......... 958,226
15,700 BancorpSouth, Inc. ...... 384,022
18,485 Bank of Granite Corp. ... 308,515
6,341 BankFinancial Corp. ..... 97,968
10,043 Camden National Corp. ... 393,083
3,421 Capital Corp of the
West.................. 81,967
4,300 Centennial Bank Holdings,
Inc.*................. 36,421
10,167 Center Financial Corp. .. 172,026
10,600 Central Pacific
Financial Corp. ...... 349,906
6,341 Chittenden Corp. ........ 221,618
5,800 Citizens Banking
Corp. -- Michigan(8).. 106,140
33,916 City Bank................ 1,068,693
24,905 City Holding Company..... 954,609
10,197 City National Corp. ..... 775,890
22,378 Columbia Banking
System, Inc. ......... 654,557
2,616 Community Bancorp*....... 73,196
76,546 Community Bank
System, Inc. ......... 1,532,451
23,197 Community Trust
Bancorp, Inc. ........ 749,263
102,390 Corus Bankshares,
Inc.(8)............... 1,767,251
59,929 Dime Community
Bancshares............ 790,464
38,800 East West Bancorp,
Inc. ................. 1,508,544
6,542 Financial Institutions,
Inc. ................. 132,083
19,503 First Charter Corp. ..... 379,723
6,524 First Citizens
Bancshares,
Inc. -- Class A....... 1,268,266
33,229 First Commonwealth
Financial Corp.(8).... 362,861
</Table>
See notes to financial statements.
151
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
4,127 First Community
Bancshares, Inc. ..... $ 128,721
85,000 First Financial
Bancorp(8)............ 1,274,150
28,408 First Financial
Bankshares, Inc.(8)... 1,102,514
7,954 First Financial Corp. ... 233,529
16,667 First Financial Holdings,
Inc. ................. 545,178
35,125 First Indiana Corp. ..... 776,965
4,132 First Merchants Corp. ... 99,292
84,318 First Midwest Bancorp,
Inc. ................. 2,994,132
58,492 First Niagara Financial
Group, Inc. .......... 766,245
8,354 First Place Financial
Corp. ................ 176,436
2,213 First Regional Bancorp*.. 56,299
37,436 Flagstar Bancorp,
Inc.(8)............... 451,104
92,402 Frontier Financial
Corp.(8).............. 2,081,817
15,700 Glacier Bancorp,
Inc.(8)............... 319,495
5,216 Great Southern Bancorp,
Inc. ................. 141,093
54,502 Hancock Holding
Company(8)............ 2,046,550
3,727 Heritage Commerce
Corp. ................ 88,255
14,660 Home Bancshares,
Inc.(8)............... 330,583
20,175 Horizon Financial
Corp. ................ 439,613
19,597 Independent Bank
Corp. -- Massachusetts 578,895
13,914 Independent Bank
Corp. -- Michigan..... 239,460
24,037 Integra Bank Corp. ...... 516,074
121,506 International Bancshares
Corp.(8).............. 3,112,985
17,461 ITLA Capital Corp. ...... 910,067
29,515 KNBT Bancorp, Inc. ...... 433,871
17,492 Lakeland Bancorp,
Inc.(8)............... 232,644
13,863 Lakeland Financial
Corp. ................ 294,866
78,331 MB Financial, Inc.(8).... 2,721,219
4,630 Nara Bancorp, Inc. ...... 73,756
6,541 National Penn Bancshares,
Inc. ................. 109,104
5,838 NBT Bancorp, Inc. ....... 131,705
198,519 NewAlliance
Bancshares, Inc.(8)... 2,922,200
14,670 OceanFirst Financial
Corp. ................ 258,192
12,783 Old National Bancorp(8).. 212,326
15,046 Old Second Bancorp,
Inc.(8)............... 438,741
4,127 Omega Financial Corp. ... 110,975
3,243 Oriental Financial Group,
Inc. -- Puerto Rico... 35,381
28,119 Oritani Financial
Corp.*................ 401,821
2,616 Park National Corp.(8)... 221,811
6,542 Partners Trust Financial
Group, Inc. .......... 68,691
6,542 People's Bancorp, Inc. .. 177,092
38,352 PFF Bancorp, Inc. ....... 1,071,171
13,167 Preferred Bank -- Los
Angeles, California... 526,680
7,750 Provident Bankshares
Corp. ................ 254,045
1,700 Royal Bancshares of
Pennsylvania,
Inc. -- Class A....... 33,507
29,547 S&T Bancorp, Inc. ....... 972,096
6,723 Sandy Spring Bancorp,
Inc. ................. 211,371
16,378 Santander
BanCorp -- Puerto
Rico.................. 243,377
6,633 SCBT Financial Corp. .... 241,441
6,000 Signature Bank*.......... 204,600
13,567 Simmons First National
Corp. -- Class A...... 374,314
12,532 Sterling Bancshares,
Inc. -- Texas......... 141,737
7,549 Sterling Financial
Corp. --
Pennsylvania.......... 79,415
16,115 Sterling Financial
Corp. -- Spokane(8)... 466,368
16,254 Suffolk Bancorp.......... 518,828
15,267 SY Bancorp, Inc.(8)...... 362,744
8,732 Taylor Capital Group,
Inc. ................. 240,392
13,441 TrustCo Bank Corp.
NY(8)................. 132,797
56,847 Trustmark Corp. ......... 1,470,063
15,765 Union Bankshares Corp. .. 365,748
51,425 United Bankshares,
Inc.(8)............... 1,635,315
5,032 United Community Banks,
Inc. -- Georgia(8).... 130,278
29,808 United Community
Financial Corp. ...... 297,484
4,020 Univest Corp. of
Pennsylvania(8)....... 90,530
15,256 USB Holding Company,
Inc. ................. 290,779
16,911 Washington Federal,
Inc. ................. 411,106
16,061 Washington Trust
Bancorp, Inc. ........ 404,898
3,623 Wauwatosa Holdings,
Inc.*................. 59,924
15,075 WesBanco, Inc. .......... 444,713
5,838 West Bancorp(8).......... 93,233
15,776 West Coast Bancorp....... 479,433
56,826 Westamerica Bancorp(8)... 2,513,982
11,978 Western Alliance
Bancorp*.............. 357,543
4,400 Wintrust Financial
Corp. ................ 192,940
19,470 WSFS Financial Corp. .... 1,273,922
--------------
61,744,480
--------------
</Table>
See notes to financial statements.
152
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
BROADCAST SERVICES/MEDIA -- 0.8%
107,805 Citadel Broadcasting
Corp.(8).............. $ 695,342
148,320 Cumulus Media,
Inc. -- Class A*(8)... 1,386,792
85,400 DG Fastchannel, Inc.*.... 1,740,452
20,434 Emmis Communications
Corp. -- Class A...... 188,197
80,246 Entercom Communications
Corp.(8).............. 1,997,323
4,000 Gray Television, Inc. ... 37,080
145,600 Martha Stewart Living
Omnimedia,
Inc. -- Class A(8).... 2,504,320
96,808 Sinclair Broadcast Group,
Inc. -- Class A....... 1,376,610
--------------
9,926,116
--------------
BUSINESS SERVICES AND SUPPLIES -- 3.4%
16,821 Ambassadors Group,
Inc. ................. 597,650
65,264 Arbitron, Inc. .......... 3,363,054
21,187 Authorize.Net Holdings,
Inc.*................. 379,035
125,088 Barrett Business
Services, Inc. ....... 3,231,023
7,600 CBIZ, Inc.*.............. 55,860
3,000 Clayton Holdings, Inc.*.. 34,170
201,754 CSG Systems
International, Inc.*.. 5,348,499
150,817 Deluxe Corp. ............ 6,124,679
26,841 Diamond Management &
Technology
Consultants, Inc. .... 354,301
22,315 Fair Isaac Corp. ........ 895,278
47,264 First Consulting
Group, Inc.*.......... 449,008
56,710 FirstService Corp.
(Canada)*............. 2,042,694
24,748 Forrester Research,
Inc.*................. 696,161
14,900 Global Payments, Inc. ... 590,785
32,103 Heidrick & Struggles
International, Inc.*.. 1,644,958
6,900 Huron Consulting Group,
Inc.*................. 503,769
101,268 MAXIMUS, Inc. ........... 4,393,006
52,950 Portfolio Recovery
Associates, Inc.(8)... 3,178,059
90,924 Spherion Corp.*.......... 853,776
127,025 UniFirst Corp. .......... 5,595,451
--------------
40,331,216
--------------
CHEMICALS -- 1.8%
66,967 Compass Minerals
International,
Inc.(8)............... 2,321,076
2,027 HB Fuller Company........ 60,587
43,642 Innospec, Inc. .......... 2,584,043
15,300 Metabolix, Inc. ......... 382,959
90,062 OM Group, Inc.*.......... 4,766,081
70,358 Spartech Corp. .......... 1,868,005
227,131 Terra Industries,
Inc.*(8).............. 5,773,670
147,733 Tetra Tech, Inc.*........ 3,183,646
58,400 US BioEnergy Corp.*(8)... 663,424
--------------
21,603,491
--------------
COMMERCIAL SERVICES -- 0.5%
7,700 DynCorp International,
Inc. -- Class A*...... 169,323
70,570 HMS Holdings Corp.*...... 1,350,709
11,027 Standard Parking Corp.*.. 387,379
54,140 Steiner Leisure, Ltd.
(Bahama Islands)*..... 2,659,356
25,139 Viad Corp. .............. 1,060,112
35,674 Volt Information
Sciences, Inc.*(8).... 657,829
--------------
6,284,708
--------------
COMPUTER EQUIPMENT, SOFTWARE AND
SERVICES -- 6.4%
31,800 Activision, Inc.*........ 593,706
34,690 Actuate Corp.*........... 235,545
167,200 Advent Software,
Inc.*(8).............. 5,442,360
16,700 Ansoft Corp.*............ 492,483
146,363 AsiaInfo Holdings,
Inc.*(8).............. 1,419,721
36,232 Aspen Technology, Inc.*.. 507,248
115,900 Avocent Corp.*........... 3,362,259
10,871 Black Box Corp. ......... 449,842
46,500 CommVault Systems,
Inc.*................. 803,055
90,180 COMSYS IT Partners,
Inc.*................. 2,057,006
132,860 Concur Technologies,
Inc.*................. 3,035,851
7,100 Digi International,
Inc.*................. 104,654
129,962 Electronics For Imaging,
Inc.*................. 3,667,528
5,250 FactSet Research Systems,
Inc. ................. 358,838
5,516 FARO Technologies,
Inc.*................. 175,740
14,562 Imation Corp. ........... 536,755
133,600 Immersion Corp.*......... 2,001,328
10,670 Interactive Intelligence,
Inc.*................. 219,802
58,400 Interwoven, Inc.*........ 819,936
17,500 Jack Henry & Associates,
Inc. ................. 450,625
6,800 JDA Software Group,
Inc.*................. 133,484
20,977 L-1 Identity Solutions,
Inc.*(8).............. 428,980
43,230 Magma Design Automation,
Inc.*................. 606,949
29,556 Manhattan Associates,
Inc.*................. 824,908
111,485 Mentor Graphics Corp.*... 1,468,257
</Table>
See notes to financial statements.
153
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
COMPUTER EQUIPMENT, SOFTWARE AND SERVICES
(CONTINUED)
27,260 MicroStrategy,
Inc. -- Class A*(8)... $ 2,575,797
47,440 MTS Systems Corp. ....... 2,119,145
125,380 Nuance Communications,
Inc.*(8).............. 2,097,607
53,020 PROS Holdings, Inc.*..... 694,562
35,200 Quest Software, Inc.*.... 569,888
392,600 Red Hat, Inc.*(8)........ 8,747,129
15,500 Riverbed Technology,
Inc.*(8).............. 679,210
31,300 Sigma Designs, Inc.*(8).. 816,617
29,997 Silicon Storage
Technology, Inc.*..... 111,889
183,721 Sybase, Inc.*............ 4,389,095
124,909 Sykes Enterprises,
Inc.*................. 2,372,022
71,814 Synaptics, Inc.*......... 2,570,223
69,590 Systems Xcellence, Inc.
(Canada)*............. 2,002,104
209,700 THQ, Inc.*............... 6,400,044
8,600 Tyler Technologies,
Inc.*................. 106,726
9,100 Western Digital Corp.*... 176,085
381,400 Wind River Systems,
Inc.*................. 4,195,400
142,357 Xyratex, Ltd.
(Bermuda)*............ 3,164,596
--------------
73,984,999
--------------
CONSTRUCTION SERVICES AND SUPPLIES -- 1.4%
4,500 ABM Industries, Inc. .... 116,145
11,420 AMREP Corp.(8)........... 543,021
5,600 Beazer Homes USA, Inc. .. 138,152
13,846 BlueLinx Holdings,
Inc. ................. 145,245
12,874 Dycom Industries, Inc.*.. 385,963
31,560 Granite Construction,
Inc. ................. 2,025,521
111,586 Matrix Service Company*.. 2,772,912
8,600 Perini Corp.*............ 529,158
122,699 Simpson Manufacturing
Company, Inc.(8)...... 4,139,863
4,551 Sterling Construction
Company, Inc.*........ 96,254
56,040 Team, Inc.*.............. 2,520,119
11,900 The Ryland Group,
Inc.(8)............... 444,703
141,699 Trex Company, Inc.*(8)... 2,781,551
--------------
16,638,607
--------------
CONSUMER GOODS AND SERVICES -- 3.0%
57,822 Alberto-Culver Company... 1,371,538
32,111 Alliance One
International, Inc.*.. 322,716
97,470 American Greetings
Corp. -- Class A(8)... 2,761,325
47,700 Bare Escentuals, Inc.*... 1,628,955
112,106 Blyth, Inc. ............. 2,979,777
10,100 Chattem, Inc.*(8)........ 640,138
4,200 Church & Dwight Company,
Inc. ................. 203,532
162,328 Helen Of Troy, Ltd.
(Bermuda)*............ 4,382,856
79,302 Herbalife, Ltd. (Cayman
Islands).............. 3,144,324
109,967 NBTY, Inc.*.............. 4,750,575
55,850 Nutri/System, Inc.*(8)... 3,900,564
209,681 Playtex Products, Inc.*.. 3,105,376
13,000 Prestige Brands Holdings,
Inc.*................. 168,740
115,260 Rollins, Inc. ........... 2,624,470
135,160 Tempur-Pedic
International,
Inc.(8)............... 3,500,644
2,199 Vector Group, Ltd.(8).... 49,543
6,643 WD-40 Company............ 218,355
--------------
35,753,428
--------------
DISTRIBUTION -- 1.3%
85,530 Houston Wire & Cable
Company*(8)........... 2,429,907
70,760 LKQ Corp.*............... 1,744,942
79,236 United Stationers,
Inc.*................. 5,280,287
101,093 Universal Corp. ......... 6,158,586
--------------
15,613,722
--------------
DIVERSIFIED OPERATIONS AND
SERVICES -- 0.2%
38,437 Compass Diversified
Trust................. 685,332
29,400 ESCO Technologies,
Inc.*................. 1,066,044
2,432 PICO Holdings, Inc.*..... 105,208
8,182 Standex International
Corp. ................ 232,696
--------------
2,089,280
--------------
EDUCATION -- 0.6%
84,910 DeVry, Inc. ............. 2,888,638
21,700 New Oriental Education &
Technology Group, Inc.
(ADR) (Cayman
Islands)*............. 1,165,724
23,843 Strayer Education,
Inc.(8)............... 3,140,362
--------------
7,194,724
--------------
ELECTRICAL EQUIPMENT -- 0.3%
74,025 Greatbatch, Inc.*........ 2,398,410
86,100 Universal Display
Corp.*(8)............. 1,352,631
--------------
3,751,041
--------------
ELECTRONICS -- 2.4%
187,270 Belden CDT, Inc. ........ 10,365,394
11,650 Cubic Corp. ............. 351,597
710,850 Flextronics
International, Ltd.
(Singapore)*.......... 7,677,180
</Table>
See notes to financial statements.
154
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
2,900 Littelfuse, Inc.*........ $ 97,933
88,609 Methode Electronics,
Inc. ................. 1,386,731
189,979 Micrel, Inc. ............ 2,416,533
277,358 Nam Tai Electronics, Inc.
(British Virgin
Islands).............. 3,306,107
35,400 Park Electrochemical
Corp. ................ 997,572
5,838 Stoneridge, Inc.*........ 72,041
29,350 Synopsys, Inc.*.......... 775,721
20,200 Technitrol, Inc. ........ 579,134
--------------
28,025,943
--------------
ENERGY SERVICES -- 0.1%
12,600 SunPower Corp. -- Class
A*(8)................. 794,430
--------------
ENGINEERING -- 0.4%
54,209 EMCOR Group, Inc.*....... 3,951,836
7,000 Jacobs Engineering Group,
Inc.*................. 402,570
--------------
4,354,406
--------------
ENVIRONMENTAL WASTE MANAGEMENT AND
RECYCLING SERVICES -- 0.3%
67,486 Metal Management, Inc. .. 2,974,108
22,571 Waste Industries USA,
Inc. ................. 770,574
--------------
3,744,682
--------------
EQUIPMENT RENTAL AND LEASING -- 0.2%
89,158 Rent-A-Center, Inc.*(8).. 2,338,614
--------------
FINANCIAL SERVICES -- 4.9%
20,850 Affiliated Managers
Group, Inc.*(8)....... 2,684,646
194,710 Asset Acceptance Capital
Corp.*................ 3,446,367
86,647 ASTA Funding, Inc.(8).... 3,329,844
1,906 Capital Southwest
Corp. ................ 296,936
84,725 Credit Acceptance
Corp.*(8)............. 2,273,172
305,550 E*TRADE Financial
Corp.*................ 6,749,600
4,600 Eaton Vance Corp. ....... 203,228
13,700 Equifax, Inc. ........... 608,554
41,000 FBR Capital Markets
Corp.*(8)............. 692,900
24,425 Federal Agricultural
Mortgage
Corp. -- Class C...... 835,824
44,900 Federated Investors,
Inc. -- Class B....... 1,721,017
113,182 Financial Federal
Corp.(8).............. 3,375,087
116,500 Fortress Investment Group
LLC -- Class A(8)..... 2,775,030
24,681 GAMCO Investors,
Inc. -- Class A....... 1,383,370
29,400 Greenhill & Company,
Inc.(8)............... 2,020,074
5,432 Hercules Technology
Growth Capital,
Inc. ................. 73,386
68,070 Investment Technology
Group, Inc.*.......... 2,949,473
7,400 Janus Capital Group,
Inc. ................. 206,016
59,400 Jefferies Group, Inc. ... 1,602,612
203,077 Knight Capital Group,
Inc. -- Class A*...... 3,371,078
4,700 Marathon Acquisition
Corp.*................ 37,036
6,800 Morningstar, Inc.*....... 319,770
114,700 Nasdaq Stock Market,
Inc.*(8).............. 3,407,737
71,200 Ocwen Financial
Corp.*(8)............. 949,096
66,520 optionsXpress Holdings,
Inc. ................. 1,706,903
13,532 Patriot Capital Funding
Inc. ................. 200,950
83,150 Penson Worldwide, Inc.*.. 2,039,670
33,692 Piper Jaffray Companies,
Inc.*................. 1,877,655
17,682 Renasant Corp. .......... 402,089
16,576 SWS Group, Inc. ......... 358,373
155,700 The Blackstone Group
LP*(8)................ 4,557,339
62,400 Thomas Weisel Partners
Group, Inc.*(8)....... 1,038,960
65,698 W Holding Company,
Inc. -- Puerto
Rico(8)............... 173,443
6,945 Waddell & Reed Financial,
Inc. -- Class A....... 180,639
--------------
57,847,874
--------------
FOOD AND BEVERAGE -- 1.0%
47,564 Boston Beer Company,
Inc. -- Class A*...... 1,871,643
2,415 Coca-Cola Bottling
Company............... 121,475
3,623 Farmer Brothers Company.. 81,988
35,182 Imperial Sugar
Company(8)............ 1,083,254
166,600 Lance, Inc. ............. 3,925,096
10,900 McCormick & Company,
Inc. ................. 416,162
41,681 Nash Finch Company(8).... 2,063,210
5,712 Ralcorp Holdings, Inc.*.. 305,306
151,870 SunOpta, Inc.
(Canada)*(8).......... 1,693,351
--------------
11,561,485
--------------
FUNERAL SERVICES -- 0.1%
149,800 Stewart Enterprises,
Inc. -- Class A(8).... 1,166,942
--------------
INSURANCE -- 5.0%
17,742 ACA Capital Holdings,
Inc.*(8).............. 211,130
24,760 Allied World Assurance
Holdings, Ltd.
(Bermuda)............. 1,268,950
34,929 American Equity
Investment Life
Holding Company....... 421,942
</Table>
See notes to financial statements.
155
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
35,042 American Physicians
Capital, Inc.*........ $ 1,419,201
9,082 Amerisafe, Inc.*......... 178,280
100,250 AmTrust Financial
Services, Inc.(8)..... 1,883,698
89,741 Aspen Insurance Holdings,
Ltd. (Bermuda)(8)..... 2,519,030
317,266 Assured Guaranty, Ltd.
(Bermuda)(8).......... 9,378,382
109,832 Delphi Financial Group,
Inc. -- Class A....... 4,593,174
9,160 EMC Insurance Group,
Inc. ................. 227,351
37,354 Endurance Specialty
Holdings, Ltd.
(Bermuda)............. 1,495,654
11,274 FBL Financial Group,
Inc. -- Class A....... 443,294
8,757 FPIC Insurance Group,
Inc.*................. 357,023
5,115 Harleysville Group,
Inc. ................. 170,636
23,856 Horace Mann Educators
Corp. ................ 506,701
38,731 Infinity Property &
Casualty Corp. ....... 1,964,824
56,614 IPC Holdings, Ltd.
(Bermuda)............. 1,828,066
82,479 Montpelier Re Holdings,
Ltd. (Bermuda)(8)..... 1,529,161
855 National Western Life
Insurance
Company -- Class A.... 216,247
88,558 Odyssey Re Holdings
Corp.(8).............. 3,798,253
40,600 OneBeacon Insurance
Group, Ltd.
(Bermuda)............. 1,028,398
17,415 PartnerRE, Ltd.
(Bermuda)............. 1,349,663
147,725 Platinum Underwriters
Holdings, Ltd.
(Bermuda)(8).......... 5,133,443
38,481 Presidential Life
Corp. ................ 756,536
22,843 RAM Holdings, Ltd.
(Bermuda)*............ 359,777
2,415 RLI Corp. ............... 135,119
63,652 Safety Insurance Group,
Inc. ................. 2,635,193
123,780 Security Capital
Assurance, Ltd.
(Bermuda)............. 3,821,089
16,105 The Commerce Group,
Inc. ................. 559,166
79,068 The Phoenix Companies,
Inc. ................. 1,186,811
183,651 Universal American
Financial Corp.*...... 3,908,093
73,392 Zenith National Insurance
Corp. ................ 3,456,029
--------------
58,740,314
--------------
INTERNET SERVICES -- 4.7%
17,543 Blue Coat Systems,
Inc.*(8).............. 868,729
16,950 CheckFree Corp.*(8)...... 681,390
360,430 CNET Networks, Inc.*(8).. 2,951,922
64,400 Cogent Communications
Group, Inc.*.......... 1,923,628
306,390 CyberSource Corp.*(8).... 3,695,063
59,650 DealerTrack Holdings,
Inc.*................. 2,197,506
37,250 Digital River, Inc.*..... 1,685,563
32,794 Equinix, Inc.*(8)........ 2,999,667
206,700 eResearch Technology,
Inc.*(8).............. 1,965,717
9,300 Greenfield Online,
Inc.*................. 147,963
46,608 i2 Technologies,
Inc.*(8).............. 868,773
31,700 Imergent, Inc.(8)........ 775,382
124,370 j2 Global Communications,
Inc.*................. 4,340,513
41,319 Keynote Systems, Inc.*... 677,632
146,700 Lionbridge Technologies,
Inc.*................. 864,063
53,120 LoopNet, Inc.*........... 1,239,290
147,069 Marchex, Inc. -- Class
B..................... 2,400,166
367,300 Move, Inc.*.............. 1,645,504
392,410 NaviSite, Inc.*.......... 2,982,316
206,060 Online Resources Corp.*.. 2,262,539
133,190 Perficient, Inc.*(8)..... 2,757,033
25,200 Priceline.com, Inc.*(8).. 1,732,248
121,440 RADVision, Ltd.
