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 811-3732
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MFS/SUN LIFE SERIES TRUST
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(Exact name of registrant as specified in charter)
500 Boylston Street, Boston, Massachusetts 02116
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(Address of principal executive offices) (Zip code)
Susan S. Newton
Massachusetts Financial Services Company
500 Boylston Street
Boston, Massachusetts 02116
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(Name and address of agents for service)
Registrant's telephone number, including area code: (617) 954-5000
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Date of fiscal year end: December 31
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Date of reporting period: December 31, 2005
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ITEM 1. REPORTS TO STOCKHOLDERS.
MFS(R)/SUN LIFE SERIES TRUST [Graphic Omitted]
ANNUAL REPORT o DECEMBER 31, 2005
Bond Series
Emerging Markets Equity Series
Global Governments Series
Global Total Return Series
Government Securities Series
High Yield Series
International Value Series
Money Market Series
Strategic Income Series
TABLE OF CONTENTS
Letter from the CEO of MFS ........................................ 1
Management Reviews ................................................ 1
Portfolio Composition ............................................. 5
Performance Summary ............................................... 14
Expense Tables .................................................... 22
Portfolio of Investments .......................................... 24
Financial Statements .............................................. 54
Notes to Financial Statements ..................................... 69
Report of Independent Registered Public Accounting Firm ........... 78
Trustees and Officers ............................................. 79
Board Review of Investment Advisory Agreements .................... 83
Proxy Voting Policies and Information ............................. Back Cover
Quarterly Portfolio Disclosure .................................... Back Cover
Federal Tax Information ........................................... Back Cover
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THE REPORT IS PREPARED FOR THE GENERAL INFORMATION OF CONTRACT OWNERS. IT IS
AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS ONLY WHEN PRECEDED OR
ACCOMPANIED BY A CURRENT PROSPECTUS.
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NOT FDIC INSURED MAY LOSE VALUE NO BANK OR CREDIT UNION GUARANTEE NOT A DEPOSIT
NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY OR NCUA/NCUSIF
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LETTER FROM THE CEO OF MFS
DEAR CONTRACT OWNERS,
Most investors are familiar with the basic principles of investing - focus on
the long term and keep your assets diversified across different investment
categories. Still, it is surprising how often we forget these basic lessons.
Certainly, the dot-com euphoria that overtook Wall Street in the late 1990s
had many people hoping they could become millionaires overnight. But the
market decline that started in the spring of 2000 taught everyone how
misguided those hopes had been.
Now, less than six years after the market taught a harsh lesson in the follies
of speculative investing, we are seeing a number of trends that suggest many
investors, including professionals, are hoping for overnight miracles again.
We see a steady stream of market "gurus" on television news shows, promising
to teach amateur investors the strategies that will allow them to get rich
quick. Hedge funds - which by their nature move in and out of investments
rapidly - have soared in popularity in recent years. We are reminded every day
that we live in a "what have you done for me lately?" world, but this mindset
should not influence how we invest and manage our money. In fact, investors
often fall short of their goals because they traded in and out of investments
too frequently and at inopportune times.
Throughout our more than 80-year history, MFS' money management process has
focused on long-term investment opportunities. We firmly believe that the best
way to realize long-term financial goals - be it a college education, a
comfortable retirement, or a secure family legacy - is to follow a three-
pronged approach that focuses on longer time horizons. Allocate holdings
across the major asset classes - including stocks, bonds, and cash. Diversify
within each class to take advantage of different market segments and investing
styles. And rebalance assets regularly to maintain a desired asset
allocation.* This long-term approach requires diligence and patience, two
traits that in our experience are essential to capitalizing on the many
opportunities the financial markets can offer.
Respectfully,
/s/ Robert J. Manning
Robert J. Manning
Chief Executive Officer and Chief Investment Officer
MFS Investment Management(R)
February 15, 2006
* Asset allocation, diversification, and rebalancing do not guarantee a profit
or protect against a loss. The opinions expressed in this letter are those of
MFS, and no forecasts can be guaranteed.
MANAGEMENT REVIEWS
The following management reviews, for the twelve months ended December 31,
2005, exclude the Money Market Series.
BOND SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 1.75%, while Service Class shares provided a
total return of 1.59%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 2.37% for the series'
benchmark, the Lehman Brothers U.S. Government/Credit Bond Index.
DETRACTORS FROM PERFORMANCE
The portfolio's currency exposure to the euro and the Danish krone detracted
from performance. Throughout the period, the U.S. dollar appreciated against
most major currencies resulting in losses for any unhedged currency positions.
Overweighting "BBB" and "BB"-rated(1) securities acted as a drag on
performance. During the period, spreads between corporate bonds and Treasuries
widened, decreasing the value of corporate bonds. Other areas that detracted
included Treasuries and bonds from the telecommunications sector as these
areas lagged the benchmark.
CONTRIBUTORS TO PERFORMANCE
The portfolio benefited by having a shorter duration(2) than the index, which
was advantageous in a rising interest rate environment. The portfolio enjoyed
a yield advantage over the period and generated a higher level of income than
the index. On a sector basis, strong performance from asset-backed and
mortgage-backed securities, along with the debt of emerging markets,
contributed to relative results. Despite the downgrading and decrease in value
associated with bonds of Ford Motor Credit and General Motors Acceptance Corp,
the banking/finance sector performed well and added to returns.
EMERGING MARKETS EQUITY SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 36.76%, while Service Class shares provided
a total return of 36.36%. These returns do not reflect any applicable contract
or surrender charges and compare with a return of 34.54% for the series'
benchmark, the MSCI Emerging Markets Index.
CONTRIBUTORS TO PERFORMANCE
Overall stock selection was the primary contributor to the portfolio's
performance, led by strong selection in the technology and financial services
sectors. Taiwanese wireless device manufacturer High Tech Computer* was the
top contributing holding as its shares appreciated significantly over the
period. In the financial services sector, the portfolio's positions in
banking firms Unibanco-Uniao de Bancos Brasileiros (Brazil) and Akbank
(Turkey) boosted relative performance.
Security selection in the consumer staples sector also aided results as
Brazilian brewer Companhia de Bebidas das Americas posted strong gains.
Several individual energy holdings also benefited the portfolio's performance
including Russian integrated oil company LUKOIL and global seamless steel pipe
manufacturer Tenaris.
In other sectors, our positions in South African chemical and fuel company
Sasol*, South African wireless network operator MTN Group, and Brazilian
Internet retailer Submarino*, which is not a benchmark constituent, were among
the portfolio's top contributors for the year.
During the reporting period, the portfolio's currency exposure was a
contributor to relative performance. All of MFS' investment decisions are
driven by the fundamentals of each individual opportunity and, as such, it is
common for our portfolios to have different currency exposure than the
benchmark.
DETRACTORS FROM PERFORMANCE
Security selection in the utilities and communications sector was the main
detractor from relative performance. Within this sector, the portfolio's
holdings in Latin American wireless services provider America Movil* and
Brazilian communications company Brasil Telecom Participacoes* hurt results as
shares of both rose subsequent to their elimination from the portfolio. Not
owning strong-performing benchmark constituent Orascom Telecom Holding, a
wireless network operator in the Middle East and Africa, also hindered
relative results.
Our underweighting of the industrial goods and services sector and stock
selection in the leisure sector dampened relative returns. No individual
holdings in either sector were among the top detractors from performance.
Elsewhere, holdings in Indonesian automaker PT Astra International, Brazilian
paper products manufacturer Votorantim Celulose e Papel, Latin American
appliance and furniture retailer Grupo Elektra*, and insurance and financial
services company Liberty Group* held back results. The portfolio's holdings in
benchmark constituent MOL, a Hungarian integrated oil company, also had a
negative impact on performance as we missed the significant run-up in share
price earlier in the year.
The portfolio's cash position was a detractor from relative performance. The
portfolio holds cash to buy new holdings and to provide liquidity. In a period
when equity markets rose, as measured by the portfolio's benchmark, holding
cash hurt performance versus the benchmark, which has no cash position.
*Security was not held in the portfolio at period-end.
GLOBAL GOVERNMENTS SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of -7.20%, while Service Class shares provided
a total return of -7.49%. These returns do not reflect any applicable contract
or surrender charges and compare with a return of -6.53% for the series'
benchmark, the J.P. Morgan Global Government Bond Index.
During the reporting period ended December 31, 2005, the series' benchmark
changed from the Citigroup World Government Bond Index to the J.P. Morgan
Global Government Bond Index.
DETRACTORS FROM PERFORMANCE
The portfolio's currency positions acted as a drag on relative performance.
During the first half of the period, the portfolio's lower exposure to the
U.S. dollar hurt relative results, as the dollar appreciated relative to most
major currencies. During the period, the index generated a higher level of
income than the portfolio.
CONTRIBUTORS TO PERFORMANCE
The portfolio's duration(2) stance and yield curve(3) positioning aided
relative results throughout the period. The portfolio's positions in longer-
term U.S. and European bonds contributed to performance, as long-term interest
rates declined in the U.S. and Europe. Holdings of asset-backed bonds,
government agencies, and bonds in the finance sector also bolstered results.
Holdings in emerging market debt added to performance, driven primarily by
Russian and Mexican bond positions.
GLOBAL TOTAL RETURN SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 3.83%, while Service Class shares provided a
total return of 3.54%. These returns, which do not reflect any applicable
contract or surrender charges, compare with a return of 10.02% for the series'
benchmark, the MSCI World Index. The series' other benchmark, a blended
benchmark comprised of 60% MSCI World Index and 40% J.P. Morgan Global
Government Bond Index, provided a return of 2.90%. The J.P. Morgan Global
Government Bond Index provided a return of -6.53%.
During the period ended December 31, 2005, the series' benchmark changed from
the Standard & Poor's 500 Stock Index to the MSCI World Index.
DETRACTORS FROM PERFORMANCE
Within the equity portion of the series, stock selection within the financial
services sector detracted from performance relative to the MSCI World Index.
Within the sector, an overweighted position in poor-performing mortgage giant
Fannie Mae held back results.
Stock selection was also challenging in the basic materials sector. Holdings
in paper manufacturer International Paper and chemicals company PPG Industries
detracted from performance relative to the MSCI World Index.
Elsewhere, telecommunications firms Vodafone Group and Deutsche Telekom
weighed on results as both stocks underperformed the index. Other detractors
included Premiere AG in the leisure sector and home builder Masco in the autos
and housing sector.
The cash position in the equity portion of the series was also a detractor
from performance relative to the MSCI World Index. The portfolio holds cash to
buy new holdings and to provide liquidity. In a period when equity markets
rose, as measured by the portfolio's benchmark, holding cash hurt performance
versus the benchmark, which has no cash position.
During the reporting period, currency exposure in the equity portion of the
series detracted from performance relative to the MSCI World Index. All of
MFS' equity investment decisions are driven by the fundamentals of each
individual opportunity and, as such, it is common for our portfolios to have
different currency exposure than the benchmark.
Within the fixed income portion of the series, currency positions held back
performance relative to the J.P. Morgan Global Government Bond Index. During
the first half of the period, the portfolio's lower exposure to the U.S.
dollar hurt results, as the dollar appreciated relative to most major
currencies. During the period, the J.P. Morgan Global Government Bond Index
generated a higher level of income than the portfolio.
CONTRIBUTORS TO PERFORMANCE
Within the equity portion of the series, security selection and an
overweighted position in the strong-performing energy sector boosted
performance relative to the MSCI World Index. The portfolio's holdings in
Statoil*, EnCana, and Unocal* contributed to relative results. Holdings in
ConocoPhillips and Tenaris* (not MSCI World Index constituents) also helped.
A combination of an underweighted position and strong stock selection in the
technology sector contributed to investment results. Holdings in Samsung
Electronics aided returns as the stock outperformed the MSCI World Index.
Stock selection and, to a lesser extent, an underweighted position within the
leisure sector contributed to performance over the period. Within the sector,
overweighting Tokyo Broadcasting* added to relative results.
Elsewhere, holdings in utilities and communications firm Fortum* contributed
to performance relative to the MSCI World Index.
Within the fixed income portion of the series, the stance on duration(2) and
yield curve(3) positioning boosted results relative to the J.P. Morgan Global
Government Bond Index. The portfolio's positions in longer-term U.S. and
European bonds contributed to performance, as long-term interest rates declined
in the U.S. and Europe. The portfolio's holdings of asset-backed bonds,
government agencies, and bonds in the finance sector also bolstered results.
Holdings in emerging market debt added to performance, driven primarily by
Russian and Mexican bond positions.
*Security was not held in the portfolio at period-end.
GOVERNMENT SECURITIES SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 2.30%, while Service Class shares provided a
total return of 2.01%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 2.63% for the series'
benchmark, the Lehman Brothers U.S. Government/Mortgage Bond Index.
DETRACTORS FROM PERFORMANCE
Holding lower-yielding issues relative to the portfolio's benchmark held back
results for the period. Our underweighted position in 30-year mortgage-backed
securities, which outperformed comparable-maturity Treasuries, also detracted
from relative performance.
CONTRIBUTORS TO PERFORMANCE
Toward the end of the period, the portfolio's long duration(2) stance versus
the benchmark contributed to performance as long-term interest rates declined.
HIGH YIELD SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 2.19%, while Service Class shares provided a
total return of 1.93%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 2.74% for the series'
benchmark, the Lehman Brothers U.S. High-Yield Corporate Bond Index.
DETRACTORS FROM PERFORMANCE
Several of the portfolio's holdings in the more speculative "CCC"-rated(1)
sectors of the high yield market held back relative performance during the
period.
Holdings that detracted from relative performance included packaging
manufacturer Pliant, cable TV operator Charter Communications, electrical
contracting and maintenance company Integrated Electrical Services*,
independent power producer Calpine*, and auto parts manufacturer Delphi. The
portfolio's holdings in brokerage company Refco* also hurt relative returns as
the value of the company's debt declined due to its alleged involvement in
fraudulent business practices.
CONTRIBUTORS TO PERFORMANCE
The portfolio's overweighted positions in the debt of commodity chemical
companies contributed to relative returns as this sector outperformed the
overall index. Attractive supply-demand dynamics, which boosted earnings and
cash flows, enabled these companies to decrease leverage. Our position in
chemical company Rhodia was among the portfolio's top contributing securities.
The portfolio benefited from several individual holdings that performed well
during the period, including television broadcaster Paxson Communications and
oil and gas company Kerr-McGee.
* Security was not held in the portfolio at period-end.
INTERNATIONAL VALUE SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 15.22%, while Service Class shares provided
a total return of 14.86%. These returns do not reflect any applicable contract
or surrender charges and compare with a return of 14.02% for the series'
benchmark, the MSCI EAFE Index. The portfolio's other benchmark, the MSCI EAFE
Value Index, provided a return of 14.39%.
CONTRIBUTORS TO PERFORMANCE
Stock selection and, to a lesser extent, our overweighting in the strong-
performing energy sector was the primary contributor to the portfolio's
performance relative to the benchmark. Within this sector, Norwegian oil and
gas company Statoil* was the top contributor as the stock posted solid gains
for the period. Other energy holdings that aided results included Canadian oil
and gas producer EnCana, global seamless steel pipe manufacturer Tenaris*, and
French steel tube maker Vallourec, none of which are benchmark constituents.
Strong security selection in the utilities and communications sector, led by
Finnish energy provider Fortum*, contributed to the portfolio's relative
performance.
The portfolio's underweighting in the technology sector helped results as the
sector's returns lagged that of the overall benchmark. Within technology,
South Korean electronics manufacturer Samsung Electronics, which is not a
benchmark constituent, was a particularly strong performer, adding to
benchmark relative returns.
In other sectors, Japanese apparel maker Sanyo Shokai and UK-based airline
operator easyJet*, neither of which are benchmark constituents, boosted
relative returns. Japanese commercial broadcaster Tokyo Broadcasting Systems*
was the top contributing stock to relative performance.
During the reporting period, the portfolio's currency exposure was a
contributor to relative performance. All of MFS' investment decisions are
driven by the fundamentals of each individual opportunity and, as such, it is
common for our portfolios to have different currency exposure than the
benchmark.
DETRACTORS FROM PERFORMANCE
A combination of security selection and underweighted positions in the strong-
performing basic materials and industrial goods and services sectors held back
performance relative to the benchmark. No individual securities in either
sector were among the portfolio's top detractors during the period.
Stock selection in the autos and housing sector also hurt benchmark relative
performance. No individual securities in this sector were among the
portfolio's greatest detractors.
Although the utilities and communications and the technology sectors were top
contributing sectors over the period, several individual holdings in both
sectors hindered performance. These included UK-based wireless service
provider Vodafone Group and German telecommunications company Deutsche Telekom
in the former sector, and Japanese electronic devices manufacturer Seiko
Epison in the latter sector.
Among the portfolio's holdings, German pay-television operator Premiere had
the greatest negative impact on returns as the stock significantly
underperformed the benchmark. Elsewhere, positions in North American frozen
dessert maker CoolBrands International and UK supermarket chain William
Morrison Supermarkets, neither of which are benchmark constituents, detracted
from relative results.
The portfolio's cash position was also a detractor from relative performance.
The portfolio holds cash to buy new holdings and to provide liquidity. In a
period when equity markets rose, as measured by the portfolio's benchmark,
holding cash hurt performance versus the benchmark, which has no cash
position.
* Security was not held in the portfolio at period-end.
STRATEGIC INCOME SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 1.89%, while Service Class shares provided a
total return of 1.61%. These returns do not reflect any applicable contract or
surrender charges and compare with the following returns over the same period
for the series' benchmarks: 10.73% for the J.P. Morgan Emerging Markets Bond
Index Global, 2.74% for the Lehman Brothers U.S. High-Yield Corporate Bond
Index, 5.69% for the Citigroup World Government Bond Non-Dollar Hedged Index,
and 2.43% for the Lehman Brothers U.S. Aggregate Bond Index.
DETRACTORS FROM PERFORMANCE
The portfolio's position in weak-performing "BB"- and "BBB"-rated(1)
securities held back performance during the period.
The portfolio's foreign currency exposure also detracted from results as the
U.S. dollar was strong versus most developed market currencies throughout the
year. Among individual holdings, packaging company Pliant was among the
portfolio's top detractors for the period.
CONTRIBUTORS TO PERFORMANCE
The portfolio's duration(2) stance boosted investment results as short-term
rates rose during the period. The portfolio's positioning along the yield
curve(3) and our holdings of some emerging market sovereign bonds from the
governments of Brazil, Russia, and Panama also contributed to performance.
The views expressed in this report are those of the portfolio managers only
through the end of the period of the report as stated on the cover and do not
necessarily reflect the views of MFS or any other person in the MFS
organization. These views are subject to change at any time based on market
and other conditions, and MFS disclaims any responsibility to update such
views. These views may not be relied upon as investment advice or an
indication of trading intent on behalf of any MFS/Sun Life series. References
to specific securities are not recommendations of such securities, and may not
be representative of any MFS/Sun Life series' current or future investments.
The portfolios are actively managed, and current holdings may be different.
Variable annuities are designed for long-term retirement investing; please see
your investment professional for more information.
(1) Bonds rated "BBB" or higher are considered investment grade; bonds rated
"BB" or lower are considered non-investment grade.
(2) Duration is a measure of a portfolio's sensitivity to changes in interest
rates.
(3) A yield curve graphically depicts the yields of different maturity bonds
of the same credit quality and type; a normal yield curve is upward
sloping, with short-term rates lower than long-term rates.