(Israel)*............. 2,553,883
44,537 S1 Corp.*................ 355,851
223,605 SonicWALL, Inc.*......... 1,920,767
12,000 Syntel, Inc. ............ 364,680
122,130 The TriZetto Group,
Inc.*................. 2,364,437
21,200 TIBCO Software, Inc.*.... 191,860
298,475 United Online, Inc. ..... 4,921,852
66,895 Vignette Corp.*.......... 1,281,708
--------------
55,617,645
--------------
LEISURE AND RECREATION -- 1.6%
298,460 Century Casinos,
Inc.*(8).............. 2,683,155
149,667 Dover Downs Gaming &
Entertainment, Inc. .. 2,246,502
58,780 Home Inns & Hotels
Management, Inc. (ADR)
(Cayman Islands)*(8).. 1,893,304
51,430 Life Time Fitness,
Inc.*(8).............. 2,737,619
82,585 Monarch Casino & Resort,
Inc.*................. 2,217,407
130,260 Scientific Games
Corp. -- Class A*(8).. 4,552,587
65,620 The9, Ltd. (ADR) (Cayman
Islands)*(8).......... 3,035,581
--------------
19,366,155
--------------
</Table>
See notes to financial statements.
156
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
MACHINERY -- 0.6%
1,115 AAON, Inc. .............. $ 35,513
3,500 Applied Industrial
Technologies, Inc. ... 103,250
19,200 Cascade Corp. ........... 1,506,048
7,348 Chart Industries, Inc.*.. 208,977
10,500 Columbus McKinnon
Corp.*................ 338,100
231,904 Flow International
Corp.*(8)............. 2,921,989
23,252 Intevac, Inc.*........... 494,338
20,200 Middleby Corp.*(8)....... 1,208,364
1,500 Regal-Beloit Corp. ...... 69,810
9,220 Robbins & Myers, Inc. ... 489,859
1,115 The Groman-Rupp Company.. 35,524
--------------
7,411,772
--------------
MANUFACTURING -- 4.1%
77,329 Acuity Brands, Inc. ..... 4,661,392
24,170 Advanced Energy
Industries, Inc.*..... 547,692
96,319 Albany International
Corp. -- Class A(8)... 3,895,140
17,374 American Woodmark
Corp. ................ 601,140
11,097 AO Smith Corp. .......... 442,659
64,504 AptarGroup, Inc.(8)...... 2,293,762
230,439 Carlisle Companies,
Inc.(8)............... 10,717,719
64,307 Ceradyne, Inc.*(8)....... 4,756,146
1,710 CIRCOR International,
Inc. ................. 69,135
188,730 Deswell Industries, Inc.
(British Virgin
Islands).............. 2,060,932
48,392 EnPro Industries, Inc.*.. 2,070,694
21,297 Freightcar America,
Inc. ................. 1,018,848
25,364 Goodman Global, Inc.*.... 563,588
222,937 GrafTech International,
Ltd.*................. 3,754,259
2,027 Hurco Companies, Inc.*... 101,309
13,100 Infinera Corp.*(8)....... 326,452
22,500 Kaydon Corp.(8).......... 1,172,700
147,526 Matthews International
Corp. -- Class A...... 6,433,610
6,923 RBC Bearings, Inc.*...... 285,574
2,800 Rofin-Sinar Technologies,
Inc.*................. 193,200
159,027 Sturm, Ruger & Company,
Inc.*................. 2,468,099
--------------
48,434,050
--------------
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES -- 5.4%
10,000 Alliance Imaging, Inc.*.. 93,900
8,200 American Dental
Partners, Inc.*....... 212,954
135,210 American Medical Systems
Holdings, Inc.*(8).... 2,439,188
200,836 AmSurg Corp.*(8)......... 4,848,180
176,109 Apria Healthcare
Group, Inc.*(8)....... 5,066,655
97,385 Bruker BioSciences
Corp.*................ 877,439
162,990 Centene Corp.*........... 3,491,246
7,700 CONMED Corp.*............ 225,456
54,878 Haemonetics Corp.*....... 2,887,132
47,160 Healthways, Inc.*(8)..... 2,233,969
32,563 ICON PLC (ADR)
(Ireland)*............ 1,424,306
13,417 ICU Medical, Inc.*....... 576,126
36,340 Kyphon, Inc.*(8)......... 1,749,771
358,010 LeMaitre Vascular,
Inc.*................. 2,148,060
20,200 Lincare Holdings, Inc.*.. 804,970
30,000 Luminex Corp.*(8)........ 369,300
43,793 Magellan Health Services,
Inc.*................. 2,035,061
4,900 MedCath Corp.*(8)........ 155,820
10,800 Meridian Bioscience,
Inc. ................. 233,928
146,990 Micrus Endovascular
Corp.*................ 3,615,954
7,400 Mindray Medical
International, Ltd.
(ADR) (Cayman
Islands)(8)........... 225,922
27,300 Nighthawk Radiology
Holdings, Inc.*(8).... 492,765
383,550 NovaMed, Inc.*........... 2,320,478
99,780 NuVasive, Inc.*.......... 2,695,058
4,800 Orthofix International NV
(Netherland
Antilles)*............ 215,856
5,800 Patterson Companies,
Inc.*................. 216,166
39,020 Pediatrix Medical Group,
Inc.*................. 2,151,953
57,270 Phase Forward, Inc.*..... 963,854
58,531 PolyMedica Corp. ........ 2,390,991
26,500 PSS World Medical,
Inc.*................. 482,830
60,410 ResMed, Inc.*............ 2,492,517
111,452 STERIS Corp. ............ 3,410,431
33,100 Techne Corp.*............ 1,893,651
304,590 The Spectranetics
Corp.*(8)............. 3,508,877
68,600 Varian Medical Systems,
Inc.*................. 2,916,186
3,700 Vital Signs, Inc. ....... 205,535
71,560 Volcano Corp.*........... 1,446,228
36,101 Zoll Medical Corp.*...... 805,413
--------------
64,324,126
--------------
METALS AND MINING -- 2.0%
60,800 AK Steel Holding Corp.*.. 2,272,096
55,100 AM Castle & Company...... 1,978,641
58,086 Chaparral Steel Company.. 4,174,641
38,320 Dynamic Materials
Corp. ................ 1,437,000
</Table>
See notes to financial statements.
157
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
METALS AND MINING (CONTINUED)
3,000 Haynes International,
Inc.*................. $ 253,290
20,071 Hecla Mining Company*.... 171,406
65,050 Ladish Company, Inc.*.... 2,797,150
174,372 Mueller Industries,
Inc. ................. 6,005,372
94,929 Steel Dynamics, Inc. .... 3,978,474
--------------
23,068,070
--------------
OFFICE EQUIPMENT, SUPPLIES, AND
SERVICES -- 0.7%
205,843 Acco Brands Corp.*(8).... 4,744,681
26,150 Herman Miller, Inc. ..... 826,340
35,400 IKON Office Solutions,
Inc.(8)............... 552,594
99,450 Knoll, Inc. ............. 2,227,680
--------------
8,351,295
--------------
OIL, COAL AND GAS -- 4.0%
101,153 Alon USA Energy, Inc. ... 4,451,744
8,900 Cabot Oil & Gas Corp. ... 328,232
137,300 Cal Dive International,
Inc.*(8).............. 2,283,299
52,700 Continental Resources,
Inc.*................. 843,200
30,480 Core Laboratories NV (the
Netherlands)*......... 3,099,511
42,480 Dril-Quip, Inc.*......... 1,909,476
2,031 Enbridge Energy
Management, LLC*...... 113,005
24,400 FMC Technologies, Inc.*.. 1,932,968
45,900 Grant Prideco, Inc.*..... 2,470,797
170,800 Grey Wolf, Inc.*(8)...... 1,407,392
8,900 MarkWest Hydrocarbon,
Inc. ................. 511,127
11,400 NATCO Group, Inc.*....... 524,856
76,500 Oil States International,
Inc.*................. 3,162,510
15,450 Patterson-UTI Energy,
Inc.(8)............... 404,945
183,886 Penn Virginia Corp. ..... 7,392,216
183,426 PetroQuest Energy,
Inc.*................. 2,667,014
18,700 Range Resources Corp. ... 699,567
20,265 Southwest Gas Corp. ..... 685,160
11,654 St Mary Land &
Exploration Company... 426,769
17,319 Stone Energy Corp.*...... 593,349
73,940 Superior Energy Services,
Inc.*................. 2,951,685
66,800 TETRA Technologies,
Inc.*................. 1,883,760
4,460 Trico Marine Services,
Inc.*................. 182,325
144,722 Whiting Petroleum
Corp.*................ 5,864,135
13,500 World Fuel Services
Corp. ................ 567,810
--------------
47,356,852
--------------
PAPER AND FOREST PRODUCTS -- 0.2%
42,622 Buckeye Technologies,
Inc.*................. 659,362
27,301 Deltic Timber Corp. ..... 1,496,641
--------------
2,156,003
--------------
PHARMACEUTICALS/RESEARCH AND
DEVELOPMENT -- 4.7%
153,200 Affymetrix, Inc.*(8)..... 3,813,148
139,061 Albany Molecular
Research, Inc.*....... 2,065,056
218,600 Alkermes, Inc.*.......... 3,191,560
140,520 American Oriental
Bioengineering,
Inc.*(8).............. 1,250,628
107,250 Cephalon, Inc.*(8)....... 8,621,827
211,500 Cubist Pharmaceuticals,
Inc.*(8).............. 4,168,665
153,950 DepoMed, Inc.*(8)........ 734,342
331,541 Enzon Pharmaceuticals,
Inc.*(8).............. 2,602,597
69,200 Geron Corp.*(8).......... 487,168
37,000 Human Genome Sciences,
Inc.*(8).............. 330,040
40,640 Integra LifeSciences
Holdings*(8).......... 2,008,429
122,220 K-V Pharmaceutical
Company -- Class A*... 3,329,273
19,600 Martek Biosciences
Corp.*................ 509,012
401,100 Medarex, Inc.*(8)........ 5,731,718
111,850 Medicis Pharmaceuticals
Corp. -- Class A(8)... 3,415,899
96,376 Noven Pharmaceuticals,
Inc.*................. 2,260,017
28,100 Pain Therapeutics,
Inc.*(8).............. 244,751
16,700 Pharmaceutical Product
Development, Inc. .... 639,109
31,400 Pharmanet Development
Group, Inc.*.......... 1,001,032
56,400 Regeneron
Pharmaceuticals,
Inc.*................. 1,010,688
63,537 Savient Pharmaceuticals,
Inc.*................. 789,130
115,706 Sciele Pharma, Inc.*(8).. 2,726,033
61,200 Sepracor, Inc.*.......... 2,510,424
39,100 USANA Health
Services, Inc.*....... 1,749,334
--------------
55,189,880
--------------
PRINTING AND PUBLISHING -- 0.6%
213,553 Bowne & Company, Inc. ... 4,166,419
172,090 Valassis Communications,
Inc.*(8).............. 2,958,227
--------------
7,124,646
--------------
</Table>
See notes to financial statements.
158
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
REAL ESTATE DEVELOPMENT AND
SERVICES -- 0.2%
4,815 Avatar Holdings,
Inc.*(8).............. $ 370,466
180,300 Meruelo Maddux
Properties, Inc.*..... 1,471,248
2,100 Thomas Properties
Group, Inc. .......... 33,558
--------------
1,875,272
--------------
REAL ESTATE INVESTMENT TRUSTS -- 6.1%
138,465 Acadia Realty Trust...... 3,593,167
9,361 Agree Realty Corp. ...... 292,531
55,741 American Campus
Communities, Inc. .... 1,576,913
39,136 Associated Estates
Realty Corp. ......... 610,130
21,374 BRT Realty Trust......... 555,938
40,700 CapitalSource, Inc.(8)... 1,000,813
71,755 Cousins Properties,
Inc. ................. 2,081,613
92,962 Entertainment Properties
Trust................. 4,999,495
142,948 Equity Inns, Inc. ....... 3,202,035
18,146 Franklin Street
Properties Corp.(8)... 300,135
25,090 Getty Realty Corp. ...... 659,365
78,669 Gramercy Capital Corp. .. 2,166,544
132,338 Highwoods Properties,
Inc. ................. 4,962,675
118,552 Inland Real Estate
Corp.(8).............. 2,013,013
50,132 Investors Real Estate
Trust(8).............. 517,864
71,458 LTC Properties, Inc. .... 1,625,670
97,650 Maguire Properties,
Inc. ................. 3,352,325
133,063 MFA Mortgage Investments,
Inc. ................. 968,699
29,293 Mission West Properties,
Inc. ................. 408,344
28,715 National Retail
Properties, Inc. ..... 627,710
71,000 Nationwide Health
Properties, Inc.(8)... 1,931,200
161,400 Newcastle Investment
Corp. ................ 4,046,298
32,758 NorthStar Realty Finance
Corp. ................ 409,803
229,937 OMEGA Healthcare
Investors, Inc. ...... 3,639,903
50,491 Pennsylvania Real Estate
Investment Trust...... 2,238,266
97,307 PS Business Parks,
Inc. ................. 6,166,344
205,175 RAIT Investment
Trust(8).............. 5,338,653
13,445 Ramco-Gershenson
Properties Trust...... 483,079
172,746 Realty Income Corp.(8)... 4,351,472
12,179 Resource Capital Corp. .. 170,262
61,386 Saul Centers, Inc. ...... 2,783,855
21,797 Taubman Centers, Inc. ... 1,081,349
10,939 Urstadt Biddle
Properties -- Class
A..................... 186,072
255,940 U-Store-It Trust......... 4,194,857
--------------
72,536,392
--------------
REGISTERED INVESTMENT COMPANIES -- 0.8%
246,657 Ares Capital Corp.(8).... 4,156,171
46,660 iShares Russell 2000
Growth Index Fund(8).. 4,002,495
95,968 MCG Capital Corp. ....... 1,537,407
--------------
9,696,073
--------------
RETAIL -- 1.9%
181,504 Big Lots, Inc.*(8)....... 5,339,847
19,775 Books-A-Million, Inc. ... 334,989
236,625 Casey's General Stores,
Inc. ................. 6,450,397
153,194 EZCORP, Inc. -- Class
A*.................... 2,028,289
132,914 Hibbett Sports Inc.*..... 3,639,185
134,957 Jo-Ann Stores, Inc.*..... 3,836,828
4,900 West Marine, Inc.*....... 67,424
10,300 Williams-Sonoma,
Inc.(8)............... 325,274
--------------
22,022,233
--------------
RETAIL: RESTAURANTS -- 1.4%
21,943 AFC Enterprises, Inc.*... 379,394
15,000 Bob Evans Farms,
Inc.(8)............... 552,750
51,142 CBRL Group, Inc.(8)...... 2,172,512
47,388 CEC Entertainment,
Inc.*................. 1,668,058
79,764 Domino's Pizza, Inc. .... 1,457,288
9,100 IHOP Corp.(8)............ 495,313
5,100 Jack in the Box, Inc.*... 361,794
3,650 Panera Bread
Company -- Class
A*(8)................. 168,119
115,357 Papa John's
International, Inc.*.. 3,317,667
10,700 PF Chang's China Bistro,
Inc.*(8).............. 376,640
164,294 RARE Hospitality
International,
Inc.*(8).............. 4,398,151
58,826 Sonic Corp.*............. 1,301,231
4,900 The Cheesecake
Factory, Inc.*(8)..... 120,148
--------------
16,769,065
--------------
RETAIL: SUPERMARKETS -- 0.1%
2,415 Spartan Stores, Inc. .... 79,478
27,000 Whole Foods Market,
Inc.(8)............... 1,034,100
--------------
1,113,578
--------------
</Table>
See notes to financial statements.
159
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
RUBBER PRODUCTS -- 0.0%
20,900 Cooper Tire & Rubber
Company............... $ 577,258
--------------
SCIENTIFIC AND TECHNICAL
INSTRUMENTS -- 0.9%
48,700 Cymer, Inc.*............. 1,957,740
15,100 FEI Company*............. 490,146
100,544 Varian, Inc.*............ 5,512,828
38,944 Woodward Governor
Company............... 2,090,124
--------------
10,050,838
--------------
SEMICONDUCTORS -- 2.6%
245,459 Amkor Technology, Inc.*.. 3,865,979
78,050 Brooks Automation,
Inc.*................. 1,416,608
257,026 Emulex Corp.*............ 5,613,447
35,820 FormFactor, Inc.*........ 1,371,906
34,800 Intersil Corp. -- Class
A..................... 1,094,808
25,600 Kulicke and Soffa
Industries, Inc.*..... 268,032
555,700 Lattice Semiconductor
Corp.*................ 3,178,604
177,100 ON Semiconductor Corp.*.. 1,898,512
43,500 QLogic Corp.*............ 724,275
430,450 Skyworks Solutions,
Inc.*................. 3,163,808
38,410 Tessera Technologies,
Inc.*................. 1,557,526
172,127 Varian Semiconductor
Equipment Associates,
Inc.*................. 6,895,407
--------------
31,048,912
--------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 4.0%
26,782 Anaren, Inc.*............ 471,631
61,260 Atheros Communications*.. 1,889,258
107,315 Atlantic Tele-Network,
Inc. ................. 3,073,502
15,649 Audiovox Corp. -- Class
A*.................... 202,968
119,778 Cbeyond, Inc.*(8)........ 4,612,651
60,111 C-COR, Inc.*(8).......... 845,161
114,500 Clearwire Corp. -- Class
A*(8)................. 2,797,235
31,600 CommScope, Inc.*......... 1,843,860
29,737 Consolidated
Communications
Holdings, Inc. ....... 672,056
128,805 Ditech Networks, Inc.*... 1,054,913
70,300 Dobson Communications
Corp. -- Class A*..... 781,033
66,800 Harmonic, Inc.*.......... 592,516
35,438 InterDigital
Communications
Corp.*(8)............. 1,140,040
35,525 Iowa Telecommunications
Services, Inc.(8)..... 807,483
19,100 MetroPCS Communications,
Inc.*................. 631,064
21,667 North Pittsburgh
Systems, Inc. ........ 460,424
111,463 Novatel Wireless, Inc.*.. 2,900,267
314,734 Polycom, Inc.*........... 10,575,062
712,800 RF Micro Devices,
Inc.*(8).............. 4,447,872
7,500 Rural Cellular
Corp. -- Class A*..... 328,575
42,900 SBA Communications
Corp. -- Class A*..... 1,441,011
6,020 Shenandoah
Telecommunications
Company............... 305,997
148,798 Syniverse Holdings,
Inc.*................. 1,913,542
147,418 USA Mobility, Inc.*...... 3,944,906
--------------
47,733,027
--------------
TOYS -- 0.5%
211,794 Marvel Entertainment,
Inc.*(8).............. 5,396,511
--------------
TRANSPORTATION -- 1.4%
4,500 Atlas Air Worldwide
Holdings, Inc.*....... 265,230
75,524 General Maritime Corp.
(Marshall
Islands)(8)........... 2,022,533
136,862 Genesee & Wyoming,
Inc. -- Class A*...... 4,083,962
81,792 GulfMark Offshore,
Inc.*................. 4,189,386
10,500 Kirby Corp.*............. 403,095
25,800 Landstar System, Inc. ... 1,244,850
64,220 Old Dominion Freight
Line, Inc.*........... 1,936,233
7,200 UTI Worldwide, Inc.
(British Virgin
Islands)(8)........... 192,888
124,952 Vitran Corp.,
Inc. -- Class A
(Canada)*............. 2,666,476
--------------
17,004,653
--------------
UTILITIES -- 2.3%
62,361 Atmos Energy Corp. ...... 1,874,572
27,237 Avista Corp. ............ 586,957
103,852 Black Hills Corp.(8)..... 4,128,117
810 Central Vermont Public
Service Corp. ........ 30,521
28,049 El Paso Electric
Company*.............. 688,883
4,630 Middlesex Water Company.. 88,942
44,584 New Jersey Resources
Corp. ................ 2,274,676
125,849 Nicor, Inc.(8)........... 5,401,439
167,314 PNM Resources, Inc.(8)... 4,649,656
86,146 Unisource Energy Corp. .. 2,833,342
</Table>
See notes to financial statements.
160
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ --------------
COMMON STOCKS (CONTINUED)
UTILITIES (CONTINUED)
89,197 Westar Energy, Inc. ..... $ 2,165,703
62,239 WGL Holdings, Inc.(8).... 2,031,481
--------------
26,754,289
--------------
TOTAL COMMON STOCKS
(Cost
$1,035,837,651)....... 1,159,141,087
--------------
<Caption>
PRINCIPAL
---------
SHORT TERM US TREASURY SECURITIES -- 0.1%
US TREASURY BILL
$ 750,000 4.57%, 09/20/07 (5)
(Cost $742,193)....... 742,193
--------------
SECURITIES LENDING COLLATERAL -- 24.2%
286,107,422 Securities Lending
Collateral Investment
(Note 4)
(Cost $286,107,422)... 286,107,422
--------------
TOTAL SECURITIES
(Cost
$1,322,687,266)....... 1,445,990,702
--------------
<Caption>
Principal Value
- --------- --------------
REPURCHASE AGREEMENTS -- 1.8%
21,754,785 With Investors Bank and
Trust, dated 06/29/07,
4.76%, due 07/02/07,
repurchase proceeds at
maturity $21,763,414
(Collateralized by
Freddie Mac Adjustable
Mortgage Rate, 4.22%
due 03/01/34, with a
value of $3,726,835
and various Small
Business
Administrations,
7.38% -- 8.63%, due
09/25/26 -- 04/25/30,
with a total value of
$19,115,689) (Cost
$21,754,785).......... $ 21,754,785
--------------
Total
Investments -- 124.2%
(Cost
$1,344,442,051)....... 1,467,745,487
Liabilities less other
assets -- (24.2)%..... (285,941,694)
--------------
NET ASSETS -- 100.0%..... $1,181,803,793
==============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $1,344,442,051.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.. $152,056,037
Gross unrealized depreciation.. (28,752,601)
------------
Net unrealized appreciation.... $123,303,436
============
</Table>
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
161
SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS -- 98.2%
AEROSPACE AND DEFENSE -- 2.7%
9,900 Curtiss-Wright Corp. ..... $ 461,439
22,300 Esterline Technologies
Corp.*................. 1,077,313
27,220 Moog, Inc. -- Class A*.... 1,200,674
25,700 Teledyne Technologies,
Inc.*.................. 1,180,915
25,270 TransDigm Group, Inc.*.... 1,022,424
------------
4,942,765
------------
AIRLINES -- 0.5%
36,800 SkyWest, Inc. ............ 876,944
------------
APPAREL: MANUFACTURING AND RETAIL -- 4.3%
23,800 Crocs, Inc.*(8)........... 1,024,114
17,700 Genesco, Inc.*(8)......... 925,887
43,100 Maidenform Brands, Inc.*.. 855,966
7,900 Phillips-Van Heusen
Corp. ................. 478,503
30,000 Skechers USA,
Inc. -- Class A*....... 876,000
37,200 Stage Stores, Inc.(8)..... 779,712
43,793 The Dress Barn, Inc.*..... 898,632
34,700 The Warnaco Group, Inc.*.. 1,365,098
116,800 The Wet Seal,
Inc. -- Class A*(8).... 701,968
------------
7,905,880
------------
AUTOMOBILE: RETAIL -- 1.1%
45,800 Asbury Automotive Group,
Inc. .................. 1,142,710
27,965 Sonic Automotive, Inc. ... 810,146
------------
1,952,856
------------
AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE
EQUIPMENT AND REPAIRS -- 0.7%
24,300 Aftermarket Technology
Corp.*................. 721,224
28,463 Noble International,
Ltd. .................. 581,784
------------
1,303,008
------------
BANKS -- 2.3%
16,400 City Bank................. 516,764
3,271 First Citizens Bancshares,
Inc. -- Class A........ 635,882
18,400 Greene County Bancshares,
Inc. .................. 575,184
20,405 Prosperity Bancshares,
Inc.(8)................ 668,468
25,700 Sterling Financial
Corp. -- Spokane(8)... 743,758
20,400 United Community Banks,
Inc. -- Georgia(8)..... 528,156
20,400 Western Alliance
Bancorp*............... 608,940
------------
4,277,152
------------
BUSINESS SERVICES AND SUPPLIES -- 1.7%
136,500 CBIZ, Inc.*............... 1,003,275
32,200 FTI Consulting, Inc.*..... 1,224,566
52,400 Navigant Consulting,
Inc.*.................. 972,544
------------
3,200,385
------------
CHEMICALS -- 2.0%
29,300 HB Fuller Company......... 875,777
22,100 ICO, Inc.*................ 233,597
61,600 Landec Corp.*............. 825,440
40,400 Sensient Technologies
Corp. ................. 1,025,756
30,400 Spartech Corp. ........... 807,120
------------
3,767,690
------------
COLLECTIBLES -- 0.4%
14,900 Sotheby's................. 685,698
------------
COMMERCIAL SERVICES -- 1.0%
24,700 Euronet Worldwide, Inc.*.. 720,252
24,500 Steiner Leisure, Ltd.
(Bahama Islands)*...... 1,203,440
------------
1,923,692
------------
COMPUTER EQUIPMENT, SOFTWARE
AND SERVICES -- 11.3%
127,176 Actuate Corp.*............ 863,525
49,965 ANSYS, Inc.*.............. 1,324,073
84,832 Aspen Technology, Inc.*... 1,187,648
82,300 Bottomline Technologies,
Inc.*.................. 1,016,405
60,900 Brocade Communications
Systems, Inc.*......... 476,238
60,436 Captaris, Inc.*........... 309,432
10,900 Checkpoint Systems,
Inc.*.................. 275,225
32,700 COMSYS IT Partners,
Inc.*.................. 745,887
65,900 Epicor Software Corp.*.... 979,933
75,300 Interwoven, Inc.*......... 1,057,212
41,800 Jack Henry & Associates,
Inc. .................. 1,076,350
34,400 Manhattan Associates,
Inc.*.................. 960,104
52,900 Nuance Communications,
Inc.*(8)............... 885,017
71,600 Omnicell, Inc.*........... 1,487,849
22,500 Progress Software Corp.*.. 715,275
66,600 Quest Software, Inc.*..... 1,078,254
83,500 Radiant Systems, Inc.*.... 1,105,540
62,473 SkillSoft PLC (ADR)
(Ireland)*............. 580,374
39,498 Smith Micro Software,
Inc.*.................. 594,840
87,600 SumTotal Systems, Inc.*... 687,660
24,266 Synaptics, Inc.*.......... 868,480
35,486 The Ultimate Software
Group, Inc.*........... 1,026,610
27,600 THQ, Inc.*(8)............. 842,352
37,100 Xyratex, Ltd. (Bermuda)*.. 824,733
------------
20,969,016
------------
CONSTRUCTION SERVICES AND
SUPPLIES -- 1.8%
26,644 Apogee Enterprises,
Inc. .................. 741,236
34,932 Interline Brands, Inc.*... 911,027
</Table>
See notes to financial statements.
162
SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
CONSTRUCTION SERVICES AND SUPPLIES
(CONTINUED)
14,200 The Genlyte Group, Inc.*.. $ 1,115,268
71,800 US Concrete, Inc.*(8)..... 623,942
------------
3,391,473
------------
CONSUMER GOODS AND SERVICES -- 1.6%
47,300 Elizabeth Arden, Inc.*.... 1,147,498
31,800 Fossil, Inc.*............. 937,782
20,400 Jarden Corp.*(8).......... 877,404
------------
2,962,684
------------
DISTRIBUTION -- 0.8%
76,000 Bell Microproducts,
Inc.*.................. 495,520
14,400 United Stationers, Inc.*.. 959,616
------------
1,455,136
------------
ELECTRONICS -- 1.4%
78,600 Methode Electronics,
Inc. .................. 1,230,090
61,270 Nam Tai Electronics, Inc.
(British Virgin
Islands)............... 730,338
27,300 Plexus Corp.*............. 627,627
------------
2,588,055
------------
ENERGY SERVICES -- 0.5%
55,182 EnerSys*.................. 1,009,831
------------
ENVIRONMENTAL WASTE MANAGEMENT AND
RECYCLING SERVICES -- 1.1%
100,100 Basin Water, Inc.*(8)..... 870,870
22,000 Waste Connections, Inc.*.. 665,280
15,751 Waste Industries USA,
Inc. .................. 537,739
------------
2,073,889
------------
EQUIPMENT RENTAL AND LEASING -- 0.6%
38,100 Aaron Rents, Inc. ........ 1,112,520
------------
FINANCIAL SERVICES -- 0.6%
41,200 Interactive Data Corp. ... 1,103,336
------------
FOOD AND BEVERAGE -- 0.6%
25,100 Sanderson Farms, Inc.(8).. 1,130,002
------------
INSURANCE -- 4.6%
28,000 Delphi Financial Group,
Inc. -- Class A........ 1,170,960
18,500 FBL Financial Group,
Inc. -- Class A........ 727,420
22,400 FPIC Insurance Group,
Inc.*.................. 913,248
31,900 Harleysville Group,
Inc. .................. 1,064,184
15,700 Infinity Property &
Casualty Corp. ........ 796,461
28,500 IPC Holdings, Ltd.
(Bermuda).............. 920,265
16,800 ProAssurance Corp.*....... 935,256
18,500 RLI Corp. ................ 1,035,075
18,100 Zenith National Insurance
Corp. ................. 852,329
------------
8,415,198
------------
INTERNET SERVICES -- 8.4%
179,200 3Com Corp*................ 740,096
21,800 aQuantive, Inc.*.......... 1,390,840
20,200 Digital River, Inc.*(8)... 914,050
67,000 GigaMedia, Ltd.
(Singapore)*(8)........ 903,160
49,900 Greenfield Online, Inc.*.. 793,909
53,647 LivePerson, Inc.*......... 287,011
31,100 NETGEAR, Inc.*............ 1,127,375
15,800 Priceline.com, Inc.*(8)... 1,086,092
58,500 RADVision, Ltd.
(Israel)*.............. 1,230,255
35,022 Shanda Interactive
Entertainment, Ltd.
(ADR)(Cayman
Islands)*.............. 1,085,682
43,900 Shutterfly, Inc.*(8)...... 946,045
118,800 SonicWALL, Inc.*.......... 1,020,492
75,800 SupportSoft, Inc.*........ 413,868
137,245 Think Partnership, Inc.*.. 410,363
98,200 TIBCO Software, Inc.*..... 888,710
54,500 VASCO Data Security
International, Inc.*... 1,240,420
54,500 Vignette Corp.*........... 1,044,220
------------
15,522,588
------------
LEISURE AND RECREATION -- 0.3%
39,200 Dover Downs Gaming &
Entertainment, Inc. ... 588,392
------------
MACHINERY -- 1.7%
39,600 Columbus McKinnon Corp.*.. 1,275,120
72,600 Flow International
Corp.*(8).............. 914,760
25,618 Tennant Company........... 935,057
------------
3,124,937
------------
MANUFACTURING -- 3.6%
11,700 Ameron International
Corp. ................. 1,055,223
31,800 AptarGroup, Inc. ......... 1,130,808
38,460 Barnes Group, Inc. ....... 1,218,413
27,508 Encore Wire Corp.(8)...... 809,836
21,720 EnPro Industries, Inc.*... 929,399
30,500 FLIR Systems, Inc.*(8).... 1,410,624
------------
6,554,303
------------
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES -- 9.0%
42,900 Allscripts Healthcare
Solutions, Inc.*(8).... 1,093,092
27,266 Amedisys, Inc.*(8)........ 990,574
68,393 Bruker BioSciences
Corp.*................. 616,221
</Table>
See notes to financial statements.
163
SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
MEDICAL EQUIPMENT, SUPPLIES, AND SERVICES
(CONTINUED)
22,791 CONMED Corp.*............. $ 667,320
20,763 Emergency Medical Services
LP -- Class A*......... 812,456
24,800 Hologic, Inc.*(8)......... 1,371,689
57,203 Home Diagnostics Inc.*.... 673,279
24,269 Illumina, Inc.*(8)........ 985,079
28,000 inVentiv Health, Inc.*.... 1,025,080
31,537 LHC Group, Inc.*(8)....... 826,269
23,800 LifePoint Hospitals,
Inc.*.................. 920,584
24,300 MedCath Corp.*(8)......... 772,740
67,500 Merit Medical Systems,
Inc.*.................. 807,300
78,300 Natus Medical, Inc.*...... 1,246,536
31,100 Palomar Medical
Technologies,
Inc.*(8)............... 1,079,481
54,995 Phase Forward, Inc.*...... 925,566
6,818 SurModics, Inc.*.......... 340,900
68,443 Third Wave Technologies*.. 400,392
47,700 Zoll Medical Corp.*....... 1,064,187
------------
16,618,745
------------
METALS AND MINING -- 1.4%
9,100 Brush Engineered
Materials, Inc.*(8).... 382,109
6,400 Carpenter Technology
Corp. ................. 833,984
7,300 Chaparral Steel Company... 524,651
141,000 Northgate Minerals Corp.
(Canada)*.............. 408,900
12,000 Universal Stainless &
Alloy Products, Inc.*.. 422,760
------------
2,572,404
------------
OIL, COAL AND GAS -- 5.8%
25,100 Alon USA Energy, Inc.(8).. 1,104,651
25,900 Bill Barrett Corp.*(8).... 953,897
20,800 CARBO Ceramics, Inc.(8)... 911,248
30,500 Comstock Resources,
Inc.*.................. 914,085
8,900 Core Laboratories NV (the
Netherlands)*.......... 905,041
96,400 Grey Wolf, Inc.*.......... 794,336
22,453 Hercules Offshore,
Inc.*(8)............... 727,028
46,550 Natural Gas Services
Group*................. 832,314
17,600 Oil States International,
Inc.*(8)............... 727,584
96,400 Parker Drilling Company*.. 1,016,056
17,500 Petroleum Development
Corp.*................. 830,900
65,200 PetroQuest Energy, Inc.*.. 948,008
------------
10,665,148
------------
PAPER AND FOREST PRODUCTS -- 0.4%
49,279 Buckeye Technologies,
Inc.*.................. 762,346
------------
PHARMACEUTICALS/RESEARCH AND
DEVELOPMENT -- 6.8%
84,300 Albany Molecular Research,
Inc.*.................. 1,251,855
92,800 American Oriental
Bioengineering,
Inc.*(8)............... 825,920
39,300 Arena Pharmaceuticals,
Inc.*(8)............... 431,907
55,741 Bradley Pharmaceuticals,
Inc.*(8)............... 1,210,137
24,804 Kendle International,
Inc.*.................. 912,043
98,500 Oculus Innovative
Sciences, Inc.*(8)..... 806,715
24,700 PAREXEL International
Corp.*................. 1,038,882
37,300 PDL BioPharma, Inc.*...... 869,090
39,200 Pharmanet Development
Group, Inc.*........... 1,249,696
36,400 Pharmion Corp.*........... 1,053,780
53,000 Sciele Pharma, Inc.*(8)... 1,248,680
17,900 United Therapeutics
Corp.*(8).............. 1,141,304
39,600 ViroPharma, Inc.*......... 546,480
------------
12,586,489
------------
PRINTING AND PUBLISHING -- 0.6%
14,700 Consolidated Graphics,
Inc.*.................. 1,018,416
------------
RECREATIONAL VEHICLE -- 0.4%
14,200 Polaris Industries,
Inc.(8)................ 769,072
------------
RETAIL -- 1.3%
47,120 First Cash Financial
Services, Inc.*........ 1,104,493
72,600 LJ International, Inc.
(British Virgin
Islands)*(8)........... 788,436
8,500 Longs Drug Stores Corp. .. 446,420
------------
2,339,349
------------
RETAIL: RESTAURANTS -- 1.7%
18,800 Bob Evans Farms, Inc. .... 692,780
12,500 Jack in the Box, Inc.*.... 886,750
41,800 O'Charley's, Inc. ........ 842,688
62,500 Texas Roadhouse, Inc.,
Class A*............... 799,375
------------
3,221,593
------------
RETAIL: SUPERMARKETS -- 0.8%
22,700 Ingles Markets,
Inc. -- Class A........ 782,015
18,500 Spartan Stores, Inc. ..... 608,835
------------
1,390,850
------------
SCIENTIFIC AND TECHNICAL
INSTRUMENTS -- 0.7%
44,200 Newport Corp.*............ 684,216
41,200 Zygo Corp.*............... 588,748
------------
1,272,964
------------
</Table>
See notes to financial statements.
164
SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE
------ ------------
COMMON STOCKS (CONTINUED)
SECURITY SERVICE AND DEVICES -- 1.0%
34,900 LoJack Corp.*............. $ 777,921
34,600 Macrovision Corp.*........ 1,040,076
------------
1,817,997
------------
SEMICONDUCTORS -- 4.1%
64,300 AMIS Holdings, Inc.*...... 805,036
56,400 Brooks Automation, Inc.*.. 1,023,660
109,400 Cirrus Logic, Inc.*....... 908,020
37,600 Emulex Corp.*............. 821,184
88,500 LTX Corp.*................ 492,060
28,000 Silicon Motion Technology
Corp. (ADR) (Cayman
Islands)*.............. 695,240
26,300 Standard Microsystems
Corp.*................. 903,142
162,000 TriQuint Semiconductor,
Inc.*.................. 819,720
53,800 Zoran Corp.*.............. 1,078,152
------------
7,546,214
------------
STORAGE FACILITIES -- 0.4%
26,200 Mobile Mini, Inc.*........ 765,040
------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 6.2%
57,000 ADC Telecommunications,
Inc.*.................. 1,044,810
27,800 ADTRAN, Inc. ............. 721,966
29,200 Atheros
Communications*(8)..... 900,528
29,700 Cbeyond, Inc.*............ 1,143,747
63,028 Ceragon Networks Ltd.
(Israel)*.............. 722,931
16,418 General Cable Corp.*...... 1,243,663
40,600 General Communication,
Inc. -- Class A*....... 520,086
96,500 Intervoice, Inc.*......... 803,845
27,900 NICE Systems, Ltd. (ADR)
(Israel)*.............. 969,246
18,029 Novatel Wireless, Inc.*... 469,115
60,300 Oplink Communications,
Inc.*.................. 904,500
73,178 RF Micro Devices, Inc.*... 456,631
101,700 Sirenza Microdevices,
Inc.*(8)............... 1,207,179
29,877 Tollgrade Communications,
Inc*................... 315,202
------------
11,423,449
------------
TOYS -- 0.4%
30,000 Marvel Entertainment,
Inc.*.................. 764,400
------------
TRANSPORTATION -- 1.6%
43,400 Celadon Group, Inc.*...... 690,060
25,134 Excel Maritime Carriers,
Ltd. (Liberia)......... 632,874
31,900 Heartland Express, Inc. .. 519,970
30,800 Hub Group, Inc. -- Class
A*..................... 1,082,928
------------
2,925,832
------------
TOTAL COMMON STOCKS
(Cost $159,509,617).... 181,297,738
------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 21.4%
$39,388,316 Securities Lending
Collateral Investment
(Note 4)
(Cost $39,388,316)..... 39,388,316
------------
TOTAL SECURITIES
(Cost $198,897,933).... 220,686,054
------------
REPURCHASE AGREEMENTS -- 1.3%
2,314,011 With Investors Bank and
Trust, dated 06/29/07,
4.76%, due 07/02/07,
repurchase proceeds at
maturity $2,314,929
(Collateralized by
Small Business
Administration, 9.13%,
due 04/25/16, with a
value of $2,429,712)
(Cost $2,314,011)...... 2,314,011
------------
Total
Investments -- 120.9%
(Cost $201,211,944).... 223,000,065
Liabilities less other
assets -- (20.9)%...... (38,601,338)
------------
NET ASSETS -- 100.0%...... $184,398,727
============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $201,211,944.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation... $25,395,941
Gross unrealized depreciation... (3,607,820)
-----------
Net unrealized appreciation..... $21,788,121
===========
</Table>
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
165
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE COUNTRY
------ -------------- -------
COMMON STOCKS -- 98.5%
ADVERTISING -- 0.3%
154,900 Focus Media Holding,
Ltd. (ADR)*(8).... $ 7,822,450 CHN
--------------
AEROSPACE AND DEFENSE -- 0.4%
272,480 Gamesa Corporacion
Tecnologica, SA... 9,957,278 SPA
--------------
AGRICULTURE -- 0.9%
11,951,000 Chaoda Modern
Agriculture
(Holdings),
Ltd. ............. 9,231,640 CAY
83,800 Potash Corp. of
Saskatchewan,
Inc. ............. 6,533,886 CDA
26,800 Syngenta AG.......... 5,248,105 SWI
--------------
21,013,631
--------------
AIRLINES -- 1.1%
3,537,400 Qantas Airways,
Ltd. ............. 16,794,443 AUS
125,100 Ryanair Holdings PLC
(ADR)(8).......... 4,722,525 IRE
372,500 Singapore Airlines,
Ltd. ............. 4,574,882 SIN
--------------
26,091,850
--------------
APPAREL: MANUFACTURING AND RETAIL -- 0.4%
84,537 Benetton Group SpA*.. 1,480,551 ITA
645,881 Burberry Group PLC... 8,910,346 BRI
--------------
10,390,897
--------------
AUTOMOBILES/MOTOR VEHICLES, AUTOMOTIVE
EQUIPMENT AND REPAIRS -- 8.3%
127,500 Alpine Electronics,
Inc. ............. 1,956,122 JPN
648,000 Calsonic Kansei
Corp. ............ 2,668,313 JPN
135,146 Continental AG....... 19,103,471 GER
381,881 DaimlerChrysler AG... 35,451,211 GER
2,059,000 Fuji Heavy
Industries,
Ltd.(8)........... 9,866,477 JPN
10,200 Georg Fischer AG..... 7,724,110 SWI
1,726,700 GKN PLC.............. 13,808,866 BRI
848,000 Hino Motors, Ltd. ... 5,075,947 JPN
351,600 Honda Motor Company,
Ltd. ............. 12,850,355 JPN
107,616 Hyundai Motor
Company........... 8,503,510 KOR
1,442,800 Nissan Motor Company,
Ltd. ............. 15,479,706 JPN
88,800 PSA Peugeot Citroen
SA................ 7,184,741 FRA
159,100 Toyota Auto Body
Company, Ltd. .... 2,642,514 JPN
608,200 Toyota Motor Corp. .. 38,529,623 JPN
104,788 Valeo SA............. 5,646,066 FRA
51,600 Volkswagen AG........ 8,247,870 GER
--------------
194,738,902
--------------
BANKS -- 18.6%
369,060 ABN AMRO Holding NV.. 17,008,120 NET
232,400 Allied Irish Banks
PLC............... 6,356,889 IRE
192,100 Alpha Bank AE........ 6,057,947 GRC
279,900 Banco Bilbao Vizcaya
Argentaria SA..... 6,894,718 SPA
927,600 Banco Comercial
Portugues
SA -- Class R..... 5,197,605 POR
1,451,800 Banco Santander
Central Hispano
SA................ 26,900,011 SPA
2,469,900 Barclays PLC......... 34,520,250 BRI
312,600 BNP Paribas SA....... 37,384,096 FRA
266,800 Canadian Imperial
Bank of
Commerce(8)....... 24,041,429 CDA
3,178,500 China Merchants Bank
Company,
Ltd. -- Class H... 9,674,685 CHN
427,900 Commonwealth Bank of
Australia......... 20,043,243 AUS
357,700 Credit Suisse Group.. 25,579,284 SWI
183,400 Danske Bank A/S...... 7,538,266 DEN
65,500 Deutsche Bank AG..... 9,557,462 GER
83,901 Dexia................ 2,635,630 BEL
582,100 DNB NOR ASA.......... 7,521,858 NOR
89,200 ForeningsSparbanken
AB................ 3,247,573 SWE
367,000 Fortis............... 15,651,526 BEL
1,107,700 HBOS PLC............. 21,921,190 BRI
1,440,064 Intesa Sanpaolo...... 10,778,272 ITA
239,672 Julius Baer Holding,
Ltd. ............. 17,246,966 SWI
93,084 Kookmin Bank......... 8,171,362 KOR
253,800 Laurentian Bank of
Canada(8)......... 8,527,108 CDA
2,574,600 Lloyds TSB Group
PLC............... 28,745,501 BRI
231,600 National Bank of
Canada(8)......... 13,342,682 CDA
109,293 National Bank of
Greece SA......... 6,271,919 GRC
1,472,300 Nordea Bank AB....... 23,141,925 SWE
102,600 Societe Generale..... 19,097,962 FRA
396,719 Suncorp-Metway,
Ltd. ............. 6,783,945 AUS
138,300 UBS AG............... 8,333,099 SWI
--------------
438,172,523
--------------
BROADCAST SERVICES/MEDIA -- 0.7%
242,400 Rogers
Communications,
Inc. -- Class B... 10,335,422 CDA
143,800 Vivendi Universal
SA................ 6,210,519 FRA
--------------
16,545,941
--------------
</Table>
See notes to financial statements.
166
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE COUNTRY
------ -------------- -------
COMMON STOCKS (CONTINUED)
BUSINESS SERVICES AND SUPPLIES -- 0.5%
1,404,000 Marubeni Corp. ...... $ 11,574,091 JPN
--------------
CHEMICALS -- 2.8%
45,100 Akzo Nobel NV........ 3,904,156 NET
6,140 Arkema*.............. 402,961 FRA
214,142 Bayer AG............. 16,259,491 GER
56,300 Ciba Specialty
Chemicals AG...... 3,675,747 SWI
264,800 Methanex Corp.(8).... 6,572,459 CDA
1,102,800 Mitsubishi Chemical
Holdings Corp. ... 10,139,042 JPN
171,800 Nova Chemicals
Corp.(8).......... 6,141,417 CDA
597,500 Sumitomo Bakelite
Company, Ltd.(8).. 4,187,959 JPN
58,336 Wacker Chemie AG..... 13,817,101 GER
--------------
65,100,333
--------------
COMPUTER EQUIPMENT, SOFTWARE AND
SERVICES -- 0.6%
1,137,600 CGI Group,
Inc. -- Class A*.. 12,761,624 CDA
66,900 Open Text Corp.*..... 1,465,802 CDA
--------------
14,227,426
--------------
CONSTRUCTION SERVICES AND SUPPLIES -- 2.3%
353,700 Barratt Developments
PLC............... 7,052,931 BRI
8,800 Cementos Portland
Valderrivas SA.... 1,100,517 SPA
3,206,000 China Communications
Construction
Company,
Ltd. -- Class H... 5,740,229 CHN
15,600 Ciments Francais SA.. 3,600,540 FRA
139,900 Compagnie de Saint-
Gobain............ 15,785,915 FRA
644,700 George Wimpey PLC.... 6,511,949 BRI
43,500 Lafarge SA........... 7,971,685 FRA
91,000 Maeda Road
Construction
Company, Ltd. .... 807,821 JPN
910,000 Sanwa Shutter
Corp. ............ 5,277,076 JPN
--------------
53,848,663
--------------
CONSUMER GOODS AND SERVICES -- 3.2%
148,400 Canon, Inc. ......... 8,714,169 JPN
302,100 Electrolux AB --
Series B(8)....... 7,200,009 SWE
101,788 Henkel KGaA-Vorzug... 5,385,233 GER
37,770 Husqvarna AB -- Class
A................. 538,451 SWE
25,400 Husqvarna AB -- Class
B................. 362,104 SWE
3,537 Japan Tobacco,
Inc. ............. 17,465,957 JPN
188,983 Luxottica Group SPA.. 7,361,321 ITA
364,728 Reckitt Benckiser
PLC............... 20,031,421 BRI
161,234 Swatch Group AG...... 9,173,772 SWI
--------------
76,232,437
--------------
DIVERSIFIED OPERATIONS AND SERVICES -- 2.6%
189,300 BASF AG.............. 24,913,675 GER
366,113 Brambles, Ltd.*...... 3,780,558 AUS
1,538,000 China Resources
Enterprise,
Ltd. ............. 5,782,842 HNG
751,300 Mitsubishi Corp. .... 19,709,230 JPN
334,000 Sumitomo Corp. ...... 6,103,553 JPN
--------------
60,289,858
--------------
ELECTRONICS -- 2.3%
38,600 Fanuc, Ltd. ......... 3,987,752 JPN
1,512,800 Hon Hai Precision
Industry Company,
Ltd. ............. 13,072,330 TWN
130,200 Hosiden Corp. ....... 1,725,778 JPN
201,326 LG Electronics,
Inc. ............. 16,649,138 KOR
167,700 Sony Corp. .......... 8,621,653 JPN
810,100 Toshiba Tec Corp. ... 4,816,188 JPN
55,010 Yamada Denki Company,
Ltd. ............. 5,754,549 JPN
--------------
54,627,388
--------------
ENERGY SERVICES -- 1.7%
471,409 ABB, Ltd. ........... 10,728,752 SWI
306,000 Renewable Energy
Corp. AS*(8)...... 11,934,983 NOR
262,600 Vestas Wind Systems
A/S*.............. 17,384,403 DEN
--------------
40,048,138
--------------
FILTRATION SYSTEMS -- 0.2%
83,200 Alfa Laval AB........ 5,048,544 SWE
--------------
FINANCIAL SERVICES -- 5.0%
535,600 Alliance & Leicester
PLC............... 11,895,454 BRI
983,100 Bradford & Bingley
PLC*.............. 7,802,880 BRI
495,000 Daiwa Securities
Group, Inc. ...... 5,278,660 JPN
101,026 Deutsche Boerse AG... 11,451,442 GER
226,900 Hitachi Capital
Corp. ............ 3,460,858 JPN
1,638,706 Invesco PLC.......... 21,274,282 BRI
319,800 Irish Life &
Permanent PLC..... 8,089,655 IRE
1,546,189 Man Group PLC........ 18,908,854 BRI
</Table>
See notes to financial statements.