PORTFOLIO COMPOSITION -- BOND SERIES
PORTFOLIO STRUCTURE (b)
Bonds 98.7%
Cash & Other Net Assets 1.3%
MARKET SECTORS (b)
High Grade Corporates 50.0%
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High Yield Corporates 12.5%
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Mortgage-Backed Securities 10.7%
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Commercial Mortgage-Backed Securities 9.2%
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Emerging Market Bonds 4.3%
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U.S. Government Agencies 4.3%
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U.S. Treasury Securities 4.0%
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Asset-Backed Securities 2.5%
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Cash & Other Net Assets 1.3%
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Municipal Bonds 1.0%
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Non-U.S. Government Bonds 0.2%
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CREDIT QUALITY OF BONDS (r)
AAA 23.6%
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AA 4.8%
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A 15.7%
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BBB 37.0%
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BB 13.5%
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B 2.8%
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Not Rated 2.6%
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PORTFOLIO FACTS
Average Duration (d) 5.1
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Average Life (m) 8.9 yrs.
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Average Maturity (m) 15.2 yrs.
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Average Credit Quality of Rated
Securities (a) A-
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Average Short Term Quality A-1
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(b) For purposes of this graphical presentation, the bond component includes
both accrued interest amounts and the equivalent exposure from any
derivative holdings, if applicable.
(r) Each security is assigned a rating from Moody's Investors Service. If not
rated by Moody's, the rating will be that assigned by Standard & Poor's.
Likewise, if not assigned a rating by Standard & Poor's, it will be based on
the rating assigned by Fitch, Inc. For those portfolios that hold a security
which is not rated by any of the three agencies, the security is considered
Not Rated. Holdings in U.S. Treasuries and government agency mortgage-backed
securities, if any, are included in a "AAA"-rating category. Percentages are
based on the total market value of investments as of 12/31/05.
(m) The average maturity shown is calculated using the final stated maturity on
the portfolio's holdings without taking into account any holdings which have
been pre-refunded to an earlier date or which have a mandatory put date
prior to the stated maturity. The average life shown takes into account
these earlier dates.
(a) The average credit quality of rated securities is based upon a market
weighted average of portfolio holdings that are rated by public rating
agencies.
(d) Duration is a measure of how much a bond price is likely to fluctuate with
general changes in interest rates, e.g., if rates rise 1.00%, a fund with a
5-year duration is likely to lose about 5.00% of its value.
Percentages are based on net assets as of 12/31/05, unless otherwise noted.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- EMERGING MARKETS EQUITY SERIES
PORTFOLIO STRUCTURE
Stocks 96.3%
Preferred Stocks 2.6%
Cash & Other Net Assets 1.1%
TOP TEN HOLDINGS
Samsung Electronics Co. Ltd. 5.6%
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Petroleo Brasileiro S.A., ADR 5.0%
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Companhia Vale do Rio Doce, ADR 2.7%
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Teva Pharmaceutical Industries Ltd., ADR 2.6%
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LUKOIL, ADR 2.5%
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Kookmin Bank 2.3%
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Hon Hai Precision Industry Co. Ltd. 1.9%
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Taiwan Semiconductor Manufacturing
Co. Ltd. 1.9%
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Telefonos de Mexico S.A. de C.V., ADR 1.7%
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Infosys Technologies Ltd., ADR 1.7%
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EQUITY SECTORS
Financial Services 19.4%
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Energy 15.2%
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Technology 14.9%
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Basic Materials 13.4%
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Utilities & Communications 12.2%
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Autos & Housing 5.6%
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Consumer Staples 5.0%
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Health Care 3.6%
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Leisure 1.9%
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Transportation 1.9%
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Special Products & Services 1.7%
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Industrial Goods & Services 0.9%
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Retailing 0.6%
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COUNTRY WEIGHTINGS
Brazil 16.7%
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South Korea 15.5%
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Taiwan 9.6%
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South Africa 7.5%
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Israel 7.3%
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Russia 6.4%
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China 6.0%
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Mexico 5.8%
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India 4.0%
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Other Countries 21.2%
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Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- GLOBAL GOVERNMENTS SERIES
PORTFOLIO STRUCTURE (b)
Bonds 89.3%
Cash & Other Net Assets 10.7%
MARKET SECTORS (b)
Non-U.S. Government Bonds 67.3%
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Cash & Other Net Assets 10.7%
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Commercial Mortgage-Backed Securities 7.7%
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U.S. Treasury Securities 4.9%
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U.S. Government Agencies 4.7%
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Municipal Bonds 2.4%
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Emerging Market Bonds 2.3%
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CREDIT QUALITY OF BONDS (r)
AAA 86.3%
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AA 8.0%
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A 1.2%
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BBB 2.2%
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Not Rated 2.3%
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PORTFOLIO FACTS
Average Duration (d) 4.9
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Average Life (m) 7.8 yrs.
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Average Maturity (m) 9.7 yrs.
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Average Quality of Rated Securities (a) AAA
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Average Short Term Quality A-1
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COUNTRY WEIGHTINGS (b)
United States 32.0%
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Germany 14.7%
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United Kingdom 13.7%
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Japan 9.0%
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New Zealand 7.1%
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Spain 3.7%
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France 3.5%
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Finland 3.1%
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Belgium 2.6%
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Other Countries 10.6%
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(b) For purposes of this graphical presentation, the bond component includes
both accrued interest amounts and the equivalent exposure from any
derivative holdings, if applicable.
(r) Each security is assigned a rating from Moody's Investors Service. If not
rated by Moody's, the rating will be that assigned by Standard & Poor's.
Likewise, if not assigned a rating by Standard & Poor's, it will be based on
the rating assigned by Fitch, Inc. For those portfolios that hold a security
which is not rated by any of the three agencies, the security is considered
Not Rated. Holdings in U.S. Treasuries and government agency mortgage-backed
securities, if any, are included in a "AAA"-rating category. Percentages are
based on the total market value of investments as of 12/31/05.
(m) The average maturity shown is calculated using the final stated maturity on
the portfolio's holdings without taking into account any holdings which have
been pre-refunded to an earlier date or which have a mandatory put date
prior to the stated maturity. The average life shown takes into account
these earlier dates.
(a) The average credit quality of rated securities is based upon a market
weighted average of portfolio holdings that are rated by public rating
agencies.
(d) Duration is a measure of how much a bond price is likely to fluctuate with
general changes in interest rates, e.g., if rates rise 1.00%, a fund with a
5-year duration is likely to lose about 5.00% of its value.
Percentages are based on net assets as of 12/31/05, unless otherwise noted.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- GLOBAL TOTAL RETURN SERIES
PORTFOLIO STRUCTURE (b)
Stocks 61.4%
Bonds 35.4%
Cash & Other Net Assets 2.9%
Preferred Stocks 0.3%
TOP TEN HOLDINGS
United Kingdom Treasury, 5.75%, 2009 3.1%
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United Kingdom Treasury, 8%, 2015 1.8%
------------------------------------------------
Federal Republic of Germany, 6.25%, 2030 1.6%
------------------------------------------------
TOTAL S.A., ADR 1.5%
------------------------------------------------
Government of New Zealand, 6.5%, 2013 1.4%
------------------------------------------------
Nestle S.A. 1.4%
------------------------------------------------
Bank of America Corp. 1.4%
------------------------------------------------
Federal Republic of Germany, 6.25%, 2024 1.3%
------------------------------------------------
Vodafone Group PLC 1.2%
------------------------------------------------
KFW Bankengruppe, 2.328%, 2007 1.1%
------------------------------------------------
EQUITY SECTOR WEIGHTINGS
Financial Services 15.6%
------------------------------------------------
Utilities & Communications 8.8%
------------------------------------------------
Energy 6.4%
------------------------------------------------
Consumer Staples 5.9%
------------------------------------------------
Health Care 4.6%
------------------------------------------------
Industrial Goods & Services 4.0%
------------------------------------------------
Autos & Housing 4.0%
------------------------------------------------
Basic Materials 3.8%
------------------------------------------------
Technology 2.4%
------------------------------------------------
Retailing 2.0%
------------------------------------------------
Leisure 1.9%
------------------------------------------------
Transportation 1.5%
------------------------------------------------
Special Products & Services 0.5%
------------------------------------------------
FIXED INCOME SECTOR WEIGHTINGS (b)
Non U.S. Government Bonds 26.8%
------------------------------------------------
Commercial Mortgage-Backed Securities 2.7%
------------------------------------------------
U.S. Treasury Securities 2.2%
------------------------------------------------
U.S. Government Agencies 1.7%
------------------------------------------------
Emerging Market Bonds 1.0%
------------------------------------------------
Municipal Bonds 0.8%
------------------------------------------------
Mortgage-Backed Securities 0.2%
------------------------------------------------
COUNTRY WEIGHTINGS (b)
United States 38.4%
------------------------------------------------
United Kingdom 13.1%
------------------------------------------------
Japan 10.0%
------------------------------------------------
Germany 8.1%
------------------------------------------------
France 8.0%
------------------------------------------------
New Zealand 3.1%
------------------------------------------------
Switzerland 2.9%
------------------------------------------------
Spain 2.4%
------------------------------------------------
Netherlands 2.2%
------------------------------------------------
Other Countries 11.8%
------------------------------------------------
(b) For purposes of this graphical presentation, the bond component includes
both accrued interest amounts and the equivalent exposure from any
derivative holdings, if applicable.
Percentages are based on net assets as of 12/31/05, unless otherwise noted.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- GOVERNMENT SECURITIES SERIES
PORTFOLIO STRUCTURE (b)
Bonds 96.7%
Cash & Other Net Assets 3.3%
MARKET SECTORS (b)
Mortgage-Backed Securities 48.6%
------------------------------------------------
U.S. Government Agencies 26.9%
------------------------------------------------
U.S. Treasury Securities 21.2%
------------------------------------------------
Cash & Other Net Assets 3.3%
------------------------------------------------
CREDIT QUALITY OF BONDS (r)
AAA 98.5%
------------------------------------------------
Not Rated 1.5%
------------------------------------------------
PORTFOLIO FACTS
Average Duration (d) 4.5
------------------------------------------------
Average Life (m) 7.3 yrs.
------------------------------------------------
Average Maturity (m) 15.3 yrs.
------------------------------------------------
Average Quality of Rated Securities (a) AAA
------------------------------------------------
Average Short Term Quality A-1
------------------------------------------------
(b) For purposes of this graphical presentation, the bond component includes
both accrued interest amounts and the equivalent exposure from any
derivative holdings, if applicable.
(r) Each security is assigned a rating from Moody's Investors Service. If not
rated by Moody's, the rating will be that assigned by Standard & Poor's.
Likewise, if not assigned a rating by Standard & Poor's, it will be based on
the rating assigned by Fitch, Inc. For those portfolios that hold a security
which is not rated by any of the three agencies, the security is considered
Not Rated. Holdings in U.S. Treasuries and government agency mortgage-backed
securities, if any, are included in a "AAA"-rating category. Percentages are
based on the total market value of investments as of 12/31/05.
(m) The average maturity shown is calculated using the final stated maturity on
the portfolio's holdings without taking into account any holdings which have
been pre-refunded to an earlier date or which have a mandatory put date
prior to the stated maturity. The average life shown takes into account
these earlier dates.
(a) The average credit quality of rated securities is based upon a market
weighted average of portfolio holdings that are rated by public rating
agencies.
(d) Duration is a measure of how much a bond price is likely to fluctuate with
general changes in interest rates, e.g., if rates rise 1.00%, a fund with a
5-year duration is likely to lose about 5.00% of its value.
Percentages are based on net assets as of 12/31/05, unless otherwise noted.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- HIGH YIELD SERIES
PORTFOLIO STRUCTURE (b)
Bonds 93.9%
Cash & Other Net Assets 4.7%
Stocks 1.0%
Convertible Preferred 0.3%
Preferred 0.1%
TOP 5 BOND INDUSTRIES (b)
Utilities - Electric Power 7.4%
------------------------------------------------
Gaming & Lodging 7.0%
------------------------------------------------
Medical & Health Technology & Services 6.4%
------------------------------------------------
Automotive 5.7%
------------------------------------------------
Chemicals 4.9%
------------------------------------------------
CREDIT QUALITY OF BONDS (r)
A 0.5%
------------------------------------------------
BBB 6.1%
------------------------------------------------
BB 37.4%
------------------------------------------------
B 40.6%
------------------------------------------------
CCC 13.4%
------------------------------------------------
CC 0.5%
------------------------------------------------
C 0.1%
------------------------------------------------
D 0.1%
------------------------------------------------
Not Rated 1.3%
------------------------------------------------
PORTFOLIO FACTS
Average Duration (d) 4.5
------------------------------------------------
Average Life (m) 7.7 yrs.
------------------------------------------------
Average Maturity (m) 8.3 yrs.
------------------------------------------------
Average Quality of Rated Securities (a) B+
------------------------------------------------
Average Short Term Quality A-1
------------------------------------------------
(b) For purposes of this graphical presentation, the bond component includes
both accrued interest amounts and the equivalent exposure from any
derivative holdings, if applicable.
(r) Each security is assigned a rating from Moody's Investors Service. If not
rated by Moody's, the rating will be that assigned by Standard & Poor's.
Likewise, if not assigned a rating by Standard & Poor's, it will be based on
the rating assigned by Fitch, Inc. For those portfolios that hold a security
which is not rated by any of the three agencies, the security is considered
Not Rated. Holdings in U.S. Treasuries and government agency mortgage-backed
securities, if any, are included in a "AAA"-rating category. Percentages are
based on the total market value of investments as of 12/31/05.
(m) The average maturity shown is calculated using the final stated maturity on
the portfolio's holdings without taking into account any holdings which have
been pre-refunded to an earlier date or which have a mandatory put date
prior to the stated maturity. The average life shown takes into account
these earlier dates.
(a) The average credit quality of rated securities is based upon a market
weighted average of portfolio holdings that are rated by public rating
agencies.
(d) Duration is a measure of how much a bond price is likely to fluctuate with
general changes in interest rates, e.g., if rates rise 1.00%, a fund with a
5-year duration is likely to lose about 5.00% of its value.
Percentages are based on net assets as of 12/31/05, unless otherwise noted.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- INTERNATIONAL VALUE SERIES
PORTFOLIO STRUCTURE
Stocks 96.7%
Cash & Other Net Assets 2.5%
Preferred Stocks 0.8%
TOP TEN HOLDINGS
Nestle S.A. 3.0%
------------------------------------------------
TOTAL S.A., ADR 2.6%
------------------------------------------------
Vodafone Group PLC 2.5%
------------------------------------------------
Takefuji Corp. 2.2%
------------------------------------------------
Credit Agricole S.A. 1.8%
------------------------------------------------
Tokyo Gas Co. Ltd. 1.8%
------------------------------------------------
Royal Bank of Scotland Group PLC 1.7%
------------------------------------------------
TNT N.V. 1.7%
------------------------------------------------
BP PLC, ADR 1.7%
------------------------------------------------
Syngenta AG 1.6%
------------------------------------------------
EQUITY SECTORS
Financial Services 20.9%
------------------------------------------------
Utilities & Communications 16.4%
------------------------------------------------
Energy 10.6%
------------------------------------------------
Consumer Staples 9.7%
------------------------------------------------
Autos & Housing 8.4%
------------------------------------------------
Retailing 6.0%
------------------------------------------------
Technology 5.4%
------------------------------------------------
Health Care 5.0%
------------------------------------------------
Basic Materials 5.1%
------------------------------------------------
Leisure 4.8%
------------------------------------------------
Transportation 2.7%
------------------------------------------------
Industrial Goods & Services 1.7%
------------------------------------------------
COUNTRY WEIGHTINGS
Great Britain 22.2%
------------------------------------------------
Japan 19.3%
------------------------------------------------
France 16.0%
------------------------------------------------
Germany 6.9%
------------------------------------------------
Switzerland 6.3%
------------------------------------------------
Netherlands 5.0%
------------------------------------------------
South Korea 4.6%
------------------------------------------------
Sweden 3.2%
------------------------------------------------
Norway 2.6%
------------------------------------------------
Other Countries 13.9%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- MONEY MARKET SERIES
PORTFOLIO STRUCTURE (b)
Commercial Paper 89.5%
Repurchase Agreements 8.8%
Cash & Other Net Assets 1.7%
SHORT TERM CREDIT QUALITY (r)
A-1 100.0%
------------------------------------------------
MONEY MARKET MATURITY (b)
0-29 44.5%
------------------------------------------------
30-59 42.4%
------------------------------------------------
60-89 11.4%
------------------------------------------------
Other 1.7%
------------------------------------------------
(b) For purposes of this graphical presentation, the bond component includes
both accrued interest amounts and the equivalent exposure from any
derivative holdings, if applicable.
(r) Each security is assigned a rating from Moody's Investors Service. If not
rated by Moody's, the rating will be that assigned by Standard & Poor's.
Likewise, if not assigned a rating by Standard & Poor's, it will be based on
the rating assigned by Fitch, Inc. For those portfolios that hold a security
which is not rated by any of the three agencies, the security is considered
Not Rated. Holdings in U.S. Treasuries and government agency mortgage-backed
securities, if any, are included in a "AAA"-rating category. Percentages are
based on the total market value of investments as of 12/31/05.
Percentages are based on net assets as of 12/31/05, unless otherwise noted.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- STRATEGIC INCOME SERIES
PORTFOLIO STRUCTURE (b)
Bonds 98.1%
Cash & Other Net Assets 1.6%
Convertible Preferred 0.2%
Convertibles 0.1%
MARKET SECTORS (b)
High Yield Corporates 34.5%
------------------------------------------------
Non-U.S. Government Bonds 16.1%
------------------------------------------------
Emerging Market Bonds 13.1%
------------------------------------------------
High Grade Corporates 12.3%
------------------------------------------------
Commercial Mortgage-Backed Securities 7.9%
------------------------------------------------
Mortgage-Backed Securities 5.9%
------------------------------------------------
U.S. Treasury Securities 4.1%
------------------------------------------------
U.S. Government Agencies 3.8%
------------------------------------------------
Cash & Other Net Assets 1.6%
------------------------------------------------
Asset-Backed Securities 0.4%
------------------------------------------------
U.S. Convertibles 0.3%
------------------------------------------------
CREDIT QUALITY OF BONDS (r)
AAA 30.3%
------------------------------------------------
AA 1.8%
------------------------------------------------
A 6.8%
------------------------------------------------
BBB 16.9%
------------------------------------------------
BB 21.4%
------------------------------------------------
B 16.4%
------------------------------------------------
CCC 5.2%
------------------------------------------------
CC 0.1%
------------------------------------------------
Not Rated 1.1%
------------------------------------------------
PORTFOLIO FACTS
Average Duration (d) 4.3
------------------------------------------------
Average Life (m) 7.5 yrs.
------------------------------------------------
Average Maturity (m) 10.5 yrs.
------------------------------------------------
Average Quality of Rated
Securities (a) BBB+
------------------------------------------------
Average Short Term Quality A-1
------------------------------------------------
COUNTRY WEIGHTINGS (b)
United States 64.4%
------------------------------------------------
Germany 4.1%
------------------------------------------------
Russia 3.4%
------------------------------------------------
Mexico 2.7%
------------------------------------------------
United Kingdom 2.7%
------------------------------------------------
Ireland 2.4%
------------------------------------------------
Netherlands 2.2%
------------------------------------------------
France 2.1%
------------------------------------------------
New Zealand 1.9%
------------------------------------------------
Other Countries 14.1%
------------------------------------------------
(b) For purposes of this graphical presentation, the bond component includes
both accrued interest amounts and the equivalent exposure from any
derivative holdings, if applicable.
(r) Each security is assigned a rating from Moody's Investors Service. If not
rated by Moody's, the rating will be that assigned by Standard & Poor's.
Likewise, if not assigned a rating by Standard & Poor's, it will be based on
the rating assigned by Fitch, Inc. For those portfolios that hold a security
which is not rated by any of the three agencies, the security is considered
Not Rated. Holdings in U.S. Treasuries and government agency mortgage-backed
securities, if any, are included in a "AAA"-rating category. Percentages are
based on the total market value of investments as of 12/31/05.
(m) The average maturity shown is calculated using the final stated maturity on
the portfolio's holdings without taking into account any holdings which have
been pre-refunded to an earlier date or which have a mandatory put date
prior to the stated maturity. The average life shown takes into account
these earlier dates.
(a) The average credit quality of rated securities is based upon a market
weighted average of portfolio holdings that are rated by public rating
agencies.
(d) Duration is a measure of how much a bond price is likely to fluctuate with
general changes in interest rates, e.g., if rates rise 1.00%, a fund with a
5-year duration is likely to lose about 5.00% of its value.
Percentages are based on net assets as of 12/31/05, unless otherwise noted.
The portfolio is actively managed, and current holdings may be different.
PERFORMANCE SUMMARY
The information below and on the following pages illustrates the historical
performance of each series in comparison to its benchmark(s). Benchmark
comparisons are unmanaged and do not reflect any fees or expenses. The
performance of other share classes will be more than or less than the line
shown. It is not possible to invest directly in an index. (See Notes to
Performance Summary.)
PERFORMANCE DATA SHOWN REPRESENTS PAST PERFORMANCE AND IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE FLUCTUATE SO YOUR UNITS, WHEN
SOLD, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST; CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER THAN QUOTED. FOR MOST RECENT MONTH-END PERFORMANCE, PLEASE
VISIT SUNLIFE-USA.COM. THE PERFORMANCE SHOWN DOES NOT REFLECT THE DEDUCTION OF
TAXES, IF ANY, THAT A CONTRACT HOLDER WOULD PAY ON DISTRIBUTIONS OR REDEMPTION
OF CONTRACT UNITS.
BOND SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
(For the period from the commencement of the series' investment operations, May
6, 1998, through December 31, 2005. Index information is from May 1, 1998.)
Bond Series Lehman Brothers
- Initial U.S. Government/
Class Credit Bond Index
5/98 $10,000 $10,000
12/98 10,690 10,730
12/99 10,509 10,499
12/00 11,579 11,744
12/01 12,488 12,742
12/02 13,678 14,149
12/03 15,007 14,809
12/04 15,945 15,430
12/05 16,225 15,796
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 5/06/98 1.75% 6.98% 6.53%
Service Class 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 1.59% 6.75% 6.37%
COMPARATIVE BENCHMARK
1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Lehman Brothers U.S. Government/
Credit Bond Index (s) 2.37% 6.11% 6.14%
(t) For the period from the commencement of the series' investment operations,
May 6, 1998, through December 31, 2005. Index information is from May 1,
1998.
(s) Source: Standard & Poor's Micropal, Inc.
EMERGING MARKETS EQUITY SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
(For the period from the commencement of the series' investment operations,
June 5, 1996, through December 31, 2005. Index information is from June 1,
1996.)
Emerging Markets MSCI
Equity Series Emerging
- Initial Class Markets Index
6/96 $10,000 $10,000
12/96 $10,000 9,641
12/97 11,046 8,524
12/98 7,735 6,364
12/99 11,794 10,590
12/00 9,110 7,349
12/01 9,017 7,174
12/02 8,847 6,744
12/03 13,501 10,539
12/04 17,171 13,274
12/05 23,483 17,859
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 6/05/96 36.76% 20.85% 9.33%
Service Class 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 36.36% 20.58% 9.20%
COMPARATIVE BENCHMARK
1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
MSCI Emerging Markets Index (s) 34.54% 19.44% 6.24%
(t) For the period from the commencement of the series' investment operations,
June 5, 1996, through December 31, 2005. Index information is from June 1,
1996.
(s) Source: Standard & Poor's Micropal, Inc.
PERFORMANCE SUMMARY -- continued
GLOBAL GOVERNMENTS SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
(For the 10-year period ended December 31, 2005.)
Global Governments Citigroup World J.P. Morgan Global
Series Government Government
- Initial Class Bond Index Bond Index
-------------------------------------------------------------------
12/95 $10,000 $10,000 $10,000
12/96 10,466 10,362 10,440
12/97 10,386 10,386 10,586
12/98 11,992 11,976 12,207
12/99 11,371 11,465 11,587
12/00 11,509 11,647 11,859
12/01 11,266 11,532 11,763
12/02 13,591 13,780 14,043
12/03 15,711 15,834 16,081
12/04 17,291 17,473 17,705
12/05 16,045 16,272 16,550
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Average Annual Total Return 5/16/88 -7.20% 6.87% 4.84%
Service Class 1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 -7.49% 6.63% 4.72%
COMPARATIVE BENCHMARKS
1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Citigroup World Government
Bond Index (e)(s) -6.88% 6.92% 4.99%
J.P. Morgan Global Government
Bond Index (s) -6.53% 6.89% 5.17%
(e) Effective June 30, 2005, we no longer use the Citigroup World Government
Bond Index as a benchmark because we believe the J.P. Morgan Global
Government Bond Index better reflects the series' investment policies and
objectives.
(s) Source: Standard & Poor's Micropal, Inc.
GLOBAL TOTAL RETURN SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
(For the 10-year period ended December 31, 2005.)
Global 60% MSCI World/ Standard
Total Return 40% J.P. Morgan MSCI % Poor's
Series Global Government World 500 Stock
- Initial Class Bond Index Index Index
------------------------------------------------------------------
12/95 $10,000 $10,000 $10,000 $10,000
12/96 11,433 10,986 11,400 12,295
12/97 12,989 12,091 13,249 16,395
12/98 15,376 14,670 16,535 21,080
12/99 16,671 16,460 20,725 22,515
12/00 17,051 15,293 18,047 23,194
12/01 15,999 13,716 15,066 20,440
12/02 16,091 12,990 12,122 15,924
12/03 19,788 16,319 16,214 20,489
12/04 23,175 18,424 18,686 22,717
12/05 24,061 18,959 20,559 23,832
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Average Annual Total Return 11/07/94 3.83% 7.13% 9.18%
Service Class 1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 3.54% 6.90% 9.06%
COMPARATIVE BENCHMARKS
1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
MSCI World Index (s) 10.02% 2.64% 7.47%
60% MSCI World/40% J.P. Morgan Global
Government Bond Index (s) 2.90% 4.39% 6.61%
Standard & Poor's 500 Stock Index (e)(s) 4.91% 0.54% 9.07%
(s) Source: Standard & Poor's Micropal, Inc.
(e) Effective December 13, 2005, we no longer use the Standard & Poor's 500
Stock Index as a benchmark because we believe the MSCI World Index better
reflects the series' investment policies and objectives.
PERFORMANCE SUMMARY -- continued
GOVERNMENT SECURITIES SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
(For the 10-year period ended December 31, 2005.)
Government Lehman Brothers
Securities U.S. Government/
Series Mortgage Bond
- Initial Class Index
12/95 $10,000 $10,000
12/96 10,165 10,368
12/97 11,051 11,358
12/98 12,012 12,348
12/99 11,787 12,282
12/00 13,215 13,791
12/01 14,202 14,855
12/02 15,594 16,349
12/03 15,929 16,795
12/04 16,528 17,480
12/05 16,909 17,940
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Average Annual Total Return 6/12/85 2.30% 5.05% 5.39%
Service Class 1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 2.01% 4.83 5.28%
COMPARATIVE BENCHMARK
1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Lehman Brothers U.S. Government/Mortgage
Bond Index (s) 2.63% 5.40% 6.02%
(s) Source: Standard & Poor's Micropal, Inc.
HIGH YIELD SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
(For the 10-year period ended December 31, 2005.)
High Yield Lehman Brothers Lipper
Series U.S. High-Yield High-Current
- Initial Corporate Yield
Class Bond Index Index
12/95 $10,000 $10,000 $10,000
12/96 11,212 11,135 11,297
12/97 12,697 12,556 12,786
12/98 12,770 12,791 12,776
12/99 13,654 13,097 13,387
12/00 12,726 12,329 12,085
12/01 12,955 12,980 11,961
12/02 13,304 12,798 11,673
12/03 16,157 16,505 14,750
12/04 17,699 18,342 16,274
12/05 18,087 18,844 16,605
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Average Annual Total Return 6/12/85 2.19% 7.28% 6.11%
Service Class 1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 1.93% 7.06% 5.99%
COMPARATIVE BENCHMARK
1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Lehman Brothers U.S. High-Yield Corporate
Bond Index (s) 2.74% 8.85% 6.54%
Lipper High-Current Yield Index (l) 2.03% 6.56% 5.20%
(s) Source: Standard & Poor's Micropal, Inc.
(l) Source: Lipper Inc., an independent firm that reports mutual fund
performance.
PERFORMANCE SUMMARY -- continued
INTERNATIONAL VALUE SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
(For the 10-year period ended December 31, 2005.)
International MSCI MSCI
Value Series EAFE EAFE
- Initial Class Value Index Index
12/95 $10,000 $10,000 $10,000
12/96 10,484 10,922 10,636
12/97 11,168 11,120 10,855
12/98 13,590 13,133 13,062
12/99 15,927 16,355 16,628
12/00 15,557 15,894 14,307
12/01 13,280 12,998 11,273
12/02 12,502 10,970 9,508
12/03 16,705 16,013 13,232
12/04 21,387 19,997 15,971
12/05 24,641 22,875 18,209
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Average Annual Total Return 10/02/95 15.22% 9.63% 9.44%
Service Class 1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 14.86% 9.44% 9.34%
COMPARATIVE BENCHMARKS
1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
MSCI EAFE Value Index (s) 14.39% 7.55% 8.63%
MSCI EAFE Index (s) 14.02% 4.94% 6.18%
(s) Source: Standard & Poor's Micropal, Inc.
MONEY MARKET SERIES
TOTAL RETURNS THROUGH 12/31/05
Current(y)
Class 7-day Yield
Inception 1-yr (with and
Initial Class Date Total Return without waiver)
- --------------------------------------------------------------------------------
7/19/85 2.72% 3.79%
Current(y)
Class 7-day Yield
Inception 1-yr (with and
Date Total Return without waiver)
- --------------------------------------------------------------------------------
8/24/01 2.46% 3.56%
(y) Based on the latest seven days ended as of December 31, 2005, with dividends
annualized. The yield quotation more closely reflects the current earnings
of the fund than the total return quotation.
PERFORMANCE SUMMARY -- continued
STRATEGIC INCOME SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
(For the period from the commencement of the series' investment operations,
May 6, 1998, through December 31, 2005. Index information is from May 1,
1998.)
Lehman
Strategic Citigroup World J.P. Morgan Lehman Brothers
Income Government Bond Emerging Brothers U.S. High-
Series Bond Non-Dollar Markets Bond U.S. Aggregate Yield
- Initial Hedged Index Bond Corporate
Class Index Global Index Bond Index
5/98 $10,000 $10,000 $10,000 $10,000 $10,000
12/98 10,040 10,767 8,367 10,647 9,817
12/99 10,503 11,077 10,390 10,559 10,052
12/00 10,805 12,144 11,886 11,787 9,463
12/01 11,162 12,887 12,048 12,782 9,962
12/02 12,001 13,770 13,628 14,093 9,822
12/03 13,548 14,029 17,125 14,671 12,668
12/04 14,637 14,755 19,133 15,308 14,078
12/05 14,914 15,595 21,187 15,680 14,463
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 5/06/98 1.89% 6.66% 5.36%
Service Class 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 1.61% 6.42% 5.20%
COMPARATIVE BENCHMARKS
1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Citigroup World Government Bond
Non-Dollar Hedged Index (s) 5.69% 5.13% 5.97%
J.P. Morgan Emerging Markets Bond
Index Global (b) 10.73% 12.25% 10.29%
Lehman Brothers U.S. Aggregate
Bond Index (s) 2.43% 5.87% 6.04%
Lehman Brothers U.S. High-Yield Corporate
Bond Index (s) 2.74% 8.85% 4.93%
(t) For the period from the commencement of the series' investment operations,
May 6, 1998, through December 31, 2005. Index information is from May 1,
1998.
(b) Source: Bloomberg.
(s) Source: Standard & Poor's Micropal, Inc.
PERFORMANCE SUMMARY -- continued
INDEX DEFINITIONS
LEHMAN BROTHERS U.S. GOVERNMENT/CREDIT BOND INDEX - measures investment grade
debt obligations of the U.S. Treasury and U.S. government agencies, as well as
U.S. corporate and foreign debentures and secured notes that meet specified
maturity, liquidity, and quality requirements.
MSCI EMERGING MARKETS INDEX - a market capitalization index that is designed to
measure equity market performance in the global emerging markets.
CITIGROUP WORLD GOVERNMENT BOND INDEX - a market capitalization-weighted
benchmark that tracks the performance of the 21 government bond markets of
Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece,
Ireland, Italy, Japan, the Netherlands, Norway, Poland, Portugal, Spain, Sweden,
Switzerland, the United Kingdom, and the United States.
J.P. MORGAN GLOBAL GOVERNMENT BOND INDEX - measures developed government bond
markets around the world.
MSCI WORLD INDEX - a market capitalization index that is designed to measure
global developed market equity performance.
STANDARD & POOR'S 500 STOCK INDEX - a capitalization-weighted index of 500
widely held equity securities, designed to measure broad U.S. equity
performance.
LEHMAN BROTHERS U.S. GOVERNMENT/MORTGAGE BOND INDEX - measures debt issued by
the U.S. Government as well as mortgage-backed pass-through securities of
Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC).
LEHMAN BROTHERS U.S. HIGH-YIELD CORPORATE BOND INDEX - measures the universe
of non-investment grade, fixed rate debt. Eurobonds, and debt issues from
countries designated as emerging markets (e.g., Argentina, Brazil, Venezuela,
etc.) are excluded.
MSCI EAFE (EUROPE, AUSTRALASIA, FAR EAST) VALUE INDEX - a market
capitalization index that is designed to measure developed market equity
performance for value securities, excluding the U.S. and Canada.
MSCI EAFE (EUROPE, AUSTRALASIA, FAR EAST) INDEX - a market capitalization
index that is designed to measure developed market equity performance,
excluding the U.S. & Canada.
CITIGROUP WORLD GOVERNMENT BOND NON-DOLLAR HEDGED INDEX - a market
capitalization-weighted index that tracks the currency-hedged performance of
the major government bond markets, excluding the United States. Country
eligibility is determined based upon market capitalization and investability
criteria.
J.P. MORGAN EMERGING MARKETS BOND INDEX GLOBAL - tracks total returns for
dollar-denominated Brady Bonds, Eurobonds, traded loans and local market debt
instruments issued by sovereign and quasi-sovereign entities of emerging
markets countries.
LEHMAN BROTHERS U.S. AGGREGATE BOND INDEX - measures the U.S. investment grade,
fixed rate bond market, with index components for government and corporate
securities, mortgage pass-through securities, and asset-backed securities.
Lipper High-Current Yield Bond Index - measures the 30 largest retail mutual
funds in the Lipper High Yield category.
It is not possible to invest directly in an index.
NOTES TO PERFORMANCE SUMMARY
Initial Class shares have no sales charge. Service Class shares have no sales
charge and carry a 0.25% annual Rule 12b-1 fee.
Service Class share performance includes the performance of Initial Class shares
for periods prior to the inception of Service Class shares (blended
performance). These blended performance figures have not been adjusted to take
into account differences in the class-specific operating expenses (such as Rule
12b-1 fees). Because operating expenses of Service Class shares are generally
higher than those of Initial Class shares, the blended Service Class shares
performance shown is higher than it would have been had Service Class shares
been offered for the entire period.
Performance results reflect any applicable expense subsidies and waivers in
ffect during the periods shown; without these the results would have been less
favorable. See the prospectus for details. All results are historical and assume
the reinvestment of any dividends and capital gains distributions.
Money Market Series performance results reflect any applicable expense
subsidies, waivers and adjustments in effect during the periods shown.
Subsidies and fee waivers may be imposed to enhance a portfolio's yield during
periods when the portfolio's operating expenses have a significant impact on
the portfolio's yield due to lower interest rates. Without such subsidies,
waivers and adjustments, the results would have been less favorable. See the
prospectus for details. All results are historical and assume the reinvestment
of dividends and capital gains.
The returns for the series shown do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk charges,
separate account charges, and sales charges imposed by insurance company
separate accounts. Such expenses would reduce the overall returns shown.
From time to time the series may receive proceeds from litigation settlements,
without which performance would be lower.
KEY RISK CONSIDERATIONS
BOND SERIES
The portfolio's yield and share prices change daily based on the credit
quality of its investments and changes in interest rates. In general, the
value of debt securities will decline when interest rates rise and will
increase when interest rates fall. Debt securities with longer maturity dates
will be subject to greater price fluctuations than those with shorter
maturities. Mortgage securities are subject to prepayment risk which can offer
less potential for gains in a declining interest rate environment and greater
potential for loss in a rising interest rate environment. Derivatives involve
risks different from, and greater than, those of the underlying indicator(s)
in whose value the derivative is based. The value of the derivative can move
in unexpected ways and result in unanticipated losses and increased volatility
if the value of the underlying indicator(s) does not move in the direction or
the extent anticipated. Foreign investments can be more volatile than U.S.
investments.
EMERGING MARKET EQUITY SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. Investing in emerging markets can
involve risks in addition to those generally associated with investing in more
developed foreign markets. Changes in currency exchange rates may affect the
portfolio's net asset value. The value of dividends and interest earned, and
gains and losses realized on the sale of securities. Because MFS may invest a
relatively large percentage of the portfolio's assets in issuers located in a
single country or a small number of countries, the portfolio's performance
could be closely tied to the market, economic, political or regulatory
conditions and developments in those countries and could be more volatile than
the performance of more geographically diversified portfolios.
GLOBAL GOVERNMENTS SERIES
The portfolio's yield and share prices change daily based on the credit
quality of its investments and changes in interest rates. In general, the
value of debt securities will decline when interest rates rise and will
increase when interest rates fall. Debt securities with longer maturity dates
will be subject to greater price fluctuations than those with shorter
maturities. Mortgage securities are subject to prepayment risk which can offer
less potential for gains in a declining interest rate environment and greater
potential for loss in a rising interest rate environment. Derivatives involve
risks different from, and greater than, those of the underlying indicator(s)
in whose value the derivative is based. The value of the derivative can move
in unexpected ways and result in unanticipated losses and increased volatility
if the value of the underlying indicator(s) does not move in the direction or
the extent anticipated. Because MFS may invest a relatively large percentage
of the portfolio's assets in issuers located in a single country or a small
number of countries, the portfolio's performance could be closely tied to the
market, economic, political or regulatory conditions and developments in those
countries and could be more volatile than the performance of more
geographically diversified portfolios. Foreign investments can be more
volatile than U.S. investments. Changes in currency exchange rates may affect
the portfolio's net asset value, the value of dividends and interest earned,
and gains and losses realized on the sale of securities. Investing in emerging
markets can involve risks in addition to those generally associated with
investing in more developed foreign markets. Because the portfolio is
considered non-diversified, MFS may invest a significant percentage of the
portfolio's assets in a single issuer or a small number of issuers.