167
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE COUNTRY
------ -------------- -------
COMMON STOCKS (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
51,800 Muenchener
Rueckversicher-
ungs-Gesellschaft
AG................ $ 9,548,105 GER
255,700 Nomura Holdings,
Inc. ............. 4,984,203 JPN
132,700 Promise Company,
Ltd.(8)........... 4,095,513 JPN
38,300 Sanyo Shinpan Finance
Company, Ltd. .... 1,088,731 JPN
119,100 Sun Life Financial,
Inc.(8)........... 5,675,209 CDA
98,300 Takefuji Corp. ...... 3,305,275 JPN
--------------
116,859,121
--------------
FOOD AND BEVERAGE -- 1.6%
326,400 Asahi Breweries,
Ltd. ............. 5,065,993 JPN
262,188 Cadbury Schweppes
PLC............... 3,580,198 BRI
47,861 East Asiatic Company,
Ltd A/S DET
Ostasiatiske
Kompagni.......... 2,641,826 DEN
265,300 Katokichi Company,
Ltd. ............. 1,581,565 JPN
24,060 Nestle SA............ 9,178,845 SWI
1,537,300 Northern Foods PLC... 3,673,592 BRI
389,900 Tate & Lyle PLC...... 4,443,288 BRI
241,344 Unilever NV -- CVA... 7,532,481 NET
--------------
37,697,788
--------------
INSURANCE -- 4.1%
441,800 Aviva PLC............ 6,596,173 BRI
79,100 CNP Assurances....... 10,165,147 FRA
1,939,300 Friends Provident
PLC............... 6,978,601 BRI
516,000 ING Groep NV......... 22,899,886 NET
1,003,300 Milano Assicurazioni
SpA............... 8,378,344 ITA
1,472,000 Old Mutual PLC....... 4,992,554 BRI
5,458,900 Royal & Sun Alliance
Insurance Group
PLC............... 15,949,735 BRI
94,700 Swiss Re............. 8,675,342 SWI
36,300 Zurich Financial
Services AG....... 11,270,385 SWI
--------------
95,906,167
--------------
INTERNET SERVICES -- 0.3%
96,900 Ctrip.com
International,
Ltd. (ADR)........ 7,619,247 CAY
--------------
LEISURE AND RECREATION -- 0.7%
198,900 SANKYO, CO., LTD .... 8,384,090 JPN
255,300 TUI AG(8)............ 7,090,394 GER
--------------
15,474,484
--------------
MACHINERY -- 0.7%
318,200 Komatsu, Ltd. ....... 9,252,029 JPN
15,900 Rieter Holding AG.... 8,337,249 SWI
--------------
17,589,278
--------------
MANUFACTURING -- 2.3%
121,979 Alstom(8)............ 20,507,788 FRA
704,000 Kurabo Industries,
Ltd. ............. 1,989,783 JPN
185,235 Siemens AG........... 26,717,771 GER
1,155,936 Tomkins PLC.......... 6,035,211 BRI
--------------
55,250,553
--------------
MEDICAL EQUIPMENT, SUPPLIES, AND
SERVICES -- 1.5%
55,675 Essilor International
SA CIE Generale
D'Optique......... 6,658,974 FRA
207,265 Fresenius Medical
Care AG &
Company........... 9,574,244 GER
46,253 Phonak Holding AG-
REG............... 4,165,231 SWI
1,141,528 Smith & Nephew PLC... 14,189,351 BRI
--------------
34,587,800
--------------
METALS AND MINING -- 6.2%
93,400 Alcan, Inc.(8)....... 7,619,301 CDA
1,257,100 BlueScope Steel,
Ltd. ............. 11,020,055 AUS
191,300 Cameco Corp.
(Canada)(8)....... 9,706,562 CDA
279,200 Companhia Vale do Rio
Doce (ADR)........ 12,438,360 BRA
37,300 Norddeutsche
Affinerie AG...... 1,651,826 GER
331,500 Rautaruukki Oyj...... 21,343,168 FIN
72,828 Salzgitter AG........ 14,143,674 GER
308,300 Sims Group, Ltd. .... 6,926,484 AUS
341,100 ThyssenKrupp AG...... 20,373,135 GER
39,355 Vallourec SA
(France)(8)....... 12,688,262 FRA
165,600 voestalpine AG....... 14,008,208 AST
232,420 Xstrata PLC.......... 13,941,004 BRI
--------------
145,860,039
--------------
OFFICE EQUIPMENT, SUPPLIES, AND
SERVICES -- 0.5%
95,000 Brother Industries,
Ltd. ............. 1,397,320 JPN
315,000 Ricoh Company,
Ltd. ............. 7,291,371 JPN
3,314,500 TPV Technology,
Ltd. ............. 2,293,258 HNG
--------------
10,981,949
--------------
OIL, COAL AND GAS -- 7.8%
1,176,600 BP PLC............... 14,247,265 BRI
988,200 Cosmo Oil Company,
Ltd. ............. 5,457,673 JPN
</Table>
See notes to financial statements.
168
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE COUNTRY
------ -------------- -------
COMMON STOCKS (CONTINUED)
OIL, COAL AND GAS (CONTINUED)
134,000 EnCana Corp. ........ $ 8,241,896 CDA
635,400 Eni SpA.............. 23,133,519 ITA
2,063,000 Nippon Oil Corp. .... 19,201,608 JPN
227,500 Norsk Hydro ASA...... 8,796,073 NOR
287,000 Repsol YPF SA........ 11,361,874 SPA
1,290,100 Royal Dutch Shell
PLC -- Class B.... 53,963,236 BRI
474,400 Showa Shell Sekiyu
KK(8)............. 5,891,229 JPN
147,200 Suncor Energy,
Inc. ............. 13,260,091 CDA
245,600 Total SA............. 20,030,865 FRA
--------------
183,585,329
--------------
PAPER AND FOREST PRODUCTS -- 0.3%
1,263,000 Oji Paper Company,
Ltd. ............. 6,144,463 JPN
--------------
PHARMACEUTICALS/RESEARCH AND
DEVELOPMENT -- 2.5%
310,500 AstraZeneca PLC...... 16,728,909 BRI
338,900 Biovail Corp.(8)..... 8,637,536 CDA
953,600 Elan Corp. PLC
(ADR)*(8)......... 20,912,447 IRE
285,300 GlaxoSmithKline PLC.. 7,476,488 BRI
476,000 Tanabe Seiyaku
Company, Ltd. .... 5,675,273 JPN
--------------
59,430,653
--------------
PRINTING AND PUBLISHING -- 0.5%
505,300 Quebecor World,
Inc. ............. 6,180,764 CDA
439,000 Toppan Printing
Company, Ltd. .... 4,724,264 JPN
--------------
10,905,028
--------------
RETAIL -- 2.1%
389,193 Bulgari SPA.......... 6,273,631 ITA
1,010,434 Carphone Warehouse
PLC............... 6,700,946 BRI
1,912,500 Dixons Group PLC..... 6,094,860 BRI
590,900 JJB Sports PLC....... 3,037,661 BRI
500,392 KarstadtQuelle AG*... 16,944,933 GER
38,230 PPR.................. 6,703,745 FRA
10,300 Valora Holding AG.... 2,698,322 SWI
--------------
48,454,098
--------------
RETAIL: RESTAURANTS -- 0.1%
112,200 Plenus Company,
Ltd.(8)........... 2,045,799 JPN
--------------
RETAIL: SUPERMARKETS -- 0.6%
1,577,532 Tesco PLC............ 13,257,419 BRI
--------------
SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.2%
99,500 Advantest Corp. ..... 4,339,614 JPN
--------------
SEMICONDUCTORS -- 2.3%
3,275,555 ARM Holdings PLC..... 9,636,246 BRI
613,458 ASML Holding NV*..... 17,020,837 NET
153,700 Elpida Memory,
Inc.*(8).......... 6,778,404 JPN
781,026 Infineon Technologies
AG*............... 13,012,650 GER
14,070 Samsung Electronics
Company, Ltd. .... 8,620,036 KOR
--------------
55,068,173
--------------
TELECOMMUNICATIONS EQUIPMENT AND
SERVICES -- 7.3%
133,100 America Movil SA de
CV -- Series L
(ADR)............. 8,242,883 MEX
3,618,235 BT Group PLC......... 24,158,711 BRI
2,945,230 Cable & Wireless
PLC............... 11,503,345 BRI
277,800 Deutsche Telekom AG.. 5,147,281 GER
159,600 Elcoteq Network
Corp. -- Class
A(8).............. 1,350,066 FIN
97,600 Millicom
International
Cellular SA
(Luxembourg)*(8).. 8,944,064 LUX
1,588,500 MobileOne, Ltd. ..... 2,282,999 SIN
3,200 Nippon Telegraph and
Telephone
Corp.(8).......... 14,216,447 JPN
1,061,619 Nokia Oyj............ 29,900,811 FIN
9,500 NTT DoCoMo, Inc. .... 15,045,685 JPN
88,600 Research In Motion,
Ltd.*............. 17,719,114 CDA
26,200 Swisscom AG.......... 8,981,785 SWI
2,376,000 Telefonaktiebolaget
LM
Ericsson -- Class
B................. 9,539,853 SWE
244,400 Telefonica SA........ 5,471,154 SPA
1,646,500 Vodafone Group PLC... 5,548,033 BRI
395,600 VTech Holdings,
Ltd. ............. 3,339,165 BER
--------------
171,391,396
--------------
TOYS -- 0.3%
17,900 Nintendo Company,
Ltd. ............. 6,556,670 JPN
--------------
TRANSPORTATION -- 1.4%
636,000 Mitsui OSK Lines,
Ltd. ............. 8,647,017 JPN
2,535,000 Neptune Orient Lines,
Ltd. ............. 8,777,070 SIN
1,367,100 Orient Overseas
International,
Ltd. ............. 13,357,689 BER
442,684 Transurban Group..... 3,006,213 AUS
--------------
33,787,989
--------------
</Table>
See notes to financial statements.
169
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE COUNTRY
------ -------------- -------
COMMON STOCKS (CONTINUED)
UTILITIES -- 3.3%
95,900 ATCO, Ltd. -- Class
I................. $ 5,029,742 CDA
1,130,300 Energias de Portugal
SA................ 6,256,901 POR
314,200 Hokkaido Electric
Power Company,
Inc. ............. 6,826,274 JPN
151,503 Iberdrola SA......... 8,515,799 SPA
248,000 Kyushu Electric Power
Company, Inc. .... 6,505,909 JPN
604,300 The Kansai Electric
Power Company,
Inc. ............. 14,306,879 JPN
393,571 Veolia Environment... 30,911,352 FRA
--------------
78,352,856
--------------
TOTAL COMMON STOCKS
(Cost
$1,737,618,053)... 2,316,876,263
--------------
RIGHTS -- 0.0%
AUTOMOBILES/MOTOR
VEHICLES,
AUTOMOTIVE
EQUIPMENT AND
REPAIRS
390,900 TI Automotive,
Ltd. -- Class
A*(14)(27)
(Cost $0)......... -- BRI
--------------
<Caption>
PRINCIPAL
---------
SECURITIES LENDING COLLATERAL -- 8.3%
$196,242,413 Securities Lending
Collateral
Investment (Note 4)
(Cost
$196,242,413)..... 196,242,413 USA
--------------
TOTAL SECURITIES
(Cost
$1,933,860,466)... 2,513,118,676
--------------
<Caption>
Principal Value Country
- --------- -------------- -------
REPURCHASE AGREEMENTS -- 0.8%
18,259,432 With Investors Bank
and Trust, dated
06/29/07, 4.76%,
due 07/02/07,
repurchase
proceeds at
maturity
$18,266,675
(Collateralized by
Fannie Mae
Adjustable Rate
Mortgage, 4.40%,
due 12/01/33, with
a value of
$6,758,504,
Freddie Mac,
5.82%, due
01/15/33, with a
value of
$9,667,831, and
Small Business
Administration,
8.63%, due
03/25/23, with a
value of
$2,746,068) (Cost
$18,259,432)...... 18,259,432 USA
--------------
Total
Investments -- 107.6%
(Cost
$1,952,119,898)... 2,531,378,108
Liabilities less
other
assets -- (7.6)%.. (179,032,178)
--------------
NET
ASSETS -- 100.0%.. $2,352,345,930
==============
</Table>
The aggregate cost of securities for federal income tax purposes at June 30,
2007 is $1,952,119,898.
The following amounts are based on cost for federal income tax purposes:
<Table>
Gross unrealized appreciation.. $605,172,638
Gross unrealized depreciation.. (25,914,428)
------------
Net unrealized appreciation.... $579,258,210
============
</Table>
- --------
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
170
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
PERCENT OF TOTAL
COUNTRY COMPOSITION INVESTMENTS AT VALUE
- ------------------- --------------------
Australia (AUS)................................................. 2.70%
Austria (AST)................................................... 0.55%
Belgium (BEL)................................................... 0.72%
Bermuda (BER)................................................... 0.75%
Brazil (BRA).................................................... 0.49%
Canada (CDA).................................................... 6.79%
Cayman Islands (CAY)............................................ 0.97%
Denmark (DEN)................................................... 1.09%
Finland (FIN)................................................... 2.08%
France (FRA).................................................... 8.33%
Germany (GER)................................................... 10.60%
Greece(GRC)..................................................... 0.49%
Hong Kong (HNG)................................................. 0.23%
Ireland (IRE)................................................... 1.58%
Italy (ITA)..................................................... 2.27%
Japan (JPN)..................................................... 15.31%
Luxembourg (LUX)................................................ 0.35%
Mexico (MEX).................................................... 0.33%
Norway (NOR).................................................... 1.12%
Portugal (POR).................................................. 0.45%
China (CHN)..................................................... 0.61%
Singapore (SIN)................................................. 0.62%
South Korea (KOR)............................................... 1.66%
Spain (SPA)..................................................... 2.77%
Sweden (SWE).................................................... 1.94%
Switzerland (SWI)............................................... 6.12%
Taiwan (TWN).................................................... 0.52%
The Netherlands (NET)........................................... 2.70%
United Kingdom (BRI)............................................ 17.39%
United States (USA)............................................. 8.47%
------
TOTAL PERCENTAGE................................................ 100.00%
======
</Table>
See notes to financial statements.
171
DIVERSIFIED INVESTORS PORTFOLIOS
PORTFOLIO OF INVESTMENTS
SUMMARY OF FOOTNOTES AND ABBREVIATIONS TO PORTFOLIOS
JUNE 30, 2007
(UNAUDITED)
<Table>
<Caption>
Footnotes:
- ----------
* Non-income producing security.
144A All or a portion of this security
is a 144A or private placement
security and can only be sold to
qualified institutional buyers.
Unless otherwise indicated, these
securities have been determined
to be liquid under procedures
established by the Board of
Trustees.
</Table>
<Table>
1) Variable rate security. The rate
shown was in effect at June 30, 2007.
2) Quarterly reset provision. The rate
shown was in effect at June 30, 2007.
3) Monthly reset provision. The rate
shown was in effect at June 30, 2007.
4) Security is segregated as collateral
for written options.
5) Security is segregated as initial
margin for futures contracts.
6) Security is segregated as collateral
for swap contracts.
7) Represents a zero coupon bond which
will convert to an interest bearing
security at a later date.
8) All or part of this security is on
loan.
9) Bond is in default.
10) Variable rate security. Interest rate
is based on the credit rating of the
issuer. The rate shown was in effect
at June 30, 2007.
11) Floating rate security. The interest
rate is subject to change semi-
annually based on the London
Interbank Offered Rate ("LIBOR"). The
rate shown was in effect at June 30,
2007.
12) PIK ("Payment-In-Kind") bond. These
bonds pay interest in the form of
additional bonds.
13) Security was in bankruptcy
reorganization at the time of
maturity. Recovery will be determined
at the conclusion of the bankruptcy.
14) Fair valued at June 30, 2007.
Following are the market values (as
determined by fair valuation) and the
corresponding percentage of Portfolio
net assets of all fair valued
securities at June 30, 2007.
</Table>
<Table>
<Caption>
SERIES MARKET VALUE PERCENTAGE
- ------ ------------ ----------
High Yield Bond $3,576,538 0.64%
</Table>
<Table>
15) Principal amount for this security is
denominated in Australian Dollars.
16) Principal amount for this security is
denominated in British Pounds.
17) Principal amount for this security is
denominated in Canadian Dollars.
18) Principal amount for this security is
denominated in Danish Krone.
19) Principal amount for this security is
denominated in Euros.
20) Principal amount for this security is
denominated in Hong Kong Dollars.
21) Principal amount for this security is
denominated in Japanese Yen.
22) Principal amount for this security is
denominated in Mexican Pesos.
23) Principal amount for this security is
denominated in New Zealand Dollars.
24) Principal amount for this security is
denominated in Swedish Krona.
25) Principal amount for this security is
denominated in Swiss Francs.
26) Principal amount for this security is
denominated in Taiwan Dollars.
27) Illiquid security. Refer to Note 2M.
</Table>
<Table>
<Caption>
Abbreviations:
- --------------
ADR American Depository Receipt.
FDR Foreign Depository Receipt.
GDR Global Depository Receipt.
IO Interest Only represents the right
to receive the monthly interest
payment on an underlying pool of
mortgage loans. The face amount
shown represents the par value on
the underlying pool. The yields on
these securities generally exceed
yields on other mortgage-backed
securities because their cash flow
patterns are more volatile and there
is a greater risk that the initial
investment will not be fully
recouped. These securities are
subject to accelerated principal
paydowns as a result of prepayment
or refinancing of the underlying
pool of mortgage instruments. As a
result, interest income may be
reduced considerably.
TBA To be announced. Securities are
purchased on a forward commitment
basis with approximate principal
amount and general stated maturity
date. The actual principal amount
and maturity date will be determined
upon settlement when the specific
mortgage pools are assigned.
______________
</Table>
- Securities issued by companies registered outside the United States are
denoted with their domestic country in parenthesis.
- Fixed income securities designated as "perpetual" are securities that
make (or are scheduled to make) a steady payment of interest. They do not
have a maturity date, and the interest payments are indefinite.
- Footnotes and abbreviations may or may not appear in each portfolio of
investments.
See notes to financial statements.
172
DIVERSIFIED INVESTORS PORTFOLIOS
PORTFOLIO COMPOSITION
JUNE 30, 2007
(UNAUDITED)
The following charts summarize the portfolio composition of each Series by asset
type.
<Table>
MONEY MARKET SERIES
Commercial Paper.................... 37.0%
Yankee Certificates of Deposit...... 23.4
Short Term Corporate Notes.......... 23.2
Repurchase Agreements/Cash
Equivalents....................... 15.2
Time Deposit........................ 0.8
Other assets less liabilities....... 0.4
-----
100.0%
=====
HIGH QUALITY BOND SERIES
Corporate Bonds and Notes........... 76.7%
US Government Agency Securities..... 16.5
US Treasury Securities.............. 2.6
Short Term US Government Agency
Securities........................ 2.1
Repurchase Agreements/Cash
Equivalents....................... 1.9
Securities Lending Collateral....... 1.5
Municipal Bonds..................... 0.7
Foreign Government Obligations...... 0.5
Liabilities less other assets....... (2.5)
-----
100.0%
=====
INFLATION-PROTECTED SECURITIES
SERIES(1)
US Treasury Securities.............. 91.7%
Short Term US Government Agency
Securities........................ 4.3
US Government Agency Securities..... 2.3
Repurchase Agreements/Cash
Equivalents....................... 2.0
Corporate Bonds and Notes........... 1.1
Liabilities less other assets....... (1.4)
-----
100.0%
=====
CORE BOND SERIES
US Government Agency Securities..... 57.1%
Corporate Bonds and Notes........... 48.5
US Treasury Securities.............. 3.9
Short Term US Government Agency
Securities........................ 3.2
Foreign Government Obligations...... 1.6
Repurchase Agreements/Cash
Equivalents....................... 1.0
Securities Lending Collateral....... 0.3
Call Options Written................ (0.0)*
Put Options Written................. (0.0)*
Securities Sold Short............... (18.5)
Other assets less liabilities....... 2.9
-----
100.0%
=====
TOTAL RETURN BOND SERIES
Corporate Bonds and Notes........... 49.7%
US Government Agency Securities..... 47.0
Repurchase Agreement/Cash
Equivalents....................... 25.3
US Treasury Securities.............. 16.4
Securities Lending Collateral....... 10.4
Foreign Government Obligations...... 0.7
Municipal Bonds..................... 0.2
Convertible Bonds................... 0.0*
Purchased Call Options.............. 0.0*
Call Options Written................ (0.0)*
Put Options Written................. (0.0)*
Liabilities less other assets....... (49.7)
-----
100.0%
=====
HIGH YIELD BOND SERIES
Corporate Bonds and Notes........... 80.9%
Loan Participations................. 9.7
Repurchase Agreements/Cash
Equivalents....................... 5.7
Convertible Preferred Stocks........ 0.9
Common Stocks....................... 0.7
Preferred Stocks.................... 0.5
Convertible Bonds................... 0.3
Warrants............................ 0.1
Other assets less liabilities....... 1.2
-----
100.0%
=====
BALANCED SERIES
Common Stocks....................... 61.3%
Corporate Bonds and Notes........... 21.8
US Government Agency Securities..... 19.4
Repurchase Agreements/Cash
Equivalents....................... 3.8
Securities Lending Collateral....... 3.2
US Treasury Securities.............. 2.1
Foreign Government Obligations...... 0.5
Municipal Bonds..................... 0.4
Convertible Bonds................... 0.0*
Purchased Call Options.............. 0.0*
Call Options Written................ (0.0)*
Put Options Written................. (0.0)*
Liabilities less other assets....... (12.5)
-----
100.0%
=====
</Table>
See notes to financial statements.
173
DIVERSIFIED INVESTORS PORTFOLIOS
PORTFOLIO COMPOSITION (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
<Table>
VALUE & INCOME SERIES
Common Stocks....................... 98.8%
Securities Lending Collateral....... 6.6
Repurchase Agreements/Cash
Equivalents....................... 1.4
Liabilities less other assets....... (6.8)
-----
100.0%
=====
VALUE SERIES
Common Stocks....................... 94.7%
Securities Lending Collateral....... 10.8
Repurchase Agreements/Cash
Equivalents....................... 4.1
Liabilities less other assets....... (9.6)
-----
100.0%
=====
GROWTH & INCOME SERIES
Common Stocks....................... 99.2%
Securities Lending Collateral....... 4.4
Repurchase Agreements/Cash
Equivalents....................... 0.6
Liabilities less other assets....... (4.2)
-----
100.0%
=====
EQUITY GROWTH SERIES
Common Stocks....................... 98.8%
Securities Lending Collateral....... 1.6
Repurchase Agreements/Cash
Equivalents....................... 0.1
Liabilities less other assets....... (0.5)
-----
100.0%
=====
AGGRESSIVE EQUITY SERIES
Common Stocks....................... 99.1%
Securities Lending Collateral....... 19.0
Repurchase Agreements/Cash
Equivalents....................... 0.9
Liabilities less other assets....... (19.0)
-----
100.0%
=====
MID-CAP VALUE SERIES
Common Stocks....................... 97.1%
Securities Lending Collateral....... 16.1
Repurchase Agreements/Cash
Equivalents....................... 2.2
Short Term Commercial Paper......... 0.3
Convertible Bonds................... 0.0*
Liabilities less other assets....... (15.7)
-----
100.0%
=====
MID-CAP GROWTH SERIES
Common Stocks....................... 98.5%
Securities Lending Collateral....... 22.7
Repurchase Agreements/Cash
Equivalents....................... 2.3
Liabilities less other assets....... (23.5)
-----
100.0%
=====
SMALL-CAP VALUE SERIES
Common Stocks....................... 98.8%
Securities Lending Collateral....... 18.1
Repurchase Agreements/Cash
Equivalents....................... 0.7
Liabilities less other assets....... (17.6)
-----
100.0%
=====
SPECIAL EQUITY SERIES
Common Stocks....................... 98.1%
Securities Lending Collateral....... 24.2
Repurchase Agreements/Cash
Equivalents....................... 1.8
Short Term US Treasury Securities... 0.1
Liabilities less other assets....... (24.2)
-----
100.0%
=====
SMALL-CAP GROWTH SERIES
Common Stocks....................... 98.2%
Securities Lending Collateral....... 21.4
Repurchase Agreements/Cash
Equivalents....................... 1.3
Liabilities less other assets....... (20.9)
-----
100.0%
=====
INTERNATIONAL EQUITY SERIES
Common Stocks....................... 98.5%
Securities Lending Collateral....... 8.3
Repurchase Agreements/Cash
Equivalents....................... 0.8
Rights.............................. 0.0*
Liabilities less other assets....... (7.6)
-----
100.0%
=====
</Table>
- --------
(1) Formerly, Intermediate Government Bond Series.