GLOBAL TOTAL RETURN SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. Investing in emerging markets can
involve risks in addition to those generally associated with investing in more
developed foreign markets. Changes in currency exchange rates may affect the
portfolio's net asset value, the value of dividends and interest earned, and
gains and losses realized on the sale of securities. Because MFS may invest a
relatively large percentage of the portfolio's assets in issuers located in a
single country or a small number of countries, the portfolio's performance
could be closely tied to the market, economic, political or regulatory
conditions and developments in those countries and could be more volatile than
the performance of more geographically diversified portfolios. The portfolio's
yield and share prices change daily based on the credit quality of its
investments and changes in interest rates. In general, the value of debt
securities will decline when interest rates rise and will increase when
interest rates fall. Debt securities with longer maturity dates will be
subject to greater price fluctuations than those with shorter maturities.
Derivatives involve risks different from, and greater than, those of the
underlying indicator(s) in whose value the derivative is based. The value of
the derivative can move in unexpected ways and result in unanticipated losses
and increased volatility if the value of the underlying indicator(s) does not
move in the direction or the extent anticipated.
GOVERNMENT SECURITIES SERIES
The portfolio's yield and share prices change daily based on the credit
quality of its investments and changes in interest rates. In general, the
value of debt securities will decline when interest rates rise and will
increase when interest rates fall. Debt securities with longer maturity dates
will be subject to greater price fluctuations than those with shorter
maturities. Mortgage securities are subject to prepayment risk which can offer
less potential for gains in a declining interest rate environment and greater
potential for loss in a rising interest rate environment. Derivatives involve
risks different from, and greater than, those of the underlying indicator(s)
in whose value the derivative is based. The value of the derivative can move
in unexpected ways and result in unanticipated losses and increased volatility
if the value of the underlying indicator(s) does not move in the direction or
the extent anticipated.
HIGH YIELD SERIES
The portfolio's yield and share prices change daily based on the credit
quality of its investments and changes in interest rates. In general, the
value of debt securities will decline when interest rates rise and will
increase when interest rates fall. Debt securities with longer maturity dates
will be subject to greater price fluctuations than those with shorter
maturities. Derivatives involve risks different from, and greater than, those
of the underlying indicator(s) in whose value the derivative is based. The
value of the derivative can move in unexpected ways and result in
unanticipated losses and increased volatility if the value of the underlying
indicator(s) does not move in the direction or the extent anticipated. Lower
quality debt securities involve substantially greater risk of default and
their value can decline significantly over time. Foreign investments can be
more volatile than U.S. investments. Investing in emerging markets can involve
risks in addition to those generally associated with investing in more
developed foreign markets.
INTERNATIONAL VALUE SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. Changes in currency exchange rates may
affect the portfolio's net asset value, the value of dividends and interest
earned, and gains and losses realized on the sale of securities. Investing in
emerging markets can involve risks in addition to those generally associated
with investing in more developed foreign markets. Because MFS may invest a
relatively large percentage of the portfolio's assets in issuers located in a
single country or a small number of countries, the portfolio's performance
could be closely tied to the market, economic, political or regulatory
conditions and developments in those countries and could be more volatile than
the performance of more geographically diversified portfolios. Value stocks
may perform differently from the general stock market and can continue to be
undervalued for long periods of time and not realize their full value.
MONEY MARKET SERIES
The portfolio's yield changes daily and is are based on changes in interest
rates and market conditions, and in response to other economic, political, or
financial developments. The value of the portfolio's investments may fluctuate
in response to many factors including the performance and valuation of the
issuer and general market conditions. Foreign investments can be more volatile
than U.S. investments. The value of the portfolio's domestic investments will
fluctuate. Investors should note that while securities issued by certain U.S.
government agencies or instrumentalities are guaranteed by the U.S.
government, securities issued by many U.S. government agencies are not
guaranteed by the U.S. government. Although the portfolio(s) seek to preserve
the value of your investment at $1.00 per share, it is possible to lose money
by investing in the portfolio.
STRATEGIC INCOME SERIES
The portfolio's yield and share prices change daily based on the credit
quality of its investments and changes in interest rates. In general, the
value of debt securities will decline when interest rates rise and will
increase when interest rates fall. Debt securities with longer maturity dates
will be subject to greater price fluctuations than those with shorter
maturities. Mortgage securities are subject to prepayment risk which can offer
less potential for gains in a declining interest rate environment and greater
potential for loss in a rising interest rate environment. Derivatives involve
risks different from, and greater than, those of the underlying indicator(s)
in whose value the derivative is based. The value of the derivative can move
in unexpected ways and result in unanticipated losses and increased volatility
if the value of the underlying indicator(s) does not move in the direction or
the extent anticipated. Lower quality debt securities involve substantially
greater risk of default and their value can decline significantly over time.
Foreign investments can be more volatile than U.S. investments. Investing in
emerging markets can involve risks in addition to those generally associated
with investing in more developed foreign markets.
When you sell your units, they may be worth more or less than the amount you
paid for them.
Please see the prospectus for further information regarding these and other
risks considerations.
EXPENSE TABLES
SERIES EXPENSES BORNE BY THE SHAREHOLDERS DURING THE PERIOD,
JULY 1, 2005 THROUGH DECEMBER 31, 2005
As a shareholder of the series, you incur ongoing costs, including management
fees; distribution (12b-1) fees; and other series expenses. This example is
intended to help you understand your ongoing costs (in dollars) of investing
in the series and to compare these costs with the ongoing costs of investing
in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of
the period and held for the entire period, July 1, 2005 through December 31,
2005.
ACTUAL EXPENSES
The first line for each share class in the following tables provides
information about actual account values and actual expenses. You may use the
information in this line, together with the amount you invested, to estimate
the expenses that you paid over the period. Simply divide your account value
by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then
multiply the result by the number in the first line under the heading entitled
"Expenses Paid During Period" to estimate the expenses you paid on your
account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each share class in the following tables provides
information about hypothetical account values and hypothetical expenses based
on the series' actual expense ratio and an assumed rate of return of 5% per
year before expenses, which is not the series' actual return. The hypothetical
account values and expenses may not be used to estimate the actual ending
account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in the series and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight the
series' ongoing costs only and do not take into account the fees and expenses
imposed under the variable contracts through which your investment in the
series is made. Therefore, the second line for each share class in the tables
is useful in comparing ongoing costs associated with an investment in vehicles
(such as the series) which fund benefits under variable annuity and variable
life insurance contracts and to qualified pension and retirement plans only,
and will not help you determine the relative total costs of investing in the
series through variable annuity and variable life insurance contracts. If the
fees and expenses imposed under the variable contracts were included, your
costs would have been higher.
Beginning Ending
Annualized Account Account Expenses Paid
Expense Value Value During Period (p)
BOND SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.73% $1,000.00 $999.10 $3.68
Hypothetical (h) 0.73% $1,000.00 $1,021.53 $3.72
Service Class
Actual 0.98% $1,000.00 $998.20 $4.94
Hypothetical (h) 0.98% $1,000.00 $1,020.27 $4.99
Beginning Ending
Annualized Account Account Expenses Paid
EMERGING MARKETS Expense Value Value During Period (p)
EQUITY SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 1.27% $1,000.00 $1,275.70 $7.28
Hypothetical (h) 1.27% $1,000.00 $1,018.80 $6.46
Service Class
Actual 1.52% $1,000.00 $1,274.10 $8.71
Hypothetical (h) 1.52% $1,000.00 $1,017.54 $7.73
Beginning Ending
Annualized Account Account Expenses Paid
GLOBAL Expense Value Value During Period (p)
GOVERNMENTS SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 1.00% $1,000.00 $967.10 $4.96
Hypothetical (h) 1.00% $1,000.00 $1,020.16 $5.09
Service Class
Actual 1.25% $1,000.00 $965.10 $6.19
Hypothetical (h) 1.25% $1,000.00 $1,018.90 $6.36
Beginning Ending
Annualized Account Account Expenses Paid
GLOBAL TOTAL Expense Value Value During Period (p)
RETURN SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.93% $1,000.00 $1,050.40 $4.81
Hypothetical (h) 0.93% $1,000.00 $1,020.52 $4.74
Service Class
Actual 1.18% $1,000.00 $1,048.80 $6.09
Hypothetical (h) 1.18% $1,000.00 $1,019.26 $6.01
Beginning Ending
Annualized Account Account Expenses Paid
GOVERNMENT Expense Value Value During Period (p)
SECURITIES SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.63% $1,000.00 $999.20 $3.17
Hypothetical (h) 0.63% $1,000.00 $1,022.03 $3.21
Service Class
Actual 0.88% $1,000.00 $997.70 $4.43
Hypothetical (h) 0.88% $1,000.00 $1,020.77 $4.48
Beginning Ending
Annualized Account Account Expenses Paid
Expense Value Value During Period (p)
HIGH YIELD SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.87% $1,000.00 $1,017.90 $4.43
Hypothetical (h) 0.87% $1,000.00 $1,020.82 $4.43
Service Class
Actual 1.12% $1,000.00 $1,016.50 $5.69
Hypothetical (h) 1.12% $1,000.00 $1,019.56 $5.70
Beginning Ending
Annualized Account Account Expenses Paid
INTERNATIONAL Expense Value Value During Period (p)
VALUE SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- --------------------------------------------------------------------------------------------
Initial Class
Actual 1.14% $1,000.00 $1,144.80 $6.16
Hypothetical (h) 1.14% $1,000.00 $1,019.46 $5.80
Service Class
Actual 1.39% $1,000.00 $1,143.20 $7.51
Hypothetical (h) 1.39% $1,000.00 $1,018.20 $7.07
Beginning Ending
Annualized Account Account Expenses Paid
Expense Value Value During Period (p)
MONEY MARKET SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- --------------------------------------------------------------------------------------------
Initial Class
Actual 0.60% $1,000.00 $1,016.30 $3.05
Hypothetical (h) 0.60% $1,000.00 $1,022.18 $3.06
Service Class
Actual 0.85% $1,000.00 $1,015.00 $4.32
Hypothetical (h) 0.85% $1,000.00 $1,020.92 $4.33
Beginning Ending
Annualized Account Account Expenses Paid
STRATEGIC Expense Value Value During Period (p)
INCOME SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- --------------------------------------------------------------------------------------------
Initial Class
Actual 0.95% $1,000.00 $1,009.40 $4.81
Hypothetical (h) 0.95% $1,000.00 $1,020.42 $4.84
Service Class
Actual 1.20% $1,000.00 $1,007.60 $6.07
Hypothetical (h) 1.20% $1,000.00 $1,019.16 $6.11
(h) 5% class return per year before expenses.
(p) Expenses paid is equal to each class' annualized expense ratio, as shown above, multiplied by the average
account value over the period, multiplied by the number of days in the period, divided by the number of
days in the year.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
BOND SERIES
BONDS -- 97.7%
Issuer Shares/Par ($) Value ($)
ADVERTISING & BROADCASTING -- 1.7%
Chancellor Media Corp., 8%, 2008 ................................ $ 760,000 $ 807,994
EchoStar DBS Corp., 9.125%, 2009 ................................ 657,000 687,386
News America Holdings, 7.75%, 2024 .............................. 1,250,000 1,409,186
News America Holdings, 8.5%, 2025 ............................... 770,000 926,426
-------------
$ 3,830,992
-------------
AIRLINES -- 0.5%
Continental Airlines, Inc., 6.545%, 2020 ........................ $ 728,408 $ 727,303
Continental Airlines, Inc., 6.648%, 2017 ........................ 413,905 404,467
-------------
$ 1,131,770
-------------
ALCOHOLIC BEVERAGES -- 0.3%
Foster's Financial Corp., 5.875%, 2035 (a) .......... $ 698,000 $ 679,775
-------------
ASSET BACKED & SECURITIZED -- 11.6%
Amresco Commercial Mortgage Funding I, 7%, 2029 ................. $ 900,000 $ 911,405
ARCap, Inc., 6.1%, 2045 (a) ..................................... 350,000 320,757
Asset Securitization Corp., FRN, 8.2925%, 2029 .................. 775,000 822,128
Brazilian Merchant Voucher Receivables Ltd., 5.911%, 2011 (a) ... 763,576 762,622
Capital One Auto Finance Trust, 2.47%, 2010 ..................... 400,000 392,819
Citibank Credit Card Issuance Trust, 6.65%, 2008 ................ 1,200,000 1,207,798
Commercial Mortgage Acceptance Corp., 7.03%, 2031 ............... 750,000 791,010
Commercial Mortgage Acceptance Corp., FRN, 1.141%, 2030 (i) ..... 8,699,172 276,088
Commercial Mortgage Acceptance Corp., FRN, 5.44%, 2013 (a) ...... 1,000,000 998,824
Countrywide Asset-Backed Certificates FRN, 4.575%, 2035 ......... 119,000 117,397
CPS Auto Receivables Trust, 3.52%, 2009 (a) ..................... 199,025 197,346
CRIIMI MAE Commercial Mortgage Trust, 7%, 2033 (a) .............. 971,929 985,293
Deutsche Mortgage & Asset Receiving Corp., 6.538%, 2031 ......... 584,914 599,165
DLJ Commercial Mortgage Corp., 6.04%, 2031 ...................... 625,000 634,044
DLJ Commercial Mortgage Corp., FRN, 7.6214%, 2032 ............... 700,000 754,979
Drive Auto Receivables Trust, 2.5%, 2009 (a) .................... 673,000 657,959
Drivetime Auto Owner Trust, FRN, 1.918%, 2008 (a) ............... 538,477 533,092
Falcon Franchise Loan Corp., 6.5%, 2014 (a) ..................... 440,000 377,575
Falcon Franchise Loan LLC, FRN, 3.7884%, 2023 (i) ............... 3,025,414 497,624
First Union-Lehman Brothers Commercial Mortgage Trust,
7%, 2029 (a) .................................................. 607,000 660,095
GMAC Commercial Mortgage Securities, Inc., 6.02%, 2033 .......... 800,000 805,286
GMAC Commercial Mortgage Securities, Inc., FRN,
7.661%, 2011 (a) .............................................. 825,000 897,660
Greenwich Capital Commercial Funding Corp., 4.305%, 2042 ........ 589,156 573,715
Holmes Financing PLC, FRN, 4.87%, 2040 .......................... 181,000 181,272
IKON Receivables Funding LLC, 3.27%, 2011 ....................... 735,000 725,809
J.P. Morgan Chase Commercial Mortgage Securities Corp., FRN,
5.3645%, 2043 ................................................. 1,168,381 1,178,764
J.P. Morgan Chase Commercial Mortgage Securities Corp., FRN,
5.038%, 2015 .................................................. 880,000 870,120
J.P. Morgan Chase Commercial Mortgage Securities Corp., FRN,
5.345%, 2042 (a) .............................................. 765,072 738,860
Lehman Brothers Commercial Conduit Mortgage Trust, FRN,
1.1593%, 2028 (i) ............................................. 6,961,468 185,029
Morgan Stanley Capital I, Inc., 6.86%, 2010 ..................... 1,155,000 1,170,149
Morgan Stanley Capital I, Inc., 5.72%, 2032 ..................... 479,840 489,312
Morgan Stanley Capital I, Inc., 7.3%, 2030 (a) .................. 852,000 883,711
Morgan Stanley Capital I, Inc., FRN, 0.731%, 2030 (a)(i) ........ 23,794,958 423,386
Mortgage Capital Funding, Inc., FRN, 0.7852%, 2031 (i) .......... 8,773,730 130,295
Nomura Asset Acceptance Corp., FRN, 4.423%, 2034 ................ 683,416 678,391
Prudential Securities Secured Financing Corp., FRN,
7.4486%, 2013 (a) ............................................. 567,000 612,705
Spirit Master Funding LLC, 5.05%, 2023 (a) ...................... 491,197 480,442
TIAA Real Estate CDO Ltd., 7.17%, 2032 (a) ...................... 436,058 444,564
Wachovia Bank Commercial Mortgage Trust, FRN, 5.155%, 2044 ...... 600,000 610,194
Wachovia Bank Commercial Mortgage Trust, FRN, 5.195%, 2044 ...... 391,000 392,185
Wachovia Bank Commercial Mortgage Trust, FRN, 4.847%, 2041 ...... 551,473 538,417
-------------
$ 25,508,286
-------------
AUTOMOTIVE -- 2.5%
Ford Motor Co., 7.45%, 2031 ..................................... $ 1,644,000 $ 1,117,920
Ford Motor Credit Co., 5.8%, 2009 ............................... 926,000 807,786
General Motors Acceptance Corp., 7.25%, 2011 .................... 739,000 679,243
General Motors Acceptance Corp., 5.625%, 2009 ................... 1,477,000 1,314,075
General Motors Acceptance Corp., 5.85%, 2009 .................... 696,000 622,660
Lear Corp., 8.11%, 2009 ......................................... 456,000 424,402
TRW Automotive, Inc., 9.375%, 2013 .............................. 498,000 539,085
-------------
$ 5,505,171
-------------
BANKS & CREDIT COMPANIES -- 12.8%
Abbey National Capital Trust I, 8.963% to 2030, FRN to 2049 ..... $ 700,000 $ 952,415
Banco Mercantil del Norte S.A., 5.875% to 2009,
FRN to 2014 (a) ............................................... 1,000,000 992,500
Bank of America Corp., 7.4%, 2011 ............................... 1,230,000 1,354,875
Barclays Bank PLC, 8.55% to 2011, FRN to 2049 (a) ............... 1,682,000 1,940,488
BBVA Bancomer Capital Trust I, 10.5%, 2011 (a) .................. 867,000 871,335
BNP Paribas, 5.186% to 2015, FRN to 2049 (a) .................... 1,147,000 1,112,743
Chuo Mitsui Trust & Banking Co., 5.506% to 2015,
FRN to 2049 (a) ............................................... 1,114,000 1,079,479
Citigroup, Inc., 6.625%, 2032 ................................... 1,275,000 1,440,735
Citigroup, Inc., 5%, 2014 ....................................... 938,000 923,325
Credit Suisse First Boston (USA), Inc., 4.875%, 2010 ............ 1,389,000 1,378,345
HBOS Capital Funding LP, 6.071% to 2014, FRN to 2049 (a) ........ 1,205,000 1,245,043
Kazkommerts International B.V., 8.5%, 2013 ...................... 698,000 755,585
Mizuho Financial Group, Inc., 5.79%, 2014 (a) ................... 929,000 959,727
Natexis AMBS Co. LLC, 8.44% to 2008, FRN to 2049 (a) ............ 1,637,000 1,762,072
Nordea Bank AB, 5.424% to 2015, FRN to 2049 (a) ................. 700,000 693,894
Popular North America, Inc., 4.25%, 2008 ........................ 612,000 600,255
RBS Capital Trust II, 6.425% to 2034, FRN to 2049 ............... 1,042,000 1,093,527
Resona Bank Ltd., 5.85% to 2016, FRN to 2049 (a) ................ 1,051,000 1,046,558
Royal Bank of Scotland Group PLC, 9.118%, 2049 .................. 348,000 398,669
Socgen Real Estate LLC, 7.64% to 2007, FRN to 2049 (a) .......... 2,047,000 2,129,787
Turanalem Finance B.V., 8%, 2014 (a) ............................ 635,000 657,225
UFJ Finance Aruba AEC, 6.75%, 2013 .............................. 1,028,000 1,122,437
UniCredito Italiano Capital Trust II, 9.2% to 2010,
FRN to 2049 (a) ............................................... 851,000 985,666
Wachovia Corp., 6.605%, 2025 .................................... 1,270,000 1,405,000
Wachovia Corp., 4.875%, 2014 .................................... 652,000 638,086
Wells Fargo National Bank, 4.75%, 2015 .......................... 608,000 591,442
-------------
$ 28,131,213
-------------
BIOTECHNOLOGY -- 0.5%
Cardinal Health, Inc., 5.85%, 2017 .............................. $ 1,102,000 $ 1,120,914
-------------
BROADCAST & CABLE TV -- 2.4%
Cox Communications, Inc., 4.625%, 2013 .......................... $ 994,000 $ 925,994
CSC Holdings, Inc., 7.875%, 2007 ................................ 975,000 992,062
Rogers Cable, Inc., 5.5%, 2014 .................................. 364,000 340,795
TCI Communications Financing III, 9.65%, 2027 ................... 2,081,000 2,251,863
TCI Communications, Inc., 9.8%, 2012 ............................ 439,000 529,607
Time Warner Entertainment Co., LP, 8.375%, 2033 ................. 229,000 270,508
-------------
$ 5,310,829
-------------
BROKERAGE & ASSET MANAGERS -- 1.5%
AMVESCAP PLC, 4.5%, 2009 ........................................ $ 684,000 $ 671,160
Lehman Brothers Holdings, Inc., 8.25%, 2007 ..................... 1,265,000 1,322,485
Morgan Stanley Dean Witter, Inc., 6.6%, 2012 .................... 1,240,000 1,332,836
-------------
$ 3,326,481
-------------
BUILDING -- 0.9%
American Standard Cos., Inc., 7.375%, 2008 ...................... $ 1,150,000 $ 1,198,056
CRH America, Inc., 6.95%, 2012 .................................. 712,000 774,676
-------------
$ 1,972,732
-------------
BUSINESS SERVICES -- 0.2%
Xerox Corp., 7.625%, 2013 ....................................... $ 320,000 $ 337,600
-------------
CHEMICALS -- 0.5%
BCP Crystal Holdings Corp., 9.625%, 2014 ........................ $ 468,000 $ 520,650
Dow Chemical Co., 5.75%, 2008 ................................... 548,000 562,160
-------------
$ 1,082,810
-------------
CONGLOMERATES -- 0.9%
Kennametal, Inc., 7.2%, 2012 .................................... $ 816,000 $ 885,819
Tyco International Group S.A., 6.75%, 2011 ...................... 1,104,000 1,160,733
-------------
$ 2,046,552
-------------
CONSTRUCTION -- 0.6%
Beazer Homes USA, Inc., 6.875%, 2015 ............................ $ 690,000 $ 661,537
Pulte Homes Inc., 5.2%, 2015 .................................... 692,000 650,989
-------------
$ 1,312,526
-------------
CONTAINERS -- 0.4%
Owens-Brockway Glass Container, Inc., 8.25%, 2013 ............... $ 770,000 $ 795,025
-------------
DEFENSE ELECTRONICS -- 2.0%
BAE Systems Holdings, Inc., 6.4%, 2011 (a) ...................... $ 1,059,000 $ 1,122,651
BAE Systems Holdings, Inc., 4.75%, 2010 (a) ..................... 389,000 382,034
Litton Industries, Inc., 8%, 2009 ............................... 1,300,000 1,430,563
Raytheon Co., 8.3%, 2010 ........................................ 1,228,000 1,375,468
-------------
$ 4,310,716
-------------
EMERGING MARKET QUASI-SOVEREIGN -- 0.8%
Export-Import Banks of Korea, 5.25%, 2014 (a) ................... $ 596,000 $ 598,464
Pemex Finance Ltd., 9.69%, 2009 ................................. 320,250 347,138
Petronas Capital Ltd., 7.875%, 2022 (a) ......................... 430,000 538,268
Petronas Capital Ltd., 7.875%, 2022 ............................. 296,000 370,529
-------------
$ 1,854,399
-------------
EMERGING MARKET SOVEREIGN -- 0.5%
Federal Republic of Brazil, 8%, 2018 ............................ $ 407,000 $ 439,153
Republic of Panama, 9.375%, 2029 ................................ 331,000 416,233
Republic of Panama, 9.375%, 2023 ................................ 101,000 126,503
United Mexican States, 8.3%, 2031 ............................... 118,000 151,630
-------------
$ 1,133,519
-------------
ENERGY -- INDEPENDENT -- 2.0%
Chesapeake Energy Corp., 6.375%, 2015 ........................... $ 1,635,000 $ 1,635,000
Kerr-McGee Corp., 6.95%, 2024 ................................... 757,000 802,936
Ocean Energy, Inc., 7.25%, 2011 ................................. 1,400,000 1,546,076
Pioneer Natural Resource Co., 6.5%, 2008 ........................ 420,000 429,164
-------------
$ 4,413,176
-------------
ENERGY -- INTEGRATED -- 0.4%
Amerada Hess Corp., 7.3%, 2031 .................................. $ 806,000 $ 932,771
-------------
ENTERTAINMENT -- 1.3%
Time Warner, Inc., 9.125%, 2013 ................................. $ 1,216,000 $ 1,439,228
Walt Disney Co., 6.75%, 2006 .................................... 620,000 622,956
Walt Disney Co., 6.375%, 2012 ................................... 660,000 698,094
-------------
$ 2,760,278
-------------
FINANCIAL INSTITUTIONS -- 1.0%
Capital One Bank, 4.25%, 2008 ................................... $ 600,000 $ 586,090
General Electric Capital Corp., 8.7%, 2007 ...................... 4,000 4,158
HSBC Finance Corp., 5.25%, 2011 ................................. 907,000 907,464
HSBC Finance Corp., 6.75%, 2011 ................................. 550,000 590,244
-------------
$ 2,087,956
-------------
FOREST & PAPER PRODUCTS -- 0.5%
MeadWestvaco Corp., 6.8%, 2032 .................................. $ 524,000 $ 523,376
Stone Container Corp., 7.375%, 2014 ............................. 700,000 637,000
-------------
$ 1,160,376
-------------
GAMING & LODGING -- 1.1%
Harrah's Operating Co., Inc., 7.125%, 2007 ...................... $ 935,000 $ 958,727
Harrah's Operating Co., Inc., 5.625%, 2015 ...................... 720,000 707,344
Royal Caribbean Cruises Ltd., 8%, 2010 .......................... 705,000 765,712
-------------
$ 2,431,783
-------------
INSURANCE -- 2.4%
American International Group, Inc., 4.25%, 2013 ................. $ 970,000 $ 922,595
Genworth Financial, Inc., 5.75%, 2014 ........................... 784,000 818,273
ING Groep N.V., 5.775% to 2015, FRN to 2049 ..................... 902,000 914,179
Prudential Insurance Co., 7.65%, 2007 (a) ....................... 1,100,000 1,143,769
UnumProvident Corp., 7.625%, 2011 ............................... 1,235,000 1,331,956
UnumProvident Finance Co., 6.85%, 2015 (a) ...................... 128,000 133,328
-------------
$ 5,264,100
-------------
INSURANCE -- PROPERTY & CASUALTY -- 2.2%
ACE INA Holdings, Inc., 5.875%, 2014 ............................ $ 1,686,000 $ 1,744,061
AXIS Capital Holdings Ltd., 5.75%, 2014 ......................... 800,000 800,171
Fund American Cos., Inc., 5.875%, 2013 .......................... 993,000 1,001,999
St. Paul Travelers Cos., Inc., 5.5%, 2015 ....................... 301,000 303,166
Willis Group North America, Inc., 5.625%, 2015 .................. 883,000 882,657
-------------
$ 4,732,054
-------------
MACHINERY & TOOLS -- 0.5%
Ingersoll Rand Co., 6.25%, 2006 ................................. $ 1,000,000 $ 1,005,402
-------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES -- 1.1%
AmerisourceBergen Corp., 5.875%, 2015 (a) ....................... $ 1,100,000 $ 1,109,625
HCA, Inc., 8.75%, 2010 .......................................... 838,000 926,825
HCA, Inc., 7.875%, 2011 ......................................... 415,000 446,190
-------------
$ 2,482,640
-------------
METALS & MINING -- 0.6%
Corporacion Nacional del Cobre de Chile, 6.375%, 2012 (a) ....... $ 342,000 $ 367,784
International Steel Group, Inc., 6.5%, 2014 ..................... 882,000 882,000
-------------
$ 1,249,784
-------------
MORTGAGE BACKED -- 10.7%
Fannie Mae, 6%, 2016 - 2035 ..................................... $ 3,465,411 $ 3,513,544
Fannie Mae, 5.5%, 2017 - 2035 ................................... 9,126,634 9,118,394
Fannie Mae, 4.5%, 2018 .......................................... 2,088,017 2,036,478
Fannie Mae, 7.5%, 2030 - 2031 ................................... 309,535 324,353
Fannie Mae, 6.5%, 2032 .......................................... 1,597,746 1,642,053
Freddie Mac, 6%, 2034 ........................................... 534,416 540,382
Freddie Mac, 5.5%, 2035 ......................................... 2,199,279 2,179,577
Freddie Mac, 5%, 2035 ........................................... 4,322,843 4,185,052
-------------
$ 23,539,833
-------------
MUNICIPALS -- 1.0%
Corpus Christi, TX, Refunding General Improvement, FSA,
5%, 2015 ...................................................... $ 630,000 $ 682,391
Metropolitan Transportation Authority, NY, Rev. Refunding
Transportation, "E", MBIA, 5.5%, 2015 ......................... 720,000 815,414
Pima County, AZ, 5%, 2015 ....................................... 585,000 635,146
-------------
$ 2,132,951
-------------
NATURAL GAS -- PIPELINE -- 2.5%
CenterPoint Energy Resources Corp., 7.875%, 2013 ................ $ 1,383,000 $ 1,581,586
Enterprise Products Operating LP, 5.6%, 2014 .................... 1,000,000 999,219
Kinder Morgan Energy Partners LP, 7.4%, 2031 .................... 990,000 1,140,333
Kinder Morgan, Inc., 6.8%, 2008 ................................. 600,000 620,395
Magellan Midstream Partners LP, 5.65%, 2016 ..................... 337,000 339,674
Williams Cos., Inc., 7.125%, 2011 ............................... 689,000 715,699
-------------
$ 5,396,906
-------------
NETWORK & TELECOM -- 4.8%
BellSouth Corp., 6.55%, 2034 .................................... $ 813,000 $ 865,977
Citizens Communications Co., 9%, 2031 ........................... 488,000 494,100
Citizens Communications Co., 9.25%, 2011 ........................ 670,000 738,675
Deutsche Telekom International Finance B.V., 8%, 2010 ........... 1,888,000 2,140,560
SBC Communications, Inc., 5.1%, 2014 ............................ 1,361,000 1,329,536
Telecom Italia Capital, 6%, 2034 ................................ 979,000 943,125
Telecomunicaciones de Puerto Rico, Inc., 6.65%, 2006 ............ 572,000 575,194
Telecomunicaciones de Puerto Rico, Inc., 6.8%, 2009 ............. 375,000 389,660
TELUS Corp., 8%, 2011 ........................................... 805,000 902,453
Verizon New York, Inc., 6.875%, 2012 ............................ 635,000 661,943
Verizon New York, Inc., 7.375%, 2032 ............................ 1,423,000 1,496,014
-------------
$ 10,537,237
-------------
OIL SERVICES -- 0.3%
Halliburton Co., 5.5%, 2010 ..................................... $ 565,000 $ 577,068
-------------
OILS -- 0.8%
Premcor Refining Group, Inc., 7.5%, 2015 ........................ $ 1,690,000 $ 1,801,589
-------------
PHARMACEUTICALS -- 0.4%
Wyeth, 5.5%, 2013 ............................................... $ 864,000 $ 875,896
-------------
PRECIOUS METALS & MINERALS -- 0.2%
Freeport-McMoRan Copper & Gold, Inc., 6.875%, 2014 .............. $ 355,000 $ 358,550
-------------
PRINTING & PUBLISHING -- 0.3%
Dex Media West LLC, 9.875%, 2013 ................................ $ 659,000 $ 731,490
-------------
RAILROAD & SHIPPING -- 0.9%
CSX Corp., 6.3%, 2012 ........................................... $ 826,000 $ 877,819
TFM S.A. de C.V., 9.375%, 2012 (a) .............................. 968,000 1,059,960
-------------
$ 1,937,779
-------------
REAL ESTATE -- 2.6%
EOP Operating LP, 6.8%, 2009 .................................... $ 1,137,000 $ 1,188,845
EOP Operating LP, 8.375%, 2006 .................................. 978,000 984,695
HRPT Properties Trust, 6.25%, 2016 .............................. 556,000 566,585
Simon Property Group LP, 5.75%, 2015 (a) ........................ 1,200,000 1,217,712
Simon Property Group LP, 6.35%, 2012 ............................ 629,000 666,309
Vornado Realty Trust, 5.625%, 2007 .............................. 975,000 981,820
-------------
$ 5,605,966
-------------
RESTAURANTS -- 0.2%
YUM! Brands, Inc., 8.875%, 2011 ................................. $ 466,000 $ 533,533
-------------
RETAILERS -- 1.1%
Couche-Tard, Inc., 7.5%, 2013 ................................... $ 700,000 $ 721,000
Dollar General Corp., 8.625%, 2010 .............................. 725,000 795,688
Limited Brands, Inc., 5.25%, 2014 ............................... 969,000 914,618
-------------
$ 2,431,306
-------------
SUPERMARKETS -- 0.5%
Kroger Co., 7.8%, 2007 .......................................... $ 845,000 $ 877,900
Safeway, Inc., 4.95%, 2010 ...................................... 295,000 287,294
-------------
$ 1,165,194
-------------
SUPRANATIONAL -- 0.2%
Corporacion Andina de Fomento, 6.875%, 2012 ..................... $ 481,000 $ 523,260
-------------
TELECOMMUNICATIONS -- WIRELESS -- 1.6%
America Movil S.A. de C.V., 6.375%, 2035 ........................ $ 569,000 $ 561,205
American Tower Escrow Corp., 0%, 2008 ........................... 1,070,000 837,275
Mobile TeleSystems OJSC, 9.75%, 2008 (a) ........................ 559,000 593,938
Nextel Communications, Inc., 5.95%, 2014 ........................ 875,000 879,583
Rogers Wireless, Inc., 7.25%, 2012 .............................. 535,000 562,419
-------------
$ 3,434,420
-------------
TOBACCO -- 1.0%
Altria Group, Inc., 7%, 2013 .................................... $ 826,000 $ 903,845
R.J. Reynolds Tobacco Holdings, Inc., 7.25%, 2012 ............... 1,271,000 1,296,420
-------------
$ 2,200,265
-------------
TRANSPORTATION -- SERVICES -- 0.6%
FedEx Corp., 9.65%, 2012 ........................................ $ 1,052,000 $ 1,305,570
-------------
U.S. GOVERNMENT AGENCIES -- 4.2%
Small Business Administration, 4.93%, 2024 ...................... $ 1,725,486 $ 1,718,292
Small Business Administration, 4.34%, 2024 ...................... 1,216,779 1,169,026
Small Business Administration, 4.99%, 2024 ...................... 765,309 763,435
Small Business Administration, 4.86%, 2025 ...................... 686,665 679,345
Small Business Administration, 4.625%, 2025 ..................... 1,172,126 1,142,466
Small Business Administration, 5.11%, 2025 ...................... 2,429,132 2,435,416
Small Business Administration, 4.57%, 2025 ...................... 1,374,569 1,332,355
-------------
$ 9,240,335
-------------
U.S. TREASURY OBLIGATIONS -- 4.0%
U.S. Treasury Bonds, 9.875%, 2015 ............................... $ 307,000 $ 438,602
U.S. Treasury Bonds, 5.375%, 2031 ............................... 1,737,000 1,951,139
U.S. Treasury Notes, 4.375%, 2007 ............................... 1,609,000 1,607,681
U.S. Treasury Notes, 4.25%, 2015 ................................ 1,571,000 1,550,687
U.S. Treasury Notes, TIPS, 3%, 2012 ............................. 1,889,822 1,998,191
U.S. Treasury Notes, TIPS, 2%, 2014 ............................. 1,204,581 1,197,852
-------------
$ 8,744,152
-------------
UTILITIES -- ELECTRIC POWER -- 6.1%
Beaver Valley Funding Corp., 9%, 2017 ........................... $ 2,022,000 $ 2,319,376
Dominion Resources, Inc., 5.95%, 2035 ........................... 845,000 824,794
DPL, Inc., 6.875%, 2011 ......................................... 614,000 647,003
DTE Energy Co., 7.05%, 2011 ..................................... 688,000 741,328
Duke Capital Corp., 8%, 2019 .................................... 942,000 1,124,322
Enersis S.A., 7.375%, 2014 ...................................... 686,000 737,879
Exelon Generation Co. LLC, 6.95%, 2011 .......................... 1,321,000 1,424,351
FirstEnergy Corp., 6.45%, 2011 .................................. 702,000 744,118
Mirant North America LLC, 7.375%, 2013 (a) ...................... 80,000 80,900
NiSource Finance Corp., 7.875%, 2010 ............................ 505,000 559,525
Northeast Utilities, 8.58%, 2006 ................................ 161,760 163,892
NorthWestern Corp., 5.875%, 2014 ................................ 35,000 35,066
PSEG Power LLC, 7.75%, 2011 ..................................... 421,000 466,123
PSEG Power LLC, 8.625%, 2031 .................................... 286,000 376,338
System Energy Resources, Inc., 5.129%, 2014 (a) ................. 823,389 794,348
TXU Corp., 5.55%, 2014 .......................................... 415,000 394,182
TXU Energy Co., 7%, 2013 ........................................ 905,000 964,426
Waterford 3 Funding Corp., 8.09%, 2017 .......................... 870,331 924,909
-------------
$ 13,322,880
-------------
Total Bonds
(Identified Cost, $213,378,363) ......................................... $ 214,307,810
-------------
SHORT-TERM OBLIGATION -- 1.0%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) ............................ $ 2,304,000 $ 2,303,462
-------------
Total Investments
(Identified Cost, $215,681,825) ......................................... $ 216,611,272
-------------
OTHER ASSETS,
LESS LIABILITIES -- 1.3% .................................................... 2,844,586
-------------
Net Assets -- 100.0% ...................................................... $ 219,455,858
=============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
EMERGING MARKETS EQUITY SERIES
STOCKS -- 96.3%
Issuer Shares/Par ($) Value ($)
AIRLINES -- 0.9%
Copa Holdings S.A.(n) ........................................... 31,280 $ 853,946
---------------
ALCOHOLIC BEVERAGES -- 1.5%
Companhia de Bebidas das Americas, ADR(l) ....................... 18,850 $ 717,243
Companhia de Bebidas das Americas, ADR(l) ....................... 4,040 132,108
Grupo Modelo S.A. de C.V., "C" .................................. 139,790 506,927
---------------
$ 1,356,278
---------------
AUTOMOTIVE -- 3.5%
Denway Motors Ltd. .............................................. 2,656,000 $ 882,068
Hyundai Mobis ................................................... 7,930 722,628
Hyundai Motor Co. Ltd. .......................................... 11,810 1,132,059
PT Astra International Tbk ...................................... 497,000 515,707
---------------
$ 3,252,462
---------------
BANKS & CREDIT COMPANIES -- 18.5%
Absa Group Ltd. ................................................. 59,034 $ 940,625
African Bank Investments Ltd. ................................... 243,940 942,849
Akbank T.A.S .................................................... 130,336 1,062,587
Banco Nossa Caixa S.A ........................................... 55,700 831,450
Bangkok Bank Public Co. Ltd. .................................... 302,460 847,846
Bank Hapoalim B.M ............................................... 65,540 303,462
Bank Leumi le-Israel B.M ........................................ 188,620 721,312