* Amount rounds to less than 0.05%.
See notes to financial statements.
174
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 eighteen different series that are, in effect, separate investment
funds: the Money Market Portfolio, the High Quality Bond Portfolio, the
Inflation-Protected Securities Portfolio (formerly, the Intermediate Government
Bond Portfolio), the Core Bond Portfolio, the Total Return Bond Portfolio, the
High Yield Bond Portfolio, the Balanced Portfolio, the Value & Income Portfolio,
the Value Portfolio, the Growth & Income Portfolio, the Equity Growth Portfolio,
the Aggressive Equity 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, and the International Equity Portfolio (each a
"Series"). The Inflation-Protected Securities Portfolio changed its name from
the Intermediate Government Bond Portfolio on May 1, 2007. 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).
The investment objectives of each Series are as follows:
Money Market -- The Series' goal is to provide liquidity and as high a level of
income as is consistent with the preservation of capital.
High Quality Bond -- The Series' goal is to provide a high risk-adjusted return
while focusing on the preservation of capital.
Inflation-Protected Securities -- The Series' goal is to seek maximum real
return consistent with the preservation of capital. Prior to May 1, 2007, the
investment objective of the Intermediate Government Bond Portfolio was to
provide as high a level of current income as is consistent with the preservation
of capital.
Core Bond -- The Series' goal is to achieve maximum total return.
Total Return Bond -- The Series' goal is to maximize long-term total return.
High Yield Bond -- The Series' goal is to provide a high level of current
income.
Balanced -- The Series' goal is to provide a high total investment return
through investment in a broadly diversified portfolio of stocks, bonds and money
market instruments.
Value & Income -- The Series' goal is to provide a high level of current income
through investment in a broadly diversified portfolio of common stocks with
relatively high current yield. Capital appreciation is a secondary goal.
Value -- The Series' goal is to provide capital appreciation. Dividend income is
a secondary goal.
Growth & Income -- The Series' goal is to provide capital appreciation and
current income.
Equity Growth -- The Series' goal is to provide a high level of capital
appreciation through investment in a diversified portfolio of common stocks with
a potential for above-average growth in earnings. Current income is a secondary
goal.
Aggressive Equity -- The Series' goal is to provide a high level of capital
appreciation primarily through investing in a diversified portfolio of common
stocks.
Mid-Cap Value -- The Series' goal is to provide a high total investment return
through investments primarily in a diversified portfolio of common stocks.
Mid-Cap Growth -- The Series' goal is to provide a high total investment return
through investments primarily in a diversified portfolio of common stocks.
175
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
1. ORGANIZATION AND BUSINESS (CONTINUED)
Small-Cap Value -- The Series' goal is to provide a high total investment return
through investments primarily in a diversified portfolio of common stocks.
Special Equity -- The Series' goal is to provide a high level of capital
appreciation through investment in a diversified portfolio of common stocks of
small to medium size companies.
Small-Cap Growth -- The Series' goal is to provide a high total investment
return through investments primarily in a diversified portfolio of common
stocks.
International Equity -- The Series' goal is to provide a high level of long-term
capital appreciation through investment in a diversified portfolio of securities
of foreign issuers.
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 market 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 last quoted bid price for securities in which there were no sales
during the day or for unlisted securities. Portfolio securities listed on the
NASDAQ National Market and NASDAQ Small Cap Market for which reliable market
quotations are available are valued at the official closing price or, if there
is no official closing price on that day, at the last sale price. 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. When valuations are not readily available,
securities will be valued at their fair value as determined by the Board of
Trustees. Unlisted securities are valued at the last sales price provided by an
independent pricing agent or the principal market maker.
Trading in securities on most foreign exchanges and over-the counter markets is
normally completed before the close of the domestic market and may also take
place on days when the domestic market is closed. 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 calculation of net asset value when the investment advisor
deems that the particular event or circumstance would materially affect its
asset value. In accordance with procedures adopted by the Board of Trustees, the
International Equity Series applies fair value pricing on a daily basis for all
non-US and non-Canadian equity securities held in its portfolio by utilizing the
quotations of an independent pricing service, unless the Series' investment
advisor determines that use of another valuation methodology is appropriate. The
pricing service uses statistical analyses and quantitative models to adjust
local market prices using factors such as subsequent movement and changes in the
prices of indices, securities and exchange rates in other markets, in
determining fair value each day.
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
176
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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 US dollars. The market
values of foreign securities, currency holdings and other assets and liabilities
denominated in a foreign currency are translated to US dollars based on the
prevailing exchange rates each business day. Income, expenses, purchases, and
sales of investment securities denominated in foreign currencies are translated
at prevailing exchange rates when accrued or incurred.
Each 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 and spot
contracts, and the difference between the amount of investment income receivable
and foreign withholding taxes payable recorded on each Series' books and the US
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
and spot contracts, resulting from changes in the prevailing exchange rates.
D. FOREIGN CURRENCY FORWARD, SPOT, AND CROSS CURRENCY CONTRACTS:
Each Series, with the exception of the Money Market Series, may enter into
foreign currency forward contracts, spot, and cross currency contracts in
connection with settling planned purchases or sales of securities or to hedge
the currency exposure associated with those series that participate in such
contracts. 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. A spot
contract is also an agreement to buy and sell a currency, but will settle within
a week or less from the date it is entered into. The market value of a foreign
currency forward, spot, or cross currency contract fluctuates with changes in
forward currency exchange rates. Foreign currency forward, spot, and cross
currency 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, spot, or cross currency contract is extinguished,
through delivery or by entering into another offsetting foreign currency
forward, spot, or cross currency 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 US dollar.
As of June 30, 2007, the Inflation-Protected Securities Series, Core Bond
Series, Total Return Bond Series, Balanced Series, Equity Growth Series, and
International Equity Series each had outstanding foreign currency forward
contracts as listed in Note 10.
E. WRITTEN OPTIONS:
Each Series, with the exception of the Money Market Series, may write or
purchase options for the purpose of either hedging its exposure to the market
fluctuations of the portfolio, or an individual security position. When a Series
writes an option, an amount equal to the premium received by the Series is
recorded as an asset and corresponding liability. The amount of the liability is
adjusted daily to reflect the current market value of the written option and the
change is recorded in a corresponding unrealized gain or loss account. These
options are
177
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
settled for cash and subject the Series to unknown risk of loss. The Series,
however, are not subject to credit risk on written options, as the counterparty
has already performed its obligation by paying the premium at the inception of
the contract. When a written option expires on its stipulated expiration date,
or when a closing transaction is entered into, the related liability is
extinguished and the Series realizes a gain or loss contingent on whether the
cost of the closing transaction exceeds the premium received when the option was
written.
Transactions in options written for the period ended June 30, 2007 were as
follows:
<Table>
<Caption>
CORE BOND TOTAL RETURN BOND BALANCED
--------------------- -------------------- --------------------
NUMBER OF NUMBER OF NUMBER OF
CONTRACTS PREMIUMS CONTRACTS PREMIUMS CONTRACTS PREMIUMS
---------- -------- --------- -------- --------- --------
Written call options outstanding
at December 31, 2006........... 34,200,000 $229,140 26 $ 6,964 42 $ 11,337
Call options written............. -- -- 233 69,116 142 40,571
Call options terminated in
closing purchase transactions.. -- -- (86) (20,445) (93) (22,847)
Call options expire.............. -- -- -- -- -- --
---------- -------- ---- -------- ---- --------
Written call options outstanding
at June 30, 2007............... 34,200,000 $229,140 173 $ 55,635 91 $ 29,061
========== ======== ==== ======== ==== ========
Written put options outstanding
at December 31, 2006........... 34,200,000 $372,780 51 $ 15,432 82 $ 24,809
Put options written.............. -- -- 233 69,554 142 40,462
Put options terminated in closing
purchase transactions.......... -- -- (111) (25,820) (133) (33,679)
Put options expired.............. -- -- -- -- -- --
---------- -------- ---- -------- ---- --------
Written put options outstanding
at June 30, 2007............... 34,200,000 $372,780 173 $ 59,166 91 $ 31,592
========== ======== ==== ======== ==== ========
</Table>
F. FUTURES CONTRACTS:
Each Series, with the exception of the Money Market Series, may enter into
futures contracts for the purpose of hedging its existing portfolio securities,
or securities that the Series intends to purchase, against fluctuations in
market value caused by changes in prevailing market or interest rates. 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 market 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 losses reflected in the Series' Statement of Assets and Liabilities.
178
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
Use of long futures contracts subjects the Series to risk of loss in excess of
amounts shown on the Statement of Assets and Liabilities up to the notional
value of the futures contracts. Use of short futures contracts subjects the
Series to unlimited risk of loss. The Series may enter into futures contracts on
exchanges or boards of trade. In that case, the exchange or board of trade acts
as the counterparty to each futures transaction; therefore, the Series' credit
risk is limited to failure of the exchange or board of trade.
Open futures contracts as of June 30, 2007:
<Table>
<Caption>
VALUE AS OF NET UNREALIZED
NUMBER OF JUNE 30, APPRECIATION/
SERIES CONTRACTS DESCRIPTION EXPIRATION DATE 2007 (DEPRECIATION)
- ------ ----------- ------------------------------- --------------- ------------ --------------
Inflation-Protected
Securities........... 20 Long Euro Bund Future September 2007 $ 2,997,892 $ (4,158)
26 Long US Long Bond Future September 2007 2,801,500 41,571
51 Long US Treasury Note 5 Year Future September 2007 5,307,984 (28,764)
23 Long US Treasury Note 10 Year Future September 2007 2,431,172 31,939
191 Short 90 Day Euro Future June 2008 45,278,938 (88,351)
72 Short US Treasury Note 2 Year Future September 2007 14,672,250 (30,524)
-----------
$ (78,287)
===========
Core Bond.............. 272 Long Euro Bund Future September 2007 $ 40,476,113 $ (464,648)
1,498 Long US Long Bond Future September 2007 161,409,500 (594,522)
1,443 Long US Treasury Note 10 Year Future September 2007 152,529,609 (855,418)
416 Short US Treasury Note 2 Year Future September 2007 84,773,000 (190,595)
1,900 Short US Treasury Note 5 Year Future September 2007 197,748,438 (1,227,861)
-----------
$(3,333,044)
===========
Total Return Bond...... 6 Long 90 Day Euro Future September 2007 $ 1,420,050 $ (3,755)
10 Long 90 Day Euro Future December 2007 2,367,875 (6,050)
32 Long 90 Day Euro Future June 2008 7,586,000 8,640
110 Long 90 Day Sterling Future June 2008 25,863,575 (90,496)
45 Long US Long Bond Future September 2007 4,848,750 (67,381)
204 Long US Treasury Note 5 Year Future September 2007 20,919,703 (21,129)
170 Long US Treasury Note 10 Year Future September 2007 17,969,531 180,806
20 Short US Treasury Note 2 Year Future September 2007 4,075,625 (7,913)
-----------
$ (7,278)
===========
</Table>
179
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
<Table>
<Caption>
VALUE AS OF NET UNREALIZED
NUMBER OF JUNE 30, APPRECIATION/
SERIES CONTRACTS DESCRIPTION EXPIRATION DATE 2007 (DEPRECIATION)
- ------ ----------- ------------------------------- --------------- ------------ --------------
Balanced............... 5 Long 90 Day Euro Future September 2007 $ 1,183,375 $ (2,738)
7 Long 90 Day Euro Future December 2007 1,657,513 (4,235)
18 Long 90 Day Euro Future June 2008 4,267,125 4,860
128 Long 90 Day Sterling Future June 2008 30,095,796 (105,309)
21 Long S&P 500 Future September 2007 1,591,275 5,915
12 Long US Long Bond Future September 2007 1,293,000 (17,880)
46 Long US Treasury Note 2 Year Future September 2007 9,373,938 (20,168)
70 Long US Treasury Note 10 Year Future September 2007 7,399,219 70,997
62 Short US Treasury Note 5 Year Future September 2007 6,452,844 (12,402)
-----------
$ (80,960)
===========
Growth & Income........ 30 Long S&P 500 Future September 2007 $ 2,273,250 $ (9,541)
===========
Special Equity......... 20 Long Russell 2000 Future September 2007 $ 8,421,000 $ (49,675)
===========
</Table>
The Inflation-Protected Securities Series, Core Bond Series and Special Equity
Series have segregated securities as collateral for their respective open
futures contracts. The segregated securities are identified within each Series'
portfolio of investments. The Total Return Bond Series has segregated $1,179,225
of cash, the Balanced Series has segregated $1,087,086 of cash and has
restricted cash of $82,700 as collateral for their respective open futures
contracts. The Growth & Income Series has restricted cash of $91,100 as
collateral for open futures contracts.
G. SWAPS:
The Series, with the exception of the Money Market Series, may engage in various
swap transactions, including interest rate, currency exchange rate, equity index
and total return swaps, for hedging purposes, or as alternatives to direct
investments. Unrealized gains are reported as an asset and unrealized losses are
reported as a liability on the Statement of Assets and Liabilities. The change
in value of swaps, including accruals of periodic amounts of interest to be paid
or received on swaps, is reported as unrealized gains or losses in the Statement
of Operations. A realized gain or loss is recorded upon payment or receipt of a
periodic payment or termination of the swap agreements. Swap agreements are
stated at fair value. Notional principal amounts are used to express the extent
of involvement in these transactions, but the amounts potentially subject to
credit risk are much smaller.
180
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
Outstanding swap agreements as of June 30, 2007:
CORE BOND SERIES
INTEREST RATE SWAPS:
<Table>
<Caption>
PAYMENTS MADE BY PAYMENTS RECEIVED NOTIONAL AMOUNT VALUE
SWAP COUNTERPARTY THE SERIES BY THE SERIES TERMINATION DATE (USD) (USD)
- ----------------- ----------------- ----------------- ---------------- --------------- ---------
Citibank, NA............... 3 month LIBOR 5.26% semi-annual 06/05/17 $ 17,800,000 $(184,052)
Citigroup Global Markets... 3 month LIBOR 5.18% semi-annual 09/18/10 100,000,000 570,000
Citigroup Global Markets... 3 month LIBOR 5.16% semi-annual 11/07/10 66,900,000 (564,636)
Citigroup Global Markets... 3 month LIBOR 4.95% semi-annual 12/12/11 23,600,000 (485,688)
Goldman Sachs Global
Markets.................. 5.07% semi-annual 3 month LIBOR 04/30/09 63,300,000 334,224
Goldman Sachs Global
Markets.................. 3 month LIBOR 5.41% semi-annual 04/30/27 8,300,000 (382,049)
Wachovia Securities........ 3 month LIBOR 5.20% semi-annual 09/07/11 100,000,000 353,000
---------
$(359,201)
=========
</Table>
TOTAL RETURN SWAPS:
<Table>
<Caption>
PAYMENTS PAYMENTS
SWAP REFERENCED MADE BY THE RECEIVED BY TERMINATION NOTIONAL AMOUNT VALUE
COUNTERPARTY OBLIGATION SERIES THE SERIES DATE (USD) (USD)
- ------------ -------------------- ------------- -------------------- ----------- --------------- -------
Wachovia Lehman 5.82% monthly Lehman 10/01/07 $50,000,000 $22,500
Securities.. Collateralized Collateralized
Mortgage-Backed Mortgage-Backed -------
Securities US Securities US -------
Investment-Grade Investment-Grade
8.5+ Index 8.5+ Index + 20bps.
</Table>
H. SHORT SALES:
Each Series, with the exception of the Money Market Series, may sell securities
short. A short sale is a transaction in which a 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. 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 cannot exceed the total amount invested.
I. 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 sells mortgage-backed
securities for delivery in the current month and simultaneously contracts 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 maintains liquid securities having a value not less than
the repurchase price (including accrued interest) for such dollar rolls. The
market value of the securities that the Series is required to purchase may
decline below the agreed upon repurchase price of those securities.
181
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
J. 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.
Each Series may be subject to foreign taxes on income, gains on investments or
currency repatriation, a portion of which may be recoverable. Each Series will
accrue such taxes and recoveries as applicable, based upon their current
interpretation of tax rules and regulations that exist in the markets in which
they invest.
K. 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 less foreign taxes withheld,
if any, 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.
Purchases of TBA, when-issued or delayed delivery securities may be settled a
month or more after the trade date. Interest income is not accrued until
settlement date.
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.
L. 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 all Series based on their relative net assets, or another methodology that
is appropriate based on the circumstances.
M. RESTRICTED AND ILLIQUID SECURITIES:
Each Series is permitted to invest in securities that are subject to legal or
contractual restrictions on resale or are illiquid. Restricted securities
generally may be resold in transactions exempt from registration. A security may
be considered illiquid if it lacks a readily available market or if its
valuation has not changed for a certain period of time. Disposal of these
securities may involve time-consuming negotiations and expense, and prompt sale
at the current valuation may be difficult.
N. OTHER:
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities 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.
O. IN-KIND REDEMPTION:
During the fiscal year ended December 31, 2006, the Special Equity Series
delivered securities (redemption in-kind) in exchange for the redemption of
units. The source of the redemption in-kind was three contractholders who were
invested in an insurance company separate account established by MONY Life
Insurance Company ("Separate Account"). The Separate Account invested all its
assets in the Special Equity Series. Collectively, the value of the
contractholders' accounts represented 5.91% of the Special Equity Series at the
time of the
182
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
redemption. The financial statements of the Separate Account are not included in
these financial statements. Cash and securities were transferred as detailed
below:
<Table>
<Caption>
TOTAL VALUE OF CASH
DATE AND SECURITIES TRANSFERRED GAIN ON TRANSFER
- ---- -------------------------- ----------------
March 7, 2006................................ $80,105,926 $14,871,899
</Table>
P. RECENT ACCOUNTING PRONOUNCEMENTS:
In July 2006, the Financial Accounting Standards Board ("FASB") released FASB
Interpretation No. 48, Accounting for Uncertainty in Income Taxes ("FIN 48"), an
interpretation of FASB Statement No. 109. FIN 48 provides guidance for how
uncertain tax positions should be recognized, measured, presented and disclosed
in the financial statements. FIN 48 requires the accounting and disclosure of
tax positions taken or expected to be taken in the course of preparing each
Series' tax return to determine whether the tax positions are "more likely than
not" of being sustained by the applicable tax authority. Tax positions not
deemed to meet the more likely than not threshold would be recorded as a tax
benefit or expense in the current year. Adoption of FIN 48 is effective during
the first required financial reporting period for fiscal years beginning after
December 15, 2006. Management adopted FIN 48 on June 29, 2007. There was no
material impact to the financial statements or disclosures thereto as a result
of the adoption of this pronouncement.
In September 2006, Statement of Financial Accounting Standards No. 157 "Fair
Value Measurements" (SFAS 157), was issued and is effective for fiscal years
beginning after November 15, 2007. SFAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. Management is currently evaluating the impact the adoption of SFAS
157 will have on the Series' financial statement disclosures.
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
183
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
subsidiary of AEGON NV, a corporation based in the Netherlands which is a
publicly traded international insurance group. TFLIC has sub-accounts which
invest in the corresponding Series as follows:
<Table>
<Caption>
INVESTMENT
TFLIC SUB-ACCOUNT IN SERIES
- ----------------- ----------
Money Market.................................................... 6.79%
High Quality Bond............................................... 9.41
Inflation-Protected Securities.................................. 29.06
Core Bond....................................................... 8.01
High Yield Bond................................................. 6.19
Balanced........................................................ 30.36
Value & Income.................................................. 19.66
Growth & Income................................................. 23.98
Equity Growth................................................... 15.90
Aggressive Equity............................................... 24.35
Mid-Cap Value................................................... 4.08
Mid-Cap Growth.................................................. 0.37
Small-Cap Value................................................. 0.13
Special Equity.................................................. 25.13
Small-Cap Growth................................................ 0.02
International Equity............................................ 12.18
</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.
184
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
<Table>
<Caption>
ADVISOR
SERIES SERIES SUBADVISOR FEE (%)
- ------ -------------------------------------------- -------
Money Market.................... GE Asset Management, Inc. 0.25
High Quality Bond............... Merganser Capital Management, LP 0.35
Inflation-Protected Securities.. Blackrock Financial Management, Inc. 0.35(1)
Core Bond....................... BlackRock Financial Management, Inc. 0.35
Total Return Bond............... Western Asset Management Company 0.35(1)
Western Asset Management Company, Ltd.
High Yield Bond................. Eaton Vance Management 0.55
Balanced........................ Goldman Sachs Asset Management, LP 0.45(1)
Western Asset Management Company
Western Asset Management Company, Ltd.
Value & Income.................. TCW Investment Management Company 0.45
AllianceBernstein, LP
Value........................... Hotchkis and Wiley Capital Management, LLC 0.50(1)
Growth & Income................. Blackrock Financial Management, Inc. 0.60
Goldman Sachs Asset Management, LP
Aronson+Johnson+Ortiz, LP
Equity Growth................... OFI Institutional Asset Management, Inc. 0.62
Wellington Management Company, LLP
Marsico Capital Management, LLC
Aggressive Equity............... Turner Investment Partners, Inc. 0.77(1)
Mid-Cap Value................... Cramer Rosenthal McGlynn, LLC 0.67(1)
LSV Asset Management
RiverSource Investments, LLC
Mid-Cap Growth.................. Columbus Circle Investors 0.72(1)
Small-Cap Value................. OFI Institutional Asset Management, Inc. 0.82(1)
Mesirow Financial Investment Management,
Inc.
Special Equity.................. Mazama Capital Management, LLC 0.80
INVESCO Institutional (NA), Inc.
Wellington Management Company, LLP
RS Investment Management Co., LLC
Small-Cap Growth................ Perimeter Capital Management 0.87(1)
International Equity............ LSV Asset Management 0.75
Wellington Management Company, LLP
</Table>
- --------
(1) Advisor is currently voluntarily waiving a portion of its fee.
185
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
For the period ended June 30, 2007, 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>
SERIES EXPENSE CAP
- ------ ----------------------
Money Market............................................ 30 basis points (b.p.)
High Quality Bond....................................... 40 b.p.
Inflation-Protected Securities.......................... 40 b.p.
Core Bond............................................... 40 b.p.
Total Return Bond....................................... 40 b.p.
High Yield Bond......................................... 60 b.p.
Balanced................................................ 50 b.p.
Value & Income.......................................... 50 b.p.
Value................................................... 55 b.p.
Growth & Income......................................... 65 b.p.
Equity Growth........................................... 65 b.p.
Aggressive Equity....................................... 80 b.p.
Mid-Cap Value........................................... 70 b.p.
Mid-Cap Growth.......................................... 75 b.p.
Small-Cap Value......................................... 85 b.p.
Special Equity.......................................... 85 b.p.
Small-Cap Growth........................................ 90 b.p.
International Equity.................................... 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, 2007 amounted to $122,721.
4. SECURITIES LENDING
Each 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% for domestic securities and 105%
for international securities 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.
During the term of the loan, a Series receives payments from borrowers
equivalent to the dividends, interest, and any other distributions that would
have been earned on securities lent while simultaneously seeking to earn income
on the investment of cash collateral in accordance with investment guidelines
contained in the Securities Lending Agreement. For loans secured by cash, each
Series retains the interest on cash collateral investments but is required to
pay the borrower a rebate for the use of the cash collateral. For loans secured
by collateral other than cash, the borrower pays a securities loan fee to the
lending agent.
Any compensation (net of related expenses) received by a Series for lending its
securities, as described above, is reported on its respective Statement of
Operations. This includes interest income on short term investments purchased
with cash collateral received.