Cathay Financial Holding Co. Ltd. ............................... 299,000 541,997
Chinatrust Financial Holding Co. Ltd. ........................... 417,621 330,799
FirstRand Ltd. .................................................. 328,144 955,111
Fubon Financial Holding Co. Ltd. ................................ 353,000 303,272
Hana Financial, Inc. ............................................ 17,180 787,807
Kookmin Bank(n) ................................................. 29,250 2,195,014
Malayan Banking Berhad .......................................... 277,600 815,282
Mega Financial Holding Co. Ltd. ................................. 534,000 347,334
Nedbank Group Ltd. .............................................. 42,241 666,388
Old Mutual PLC .................................................. 378,300 1,071,273
OTP Bank Ltd., GDR .............................................. 11,960 784,576
PT Bank Central Asia Tbk ........................................ 1,330,500 460,193
Sanlam Ltd. ..................................................... 224,203 537,269
Shinhan Financial Group Co. Ltd.(n) ............................. 21,740 877,362
Unibanco -- Uniao de Bancos Brasileiros S.A., ADR ............... 15,560 989,149
---------------
$ 17,312,957
---------------
BROADCAST & CABLE TV -- 1.2%
Grupo Televisa S.A., ADR ........................................ 8,240 $ 663,320
Naspers Ltd. .................................................... 26,900 475,337
---------------
$ 1,138,657
---------------
BUSINESS SERVICES -- 1.7%
Infosys Technologies Ltd., ADR(l) ............................... 19,300 $ 1,560,598
---------------
CHEMICALS -- 2.4%
Formosa Chemicals & Fibre Corp. ................................. 246,680 $ 398,307
Israel Chemicals Ltd. ........................................... 244,600 962,078
Makhteshim-Agan Industries Ltd. ................................. 160,100 920,819
---------------
$ 2,281,204
---------------
COMPUTER SOFTWARE -- 0.8%
Check Point Software Technologies Ltd.(n) ....................... 36,100 $ 725,610
---------------
COMPUTER SOFTWARE -- SYSTEMS -- 1.8%
Acer, Inc. ...................................................... 214,477 $ 539,068
Amdocs Ltd.(n) .................................................. 26,500 728,750
Asustek Computer, Inc. .......................................... 128,000 393,858
---------------
$ 1,661,676
---------------
CONSTRUCTION -- 2.1%
Consorcio ARA S.A. de C.V ....................................... 91,190 $ 399,400
Corporacion GEO S.A. de C.V., "B"(n) ............................ 118,100 417,147
Gujarat Ambuja Cements Ltd. ..................................... 189,175 335,297
Siam Cement Public Co. Ltd. ..................................... 62,920 404,897
Urbi Desarrollos Urbanos S.A. de C.V.(n) ........................ 54,400 376,612
---------------
$ 1,933,353
---------------
CONSUMER GOODS & SERVICES -- 1.5%
Kimberly-Clark de Mexico S.A. de C.V., "A" ...................... 151,240 $ 541,326
Natura Cosmeticos S.A ........................................... 18,600 819,259
---------------
$ 1,360,585
---------------
ELECTRICAL EQUIPMENT -- 0.4%
Samsung SDI Co. Ltd. ............................................ 3,330 $ 382,238
---------------
ELECTRONICS -- 9.8%
MediaTek, Inc. .................................................. 69,035 $ 813,933
Orbotech Ltd.(n) ................................................ 30,100 721,497
Samsung Electronics Co. Ltd. .................................... 8,180 5,286,730
Taiwan Semiconductor Manufacturing Co. Ltd. ..................... 907,347 1,727,674
Taiwan Semiconductor Manufacturing Co. Ltd., ADR ................ 57,891 573,700
---------------
$ 9,123,534
---------------
ENERGY -- INDEPENDENT -- 4.0%
CNOOC Ltd. ...................................................... 1,458,000 $ 968,415
Oil & Natural Gas Corp. Ltd. .................................... 17,560 458,562
Polski Koncern Naftowy Orlen S.A ................................ 25,100 484,162
PTT Public Co. .................................................. 170,380 938,595
Reliance Industries Ltd. ........................................ 43,750 863,915
---------------
$ 3,713,649
---------------
ENERGY -- INTEGRATED -- 10.5%
AO Siberian Oil Co., ADR(l) ..................................... 44,300 $ 828,410
LUKOIL, ADR ..................................................... 39,830 2,349,970
MOL Magyar Olaj-es Gazipari Rt., GDR ............................ 7,700 723,800
PetroChina Co. Ltd. ............................................. 1,460,000 1,186,288
Petroleo Brasileiro S.A., ADR ................................... 65,780 4,688,141
---------------
$ 9,776,609
---------------
ENGINEERING -- CONSTRUCTION -- 0.5%
Empresas ICA S.A. de C.V.(n) .................................... 193,500 $ 473,874
---------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 1.5%
Coca-Cola Hellenic Bottling Co. S.A ............................. 31,400 $ 924,119
Grupo Bimbo S.A. de C.V., "A" ................................... 128,300 447,133
---------------
$ 1,371,252
---------------
FOREST & PAPER PRODUCTS -- 0.8%
Aracruz Celulose S.A., ADR(l) ................................... 10,690 $ 427,707
Votorantim Celulose e Papel S.A., ADR(l) ........................ 28,505 350,326
---------------
$ 778,033
---------------
GAMING & LODGING -- 0.7%
Resorts World Berhad ............................................ 227,000 $ 672,682
---------------
GENERAL MERCHANDISE -- 0.6%
Shinsegae Co. Ltd. .............................................. 1,360 $ 594,339
---------------
INSURANCE -- 0.9%
Samsung Fire & Marine Insurance Co. Ltd. ........................ 6,350 $ 801,182
---------------
METALS & MINING -- 6.5%
Aluminum Corp. of China Ltd. .................................... 736,000 $ 560,050
China Steel Corp. ............................................... 740,789 564,213
Companhia Siderurgica Nacional S.A., ADR(l) ..................... 13,190 282,266
Companhia Vale do Rio Doce, ADR ................................. 60,640 2,494,730
Mining & Metallurgical Co. Norilsk Nickel, ADR(n) ............... 9,990 949,050
POSCO, ADR(l) ................................................... 23,770 1,176,853
---------------
$ 6,027,162
---------------
NETWORK & TELECOM -- 0.7%
PT Telekomunikasi Indonesia Tbk ................................. 1,143,500 $ 686,333
---------------
OIL SERVICES -- 0.7%
Tenaris S.A., ADR ............................................... 5,500 $ 629,750
---------------
PERSONAL COMPUTERS & PERIPHERALS -- 1.8%
Hon Hai Precision Industry Co. Ltd. ............................. 316,070 $ 1,733,262
---------------
PHARMACEUTICALS -- 3.6%
Gedeon Richter Rt ............................................... 5,200 $ 932,369
Teva Pharmaceutical Industries Ltd., ADR(l) ..................... 56,380 2,424,904
---------------
$ 3,357,273
---------------
PRECIOUS METALS & MINERALS -- 2.7%
Compania de Minas Buenaventura S.A.A., ADR(l) ................... 25,900 $ 732,970
Freeport-McMoRan Copper & Gold, Inc., "B" ....................... 16,600 893,080
Impala Platinum Holdings Ltd. ................................... 5,840 858,661
---------------
$ 2,484,711
---------------
RAILROAD & SHIPPING -- 1.0%
All America Latina Logistica S.A ................................ 21,945 $ 936,276
---------------
SPECIALTY CHEMICALS -- 1.0%
Formosa Plastics Corp. .......................................... 436,000 $ 670,790
IOI Corp. ....................................................... 78,000 255,907
---------------
$ 926,697
---------------
TELECOMMUNICATIONS -- WIRELESS -- 7.3%
Advanced Info Service PLC ....................................... 149,370 $ 385,941
China Mobile Ltd. ............................................... 323,500 1,529,132
Egyptian Mobil Services (MobiNil) ............................... 26,800 933,396
Mobile TeleSystems OJSC, ADR .................................... 14,870 520,450
MTN Group Ltd. .................................................. 123,550 1,211,370
SK Telecom Co. Ltd. ............................................. 2,920 521,327
Turkcell Iletisim Hizmetleri A.S., ADR(l) ....................... 57,500 883,200
Vimpel-Communications, ADR(l)(n) ................................ 19,400 858,062
---------------
$ 6,842,878
---------------
TELEPHONE SERVICES -- 3.2%
China Netcom Group Corp. Ltd. ................................... 336,000 $ 535,184
China Telecom Corp. Ltd. ........................................ 1,210,000 440,860
Telefonos de Mexico S.A. de C.V., ADR ........................... 63,560 1,568,661
Telkom SA Ltd. .................................................. 21,400 454,920
---------------
$ 2,999,625
---------------
TOBACCO -- 0.5%
ITC Ltd. ........................................................ 156,900 $ 494,813
---------------
UTILITIES -- ELECTRIC POWER -- 1.7%
Manila Water Co., Inc. .......................................... 3,791,000 $ 443,225
Tractebel Energia S.A ........................................... 72,970 469,717
Unified Energy System of Russia, ADR(l) ......................... 10,600 449,440
YTL Power International Berhad .................................. 428,012 253,670
---------------
$ 1,616,052
---------------
Total Stocks
(Identified Cost, $65,981,545) .......................................... $ 89,859,550
---------------
PREFERRED STOCKS -- 2.6%
BANKS & CREDIT COMPANIES -- 1.1%
Banco Bradesco S.A .............................................. 34,200 $ 990,308
---------------
BROKERAGE & ASSET MANAGERS -- 0.6%
Bradespar S.A ................................................... 23,740 $ 602,131
---------------
UTILITIES -- ELECTRIC POWER -- 0.9%
AES Tiete S.A., IPS ............................................. 17,630,590 $ 383,831
Companhia Energetica de Minas Gerais - CEMIG .................... 10,800,000 438,837
---------------
$ 822,668
---------------
Total Preferred Stocks
(Identified Cost, $1,793,864) .......................................... $ 2,415,107
---------------
SHORT-TERM OBLIGATION -- 0.8%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) ............................ $ 753,000 $ 752,824
---------------
COLLATERAL FOR SECURITIES LOANED -- 9.5%
Navigator Securities Lending Prime Portfolio, at Cost and Net
Asset Value ................................................... 8,807,065 $ 8,807,065
---------------
Total Investments
(Identified Cost, $77,335,298) (k) ...................................... $ 101,834,546
---------------
OTHER ASSETS,
LESS LIABILITIES -- (9.2)% .................................................. (8,537,100)
---------------
Net Assets -- 100.0% ...................................................... $ 93,297,446
===============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
GLOBAL GOVERNMENTS SERIES
BONDS -- 81.5%
Issuer Shares/Par ($) Value ($)
FOREIGN BONDS -- 60.4%
AUSTRALIA -- 1.2%
Government of Australia, 6.25%, 2015 ....................... AUD 789,000 $ 623,051
---------------
AUSTRIA -- 1.7%
Republic of Austria, 5%, 2012 .............................. EUR 688,000 $ 900,901
-------------
BELGIUM -- 2.6%
Kingdom of Belgium, 3.75%, 2009 ............................ EUR 572,000 $ 691,793
Kingdom of Belgium, 5%, 2012 ............................... EUR 513,000 673,019
-------------
$ 1,364,812
-------------
CANADA -- 0.5%
Quebec Province, 1.6%, 2013 ................................ JPY 31,000,000 $ 268,322
-------------
FINLAND -- 3.1%
Republic of Finland, 3%, 2008 .............................. EUR 1,009,000 $ 1,196,930
Republic of Finland, 5.375%, 2013 .......................... EUR 297,000 401,707
-------------
$ 1,598,637
-------------
FRANCE -- 3.4%
Republic of France, 4.75%, 2007 ............................ EUR 364,000 $ 442,558
Republic of France, 4.75%, 2012 ............................ EUR 371,000 480,682
Republic of France, 6%, 2025 ............................... EUR 550,000 876,005
-------------
$ 1,799,245
-------------
GERMANY -- 14.3%
Federal Republic of Germany,
3.5%, 2008 ............................................... EUR 470,000 $ 564,145
Federal Republic of Germany,
5.25%, 2010 .............................................. EUR 431,000 556,291
Federal Republic of Germany,
3.75%, 2015 .............................................. EUR 648,000 794,168
Federal Republic of Germany,
6.25%, 2024 .............................................. EUR 951,000 1,531,128
Federal Republic of Germany,
6.25%, 2030 .............................................. EUR 1,185,000 2,000,544
KfW Bankengruppe, 2.328%, 2007 ............................. EUR 1,295,000 1,529,113
Landesbank Baden-Wurttemberg, 2.185%, 2007 ................. EUR 454,000 536,981
-------------
$ 7,512,370
-------------
IRELAND -- 2.4%
Republic of Ireland, 4.25%, 2007 ........................... EUR 869,000 $ 1,052,742
Republic of Ireland, 4.6%, 2016 ............................ EUR 146,000 191,532
-------------
$ 1,244,274
-------------
JAPAN -- 2.4%
Development Bank of Japan,
1.4%, 2012 ............................................... JPY 43,000,000 $ 371,752
Development Bank of Japan,
1.6%, 2014 ............................................... JPY 100,000,000 867,666
-------------
$ 1,239,418
-------------
MALAYSIA -- 0.7%
Petronas Capital Ltd., 7.875%, 2022 ........................ $ 293,000 $ 366,774
-------------
MEXICO -- 0.8%
Pemex Project Funding Master Trust, 8.625%, 2022 ........... $ 120,000 $ 147,900
United Mexican States, 8.125%, 2019 ........................ 227,000 278,643
-------------
$ 426,543
-------------
FOREIGN BONDS -- continued
NETHERLANDS -- 1.9%
Kingdom of Netherlands, 5.75%, 2007 ........................ EUR 419,000 $ 511,996
Kingdom of Netherlands, 5%, 2012 ........................... EUR 353,354 462,580
-------------
$ 974,576
-------------
NEW ZEALAND -- 6.9%
Government of New Zealand,
6%, 2008 ................................................. NZD 1,855,000 $ 1,266,654
Government of New Zealand,
6.5%, 2013 ............................................... NZD 2,583,000 1,845,348
Government of New Zealand,
6%, 2015 ................................................. NZD 760,000 529,972
-------------
$ 3,641,974
-------------
QATAR -- 0.5%
State of Qatar, 9.75%, 2030 ................................ $ 165,000 $ 252,038
-------------
RUSSIA -- 0.3%
Gaz Capital S.A., 8.625%, 2034 ............................. $ 121,000 $ 153,065
-------------
SPAIN -- 3.6%
Kingdom of Spain, 6%, 2008 ................................. EUR 678,000 $ 849,827
Kingdom of Spain, 5.35%, 2011 .............................. EUR 775,000 1,022,404
-------------
$ 1,872,231
-------------
SWEDEN -- 0.5%
Kingdom of Sweden, 4%, 2020 ................................ SEK 1,618,722 $ 266,912
-------------
UNITED KINGDOM -- 13.6%
United Kingdom Treasury, 5.75%, 2009 ....................... GBP 2,188,000 $ 3,971,453
United Kingdom Treasury, 5%, 2012 .......................... GBP 430,000 773,474
United Kingdom Treasury, 8%, 2015 .......................... GBP 1,049,000 2,378,643
-------------
$ 7,123,570
-------------
Total Foreign Bonds $ 31,692,406
-------------
U.S. BONDS -- 21.1%
ASSET BACKED & SECURITIZED -- 7.6%
Commercial Mortgage Asset Trust, FRN, 0.8874%, 2032 (a)(i) . $ 8,324,083 $ 377,937
Commercial Mortgage Pass-Through Certificates, FRN,
4.5594%, 2017 (a) ........................................ 331,000 330,958
Commercial Mortgage Pass-Through Certificates, FRN,
4.5694%, 2017 (a) ........................................ 500,000 $ 499,690
Deutsche Mortgage & Asset Receiving Corp., 6.538%, 2031 .... 251,513 257,641
First Union National Bank Commercial Mortgage Trust, FRN,
0.9557%, 2043 (a)(i) ..................................... 9,007,147 363,581
IMPAC CMB Trust, FRN, 4.7288%, 2036 ........................ 498,679 498,679
J.P. Morgan Chase Commercial Mortgage Securities Corp., FRN,
5.21331%, 2041 ........................................... 309,615 311,799
J.P. Morgan Chase Commercial Mortgage Securities Corp., FRN,
4.5694%, 2046 ............................................ 284,963 285,064
Lehman Brothers Floating Rate Commercial Mortgage Trust,
FRN, 4.5294%, 2018 (a) ................................... 500,000 499,943
Wachovia Bank Commerical Mortgage Trust, FRN,
4.6094%, 2015 (a) ........................................ 455,985 456,449
Wachovia Bank Commercial Mortgage Trust, FRN,
4.6594%, 2015 (a) ........................................ 120,695 120,741
-------------
$ 4,002,482
-------------
MUNICIPALS -- 2.4%
Honolulu, HI, City & County Rev., "A", MBIA, 5%, 2015 ...... $ 475,000 $ 517,679
Massachusetts State Water Resources Authority, "A", MBIA,
5.25%, 2015 .............................................. 450,000 499,271
New York, NY, City Municipal Water Finance Authority, Water
& Sewer Systems Rev., "D", 5%, 2037 ...................... 225,000 233,573
-------------
$ 1,250,523
-------------
SUPRANATIONAL -- 1.6%
Inter-American Development Bank, 1.9%, 2009 ................ JPY 93,000,000 $ 824,620
-------------
U.S. GOVERNMENT AGENCIES -- 4.7%
Aid-Egypt, 4.45%, 2015 ..................................... $ 65,000 $ 63,693
Fannie Mae, 4.25%, 2007 .................................... 885,000 877,023
Freddie Mac, 4.2%, 2007 .................................... 549,000 541,825
Small Business Administration, 5.09%, 2025 ................. 58,000 58,035
Small Business Administration, 5.36%, 2025 ................. 549,000 557,198
Small Business Administration, 4.76%, 2035 ................. 382,000 374,608
-------------
$ 2,472,382
-------------
U.S. TREASURY OBLIGATIONS -- 4.8%
U.S. Treasury Bonds, 6.25%, 2030 ........................... $ 351,000 $ 435,926
U.S. Treasury Bonds, TIPS, 2.375%, 2025 .................... 203,933 214,337
U.S. Treasury Notes, 3.125%, 2008 .......................... 577,000 558,135
U.S. Treasury Notes, 4.25%, 2013 ........................... 152,000 150,551
U.S. Treasury Notes, 4%, 2015 .............................. 628,000 608,865
U.S. Treasury Notes, TIPS,
2%, 2014 (f) ............................................. 578,848 575,570
-------------
$ 2,543,384
-------------
Total U.S. Bonds .......................................................... $ 11,029,698
-------------
Total Bonds (Identified Cost, $43,580,526) ................................ $ 42,722,104
-------------
CALL OPTIONS PURCHASED -- 0.0%
Par Value
Issue/Expiration/Strike Price of Contracts Value ($)
JPY - January 2006 @ $117.30
(Premiums Paid, $10,175) ................................. JPY 117,300,000 $ 4,575
-------------
PUT OPTIONS PURCHASED -- 0.0%
EUR - January 2006 @ $1.21 (Premiums Paid, $11,806) ........ EUR 1,084,500 $ 1,623
-------------
SHORT-TERM OBLIGATION -- 17.1%
Issuer Shares/Par ($) Value ($)
Federal Home Loan Bank, 3.3%, due 1/03/06, at
Amortized Cost(y) ........................................ $ 8,969,000 $ 8,967,356
-------------
Total Investments
(Identified Cost, $52,569,863) .......................................... $ 51,695,658
-------------
OTHER ASSETS,
LESS LIABILITIES -- 1.4% .................................................... 745,466
-------------
Net Assets -- 100.0% ...................................................... $ 52,441,124
=============
PORTFOLIO OF INVESTMENTS -- continued
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Sales and Purchases in the table below are reported by currency.
Net
Unrealized
Contracts to In Exchange Contracts Appreciation
Deliver/Receive Settlement Date For at Value (Depreciation)
SALES
AUD 1,481,230 2/06/06 - 2/07/06 $ 1,100,877 $ 1,085,732 $ 15,145
CAD 97,372 1/23/06 82,185 83,778 (1,593)
EUR 4,461,335 1/23/06 - 2/21/06 5,245,531 5,291,851 (46,320)
GBP 2,379,082 1/31/06 4,209,263 4,088,708 120,555
JPY 59,201,951 1/17/06 - 1/18/06 498,905 502,801 (3,896)
NOK 1,757,075 1/17/06 265,079 260,461 4,618
NZD 6,215,766 2/07/06 4,357,648 4,226,141 131,507
SEK 2,231,148 2/06/06 279,926 281,383 (1,457)
----------- ----------- --------
$16,039,414 $15,820,855 $218,559
=========== =========== ========
PURCHASES
CAD 537,273 1/18/06 - 1/26/06 $ 461,546 $ 462,210 $ 664
CHF 337,770 2/16/06 265,079 258,012 (7,067)
DKK 3,160,743 1/17/06 499,328 501,620 2,292
EUR 2,737,655 1/18/06 - 2/21/06 3,254,914 3,244,453 (10,461)
JPY 1,625,365,467 1/18/06 13,775,860 13,805,050 29,190
NOK 6,010,032 1/17/06 902,285 890,900 (11,385)
NZD 571,279 2/07/06 405,088 388,416 (16,672)
SEK 9,424,791 1/17/06 - 2/13/06 1,186,848 1,188,315 1,467
----------- ----------- --------
$20,750,948 $20,738,976 $(11,972)
=========== =========== ========
At December 31, 2005, forward foreign currency purchases and sales under
master netting agreements excluded above amounted to a net receivable of
$7,389 with Merrill Lynch International.
FUTURES CONTRACTS OUTSTANDING AT DECEMBER 31, 2005
Unrealized
Expiration Appreciation
Description Contracts Value Date (Depreciation)
Japan Government Bonds
10 Year Futures (Long) 3 $3,491,505 March 2006 $11,729
At December 31, 2005, the series had sufficient cash and/or securities to cover any commitments
under these derivative contracts.
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
GLOBAL TOTAL RETURN SERIES
STOCKS -- 61.4%
Issuer Shares/Par ($) Value ($)
AEROSPACE -- 2.3%
Lockheed Martin Corp. ...................................... 29,950 $ 1,905,719
Northrop Grumman Corp. ..................................... 25,720 1,546,029
United Technologies Corp. .................................. 12,660 707,821
-------------
$ 4,159,569
-------------
ALCOHOLIC BEVERAGES -- 0.5%
Diageo PLC ................................................. 67,408 $ 976,157
-------------
AUTOMOTIVE -- 2.4%
Autoliv, Inc.(l) ........................................... 10,470 $ 472,698
Bayerische Motoren Werke AG ................................ 22,510 986,533
Compagnie Generale des Etablissements Michelin ............. 8,030 450,998
Hyundai Mobis .............................................. 5,030 458,363
Nissan Motor Co. Ltd. ...................................... 77,400 783,739
PSA Peugeot Citroen S.A .................................... 8,230 474,108
Renault S.A.(l) ............................................ 7,160 583,553
-------------
$ 4,209,992
-------------
BANKS & CREDIT COMPANIES -- 9.9%
Aiful Corp. ................................................ 8,550 $ 713,617
American Express Co. ....................................... 11,380 585,615
Bank of America Corp. ...................................... 52,198 2,408,938
BNP Paribas ................................................ 10,080 814,980
Citigroup, Inc. ............................................ 37,683 1,828,756
Credit Agricole S.A ........................................ 36,950 1,163,074
DNB Holding A.S.A .......................................... 42,800 456,351
Fannie Mae ................................................. 20,910 1,020,617
Freddie Mac ................................................ 4,930 322,176
ING Groep N.V .............................................. 26,200 908,065
Irish Life & Permanent PLC ................................. 21,720 443,454
MBNA Corp. ................................................. 12,690 344,534
Nordea Bank AB ............................................. 45,400 471,034
PNC Financial Services Group, Inc. ......................... 12,470 771,020
Royal Bank of Scotland Group PLC ........................... 34,691 1,046,483
Shinhan Financial Group Co. Ltd.(n) ........................ 13,450 542,802
Shinsei Bank Ltd. .......................................... 108,000 624,124
SunTrust Banks, Inc. ....................................... 17,030 1,239,103
Takefuji Corp. ............................................. 20,980 1,423,970
Wells Fargo & Co. .......................................... 7,010 440,438
-------------
$ 17,569,151
-------------
BROADCAST & CABLE TV -- 1.3%
Nippon Television Network Corp. ............................ 2,870 $ 440,902
Pages Jaunes S.A ........................................... 25,720 669,028
Premiere AG(l)(n) .......................................... 11,400 199,579
Viacom, Inc., "B" .......................................... 21,106 688,056
WPP Group PLC .............................................. 28,000 302,724
-------------
$ 2,300,289
-------------
BROKERAGE & ASSET MANAGERS -- 2.2%
Franklin Resources, Inc. ................................... 4,670 $ 439,027
Goldman Sachs Group, Inc. .................................. 14,500 1,851,795
Lehman Brothers Holdings, Inc. ............................. 3,540 453,722
Mellon Financial Corp. ..................................... 19,120 654,860
Merrill Lynch & Co., Inc. .................................. 6,450 436,859
-------------
$ 3,836,263
-------------
BUSINESS SERVICES -- 0.5%
Accenture Ltd., "A" ........................................ 30,960 $ 893,815
-------------
CHEMICALS -- 1.9%
Dow Chemical Co. ........................................... 11,470 $ 502,615
E.I. du Pont de Nemours & Co. .............................. 12,290 522,325
Nalco Holding Co.(n) ....................................... 14,020 248,294
PPG Industries, Inc. ....................................... 12,350 715,065
Syngenta AG ................................................ 11,570 1,438,059
-------------
$ 3,426,358
-------------
COMPUTER SOFTWARE -- 0.3%
Oracle Corp.(n) ............................................ 36,400 $ 444,444
-------------
CONSTRUCTION -- 1.6%
Buzzi Unicem S.p.A ......................................... 10,700 $ 167,326
Geberit AG ................................................. 790 624,577
Italcementi S.p.A .......................................... 38,310 484,891
Masco Corp. ................................................ 46,550 1,405,345
Sherwin-Williams Co. ....................................... 5,100 231,642
-------------
$ 2,913,781
-------------
CONSUMER GOODS & SERVICES -- 0.6%
Unicharm Corp.(l) .......................................... 24,200 $ 1,086,811
-------------
ELECTRICAL EQUIPMENT -- 0.4%
Cooper Industries Ltd., "A" ................................ 6,230 $ 454,790
W.W. Grainger, Inc. ........................................ 4,700 334,170
-------------
$ 788,960
-------------
ELECTRONICS -- 1.8%
Canon, Inc. ................................................ 13,500 $ 789,306
OMRON Corp. ................................................ 18,800 433,301
Ricoh Co. Ltd. ............................................. 36,000 629,920
Royal Philips Electronics N.V .............................. 10,260 318,585
Samsung Electronics Co. Ltd. ............................... 1,710 1,105,172
-------------
$ 3,276,284
-------------
ENERGY -- INDEPENDENT -- 1.7%
CNOOC Ltd. ................................................. 747,000 $ 496,163
Devon Energy Corp. ......................................... 8,310 519,707
EnCana Corp. ............................................... 18,010 813,864
EOG Resources, Inc. ........................................ 5,990 439,486
Norsk Hydro A.S.A .......................................... 7,500 769,692
-------------
$ 3,038,912
-------------
ENERGY -- INTEGRATED -- 4.3%
Amerada Hess Corp. ......................................... 5,300 $ 672,146
BP PLC, ADR ................................................ 25,132 1,613,977
Chevron Corp. .............................................. 8,347 473,859
ConocoPhillips ............................................. 21,680 1,261,342
LUKOIL, ADR ................................................ 5,700 336,300
Repsol YPF S.A.(l) ......................................... 23,170 676,150
TOTAL S.A., ADR(l) ......................................... 20,520 2,593,728
-------------
$ 7,627,502
-------------
FOOD & DRUG STORES -- 1.3%
Carrefour S.A .............................................. 23,950 $ 1,121,319
Lawson, Inc. ............................................... 12,000 494,174
William Morrison Supermarkets PLC .......................... 218,930 728,156
-------------
$ 2,343,649
-------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 2.8%
Archer Daniels Midland Co. ................................. 15,920 $ 392,587
H.J. Heinz Co. ............................................. 9,550 322,026
Kellogg Co. ................................................ 14,140 611,131
Kirin Beverage Corp.(l) .................................... 18,000 365,293
Nestle S.A ................................................. 8,264 2,468,929
Sara Lee Corp. ............................................. 15,380 290,682
Unilever PLC ............................................... 58,850 583,155
-------------
$ 5,033,803
-------------
FOREST & PAPER PRODUCTS -- 0.3%
International Paper Co. .................................... 16,550 $ 556,246
-------------
HEALTH MAINTENANCE ORGANIZATIONS -- 0.2%
CIGNA Corp. ................................................ 2,500 $ 279,250
-------------
INSURANCE -- 3.5%
Allstate Corp. ............................................. 27,610 $ 1,492,873
Aviva PLC .................................................. 71,290 863,885
Benfield Group PLC ......................................... 74,970 463,904
Chubb Corp. ................................................ 3,360 328,104
Hartford Financial Services
Group, Inc. .............................................. 8,260 709,451
Jardine Lloyd Thompson Group PLC ........................... 75,020 643,452
MetLife, Inc. .............................................. 34,630 1,696,870
-------------
$ 6,198,539
-------------
LEISURE & TOYS -- 0.5%
Heiwa Corp.(l) ............................................. 18,000 $ 246,630
Nintendo Co. Ltd. .......................................... 5,100 615,812
-------------
$ 862,442
-------------
MACHINERY & TOOLS -- 1.3%
ASSA ABLOY AB, "B" ......................................... 35,780 $ 562,462
Deere & Co. ................................................ 18,290 1,245,728
Illinois Tool Works, Inc. .................................. 6,250 549,934
-------------
$ 2,358,124
-------------
METALS & MINING -- 0.7%
Anglo American PLC ......................................... 37,610 $ 1,279,344
-------------
NATURAL GAS -- DISTRIBUTION -- 0.8%
Tokyo Gas Co. Ltd.(l) ...................................... 319,000 $ 1,416,396
-------------
NETWORK & TELECOM -- 0.3%
Cisco Systems, Inc.(n) ..................................... 21,800 $ 373,216
ZTE Corp. .................................................. 47,000 157,907
-------------
$ 531,123
-------------
OIL SERVICES -- 0.4%
Noble Corp. ................................................ 4,190 $ 295,563
Vallourec S.A .............................................. 800 440,039
-------------
$ 735,602
-------------
PHARMACEUTICALS -- 4.4%
Abbott Laboratories ........................................ 13,710 $ 540,585
Astellas Pharma, Inc. ...................................... 16,800 654,832
AstraZeneca PLC ............................................ 15,420 749,817
Johnson & Johnson .......................................... 27,110 1,629,311
Merck & Co., Inc. .......................................... 31,650 1,006,787
Roche Holding AG ........................................... 4,300 644,943
Sanofi-Aventis(l) .......................................... 8,930 781,684
Schering AG ................................................ 6,800 455,275
Tanabe Seiyaku Co. Ltd. .................................... 63,000 611,770
Wyeth ...................................................... 16,080 740,806
-------------
$ 7,815,810
-------------
PRINTING & PUBLISHING -- 0.1%
Tribune Co. ................................................ 3,040 $ 91,990
-------------
RAILROAD & SHIPPING -- 0.7%
Burlington Northern Santa Fe Corp. ......................... 5,120 $ 362,598
Canadian National Railway Co. .............................. 11,087 886,849
-------------
$ 1,249,447
-------------
SPECIALTY CHEMICALS -- 0.9%
Air Products & Chemicals, Inc. ............................. 9,200 $ 544,548
L'Air Liquide S.A .......................................... 5,230 1,005,317
-------------
$ 1,549,865
-------------
SPECIALTY STORES -- 0.7%
Gap, Inc. .................................................. 29,890 $ 527,260
NEXT PLC ................................................... 17,100 451,173
TJX Cos., Inc. ............................................. 14,540 337,764
-------------
$ 1,316,197
-------------
TELECOMMUNICATIONS -- WIRELESS -- 1.6%
KDDI Corp. ................................................. 99 $ 570,436
Vodafone Group PLC ......................................... 1,017,053 2,193,944
-------------
$ 2,764,380
-------------
TELEPHONE SERVICES -- 2.9%
Deutsche Telekom AG ........................................ 41,970 $ 699,020
France Telecom S.A ......................................... 28,900 717,560
KT Freetel Co. Ltd. ........................................ 18,750 456,287
Sprint Nextel Corp. ........................................ 62,200 1,452,992
Telecom Corp. of New Zealand Ltd. .......................... 113,600 465,831
Telenor A.S.A .............................................. 50,300 493,488
Verizon Communications, Inc. ............................... 30,030 904,504
-------------
$ 5,189,682
-------------
TOBACCO -- 2.0%
Altria Group, Inc. ......................................... 25,566 $ 1,910,292
British American Tobacco PLC ............................... 52,880 1,181,607
Swedish Match AB ........................................... 41,950 493,272
-------------
$ 3,585,171
-------------
TRUCKING -- 0.8%
TNT N.V .................................................... 43,090 $ 1,345,639
-------------
UTILITIES -- ELECTRIC POWER -- 3.5%
Dominion Resources, Inc. ................................... 20,770 $ 1,603,444
E.ON AG .................................................... 9,700 1,002,724
Endesa S.A.(l) ............................................. 17,500 459,971
FPL Group, Inc. ............................................ 12,100 502,876
Iberdrola S.A.(l) .......................................... 19,930 544,351
Severn Trent PLC ........................................... 24,960 465,063
Suez S.A.(l) ............................................... 33,122 1,030,434
TXU Corp. .................................................. 11,540 579,193
-------------
$ 6,188,056
-------------
Total Stocks
(Identified Cost, $90,530,689) .......................................... $ 109,239,043
-------------
BONDS -- 32.9%
ASSET BACKED & SECURITIZED -- 2.7%
Commercial Mortgage Asset Trust, FRN, 0.8874%, 2032 (a)(i) . $ 3,998,824 $ 181,558
Commercial Mortgage Pass-Through Certificate, FRN,
4.5594%, 2017 (a) ........................................ 360,000 359,955
Commercial Mortgage Pass-Through Certificates, FRN,
4.5694%, 2017 (a) ........................................ 700,000 699,566
Deutsche Mortgage & Asset Receiving Corp., 6.538%, 2031 .... 209,838 214,951
First Union National Bank Commercial Mortgage Trust,
FRN, 0.9557%, 2043 (a)(i) ................................ 8,219,636 331,792
IMPAC CMB Trust, FRN, 4.7288%, 2036 ........................ 698,151 698,151
J.P. Morgan Chase Commercial Mortgage Securities Corp.,
FRN, 5.2131%, 2041 ....................................... 606,421 610,699
J.P. Morgan Chase Commercial Mortgage Securities Corp.,
FRN, 4.5694%, 2046 ....................................... 309,099 309,209
Lehman Brothers Floating Rate Commercial Mortgage Trust,
FRN, 4.5294%, 2018 (a) ................................... 700,000 699,920
Wachovia Bank Commercial Mortgage Trust, FRN,
4.6594%, 2015 (a) ........................................ 130,986 131,036
Wachovia Bank Commerical Mortgage Trust, FRN,
4.6094%, 2015 (a) ........................................ 494,865 495,369
-------------
$ 4,732,206
-------------
EMERGING MARKET QUASI-SOVEREIGN -- 0.4%
Gaz Capital S.A., 8.625%, 2034 ............................. $ 146,000 $ 184,690
Pemex Project Funding Master Trust, 8.625%, 2022 ........... 143,000 176,248
Petronas Capital Ltd., 7.875%, 2022 ........................ 354,000 443,133
-------------
$ 804,071
-------------
EMERGING MARKET SOVEREIGN -- 0.6%
Republic of Bulgaria, 8.25%, 2015 .......................... $ 285,000 $ 344,166
State of Qatar, 9.75%, 2030 ................................ 190,000 290,225
United Mexican States, 6.625%, 2015 ........................ 34,000 37,230
United Mexican States, 8.125%, 2019 (l) .................... 207,000 254,093
United Mexican States, 6.375%, 2013 ........................ 69,000 73,313
-------------
$ 999,027
-------------
INTERNATIONAL MARKET QUASI-SOVEREIGN -- 2.9%
Development Bank of Japan, 1.4%, 2012 ...................... JPY 80,000,000 $ 691,631
Development Bank of Japan, 1.6%, 2014 (l) .................. JPY 190,000,000 1,648,565
KfW Bankengruppe, 2.328%, 2007 ............................. EUR 1,720,000 2,030,946
Landesbank Baden-Wurttemberg, 2.185%, 2007 ................. EUR 617,000 729,774
-------------
$ 5,100,916
-------------
INTERNATIONAL MARKET SOVEREIGN -- 20.9%
Federal Republic of Germany, 5.25%, 2010 ................... EUR 555,000 $ 716,338
Federal Republic of Germany, 3.5%, 2008 .................... EUR 605,000 726,186
Federal Republic of Germany, 6.25%, 2030 ................... EUR 1,638,000 2,765,309
Federal Republic of Germany, 6.25%, 2024 ................... EUR 1,322,000 2,128,445
Federal Republic of Germany, 3.75%, 2015 ................... EUR 852,000 1,044,183
Government of Australia, 6.25%, 2015 ....................... AUD 1,051,000 829,945
Government of New Zealand, 6.5%, 2013 (l) .................. NZD 3,477,000 2,484,040
Government of New Zealand, 6%, 2015 (l) .................... NZD 1,002,000 698,726
Government of New Zealand, 6%, 2008 ........................ NZD 2,515,000 1,717,323
Kingdom of Belgium, 3.75%, 2009 ............................ EUR 737,000 891,348
Kingdom of Belgium, 5%, 2012 ............................... EUR 711,000 932,781
Kingdom of Netherlands, 5.75%, 2007 ........................ EUR 554,000 676,959
Kingdom of Netherlands, 5%, 2012 ........................... EUR 477,219 624,733
Kingdom of Spain, 6%, 2008 ................................. EUR 910,000 1,140,624
Kingdom of Spain, 5.35%, 2011 .............................. EUR 1,091,000 1,439,282
Kingdom of Sweden, 4%, 2020 ................................ SEK 2,194,779 361,899
Quebec Province, 1.6%, 2013 ................................ JPY 103,000,000 891,522
Republic of Austria, 5%, 2012 .............................. EUR 936,000 1,225,644
Republic of Finland, 5.375%, 2013 .......................... EUR 411,000 555,898
Republic of Finland, 3%, 2008 .............................. EUR 1,371,000 1,626,354
Republic of France, 6%, 2025 ............................... EUR 744,000 1,184,996
Republic of France, 4.75%, 2007 ............................ EUR 516,000 627,362
Republic of France, 4.75%, 2012 ............................ EUR 483,000 625,793
Republic of Ireland, 4.6%, 2016 ............................ EUR 212,000 278,115
Republic of Ireland, 4.25%, 2007 ........................... EUR 1,084,000 1,313,202
United Kingdom Treasury, 5%, 2012 .......................... GBP 582,000 1,046,889
United Kingdom Treasury, 5.75%, 2009 ....................... GBP 2,982,000 5,412,648
United Kingdom Treasury, 8%, 2015 .......................... GBP 1,418,000 3,215,363
-------------
$ 37,181,907
-------------
MORTGAGE BACKED -- 0.2%
Freddie Mac, 5%, 2024 ...................................... $ 353,595 $ 352,849
-------------
MUNICIPALS -- 0.8%
Honolulu, HI, City & County Rev., "A", MBIA, 5%, 2015 ...... $ 535,000 $ 583,070
Massachusetts State Water Resources Authority, "A",
MBIA, 5.25%, 2015 ........................................ 220,000 244,088
New York, NY, City Municipal Water Finance Authority,
Water & Sewer Systems Rev., "D", 5%, 2037 ................ 575,000 596,908
-------------
$ 1,424,066
-------------
SUPRANATIONAL -- 0.6%
Inter-American Development Bank, 1.9%, 2009 (l) ............ JPY 124,000,000 $ 1,099,493
-------------
U.S. GOVERNMENT AGENCIES -- 1.7%
Aid-Egypt, 4.45%, 2015 ..................................... $ 84,000 $ 82,311
Fannie Mae, 4.25%, 2007 .................................... 1,006,000 996,932
Freddie Mac, 4.2%, 2007 .................................... 757,000 747,107
Small Business Administration, 5.09%, 2025 ................. 75,000 75,045
Small Business Administration, 5.36%, 2025 ................. 713,000 723,646
Small Business Administration, 4.76%, 2025 ................. 470,000 460,905
-------------
$ 3,085,946
-------------
U.S. TREASURY OBLIGATIONS -- 2.1%
U.S. Treasury Bonds, 6.25%, 2030 ........................... $ 461,000 $ 572,540
U.S. Treasury Bonds, TIPS, 2.375%, 2025 .................... 250,426 263,202
U.S. Treasury Notes, 4.25%, 2013 ........................... 500,000 495,235
U.S. Treasury Notes, 4%, 2015 .............................. 897,000 869,669
U.S. Treasury Notes, 3.125%, 2008 .......................... 737,000 712,904
U.S. Treasury Notes, TIPS, 2%, 2014 (f) .................... 888,214 883,183
-------------
$ 3,796,733
-------------
Total Bonds
(Identified Cost, $59,690,608) .......................................... $ 58,577,214
-------------
PREFERRED STOCK -- 0.3%
CHEMICALS -- 0.3%
Henkel KGAA
(Identified Cost, $537,216) .............................. 6,150 $ 618,361
-------------
CALL OPTIONS PURCHASED -- 0.0%
Par Value
Issue/Strike Price/Expiration of Contracts Value ($)
JPY - January 2006 @ $117.30
(Premiums Paid, $13,787) ................................. JPY 158,941,500 $ 6,199
-------------
PUT OPTIONS PURCHASED -- 0.0%
EUR - January 2006 @ $1.21 (Premiums
Paid, $16,267) ........................................... EUR 1,494,200 $ 2,237
-------------
SHORT-TERM OBLIGATIONS -- 4.7%
Issuer Shares/Par ($) Value ($)
General Electric Capital Corp., 4.2%, due 1/03/06 (y) ...... $ 1,209,000 $ 1,208,718
New Center Asset Trust, 4.23%, due 1/03/06 (y) ............. 7,147,000 7,145,320
-------------
Total Short-Term Obligations, at Amortized Cost ........................... $ 8,354,038
-------------
COLLATERAL FOR SECURITIES LOANED -- 7.3%
Morgan Stanley Repurchase Agreement, 4.27%, dated
12/30/05, due 1/03/06, total to be received
$10,438,743 (secured by various U.S. Treasury
and Federal Agency obligations in an
individually traded account), at Cost ......................... $ 10,437,505 $ 10,437,505
Navigator Securities Lending Prime
Portfolio, at Cost and Net Asset
Value ......................................................... 2,464,287 2,464,287
---------------
Total Collateral for Securities Loaned .................................... $ 12,901,792
---------------
Total Investments
(Identified Cost, $172,044,397) (k) ..................................... $ 189,698,884
---------------
OTHER ASSETS, LESS LIABILITIES -- (6.6)% ...................................... (11,758,457)
---------------
Net Assets -- 100.0% ...................................................... $ 177,940,427
===============
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Sales and Purchases in the table below are reported by currency.