186
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
4. SECURITIES LENDING (CONTINUED)
At June 30, 2007, the Series loaned securities having market values as follows:
<Table>
<Caption>
MARKET CASH COLLATERAL
SERIES VALUE RECEIVED
- ------ ------------ ---------------
High Quality Bond........................................ $ 12,574,613 $ 12,842,999
Core Bond................................................ 5,321,824 5,441,625
Total Return Bond........................................ 31,837,574 32,645,613
Balanced................................................. 11,514,597 11,890,436
Value & Income........................................... 235,374,083 244,204,605
Value.................................................... 17,008,954 17,660,618
Growth & Income.......................................... 46,027,464 47,663,319
Equity Growth............................................ 38,918,225 39,846,175
Aggressive Equity........................................ 67,470,786 69,461,923
Mid-Cap Value............................................ 175,758,460 181,765,144
Mid-Cap Growth........................................... 67,783,681 70,162,239
Small-Cap Value.......................................... 40,606,674 42,332,931
Special Equity........................................... 274,362,493 286,107,422
Small-Cap Growth......................................... 37,658,162 39,388,316
International Equity..................................... 186,916,312 196,242,413
</Table>
187
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
4. SECURITIES LENDING (CONTINUED)
Each Series has invested the cash collateral received from securities loaned in
the following short term securities:
<Table>
<Caption>
HIGH
QUALITY CORE TOTAL RETURN VALUE &
BOND BOND BOND BALANCED INCOME VALUE
----------- ---------- ------------ ----------- ------------ -----------
Abbey National PLC, Time Deposit,
5.28%, 07/05/07...................... $ 193,185 $ 81,853 $ 491,058 $ 178,857 $ 3,673,344 $ 265,653
American Beacon, Money Market Fund..... 222,083 94,097 564,512 205,611 4,222,813 305,389
Banco Bilbao Vizcaya Argentaria SA,
Time Deposit, 5.30%, 08/10/07........ 241,482 102,317 613,822 223,571 4,591,681 332,066
Bank of America, Floating Rate Note,
5.31%(1), 07/10/07................... 579,556 245,560 1,473,174 536,571 11,020,033 796,957
Bank of America, Floating Rate Note,
5.27%(1), 07/16/07................... 289,778 122,780 736,587 268,285 5,510,016 398,479
Bank of Montreal, Time Deposit, 5.29%,
07/02/07............................. 193,185 81,853 491,058 178,857 3,673,344 265,653
Bank of Montreal, Time Deposit, 5.28%,
07/03/07............................. 144,889 61,390 368,293 134,143 2,755,008 199,239
Bank of Montreal, Time Deposit, 5.31%,
08/14/07............................. 241,482 102,317 613,822 223,571 4,591,681 332,066
Bank of Nova Scotia, Time Deposit,
5.28%, 07/09/07...................... 241,482 102,317 613,822 223,571 4,591,681 332,066
Bank of Nova Scotia, Time Deposit,
5.29%, 07/11/07...................... 241,482 102,317 613,822 223,571 4,591,681 332,066
Barclays, Time Deposit, 5.30%,
07/16/07............................. 289,778 122,780 736,587 268,285 5,510,016 398,479
Barclays, Time Deposit, 5.32%,
09/04/07............................. 482,963 204,633 1,227,645 447,142 9,183,361 664,131
Barclays Global Investors Institutional
Money Market Fund.................... 387,435 164,158 984,821 358,699 7,366,926 532,768
BNP Paribas, Time Deposit, 5.35%,
07/02/07............................. 772,742 327,413 1,964,231 715,427 14,693,377 1,062,609
Calyon, Time Deposit, 5.38%, 07/02/07.. 772,742 327,413 1,964,231 715,427 14,693,377 1,062,609
Calyon, Time Deposit, 5.29%, 07/17/07.. 482,963 204,633 1,227,645 447,142 9,183,361 664,131
Credit Suisse First Boston Corp, Time
Deposit, 5.29%, 07/13/07............. 144,889 61,390 368,293 134,143 2,755,008 199,239
First Tennessee National Corp, Time
Deposit, 5.30%, 07/18/07............. 144,889 61,390 368,293 134,143 2,755,008 199,239
Fortis Bank, Time Deposit, 5.35%,
07/05/07............................. 482,963 204,633 1,227,645 447,142 9,183,361 664,131
Fortis Bank, Time Deposit, 5.29%,
07/06/07............................. 241,482 102,317 613,822 223,571 4,591,680 332,065
Fortis Bank, Time Deposit, 5.30%,
07/20/07............................. 241,482 102,317 613,822 223,571 4,591,680 332,065
Fortis Bank, Time Deposit, 5.30%,
07/26/07............................. 193,185 81,853 491,058 178,857 3,673,344 265,652
HBOS Halifax Bank of Scotland, Time
Deposit, 5.30%, 08/08/07............. 965,927 409,267 2,455,289 894,284 18,366,722 1,328,262
Marshall & Ilsley Bank, Time Deposit,
5.29%, 07/06/07...................... 482,963 204,633 1,227,645 447,142 9,183,361 664,131
Morgan Stanley, Commercial Paper,
5.45%(1), 08/01/07................... 96,593 40,927 245,529 89,428 1,836,672 132,826
National Australia Bank, Time Deposit,
5.32%, 07/02/07...................... 772,742 327,413 1,964,231 715,427 14,693,377 1,062,609
Rabobank Nederland, Time Deposit,
5.33%, 07/02/07...................... 772,742 327,413 1,964,231 715,427 14,693,377 1,062,609
Rabobank Nederland, Time Deposit,
5.28%, 07/05/07...................... 482,963 204,634 1,227,645 447,142 9,183,361 664,131
Reserve Primary Money Market Fund...... 16,622 7,043 42,252 15,390 316,069 22,858
Svenska Handlesbanken, Time Deposit,
5.30%, 07/02/07...................... 769,660 326,108 1,956,398 712,574 14,634,781 1,058,372
The Bear Stearns Companies, Inc.,
Commercial Paper, 5.44%(1),
07/10/07............................. 144,889 61,390 368,293 134,143 2,755,008 199,239
UBS AG, Time Deposit, 5.28%, 07/05/07.. 144,889 61,390 368,293 134,143 2,755,008 199,239
Vanguard Prime Money Market Fund....... 290,744 123,189 739,042 269,180 5,528,383 399,807
Wells Fargo & Co., Time Deposit, 5.26%,
07/02/07............................. 193,185 81,853 491,058 178,857 3,673,344 265,652
Wells Fargo & Co., Time Deposit, 5.28%,
07/12/07............................. 482,963 204,634 1,227,644 447,142 9,183,361 664,131
----------- ---------- ----------- ----------- ------------ -----------
$12,842,999 $5,441,625 $32,645,613 $11,890,436 $244,204,605 $17,660,618
=========== ========== =========== =========== ============ ===========
Information pertaining to the
investment of the cash collateral is
shown on each Series' Portfolio of
Investments.
- --------
(1) Variable Rate Security. The rate
shown was in effect at June 30,
2007.
</Table>
188
<Table>
<Caption>
GROWTH & EQUITY AGGRESSIVE MID-CAP MID-CAP SMALL-CAP
INCOME GROWTH EQUITY VALUE GROWTH VALUE
----------- ----------- ----------- ------------ ----------- -----------
$ 716,956 $ 599,369 $ 1,044,852 $ 2,734,125 $ 1,055,386 $ 636,775
824,199 689,024 1,201,143 5,483,313 1,213,253 732,025
896,194 749,211 1,306,064 235,255 1,319,232 795,969
2,150,866 1,798,108 3,134,555 2,734,125 3,166,157 1,910,326
1,075,433 899,054 1,567,277 10,936,501 1,583,079 955,163
716,956 599,369 1,044,852 10,936,501 1,055,386 636,775
537,717 449,527 783,639 3,143,103 791,539 477,581
896,194 749,211 1,306,064 10,936,501 1,319,232 795,969
896,194 749,211 1,306,064 10,936,501 1,319,232 795,969
896,194 749,211 1,306,064 10,892,886 1,319,232 795,969
1,075,433 899,054 1,567,277 4,114,858 1,583,079 955,163
1,792,388 1,498,423 2,612,129 2,050,594 2,638,464 1,591,938
537,717 449,527 783,639 2,734,125 791,539 477,581
1,437,860 1,202,040 2,095,459 6,835,313 2,116,586 1,277,058
2,867,821 2,397,477 4,179,406 6,835,313 4,221,543 2,547,101
2,867,821 2,397,477 4,179,406 3,417,656 4,221,543 2,547,101
1,792,388 1,498,423 2,612,129 2,050,594 2,638,464 1,591,938
537,716 449,527 783,639 6,835,313 791,539 477,581
537,716 449,527 783,639 3,417,656 791,539 477,581
1,792,388 1,498,423 2,612,129 6,835,313 2,638,464 1,591,938
896,194 749,212 1,306,064 8,202,376 1,319,232 795,969
896,194 749,212 1,306,064 2,050,594 1,319,232 795,969
716,956 599,369 1,044,852 3,417,656 1,055,386 636,775
3,584,776 2,996,846 5,224,258 2,050,594 5,276,929 3,183,876
1,792,388 1,498,423 2,612,129 4,101,188 2,638,465 1,591,938
358,478 299,685 522,426 4,101,188 527,693 318,388
2,867,821 2,397,477 4,179,406 6,835,313 4,221,543 2,547,101
2,867,821 2,397,477 4,179,406 3,417,656 4,221,543 2,547,101
1,792,388 1,498,423 2,612,129 2,050,594 2,638,465 1,591,938
61,690 51,572 89,903 2,734,125 90,809 54,791
2,856,384 2,387,916 4,162,739 1,367,063 4,204,708 2,536,943
537,716 449,527 783,639 13,670,626 791,539 477,581
1,079,018 902,051 1,572,501 3,417,656 1,588,356 958,347
716,956 599,369 1,044,852 3,417,656 1,055,386 636,775
1,792,388 1,498,423 2,612,129 6,835,313 2,638,465 1,591,938
----------- ----------- ----------- ------------ ----------- -----------
$47,663,319 $39,846,175 $69,461,923 $181,765,144 $70,162,239 $42,332,931
=========== =========== =========== ============ =========== ===========
<Caption>
SPECIAL SMALL-CAP INTERNATIONAL
EQUITY GROWTH EQUITY
------------ ----------- -------------
$ 4,303,650 $ 592,482 $ 2,951,893
4,947,401 681,107 5,920,049
5,379,562 740,603 253,992
12,910,949 1,777,446 2,951,893
6,455,475 888,723 11,807,573
4,303,650 592,482 11,807,573
3,227,737 444,362 3,393,445
5,379,562 740,603 11,807,573
5,379,562 740,603 11,807,573
5,379,562 740,603 11,760,485
6,455,475 888,723 4,442,599
10,759,124 1,481,205 2,213,920
3,227,737 444,362 2,951,893
8,631,009 1,188,228 7,379,734
17,214,599 2,369,928 7,379,734
17,214,599 2,369,928 3,689,867
10,759,124 1,481,205 2,213,920
3,227,737 444,362 7,379,734
3,227,737 444,362 3,689,867
10,759,124 1,481,205 7,379,734
5,379,562 740,603 8,855,680
5,379,562 740,603 2,213,920
4,303,650 592,482 3,689,867
21,518,248 2,962,410 2,213,920
10,759,124 1,481,205 4,427,840
2,151,825 296,241 4,427,840
17,214,599 2,369,928 7,379,734
17,214,599 2,369,928 3,689,867
10,759,124 1,481,205 2,213,920
370,302 50,979 2,951,893
17,145,948 2,360,477 1,475,947
3,227,737 444,361 14,759,467
6,476,993 891,685 3,689,867
4,303,650 592,482 3,689,867
10,759,124 1,481,205 7,379,733
------------ ----------- ------------
$286,107,422 $39,388,316 $196,242,413
============ =========== ============
</Table>
189
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
5. PURCHASES AND SALES OF INVESTMENTS
The aggregate cost of investments purchased and proceeds from sales or
maturities (excluding short-term securities) for the period ended June 30, 2007
were as follows:
<Table>
<Caption>
COST OF PROCEEDS
SERIES PURCHASES FROM SALES
- ------ -------------- --------------
High Quality Bond................... US Government Obligations $ 33,991,821 $ 48,429,630
Other 201,684,302 166,729,319
Inflation-Protected Securities...... US Government Obligations 317,876,175 314,961,288
Other 10,811,618 24,873,337
Core Bond........................... US Government Obligations 6,868,658,079 6,824,480,023
Other 220,055,702 244,315,673
Total Return Bond................... US Government Obligations 726,858,493 609,063,053
Other 112,756,678 15,399,114
High Yield Bond..................... Other 277,202,250 252,872,787
Balanced............................ US Government Obligations 418,339,560 428,990,265
Other 88,726,903 99,813,185
Value & Income...................... Other 482,311,510 520,635,992
Value............................... Other 80,449,784 28,341,802
Growth & Income..................... Other 668,075,205 799,950,755
Equity Growth....................... Other 1,954,275,087 2,150,018,022
Aggressive Equity................... Other 189,916,464 245,419,109
Mid-Cap Value....................... Other 395,882,892 316,754,283
Mid-Cap Growth...................... Other 231,356,239 270,324,259
Small-Cap Value..................... Other 133,939,109 147,133,577
Special Equity...................... Other 642,449,417 738,698,644
Small-Cap Growth.................... Other 133,059,547 125,143,832
International Equity................ Other 1,210,269,566 1,172,150,261
</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 Inflation-Protected Securities Portfolio
(formerly, 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
Inflation-Protected Securities 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 Complaint seeks to require the Subject Portfolios to repay to Enron
the full amounts of these transfers, in which event the Subject Portfolios would
be granted unsecured claims against the Enron bankruptcy estate in the amounts
of the repayments. The Subject Portfolios moved to dismiss all counts of the
Complaint, contending, among other things, that section 546 (e) of the
Bankruptcy Code provides a complete defense. The Bankruptcy Court denied the
motion on July 1, 2005. Accordingly, the Subject Portfolios filed an answer to
the Complaint on July 29, 2005. Discovery is underway.
190
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
6. LEGAL AND REGULATORY MATTERS (CONTINUED)
Depositions began in September 2006 and are scheduled to conclude in October
2007. The Subject Portfolios and their counsel have reviewed the Subject
Portfolios' records concerning the factual background of the allegations in the
Complaint, and have considered remaining potential defenses to the allegations
in the Complaint. Because discovery is still ongoing, the Subject Portfolios are
unable to predict whether Enron will prevail, in whole or in part, in its claims
against the Subject Portfolios, and therefore have not recorded a liability in
the financial statements for any potential loss.
7. PROXY VOTING POLICIES AND PROCEDURES
A description of the Series Portfolio's proxy 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 (Click on the icon for Participants,
then click on Fund Information, choose Investment Funds, click on a Fund, then
click on the Fund Information tab) or (iii) on the SEC's website at www.sec.gov.
In addition, the Series Portfolio is required to file Form N-PX, with its
complete proxy voting record for the twelve months ended June 30, no later than
August 31 of each year. The Series Portfolio's filing for the twelve months
ended June 30, 2007 is available without charge, upon request.
8. QUARTERLY PORTFOLIOS
The Series Portfolio will file its portfolios of investments for the first and
third quarters (March 31 and September 30, respectively) with the SEC by May 30
and November 29, respectively, each year on Form N-Q. The Series Portfolio's
Form N-Q is available on the SEC's website at www.sec.gov. The Series
Portfolio's Form N-Q may be reviewed and copied at the SEC's Public Reference
Room in Washington, DC. For information on the operation of the SEC's Public
Reference Room, call 1-800-SEC-0330. You may also obtain a copy of Form N-Q
without charge, upon request, by calling 1-800-755-5803.
9. CONCENTRATIONS AND INDEMNIFICATIONS
Some Series may have elements of risk not typically associated with investments
in the United States of America due to concentrated investments in a limited
number of countries or regions, which may vary throughout the year. Such
concentrations may subject the Series to additional risks resulting from
political or economic conditions in such countries or regions and the possible
imposition of adverse governmental laws or currency exchange restrictions could
cause the securities and their markets to be less liquid and their prices more
volatile than those of comparable US securities.
As of June 30, 2007, the Equity Growth Series invested approximately 14.86% of
its portfolio in issuers outside the United States.
As of June 30, 2007, substantially all of the International Equity Series' net
assets consist of securities of issuers that are denominated in foreign
currencies. Changes in currency exchange rates will affect the value of, and
investment income from, such securities.
As of June 30, 2007, the International Equity Series invested approximately
10.60%, 15.31%, and 17.39%, respectively, of its portfolio in issuers in
Germany, Japan, and United Kingdom, respectively.
The ability of the issuers of debt, asset-backed and mortgage-backed securities
to meet their obligations may be affected by the economic and political
developments in a specific industry or region. The value of asset-backed and
mortgage-backed securities can be significantly affected by changes in interest
rates or rapid principal payments including prepayments.
Credit risk is measured by the loss a Series would record if its counter-parties
failed to perform pursuant to the terms of their obligations to the Series.
Since certain Series enters into various types of debt obligations including
191
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
9. CONCENTRATIONS AND INDEMNIFICATIONS (CONTINUED)
private placements, swaps, forward currency contracts, spot contracts, forward
commitments and over-the-counter options, credit exposure exists with
counterparties.
In the normal course of business, the Series Portfolio enters into contracts
that contain a variety of representations and warranties which provide general
indemnifications. The Series Portfolio's maximum exposure under these
arrangements is unknown, as this would involve future claims that may be made
against the Series Portfolio that have not yet occurred. However, based on
experience, the Series Portfolio expects the risk of loss to be remote.
10. FOREIGN CURRENCY FORWARD, SPOT AND CROSS CURRENCY CONTRACTS
At June 30, 2007, the Inflation-Protected Securities Series, Core Bond Series,
Total Return Bond Series, Balanced Series, Equity Growth Series, and
International Equity Series had entered into foreign currency forward, spot and
cross currency contracts which contractually obligate each portfolio to
deliver/receive currency at specified future dates. The open contracts were as
follows:
<Table>
<Caption>
NET UNREALIZED
FOREIGN IN EXCHANGE SETTLEMENT VALUE APPRECIATION/
CURRENCY FOR DATE AT 06/30/07 (DEPRECIATION)
---------- ----------- ---------- ----------- --------------
INFLATION-PROTECTED SECURITIES
- -------------
PURCHASE CONTRACTS:
British Pound Sterling............... 2,427,800 $4,849,795 07/18/07 $4,874,349 $ 24,554
Canadian Dollar...................... 18,803 17,699 07/02/07 17,651 (48)
Canadian Dollar...................... 610,000 568,211 07/18/07 572,844 4,633
Euro................................. 29,724 40,021 07/02/07 40,229 208
Euro................................. 5,000 6,705 07/18/07 6,771 66
Euro................................. 2,410,000 3,239,144 07/18/07 3,263,471 24,327
Euro................................. 2,436,100 3,293,914 07/18/07 3,298,813 4,899
Mexican Peso......................... 5,317,500 495,245 07/18/07 491,795 (3,450)
--------
TOTAL................................ $ 55,189
========
SALE CONTRACTS:
British Pound Sterling............... 2,438,000 $4,857,308 07/18/07 $4,894,828 $(37,520)
Canadian Dollar...................... 626,500 586,971 07/18/07 588,339 (1,368)
Euro................................. 2,436,000 3,308,984 07/18/07 3,298,678 10,306
Euro................................. 2,435,500 3,305,154 07/18/07 3,298,001 7,153
Mexican Peso......................... 1,714,000 157,443 07/18/07 158,521 (1,078)
Mexican Peso......................... 3,495,000 321,896 07/18/07 323,239 (1,343)
--------
TOTAL................................ $(23,850)
========
CORE BOND
- --------------------------
PURCHASE CONTRACTS:
Mexican Peso......................... 78,454,109 $7,306,825 07/18/07 $7,255,920 $(50,905)
========
</Table>
192
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
10. FOREIGN CURRENCY FORWARD, SPOT AND CROSS CURRENCY CONTRACTS (CONTINUED)
<Table>
<Caption>
NET UNREALIZED
FOREIGN IN EXCHANGE SETTLEMENT VALUE APPRECIATION/
CORE BOND (CONTINUED) CURRENCY FOR DATE AT 06/30/07 (DEPRECIATION)
- --------------------- ----------- ----------- ---------- ----------- --------------
SALE CONTRACTS:
Euro................................. 844,472 $1,137,039 07/02/07 $1,142,951 $ (5,912)
Mexican Peso......................... 40,359,000 3,717,638 07/18/07 3,732,649 (15,011)
Mexican Peso......................... 26,426,500 2,426,899 07/18/07 2,444,086 (17,187)
Mexican Peso......................... 50,419,500 4,631,620 07/18/07 4,663,106 (31,486)
New Zealand Dollar................... 5,545,961 4,020,822 07/18/07 4,270,390 (249,568)
---------
TOTAL................................ $(319,164)
=========
TOTAL RETURN BOND
- --------------------------
PURCHASE CONTRACTS:
Japanese Yen......................... 110,028,000 $ 938,005 08/08/07 $ 897,806 $ (40,199)
Japanese Yen......................... 312,000,000 2,600,477 08/08/07 2,545,856 (54,621)
---------
TOTAL................................ $ (94,820)
=========
SALE CONTRACTS:
British Pound Sterling............... 999,000 $1,983,984 08/08/07 $2,005,165 $ (21,181)
Euro................................. 302,635 412,294 08/08/07 410,098 2,196
---------
TOTAL................................ $ (18,985)
=========
BALANCED
- --------------------------
PURCHASE CONTRACTS:
Japanese Yen......................... 179,574,000 $1,530,895 08/08/07 $1,465,287 $ (65,608)
Japanese Yen......................... 89,040,000 742,136 08/08/07 726,548 (15,588)
---------
TOTAL................................ $ (81,196)
=========
SALE CONTRACTS:
British Pound Sterling............... 555,000 $1,102,213 08/08/07 $1,113,980 $ (11,767)
Euro................................. 514,478 700,899 08/08/07 697,167 3,732
---------
TOTAL................................ $ (8,035)
=========
EQUITY GROWTH
- --------------------------
PURCHASE CONTRACTS:
Euro................................. 585,735 $ 787,872 07/02/07 $ 792,763 $ (4,891)
=========
INTERNATIONAL EQUITY
- --------------------------
PURCHASE CONTRACTS:
Danish Krone......................... 1,082,372 $ 195,653 07/02/07 $ 196,852 $ 1,199
Euro................................. 399,333 537,142 07/02/07 540,476 3,334
Great British Pounds................. 2,516,077 5,027,096 07/02/07 5,052,534 25,438
Swedish Krona........................ 16,673,091 2,431,486 07/03/07 2,437,871 6,385
---------
TOTAL................................ $ 36,356
=========
</Table>
193
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
10. FOREIGN CURRENCY FORWARD, SPOT AND CROSS CURRENCY CONTRACTS (CONTINUED)
<Table>
<Caption>
NET UNREALIZED
FOREIGN IN EXCHANGE SETTLEMENT VALUE APPRECIATION/
INTERNATIONAL EQUITY (CONTINUED) CURRENCY FOR DATE AT 06/30/07 (DEPRECIATION)
- -------------------------------- ----------- ----------- ---------- ----------- --------------
SALE CONTRACTS:
Canadian Dollar...................... 2,886,817 $2,724,080 07/05/07 $2,710,121 $ 13,959
Canadian Dollar...................... 3,632,966 3,409,442 07/05/07 3,410,600 (1,158)
Euro................................. 43,652 59,035 07/02/07 59,080 (45)
Euro................................. 1,441,500 1,935,430 07/03/07 1,950,998 (15,568)
Euro................................. 828,036 1,120,863 07/05/07 1,120,782 81
Euro................................. 112,829 124,056 11/01/07 153,278 (29,222)
Great British Pounds................. 947,448 1,896,146 07/03/07 1,902,570 (6,424)
Great British Pounds................. 1,545,211 3,101,749 07/05/07 3,102,861 (1,112)
Japanese Yen......................... 429,846,649 3,508,809 07/02/07 3,491,140 17,669
Japanese Yen......................... 19,179,288 155,260 07/02/07 155,771 (511)
--------
TOTAL................................ $(22,331)
========
</Table>
<Table>
<Caption>
NET UNREALIZED
SETTLEMENT PURCHASE SALE CURRENT APPRECIATION/
DATE CURRENT VALUE VALUE (DEPRECIATION)
---------- ------------- ------------ --------------
FOREIGN CROSS CURRENCY CONTRACTS:
PURCHASE/SALE
- --------------------------
Japanese Yen/Danish Krone.................. 07/03/07 $68,911 $68,486 $ 425
==========
</Table>
11. SUBSEQUENT EVENT
At a meeting held on August 10, 2007, the Board of Trustees of the Series
Portfolio approved a series of measures that are designed to benefit the Funds
by making them part of a larger family of investment companies that are managed
by Transamerica Fund Advisors, Inc., ("TFA"), an investment adviser that, along
with the Advisor, is an indirect, wholly-owned subsidiary of AEGON. The Board
has authorized seeking shareholder approval for these measures where required. A
proxy statement describing these initiatives is expected to be mailed later in
2007.
194
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
12. FINANCIAL HIGHLIGHTS
<Table>
<Caption>
RATIOS TO AVERAGE NET ASSETS
---------------------------------------------------------
NET NET INVESTMENT
FOR THE NET EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS,
PERIOD/YEAR NET (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL
ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN
- ----------- -------- --------------- ---------- --------------- --------- -------------- ------
MONEY MARKET
06/30/2007(1) 0.27%* 0.27%* 5.09%* 5.09%* N/A $ 950,724,090 2.56%
12/31/2006 0.28 0.28 4.77 4.77 N/A 925,940,609 4.86
12/31/2005 0.28 0.28 2.97 2.97 N/A 765,777,258 3.00
12/31/2004 0.28 0.28 1.17 1.17 N/A 809,352,385 1.17
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
HIGH QUALITY BOND
06/30/2007(1) 0.38* 0.38* 4.38* 4.38* 26% 855,795,511 2.03
12/31/2006 0.38 0.38 4.03 4.03 55 817,623,186 4.38
12/31/2005 0.39 0.39 3.25 3.25 58 788,399,166 1.95
12/31/2004 0.38 0.38 2.96 2.96 48 690,594,378 1.48
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
INFLATION-PROTECTED SECURITIES
06/30/2007(1) 0.41* 0.40* 6.42* 6.43* 235 135,461,626 (1.45)
12/31/2006 0.41 0.40 4.49 4.50 525 150,681,168 3.48
12/31/2005 0.40 0.40 3.45 3.45 756 261,106,523 1.34
12/31/2004 0.42 0.40 2.46 2.48 554 256,502,651 1.59
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
CORE BOND
06/30/2007(1) 0.38* 0.38* 4.84* 4.84* 298(a) 2,134,802,668 0.56
12/31/2006 0.38 0.38 4.50 4.50 487(a) 2,077,821,449 4.17
12/31/2005 0.39 0.39 3.99 3.99 1,003(a) 2,052,893,035 2.38
12/31/2004 0.39 0.39 3.62 3.62 885(a) 1,655,367,885 4.65
12/31/2003 0.39 0.39 3.52 3.52 922(a) 1,468,787,007 4.64
12/31/2002 0.39 0.39 4.85 4.85 462 999,624,604 9.24
TOTAL RETURN BOND
06/30/2007(1) 0.42* 0.40* 5.04* 5.06* 264(a) 312,472,830 0.58
12/31/2006 0.50 0.40 4.64 4.74 470(a) 120,636,427 4.96
12/31/2005(2) 0.55* 0.40* 3.93* 4.08* 327(a) 70,072,859 2.35
</Table>
195
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
12. FINANCIAL HIGHLIGHTS (CONTINUED)
<Table>
<Caption>
RATIOS TO AVERAGE NET ASSETS
---------------------------------------------------------
NET NET INVESTMENT
FOR THE NET EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS,
PERIOD/YEAR NET (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL
ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN
- ----------- -------- --------------- ---------- --------------- --------- -------------- ------
HIGH YIELD BOND
06/30/2007(1) 0.58%* 0.58%* 7.79%* 7.79%* 51% $ 562,022,353 3.49%
12/31/2006 0.59 0.59 7.86 7.86 93 502,330,056 11.99
12/31/2005 0.60 0.60 7.74 7.74 68 416,027,255 3.34
12/31/2004 0.60 0.60 8.06 8.06 80 351,772,536 10.32
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
BALANCED
06/30/2007(1) 0.52* 0.50* 2.79* 2.81* 126(a) 376,786,001 3.37
12/31/2006 0.53 0.50 2.69 2.72 224(a) 381,648,801 11.74
12/31/2005 0.54 0.50 2.21 2.25 367(a) 410,747,655 5.59
12/31/2004 0.52 0.50 2.19 2.21 338(a) 419,726,689 8.31
12/31/2003 0.51 0.50 2.15 2.16 377(a) 434,085,832 17.69
12/31/2002 0.52 0.50 2.63 2.65 289 375,745,612 (10.01)
VALUE & INCOME
06/30/2007(1) 0.47* 0.47* 1.58* 1.58* 14 3,689,642,378 7.15
12/31/2006 0.48 0.48 1.47 1.47 31 3,538,943,726 20.68
12/31/2005 0.48 0.48 1.38 1.38 89 3,018,060,297 6.88
12/31/2004 0.48 0.48 1.79 1.79 44 2,705,463,322 12.91
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)
VALUE
06/30/2007(1) 0.57* 0.55* 1.32* 1.34* 21 163,787,543 5.55
12/31/2006 0.71 0.55 1.26 1.42 74 101,282,906 15.44
12/31/2005(2) 1.18* 0.55* 1.15* 1.78* 21 35,138,512 9.47
GROWTH & INCOME
06/30/2007(1) 0.63* 0.63* 1.01* 1.01* 61 1,078,044,807 6.39
12/31/2006 0.63 0.63 1.11 1.11 73 1,159,020,245 11.77
12/31/2005 0.64 0.64 0.96 0.96 79 1,178,758,869 7.12
12/31/2004 0.64 0.64 1.22 1.22 184 1,135,948,434 10.79
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)
</Table>
196
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
12. FINANCIAL HIGHLIGHTS (CONTINUED)
<Table>
<Caption>
RATIOS TO AVERAGE NET ASSETS
---------------------------------------------------------
NET NET INVESTMENT
FOR THE NET EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS,
PERIOD/YEAR NET (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL
ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN
- ----------- -------- --------------- ---------- --------------- --------- -------------- ------
EQUITY GROWTH
06/30/2007(1) 0.64%* 0.64%* 0.41%* 0.41%* 81% $2,436,537,288 5.43%
12/31/2006 0.64 0.64 0.43 0.43 84 2,526,917,456 4.12
12/31/2005 0.65 0.65 0.34 0.34 76 2,587,382,061 7.18
12/31/2004 0.65 0.65 0.68 0.68 129 2,290,559,947 7.75
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)
AGGRESSIVE EQUITY
06/30/2007(1) 0.81 0.80* (0.15)* (0.14)* 52 366,303,834 10.76
12/31/2006 0.81 0.80 (0.18) (0.17) 147 382,667,908 6.46
12/31/2005 0.81 0.80 (0.15) (0.14) 187 382,129,060 8.20
12/31/2004 0.95 0.94 (0.49) (0.48) 252 397,726,867 12.14
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)
MID-CAP VALUE
06/30/2007(1) 0.70* 0.70* 1.24* 1.24* 31 1,128,975,004 11.00
12/31/2006 0.71 0.70 1.16 1.17 80 936,974,205 18.33
12/31/2005 0.72 0.70 1.26 1.28 112 641,531,538 9.77
12/31/2004 0.71 0.70 0.78 0.79 147 414,710,679 25.47
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)
MID-CAP GROWTH
06/30/2007(1) 0.76* 0.75* (0.14)* (0.13)* 79 308,447,787 13.46
12/31/2006 0.75 0.75 (0.31) (0.31) 151 309,909,061 2.17
12/31/2005 0.76 0.75 (0.39) (0.38) 142 282,950,442 13.42
12/31/2004 0.79 0.75 (0.33) (0.29) 223 210,100,872 15.38
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)
</Table>
197
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
12. FINANCIAL HIGHLIGHTS (CONTINUED)
<Table>
<Caption>
RATIOS TO AVERAGE NET ASSETS
---------------------------------------------------------
NET NET INVESTMENT
FOR THE NET EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS,
PERIOD/YEAR NET (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL
ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN
- ----------- -------- --------------- ---------- --------------- --------- -------------- ------
SMALL-CAP VALUE
06/30/2007(1) 0.85%* 0.85%* 1.29%* 1.29%* 60% $ 233,411,156 4.31%
12/31/2006 0.87 0.85 0.25 0.27 105 236,316,718 9.64
12/31/2005 0.88 0.85 0.07 0.10 143 218,749,221 (4.70)
12/31/2004 0.89 0.85 0.27 0.31 42 172,735,949 21.75
12/31/2003 0.94 0.85 1.19 1.28 40 100,887,458 41.10
12/31/2002(3) 1.39* 0.85* (0.17)* 0.37* 26 17,920,226 (21.90)
SPECIAL EQUITY
06/30/2007(1) 0.84* 0.84* 0.63* 0.63* 55 1,181,803,793 6.41
12/31/2006 0.85 0.85 0.29 0.29 86 1,211,556,459 11.77
12/31/2005 0.85 0.85 0.09 0.09 92 1,296,671,909 10.53
12/31/2004 0.84 0.84 0.15 0.15 103 1,227,530,742 12.63
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)
SMALL-CAP GROWTH
06/30/2007(1) 0.94* 0.90* (0.44)* (0.40)* 77 184,398,727 13.21
12/30/2006 1.04 0.90 (0.43) (0.29) 173 155,003,004 8.71
12/31/2005 0.98 0.90 (0.49) (0.41) 183 132,903,534 0.55
12/31/2004 0.97 0.90 (0.58) (0.51) 84 108,429,152 11.94
12/31/2003 1.02 0.90 (0.29) (0.17) 81 83,589,643 39.31
12/31/2002(3) 1.48* 0.90* (1.03)* (0.45)* 68 16,521,455 (15.98)
INTERNATIONAL EQUITY
06/30/2007(1) 0.85* 0.85* 2.61* 2.61* 54 2,352,345,930 11.68
12/31/2006 0.87 0.87 1.78 1.78 81 2,101,152,473 27.31
12/31/2005 0.88 0.88 2.03 2.03 94 1,721,786,149 11.20
12/31/2004 0.87 0.87 1.85 1.85 171 1,401,617,944 19.66
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)
</Table>
- --------
(a) Portfolio turnover calculation includes effect of buying and selling TBA
securities used in dollar roll transactions. Refer to Note 2I.
* Annualized.
(1) Unaudited.
(2) Commencement of Operations, May 6, 2005.
(3) Commencement of Operations, April 15, 2002.
198
DIVERSIFIED INVESTORS PORTFOLIOS
APPROVAL OF INVESTMENT ADVISORY CONTRACTS
JUNE 30, 2007
(UNAUDITED)
Diversified Investment Advisors, Inc. ("Diversified") manages the assets of each
series of Diversified Investors Portfolios (each, a "Portfolio") pursuant to an
Investment Advisory Agreement (the "Diversified Advisory Agreement") with
Diversified Investors Portfolios. For each Portfolio, Diversified has entered
into one or more Investment Subadvisory Agreements (each, a "Subadvisory
Agreement") with a subadviser.
CONTINUATION OF ADVISORY AGREEMENTS AND SUBADVISORY AGREEMENTS
In approving the continuation of each Diversified Advisory Agreement and each
Subadvisory Agreement, the Board, including the independent Trustees, reviewed
extensive information provided by Diversified and the subadvisers. The Trustees
considered the advisory fees and total expenses of each underlying fund
investing in a Portfolio (each, a "Fund"). In this regard, the Trustees
reviewed, among other things, comparative fee information with respect to
comparable funds, including additional information from Lipper Analytical
Services provided at the Trustees' request. The Trustees discussed the advisory
fees and expense ratios, before and after the advisory and other fee waivers,
and compared them to investment advisory fees paid by and expense ratios of
other investment companies with similar investment objectives. The Trustees
noted Diversified's confirmation that it did not have any non-mutual fund
clients to whom advisory services were provided. The Trustees also considered
that Diversified had extended for an additional year its agreement to waive a
portion of certain Portfolios' advisory fees, as necessary, to maintain certain
"caps" on total expenses. It also was noted that each subadviser had provided
information on how the fee that subadviser received with respect to the
applicable Portfolio compared to fees charged by the subadviser to other
clients. In some cases the information compared the Portfolio fees to those
charged to other funds; in other cases, to all other clients in a similar
strategy; in other cases, to clients receiving similar services; and in others,
to the subadviser's standard fee schedule. It was noted that, in most cases, the
subadviser fees were at least as favorable as those charged to the clients
against which the fees were compared. It was acknowledged that Diversified, and
not the Portfolios, pays the subadvisory fees.
The Trustees also considered the costs of the services provided to the Funds and
the resulting profitability of the relationship with the Funds. It was noted
that Diversified's relationship with the Funds also included the provision of
administrative and distribution services; that the Trustees had received
information concerning the advisory, administration and distribution fees paid
to Diversified and Diversified Investors Securities Corp. ("DISC") as the Funds'
adviser, administrator and distributor, respectively; and that the Board had
reviewed materials relating to the cost to Diversified of the services provided
to the Funds and the resulting profitability to Diversified of its relationship
with the Funds. The Board also received information about how Diversified prices
its services to its retirement plan clients and how those pricing arrangements
in certain circumstances result in credits to plan participant accounts.
The Trustees then reviewed the investment performance of each of the Funds,
which was considered in connection with each Fund's total expenses, contractual
management fees, and Diversified's (and where provided, the applicable
subadviser's) profitability. The Trustees noted that Diversified's profitability
with respect to each Fund, on a pre-tax basis, was reasonable under the
circumstances. With respect to the investment advisory agreements with the
Portfolios, the Board concluded that the relevant analyses of fees, expenses and
profitability were better made at the level of the Funds that invest in the
Portfolios, since investors could not invest directly in the Portfolios. In
reviewing Fund performance, the Trustees considered gross performance results
relative to benchmark for the past one-, three- and (where available) five-year
periods (except where there was a new subadviser), and Morningstar and Lipper
information regarding net performance in comparison to funds with similar
strategies over the same time periods. Performance was also considered in light
of the performance of comparable products managed by the subadviser. For
Portfolios managed by multiple subadvisers, the Board considered both individual
subadviser performance and the combined performance of each such Portfolio in
recognition of the fact that managers had been selected on the basis of their
199
DIVERSIFIED INVESTORS PORTFOLIOS
APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
complementary investment strategies, which would be expected to perform
differently under different market conditions.
The Trustees also reviewed information provided by Diversified and the
subadvisers, primarily elicited through questionnaires, regarding, among other
things: the nature and quality of services provided; legal, regulatory and
compliance matters; actual fees paid by Diversified to each subadviser,
comparable fees paid to each subadviser and subadviser profitability data; and
other practices and developments. The Trustees noted instances where information
was not provided by certain subadvisers, considered the reasons such information
was not provided and weighed the relative importance of such information among
the other data available to the Trustees. The Trustees placed considerable value
on Diversified's views about the subadvisers, particularly given the extensive
monitoring undertaken by Diversified as well as the arms'-length nature of the
relationship between Diversified and the subadvisers.
After requesting and reviewing such information as they deemed necessary
(including additional information provided by Diversified in response to
inquiries from the independent Trustees) and after meetings conducted by the
independent Trustees without management being present, the Board concluded that
the continuation of each Diversified Advisory Agreement and each Subadvisory
Agreement was in the best interests of the applicable Portfolio and its
investors. The Board based its conclusions, in part, on its observations
regarding the performance of and the management fees and total expenses paid by
each fund, some of which observations are summarized below. In reaching these
conclusions, the Board noted that this continuation reaffirmed the choice of
each investor in each fund, who had decided to invest in a fund overseen by
Diversified and managed by the applicable subadviser or subadvisers.
MONEY MARKET PORTFOLIO. For Money Market Portfolio (GE Asset Management,
Incorporated as subadviser), it was noted that the Diversified Investors Money
Market Fund performance was below the Lipper universe 50th percentile for the 1,
3 and 5 year periods, and the Diversified Institutional Money Market Fund
performance was above the 50th percentile for the 1, 3 and 5 year periods. The
Trustees noted that the subadviser had outperformed the benchmark for the one-
year period and since inception, gross of fees. The Trustees also noted that the
Portfolio invests only in Tier One investments, unlike some funds in the Lipper
peer groups. It was noted that contractual management fees were at or below the
median for the peer group for both the Institutional and Investors funds. It
also was noted that total expenses were above the median for the peer group in
the case of the Investors fund, but at or below the median in the case of the
Institutional fund.
BOND PORTFOLIOS. For High Quality Bond Portfolio (Merganser Capital Management
as subadviser), it was noted that the Diversified Investors High Quality Bond
Fund performance was below the Lipper universe 50th percentile for the 1, 3 and
5 year periods, and the Diversified Institutional High Quality Bond Fund
performance was above the 50th percentile for the 5 year period and slightly
below for the 1 and 3 year periods. It also was noted that the performance of
the Investors fund was below the 50th percentile for the 1 and 3 year periods
for the Morningstar universe. The Trustees noted that the subadviser had
outperformed the benchmark for the one-year period and since inception, gross of
fees. The Trustees also noted that the Investors fund was rated two stars
overall, and the Institutional fund three stars overall, by Morningstar. It was
noted that for this Portfolio, the Morningstar universe contains a variety of
types of funds, and that this variety makes comparisons more difficult. The
Trustees noted that contractual management fees were at or below the median for
the peer group for the Institutional fund, but above median for the Investors
fund. It was also noted that total expenses were above the median for the peer
group in the case of the Investors fund, but below the median in the case of the
Institutional fund.
For Intermediate Government Bond Portfolio (which became the Inflation-Protected
Securities Portfolio effective May 1, 2007) (Allegiance Investment Management as
subadviser), it was noted that the Diversified Investors Intermediate Government
Bond Fund performance and Diversified Institutional Intermediate
200
DIVERSIFIED INVESTORS PORTFOLIOS
APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
Government Bond Fund performance were below the Lipper universe 50th percentile
for the 1, 3 and 5 year periods. It also was noted that the performance of both
funds was below the 50th percentile for the 1 and 3 year periods for the
Morningstar universe. The Trustees noted that one subadviser had been removed
from the Portfolio in January, 2006 to address performance, and that a new
subadviser and a new investment strategy would be implemented for the Portfolio
commencing in May, 2007. The Trustees agreed that they would monitor the
performance of the new subadviser and the new strategy especially closely. The
Trustees noted that contractual management fees were at or below the median for
the peer group for both funds, and that total expenses were above the median for
the peer group in the case of the Investors fund, but below the median in the
case of the Institutional fund.
For Core Bond Portfolio (BlackRock Financial Management, Inc. as subadviser), it
was noted that the Diversified Investors Core Bond Fund performance was below
the Lipper universe 50th percentile for the 1, 3 and 5 year periods, and the
Diversified Institutional Core Bond Fund performance was at or above the 50th
percentile for the 1, 3 and 5 year periods. It also was noted that the
performance of the Investors fund was below the 50th percentile for the 1 and 3
year periods for the Morningstar universe. The Trustees noted that the
subadviser had outperformed the benchmark for the 1, 3 and 5 year periods, gross
of fees. It was also noted that contractual management fees were at or below the
median for the peer group for the Institutional fund, but slightly above the
median for the Investors fund. The Trustees also noted that total expenses were
above the median for the peer group in the case of the Investors fund, but below
the median in the case of the Institutional fund.
For Total Return Bond Portfolio (Western Asset Management Company and Western
Asset Management Company Limited as subadvisers), it was noted that the
Diversified Investors Total Return Bond Fund performance and the Diversified
Institutional Total Return Bond Fund performance were above the Lipper universe
50th percentile for the 1-year period (and in the first quartile for the
Institutional fund). The Trustees noted that the Portfolio had commenced
operations in mid-2005 and was relatively small in size, and that the subadviser
had outperformed the benchmark for the one-year period and since inception,
gross of fees. It was also noted that contractual management fees were at or
below the median for the peer group for the Institutional fund, but slightly
above the median for the Investors fund. The Trustees also noted that total
expenses were above the median for the peer group in the case of the Investors
fund, but below the median in the case of the Institutional fund. The Trustees
noted that the performance of the subadvisers continued to be good.
For High Yield Bond Portfolio (Eaton Vance Management as subadviser), it was
noted that the Diversified Investors High Yield Bond Fund performance and
Diversified Institutional High Yield Bond Fund performance were above the Lipper
universe 50th percentile for the 1, 3 and 5 year periods (and in the first
quartile for both funds for the 1 and 5 year periods). The Trustees noted that
the subadviser had outperformed the benchmark for the 1, 3 and 5 year periods,
gross of fees. The Trustees also noted that both funds were rated four stars
overall by Morningstar. It was noted that both contractual management fees and
total expenses were at or below the median for the peer group for the
Institutional fund, but above the median for the Investors fund. The Trustees
noted that the performance of the subadviser continued to be strong.
BALANCED PORTFOLIO. For Balanced Portfolio (Goldman Sachs Asset Management,
Western Asset Management Company, and Western Asset Management Company Limited
as subadvisers), it was noted that the Diversified Investors Balanced Fund
performance was below the Lipper universe 50th percentile for the 1, 3 and 5
year periods, and the Diversified Institutional Balanced Fund performance was
slightly below the 50th percentile for the 1, 3 and 5 year periods. It also was
noted that the performance of the Investors fund was below the 50th percentile
for the 1 and 3 year periods for the Morningstar universe. The Trustees noted
that the subadvisers had been added in May, 2005 to address performance, and had
outperformed their respective benchmarks for the one-year period and since
inception, gross of fees. The Trustees determined it was
201
DIVERSIFIED INVESTORS PORTFOLIOS
APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
appropriate to continue to monitor the impact of the subadviser changes
especially closely. The Trustees also noted that both funds were rated three
stars overall by Morningstar. It was noted that both contractual management fees
and total expenses were at or below the median for the peer group for both
funds.
STOCK PORTFOLIOS. For Value & Income Portfolio (AllianceBernstein and TCW
Investment Management Company as subadvisers), it was noted that the Diversified
Investors Value & Income Fund performance and Diversified Institutional Value &
Income Fund performance were above the Lipper universe 50th percentile for the
1, 3 and 5 year periods. The Trustees noted that the two subadvisers had
underperformed their respective benchmarks for the one-year period, and that
both funds had underperformed the benchmark for the 1 and 3 year periods. The
Trustees also noted that both funds were rated three stars overall by
Morningstar. The Trustees noted that TCW had been added as a subadviser in
March, 2005 to address performance, and that they would continue to monitor
closely the impact of the subadviser change. The Trustees also noted that both
contractual management fees and total expenses were at or below the median for
the peer group for both funds.
For Value Portfolio (Hotchkis and Wiley as subadviser), it was noted that the
Diversified Investors Value Fund performance and Diversified Institutional Value
Fund performance were below the Lipper universe 50th percentile for the 1 year
period. It also was noted that the performance of both funds was below the 50th
percentile for the 1 year period for the Morningstar universe. The Trustees
noted that the Portfolio had commenced operations in mid-2005 and was relatively
small in size. The Trustees also noted management's views that the subadviser's
investment style could result in periods of underperformance. They noted,
however, that the subadviser had underperformed the benchmark since inception,
and was under increased scrutiny. The Trustees determined that they would
continue to monitor the performance of the Portfolio especially closely. The
Trustees also noted that both contractual management fees and total expenses
were at or below the median for the peer group for both funds.
For Growth & Income Portfolio (Aronson+Johnson+Ortiz, Ark Asset Management and
Goldman Sachs Asset Management as subadvisers), it was noted that the
Diversified Investors Growth & Income Fund performance and Diversified
Institutional Growth & Income Fund performance were below the Lipper universe
50th percentile for the 1 and 5 year periods, and slightly above the 50th
percentile for the 3 year period. It also was noted that the performance of both
funds was below the 50th percentile for the 1 and 3 year periods for the
Morningstar universe. The Trustees noted that the current subadvisers had come
on board in May, 2004 to address performance; that overall performance had
improved since the change; that all three subadvisers had underperformed their
respective benchmarks for the one year period but that Goldman Sachs and AJO
have outperformed their respective benchmarks since inception; that Ark would be
replaced as a subadviser because of investment performance; and that the funds
were rated two stars overall by Morningstar. It was agreed that the Trustees
would continue to monitor especially closely the performance of the Portfolio.
The Trustees noted that both contractual management fees and total expenses were
at or below the median for the peer group for the Institutional fund, but above
the median for the Investors fund. The Trustees also noted that AJO's
profitability appeared higher than that of other subadvisers but was acceptable
under the circumstances and in light of AJO's longer term performance.
For Equity Growth Portfolio (Ark Asset Management and Marsico Capital Management
as subadvisers), it was noted that the Diversified Investors Equity Growth Fund
performance and Diversified Institutional Equity Growth Fund performance were
below the Lipper universe 50th percentile for the 1 and 3 year periods, and
above the 50th percentile for the 5 year period. It also was noted that the
performance of both funds was below the 50th percentile for the 1 and 3 year
periods for the Morningstar universe. The Trustees noted that one subadviser
(Ark) had underperformed its benchmark for the one year period but had
outperformed the benchmark (gross of fees) since inception, that Ark would be
replaced as a subadviser because of investment performance, that the other
subadviser (Marsico) had outperformed its benchmark for the one year period and
since inception, gross of
202
DIVERSIFIED INVESTORS PORTFOLIOS
APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED)
JUNE 30, 2007
(UNAUDITED)
fees, and that the funds were rated three stars overall by Morningstar. It was
noted that a subadviser had been removed in September, 2004 to address
performance. It was agreed that the Trustees would continue to monitor
especially closely the performance of the Portfolio. The Trustees noted that
both contractual management fees and total expenses were at or below the median
for the peer group for the Institutional fund, but above median for the
Investors fund. The Trustees noted that Marsico had provided profitability
information on a firm-wide basis, but that the profitability had not been
unreasonable under the circumstances.
For Aggressive Equity Portfolio (Turner Investment Partners as subadviser), it
was noted that the Diversified Investors Aggressive Equity Fund performance and
Diversified Institutional Aggressive Equity Fund performance were at the Lipper
universe 50th percentile for the 1 year period, and above the 50th percentile
for the 3 and 5 year periods (in the first quartile for the 3 and 5 year periods
for the Institutional fund, and in the first quartile for the 3 year period for
the Investors fund). The Trustees noted that the subadviser had underperformed
its benchmark for the one year period but had outperformed the benchmark (gross
of fees) since inception, that Turner runs a fairly concentrated portfolio and
there can be swings in performance, and that the Investors fund was rated two
stars overall, and the Institutional fund three stars overall, by Morningstar.
The Trustees noted that contractual management fees were above the median for
the peer group for both funds, and that total expenses were at or below the
median for the peer group for the Institutional fund, but above the median for
the Investors fund. They also noted that two years earlier, Diversified had
reduced its management fee by 20 basis points.
For Mid-Cap Value Portfolio (Cramer, Rosenthal, McGlynn, LSV Asset Management
and RiverSource Investments as subadvisers), it was noted that the Diversified
Investors Mid-Cap Value Fund performance and Diversified Institutional Mid-Cap
Value Fund performance were above the Lipper universe 50th percentile for the 1,
3 and 5 year periods (in the first quartile for the 1, 3 and 5 year periods for
the Institutional fund, and in the first quartile for the 1 and 3 year periods
for the Investors fund). The Trustees noted that Cramer Rosenthal had
outperformed its benchmark for the one year period and since inception (gross of
fees), that LSV had outperformed its benchmark for the one year period (gross of
fees) but had underperformed its benchmark since inception, that RiverSource was
added as a subadviser in October, 2006 for capacity and had underperformed in
the brief period since inception, and that the Investors fund was rated four
stars overall, and the Institutional fund five stars overall, by Morningstar.
The Trustees noted that both contractual management fees and total expenses were
at or below the median for the peer group for both funds. The Trustees noted
that Cramer Rosenthal had provided profitability information on a firm-wide
basis, but that the profitability had not been unreasonable under the
circumstances. The Trustees noted that the Portfolio's performance continued to
be good.
For Mid-Cap Growth Portfolio (Columbus Circle Investors as subadviser), it was
noted that the Diversified Investors Mid-Cap Growth Fund performance and
Diversified Institutional Mid-Cap Growth Fund performance were below the Lipper
universe 50th percentile for the 1, 3 and 5 year periods. It also was noted that
the performance of both funds was below the 50th percentile for the 1 and 3 year
periods for the Morningstar universe, and that both funds had underperformed the
benchmark for the 1 and 3 year periods. The Trustees noted that the subadviser
had underperformed its benchmark for the one year period and since inception,
that Columbus Circle was under increased scrutiny because of investment
performance, and that the funds were rated two stars overall by Morningstar. It
was agreed that the Trustees would continue to monitor especially closely the
performance of the Portfolio. The Trustees noted that both contractual
management fees and total expenses were at or below the median for the peer
group for the Institutional fund, but above the median for the Investors fund.
For Small-Cap Value Portfolio (EARNEST Partners and Mesirow Financial Investment
Management as subadvisers), it was noted that the Diversified Investors Small-
Cap Value Fund performance and Diversified Institutional Small-Cap Value Fund
performance were below the Lipper universe 50th percentile for the 1 and 3 year
periods (the funds commenced operations in 2003). It also was noted that the
performance of both funds
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was below the 50th percentile for the 1 and 3 year periods for the Morningstar
universe, and that both funds had underperformed the benchmark for the 1 and 3
year periods. The Trustees noted that one subadviser (EARNEST Partners) had
underperformed its benchmark for the one year period and since inception, that
EARNEST would be replaced as subadviser because of investment performance, that
a second subadviser (Mesirow) had been added in October, 2006 to attempt to
reduce volatility, and that the Portfolio was under increased scrutiny. It was
agreed that the Trustees would continue to monitor especially closely the
performance of the Portfolio and the impact of the subadviser changes. The
Trustees noted that contractual management fees were above the median for the
peer group for the Investors fund, but at or below median for the Institutional
fund, and that total expenses were below the median for the peer group for both
funds.
For Special Equity Portfolio (Mazama Capital Management, RS Investment
Management, EARNEST Partners, Wellington Management Company and INVESCO
Institutional as subadvisers), it was noted that the Diversified Investors
Special Equity Fund performance and Diversified Institutional Special Equity
Fund performance were below the Lipper universe 50th percentile for the 1, 3 and
5 year periods, and that both funds had underperformed the benchmark for the 1
and 3 year periods. The Trustees noted that of the five subadvisers to the
Portfolio, EARNEST would be replaced as subadviser because of investment
performance, that the other subadvisers underperformed their respective
benchmarks for the one year period but outperformed (gross of fees, with the
exception of INVESCO as to the value mandate) since their respective inceptions,
and that the funds were rated three stars overall by Morningstar. It was noted
that Mazama had been brought on board in March, 2005 to address performance, and
that INVESCO had taken on an additional style mandate in June, 2006. It was
agreed that the Trustees would continue to monitor especially closely the
performance of the Portfolio and the impact of the subadviser changes. The
Trustees noted that both contractual management fees and total expenses were
above the median for the peer group for the Investors fund, but below the median
for the Institutional fund. The Trustees also noted that INVESCO's profitability
appeared higher than that of other subadvisers but was not unreasonable under
the circumstances and given the longer term performance.
For Small-Cap Growth Portfolio (Perimeter Capital Partners as subadviser), it
was noted that the Diversified Investors Small Cap Growth Fund performance and
Diversified Institutional Small Cap Growth Fund performance were below the
Lipper universe 50th percentile for the 1 and 3 year periods (the funds
commenced operations in 2003), and that both funds had underperformed the
benchmark for the 1 and 3 year periods. It also was noted that the performance
of both funds was below the 50th percentile for the 1 and 3 year periods for the
Morningstar universe. The Trustees noted that the prior subadviser had been
brought on board in December, 2005 to address performance; that Perimeter had
been hired in 2006 for continuity of portfolio management; that Perimeter's more
recent performance was improved; and that the subadviser is under increased
scrutiny because it is a start-up firm. The Trustees noted that both contractual
management fees and total expenses were above the median for the peer group for
the Investors fund, but at or below the median for the Institutional fund.
For International Equity Portfolio (LSV Asset Management and Wellington
Management Company as subadvisers), it was noted that the Diversified Investors
International Equity Fund performance and Diversified Institutional
International Equity Fund performance were above the Lipper universe 50th
percentile for the 1 year period and below the 50th percentile for the 3 and 5
year periods. The Trustees noted that Wellington's performance had improved over
the past year, and that the Investors fund was rated four stars overall, and the
Institutional fund three stars overall, by Morningstar. The Trustees noted that
contractual management fees were at or below the median for the peer group for
both funds, and that total expenses were above the median for the peer group in
the case of the Investors fund, but below the median in the case of the
Institutional fund.
It also was noted that these conclusions were based upon the Board's
determination for each Portfolio that the Portfolio's performance compared
sufficiently favorably with other funds in the peer group and/or benchmark over
recent periods, with the exceptions discussed above; that management fees and
total expenses after giving
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effect to waivers and reimbursements compared sufficiently favorably to the peer
group, with the exceptions discussed above; and that, in reviewing Diversified's
profitability with respect to its services for the Funds, that profitability
(together with additional benefits received by Diversified and DISC) was
reasonable under the circumstances and in view of the nature and quality of the
services provided by Diversified. The Board also considered that the fee waivers
and reimbursements for certain Funds were contractually agreed and as a result
could not be discontinued or modified without Board approval. In addition to the
foregoing, the Trustees were satisfied with the overall quality of the services
provided by Diversified, including selecting and monitoring subadvisers and
providing compliance services to the Portfolios.
APPROVAL OF NEW SUBADVISORY AGREEMENTS
As noted above during the six-month period ended June 30, 2007, Diversified
appointed new subadvisers, with the approval of the Board of Trustees, for the
Inflation-Protected Securities Portfolio, Growth & Income Portfolio, Equity
Growth Portfolio, Small-Cap Value Portfolio, and Special Equity Portfolio.
INFLATION-PROTECTED SECURITIES PORTFOLIO. At a meeting held on November 28,
2006, the Board of Trustees considered the termination of Allegiance Investment
Management as subadviser to the Inflation-Protected Securities Portfolio
(formerly, the Intermediate Government Bond Portfolio) and the appointment of
BlackRock Financial Management, Inc. ("BlackRock") as replacement subadviser to
the Inflation-Protected Securities Portfolio. The Board of Trustees approved an
Investment Subadvisory Agreement with BlackRock with respect to the Inflation-
Protected Securities Portfolio (the "BlackRock Subadvisory Agreement") following
presentations by Diversified and representatives of BlackRock. Discussed below
are some of the material factors considered by the Board.
The Board considered information with respect to BlackRock and whether the
BlackRock Subadvisory Agreement was in the best interests of the Portfolio and
its investors. The Board paid particular attention to the need to select a
subadviser with the capability to execute the new investment objective and
strategies of the Portfolio. As part of their deliberations, the Board took into
account the nature and quality of the services currently provided and to be
provided by BlackRock. The Board noted that BlackRock has experience managing
over $3.2 billion across a number of inflation linked bond accounts and mutual
funds. The Board reviewed the performance of BlackRock Inflation Protected Bond
Fund as compared to its benchmark, the U.S. Treasury Inflation Protected
Securities (TIPS) Index. The Board considered BlackRock's investment philosophy,
which emphasizes relative value and adding value primarily through active sector
rotation and security selection. In evaluating BlackRock's ability to provide
services to the Portfolio, the Trustees also considered information as to
BlackRock's financial resources, portfolio holdings, investment advisory fees,
personnel, compliance policies and procedures and other matters.
The Board reviewed the qualifications, backgrounds and responsibilities of the
senior personnel of BlackRock and the portfolio management team that would be
primarily responsible for the day-to-day management of the Portfolio. The Board
received and considered information regarding the nature, extent and quality of
services expected to be provided to the Portfolio by BlackRock under the
BlackRock Subadvisory Agreement. The Board reviewed and considered the
subadvisory fee that would be payable by Diversified to BlackRock in light of
the nature, extent and quality of the management services expected to be
provided by BlackRock and the subadvisory fee paid to subadvisers of funds with
similar mandates. The Board noted that Diversified, and not the Portfolio, will
pay the subadvisory fee to BlackRock. The Board recognized that BlackRock may
realize economies of scale as the assets of the Portfolio grow.
Based upon its review and the representations made to it, the Board, including
all of the independent Trustees, concluded that (a) the terms of the BlackRock
Subadvisory Agreement are reasonable, fair and in the best interests of the
Portfolio and its investors, and (b) the fee provided in the BlackRock
Subadvisory Agreement is
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fair and reasonable in light of the usual and customary charges made for
services of the same nature and quality. Accordingly, after consideration of the
above factors, and such other factors and information as it deemed relevant, the
Board, including all of the independent Trustees, approved the BlackRock
Subadvisory Agreement.
No single factor reviewed by the Board was identified as the principal factor in
determining whether to approve the BlackRock Subadvisory Agreement, and each
Board member attributed different weight to the various factors. The independent
Trustees discussed the proposed approval of the BlackRock Subadvisory Agreement
in private sessions with their independent legal counsel at which no
representatives of Diversified or BlackRock were present.
GROWTH & INCOME PORTFOLIO. At a meeting held on May 22, 2007, the Board of
Trustees considered the termination of Ark Asset Management as subadviser to the
Growth & Income Portfolio and the appointment of BlackRock Financial Management,
Inc. ("BlackRock") as replacement subadviser to the Portfolio. The Board
authorized Diversified to terminate the Investment Subadvisory Agreement with
Ark Asset Management and approved the Investment Subadvisory Agreement with
BlackRock with respect to the Growth & Income Portfolio (the "BlackRock
Subadvisory Agreement") following presentations by Diversified and
representatives of BlackRock. Discussed below are some of the material factors
considered by the Board.
Diversified reviewed with the Board its search process and criteria for a
replacement subadviser, including its desire to engage a subadviser that could
provide a quantitative, risk-controlled approach, strong stand-alone
characteristics, strong down-side protection and with a low correlation to
current portfolio holdings. The Board considered information with respect to
BlackRock and whether the BlackRock Subadvisory Agreement was in the best
interests of the Portfolio and its investors. The Board noted that BlackRock-
advised funds with similar mandates to those of the Portfolio out-performed the
Russell 1000 Growth Index for the past three years and the S&P 500 Index for the
past two years.
The Board reviewed the qualifications, backgrounds and responsibilities of the
senior personnel of BlackRock and the portfolio management team that would be
primarily responsible for the day-to-day management of the Portfolio. The Board
received and considered information regarding the nature, extent and quality of
services expected to be provided to the Portfolio by BlackRock under the
BlackRock Subadvisory Agreement. The Board reviewed and considered the
subadvisory fee that would be payable by Diversified to BlackRock in light of
the nature, extent and quality of the management services expected to be
provided by BlackRock and the subadvisory fee paid to subadvisers of funds with
similar mandates. The Board considered that at current asset levels the
subadvisory fees (including breakpoints) paid under the Investment Subadvisory
Agreement with Ark Asset Management were higher than the subadvisory fee to be
paid to BlackRock. The Board noted that Diversified, and not the Portfolio, will
pay the subadvisory fee to BlackRock.
Based upon its review and the representations made to it, the Board, including
all of the independent Trustees, concluded that (a) the terms of the BlackRock
Subadvisory Agreement are reasonable, fair and in the best interests of the
Portfolio and its investors, and (b) the fee provided in the BlackRock
Subadvisory Agreement is fair and reasonable in light of the usual and customary
charges made for services of the same nature and quality. Accordingly, after
consideration of the above factors, and such other factors and information as it
deemed relevant, the Board, including all of the independent Trustees, approved
the BlackRock Subadvisory Agreement.
No single factor reviewed by the Board was identified as the principal factor in
determining whether to approve the BlackRock Subadvisory Agreement, and each
Board member attributed different weight to the various factors. The independent
Trustees discussed the proposed approval of the BlackRock Subadvisory Agreement
in private sessions with their independent legal counsel at which no
representatives of Diversified or BlackRock were present.
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DIVERSIFIED INVESTORS PORTFOLIOS
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EQUITY GROWTH PORTFOLIO. At a meeting held on May 22, 2007, the Board of
Trustees considered the termination of Ark Asset Management as subadviser to the
Equity Growth Portfolio and the appointment of OFI Institutional Asset
Management, Inc. ("OFII") and Wellington Management Company, LLP ("Wellington
Management") as replacement subadvisers to the Equity Growth Portfolio. The
Board authorized Diversified to terminate the Investment Subadvisory Agreement
with Ark Asset Management and approved (i) the Investment Subadvisory Agreement
with OFII with respect to the Equity Growth Portfolio (the "OFII Subadvisory
Agreement"), and (ii) the Investment Subadvisory Agreement with Wellington
Management with respect to the Equity Growth Portfolio (the "Wellington
Management Subadvisory Agreement") following presentations by Diversified and
representatives of OFII and Wellington Management. Discussed below are some of
the material factors considered by the Board.
Diversified reviewed with the Board its search process and criteria for
replacement subadvisers, including its desire to engage subadvisers who offer
less concentrated portfolios, strong stand-alone characteristics, strong down-
side protection and a low correlation to current portfolio holdings. The Board
considered information with respect to OFII and Wellington Management and
whether the OFII Subadvisory Agreement and the Wellington Management Subadvisory
Agreement were in the best interests of the Portfolio and its holders of
beneficial interests. The Board considered the fact that OFII's enhanced large
cap growth composite performance outperformed the Russell 1000 Growth Index over
1-, 3-, and 5-year periods. The Board noted that Wellington Management's
diversified growth portfolio composite outperformed the Russell 1000 Growth
Index over 1-, 3-, 5-, 7- and 10-year periods.
The Board reviewed the qualifications, backgrounds and responsibilities of the
senior personnel of OFII and Wellington Management and the portfolio management
teams that would be primarily responsible for the day-to-day management of
OFII's and Wellington Management's allocated portions of the Portfolio. The
Board received and considered information regarding the nature, extent and
quality of services expected to be provided to the Portfolio by OFII under the
OFII Subadvisory Agreement and by Wellington Management under the Wellington
Management Subadvisory Agreement. The Board reviewed and considered the
subadvisory fee that would be payable by Diversified to OFII and Wellington
Management in light of the management services expected to be provided by OFII
and Wellington Management, and the subadvisory fee paid to subadvisers of funds
with similar mandates. The Board noted that Diversified, and not the Portfolio,
will pay the subadvisory fee to OFII and Wellington Management.
Based upon its review and the representations made to it, the Board, including
all of the independent Trustees, concluded that (a) the terms of the OFII
Subadvisory Agreement and the Wellington Management Subadvisory Agreement are
reasonable, fair and in the best interests of the Portfolio and its holders of
beneficial interests, and (b) the fees provided in the OFII Subadvisory
Agreement and the Wellington Management Subadvisory Agreement are fair and
reasonable in light of the usual and customary charges made for services of the
same nature and quality. Accordingly, after consideration of the above factors,
and such other factors and information as it deemed relevant, the Board,
including all of the independent Trustees, approved the OFII Subadvisory
Agreement and the Wellington Management Subadvisory Agreement.
No single factor reviewed by the Board was identified as the principal factor in
determining whether to approve the OFII Subadvisory Agreement and Wellington
Management Subadvisory Agreement, and each Board member attributed different
weight to the various factors. The independent Trustees discussed the proposed
approval of the new Subadvisory Agreements in private sessions with their
independent legal counsel at which no representatives of the Diversified, OFII
or Wellington Management were present.
SMALL-CAP VALUE PORTFOLIO. At a meeting held on May 22, 2007, the Board of
Trustees considered the termination of EARNEST Partners LLC as subadviser to the
Small-Cap Value Portfolio and the appointment of OFI Institutional Asset
Management, Inc. ("OFII") as replacement subadviser to the Small-Cap Value
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Portfolio. The Board authorized Diversified to terminate the Investment
Subadvisory Agreement with EARNEST Partners and approved the Investment
Subadvisory Agreement with OFII with respect to the Small-Cap Value Portfolio
(the "OFII Subadvisory Agreement") following presentations by Diversified and
representatives of OFII. Discussed below are some of the material factors
considered by the Board.
Diversified reviewed with the Board its search process and criteria for a
replacement subadviser, including its desire to engage a subadviser that could
provide a quantitative approach to offset volatility, strong stand-alone
characteristics, strong down-side protection, more relative value, and a low
correlation to current portfolio holdings. The Board considered information with
respect to OFII and whether the OFII Subadvisory Agreement was in the best
interests of the Portfolio and its holders of beneficial interests. As part of
their deliberations, the Board took into account the nature and quality of the
anticipated services to be provided by OFII and reviewed and discussed
information regarding OFII's fees. The Board compared OFII's small cap value
composite performance to that of the Russell 2000 Value Index and the Portfolio.
The Board noted that OFII's composite performance exceeded the Russell 2000
Value Index over 3-, 5- and 7-year periods.
The Board reviewed the qualifications, backgrounds and responsibilities of the
senior personnel of OFII and the portfolio management team that would be
primarily responsible for the day-to-day management of OFII's allocated portion
of the Portfolio. The Board reviewed and considered the subadvisory fee that
would be payable by Diversified to OFII in light of the nature, extent and
quality of the management services expected to be provided by OFII and the
subadvisory fee paid to subadvisers of funds with similar mandates. The Board
noted that Diversified, and not the Portfolio, will pay the subadvisory fee to
OFII. The Board recognized that OFII may realize economies of scale as the
assets of the Portfolio and the portion of the Portfolio allocated to OFII by
Diversified grows, and that the OFII subadvisory fee would decrease as the
assets allocated to OFII exceed a breakpoint of $50 million.
Based upon its review and the representations made to it, the Board, including
all of the independent Trustees, concluded that (a) the terms of the OFII
Subadvisory Agreement are reasonable, fair and in the best interests of the
Portfolio and its holders of beneficial interests, and (b) the fee provided in
the OFII Subadvisory Agreement is fair and reasonable in light of the usual and
customary charges made for services of the same nature and quality. Accordingly,
after consideration of the above factors, and such other factors and information
as it deemed relevant, the Board, including all of the independent Trustees,
approved the OFII Subadvisory Agreement. No single factor reviewed by the Board
was identified as the principal factor in determining whether to approve the
OFII Subadvisory Agreement, and each Board member attributed different weight to
the various factors. The independent Trustees discussed the proposed approval of
the OFII Subadvisory Agreement in private sessions with their independent legal
counsel at which no representatives of Diversified or OFII were present.
SPECIAL EQUITY PORTFOLIO. At a meeting held on March 2, 2007, the Board of
Trustees considered an amendment to the Investment Subadvisory Agreement between
Diversified and Wellington Management Company LLP ("Wellington Management") with
respect to the Special Equity Portfolio (the "Wellington Management Amendment").
The Board of Trustees approved the Wellington Management Amendment following
presentations by Diversified. Discussed below are some of the material factors
considered by the Board.
The Board reviewed and considered the subadvisory fee that would be payable by
Diversified to Wellington Management in light of the nature, extent and quality
of the management services expected to be provided by Wellington Management and
the subadvisory fee paid to subadvisers of funds with similar mandates. The
Board considered the strong performance of the portion of the Portfolio overseen
by Wellington Management compared to that of the Portfolio's benchmark, the
Russell 2000 Value Index, over a period of several years. The Board compared the
subadvisory fee paid to Wellington Management to the subadvisory fees paid by a
number of funds of similar size to the Portfolio with similar mandates, noting
that the average fee paid by the
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comparable funds was higher than that paid to Wellington Management. The Board
noted that Diversified, and not the Portfolio, will pay the subadvisory fee to
Wellington Management.
Based upon its review and the representations made to it, the Board, including
all of the independent Trustees, concluded that (a) the terms of the Wellington
Management Amendment are reasonable, fair and in the best interests of the
Portfolio and its investors, and (b) the fee provided in the Wellington
Management Amendment is fair and reasonable in light of the usual and customary
charges made for services of the same nature and quality. Accordingly, after
consideration of the above factors, and such other factors and information as it
deemed relevant, the Board, including all of the independent Trustees, approved
the Wellington Management Amendment.
No single factor reviewed by the Board was identified as the principal factor in
determining whether to approve the Wellington Management Amendment, and each
Board member attributed different weight to the various factors. The members of
the Board who are not "interested persons" of the Portfolio or Diversified
discussed the proposed approval of the Wellington Management Amendment in
private sessions with their independent legal counsel at which no
representatives of Diversified or Wellington Management were present.
209
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
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. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
As described in the Trust's most recent proxy statement on Schedule 14A filed on
August 27, 2007 (the "Proxy Statement"), the Trust has established a Nominating
Committee that may consider and evaluate nominees to the Board of Trustees of
the Trust that are recommend by holders. Nominations proposed by holders must be
properly submitted for consideration, and will be properly submitted if the
qualifications and procedures set forth in the Nominating Committee's charter
are met. There have been no material changes to the procedures described in the
Proxy
Statement and set forth in the Trust's Nominating Committee Charter since the
filing of the Proxy Statement.
ITEM 11. 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 12. 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/ John K. Carter
John K. Carter
Chief Executive Officer
Date August 31, 2007
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/ John K. Carter
John K. Carter
Chief Executive Officer
Date August 31, 2007
By /s/ Joseph P. Carusone
Joseph P. Carusone
Principal Financial Officer
Date August 31, 2007