Net Unrealized
Contracts to Contracts Appreciation
Deliver/Receive Settlement Date In Exchange For at Value (Depreciation)
SALES
AUD 1,969,880 2/06/06 - 2/07/06 $1,464,893 $1,443,908 $20,985
EUR 3,710,341 1/23/06 - 2/21/06 4,365,657 4,400,444 (34,787)
GBP 3,394,083 1/31/06 5,996,833 5,833,096 163,737
JPY 80,617,519 1/17/06 - 1/18/06 679,401 684,685 (5,284)
NOK 3,329,843 1/17/06 - 6/08/06 512,014 494,699 17,315
NZD 7,375,128 2/07/06 5,162,010 5,014,398 147,612
SEK 2,937,675 2/06/06 368,568 370,487 (1,919)
----------- ----------- --------
$18,549,376 $18,241,717 $307,659
=========== =========== ========
PURCHASES
CAD 688,672 1/18/06 - 1/26/06 $592,859 $592,442 $(417)
CHF 461,287 2/16/06 362,014 352,363 (9,651)
DKK 4,005,432 1/17/06 632,770 635,674 2,904
EUR 3,413,067 1/18/06 - 2/21/06 4,060,679 4,045,069 (15,610)
GBP 129,771 1/31/06 226,445 223,025 (3,420)
JPY 1,636,413,221 1/18/06 13,864,912 13,898,884 33,972
NOK 7,978,637 1/17/06 1,197,831 1,182,718 (15,113)
SEK 12,925,376 1/17/06 - 2/13/06 1,628,154 1,629,742 1,588
----------- ----------- --------
$22,565,664 $22,559,917 $(5,747)
=========== =========== ========
At December 31, 2005, forward foreign currency purchases and sales under master netting agreements excluded above
amounted to a net payable of $14,107 with Merrill Lynch International.
FUTURES CONTRACTS OUTSTANDING AT DECEMBER 31, 2005:
Unrealized
Expiration Appreciation
Description Contracts Value Date (Depreciation)
Japan Government Bonds 10 Year (Long) 3 $3,491,505 Mar-06 $11,729
At December 31, 2005, the series had sufficient cash and/or securities to cover any commitments under these
derivative contracts.
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
GOVERNMENT SECURITIES SERIES
BONDS -- 98.2%
Issuer Shares/Par ($) Value ($)
AGENCY -- OTHER -- 5.7%
Financing Corp., 9.8%, 2018 ..................................... $ 7,760,000 $ 11,172,491
Financing Corp., 10.35%, 2018 ................................... 7,065,000 10,575,478
Financing Corp., 9.4%, 2018 ..................................... 5,475,000 7,662,038
Resolution Funding Corp., 8.875%, 2020 .......................... 6,000,000 8,346,426
---------------
$ 37,756,433
---------------
MORTGAGE BACKED -- 48.5%
Fannie Mae, 4.79%, 2012 ......................................... $ 6,259,642 $ 6,194,238
Fannie Mae, 4.73%, 2012 ......................................... 718,511 706,361
Fannie Mae, 5%, 2013 - 2019 ..................................... 18,317,360 18,157,825
Fannie Mae, 4.8%, 2013 .......................................... 612,021 603,833
Fannie Mae, 4.845%, 2013 ........................................ 1,819,026 1,795,992
Fannie Mae, 5.06%, 2013 ......................................... 718,442 716,455
Fannie Mae, 4.65%, 2013 ......................................... 1,695,990 1,664,744
Fannie Mae, 4.45%, 2014 ......................................... 2,174,949 2,098,257
Fannie Mae, 4.771%, 2014 ........................................ 4,357,394 4,296,084
Fannie Mae, 4.6%, 2014 .......................................... 875,993 852,667
Fannie Mae, 4.667%, 2014 ........................................ 5,292,760 5,180,556
Fannie Mae, 4.518%, 2014 ........................................ 1,140,287 1,105,708
Fannie Mae, 4.77%, 2014 ......................................... 753,256 739,052
Fannie Mae, 4.846%, 2014 ........................................ 6,084,656 6,020,257
Fannie Mae, 5.1%, 2014 .......................................... 936,347 939,023
Fannie Mae, 4.82%, 2014 - 2015 .................................. 3,135,484 3,085,685
Fannie Mae, 4.62%, 2015 ......................................... 1,579,988 1,536,498
Fannie Mae, 4.69%, 2015 ......................................... 622,890 608,509
Fannie Mae, 4.85%, 2015 ......................................... 622,242 614,371
Fannie Mae, 4.56%, 2015 ......................................... 1,130,910 1,095,058
Fannie Mae, 4.665%, 2015 ........................................ 763,309 744,369
Fannie Mae, 4.7%, 2015 .......................................... 875,367 855,657
Fannie Mae, 4.89%, 2015 ......................................... 614,186 608,033
Fannie Mae, 4.74%, 2015 ......................................... 700,000 684,481
Fannie Mae, 4.87%, 2015 ......................................... 656,289 648,854
Fannie Mae, 4.925%, 2015 ........................................ 2,441,903 2,426,959
Fannie Mae, 4.815%, 2015 ........................................ 824,000 809,545
Fannie Mae, 6%, 2016 - 2034 ..................................... 10,750,275 10,976,431
Fannie Mae, 6.5%, 2016 - 2032 ................................... 17,089,112 17,566,424
Fannie Mae, 4.996%, 2017 ........................................ 2,370,532 2,367,719
Fannie Mae, 7.5%, 2017 - 2031 ................................... 2,103,855 2,207,008
Fannie Mae, 5.5%, 2017 - 2035 ................................... 78,978,361 78,583,383
Fannie Mae, 4.5%, 2019 .......................................... 29,893,604 29,133,339
Fannie Mae, 4.88%, 2020 ......................................... 676,586 671,432
Freddie Mac, 4.5%, 2013 - 2015 .................................. 4,187,566 4,155,838
Freddie Mac, 4.375%, 2015 ....................................... 4,715,623 4,611,343
Freddie Mac, 5%, 2024 - 2025 .................................... 6,623,749 6,609,300
Freddie Mac, 5.5%, 2025 - 2035 .................................. 50,618,299 50,251,891
Freddie Mac, 6.5%, 2032 ......................................... 6,004,656 6,164,545
Freddie Mac, 6%, 2034 - 2035 .................................... 32,443,546 32,800,882
Freddie Mac, 3.108%, 2035 ....................................... 328,353 326,560
Ginnie Mae, 5.5%, 2033 - 2034 ................................... 12,257,085 12,346,282
---------------
$ 323,561,448
---------------
U.S. GOVERNMENT AGENCIES -- 20.9%
Aid to Israel, 0%, 2021 - 2024 .................................. $ 13,832,000 $ 5,820,283
Aid to Israel, 5.5%, 2023 ....................................... 7,403,000 7,978,013
Aid to Lebanon, 7.62%, 2009 ..................................... 4,243,279 4,434,226
Aid to Peru, 9.98%, 2008 ........................................ 1,637,851 1,718,696
Aid-Egypt, 4.45%, 2015 .......................................... 3,299,000 3,232,657
Empresa Energetica Cornito Ltd., 6.07%, 2010 .................... 6,166,000 6,339,388
Fannie Mae, 4.25%, 2009 ......................................... 7,277,000 7,169,140
Freddie Mac, 4.2%, 2007 ......................................... 7,706,000 7,605,290
Freddie Mac, 7%, 2010 ........................................... 8,626,000 9,363,773
Freddie Mac, 4.875%, 2013 ....................................... 6,000,000 6,028,380
Overseas Private Investment Corp., 0%, 2007 ..................... 3,510,451 3,545,555
Small Business Administration, 8.4%, 2007 ....................... 6,289 6,368
Small Business Administration, 9.65%, 2007 ...................... 6,205 6,337
Small Business Administration, 10.05%, 2009 ..................... 14,685 15,454
Small Business Administration, 9.05%, 2009 ...................... 13,264 13,864
Small Business Administration, 8.7%, 2009 ....................... 136,864 143,237
Small Business Administration, 6.35%, 2021 ...................... 2,741,834 2,879,334
Small Business Administration, 6.34%, 2021 ...................... 2,605,420 2,736,470
Small Business Administration, 6.44%, 2021 ...................... 3,142,586 3,306,890
Small Business Administration, 6.625%, 2021 ..................... 3,634,312 3,860,873
Small Business Administration, 6.07%, 2022 ...................... 2,843,600 2,966,069
Small Business Administration, 4.98%, 2023 ...................... 1,785,449 1,782,178
Small Business Administration, 4.89%, 2023 ...................... 4,546,312 4,514,323
Small Business Administration, 4.72%, 2024 ...................... 4,653,884 4,578,320
Small Business Administration, 4.34%, 2024 ...................... 2,547,310 2,447,340
Small Business Administration, 4.77%, 2024 ...................... 3,419,063 3,370,555
Small Business Administration, 5.52%, 2024 ...................... 2,553,962 2,614,036
Small Business Administration, 5.19%, 2024 ...................... 2,783,340 2,806,013
Small Business Administration, 4.99%, 2024 ...................... 2,975,141 2,967,853
Small Business Administration, 4.86%, 2024 ...................... 2,226,673 2,203,707
Small Business Administration, 4.88%, 2024 ...................... 2,068,817 2,049,230
Small Business Administration, 4.87%, 2024 ...................... 2,658,706 2,631,111
Small Business Administration, 5.11%, 2025 ...................... 2,421,420 2,428,154
Small Business Administration, 4.76%, 2025 ...................... 3,972,000 3,895,134
Tennessee Valley Authority STRIPS, 0%, 2042(i) .................. 12,573,000 9,762,683
U.S. Department of Housing & Urban
Development, 6.36%, 2016 ...................................... 6,000,000 6,370,686
U.S. Department of Housing & Urban
Development, 6.59%, 2016 ...................................... 5,744,000 5,932,593
---------------
$ 139,524,213
---------------
U.S. TREASURY OBLIGATIONS -- 23.1%
U.S. Treasury Bonds, 6.875%, 2025 ............................... $ 504,000 $ 649,057
U.S. Treasury Bonds, 6.25%, 2030 ................................ 579,000 719,091
U.S. Treasury Bonds, 5.375%, 2031 ............................... 11,884,000 13,349,071
U.S. Treasury Bonds, 6%, 2026 ................................... 4,101,000 4,835,977
U.S. Treasury Notes, 5.5%, 2008 ................................. 22,104,000 22,598,754
U.S. Treasury Notes, 6.5%, 2010(f) .............................. 84,251,000 90,882,480
U.S. Treasury Notes, TIPS, 3.625%, 2008 ......................... 6,402,242 6,574,053
U.S. Treasury Notes, TIPS, 3.875%, 2009 ......................... 4,692,751 4,932,156
U.S. Treasury Notes, TIPS, 4.25%, 2010 .......................... 9,084,711 9,848,390
---------------
$ 154,389,029
---------------
Total Bonds
(Identified Cost, $655,015,667) ......................................... $ 655,231,123
---------------
REPURCHASE AGREEMENT -- 0.7%
Morgan Stanley, 4.23%, dated 12/30/05, due
1/03/06, total to be received $4,586,154
(secured by various U.S. Treasury and
Federal Agency obligations in a jointly
traded account), at Cost ...................................... $ 4,584,000 $ 4,584,000
---------------
Total Investments
(Identified Cost, $659,599,667) ......................................... $ 659,815,123
---------------
OTHER ASSETS,
LESS LIABILITIES -- 1.1% .................................................... 7,052,949
---------------
Net Assets -- 100.0% ...................................................... $ 666,868,072
===============
FUTURES CONTRACTS OUTSTANDING AT DECEMBER 31, 2005:
Unrealized
Expiration Appreciation
Description Contracts Value Date (Depreciation)
U.S. Treasury Note 5 yr (Short) 94 $9,996,313 Mar-06 $(26,032)
U.S. Treasury Note 10 yr (Short) 56 6,126,750 Mar-06 (26,758)
--------
$(52,790)
========
At December 31, 2005, the series had sufficient cash and/or securities to cover any commitments under these derivative contracts.
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
HIGH YIELD SERIES
BONDS -- 92.3%
Issuer Shares/Par ($) Value ($)
ADVERTISING & BROADCASTING -- 4.2%
Allbritton Communications Co., 7.75%, 2012 ................. $ 1,523,000 $ 1,530,615
Block Communications, Inc., 8.25%, 2015 (a) ................ 550,000 544,500
DIRECTV Holdings LLC, 8.375%, 2013 ......................... 500,000 537,500
DIRECTV Holdings LLC, 6.375%, 2015 ......................... 815,000 796,663
EchoStar DBS Corp., 6.375%, 2011 ........................... 2,550,000 2,454,375
Granite Broadcasting Corp., 9.75%, 2010 .................... 960,000 883,200
Innova S. de R.L., 9.375%, 2013 ............................ 590,000 654,900
Intelsat Ltd., 8.625%, 2015 (a) ............................ 1,110,000 1,121,100
Intelsat Ltd., 0% to 2010, 9.25% to 2015 (a) ............... 1,590,000 1,045,425
Lamar Media Corp., 7.25%, 2013 ............................. 760,000 788,500
Lamar Media Corp., 6.625%, 2015 ............................ 275,000 276,031
Panamsat Holding Corp., 0% to 2009, 10.375% to 2014 ........ 2,730,000 1,911,000
Paxson Communications Corp., FRN, 10.7769%, 2013 (a) ....... 2,045,000 1,965,756
Sirius Satellite Radio, Inc., 9.625%, 2013 (a) ............. 860,000 847,100
-------------
$ 15,356,665
-------------
AEROSPACE -- 0.6%
Argo-Tech Corp., 9.25%, 2011 ............................... $ 1,050,000 $ 1,076,250
Transdigm Holding Co., 8.375%, 2011 ........................ 1,025,000 1,078,813
-------------
$ 2,155,063
-------------
AIRLINES -- 0.6%
Continental Airlines, Inc., 6.9%, 2017 ..................... $ 375,693 $ 325,958
Continental Airlines, Inc., 6.748%, 2017 ................... $ 370,734 $ 324,867
Continental Airlines, Inc., 6.795%, 2018 ................... $ 646,888 $ 562,134
Continental Airlines, Inc., 7.566%, 2020 ................... $ 1,175,869 $ 1,048,358
-------------
$ 2,261,317
-------------
APPAREL MANUFACTURERS -- 0.5%
Levi Strauss & Co., 12.25%, 2012 ........................... $ 830,000 $ 925,450
Levi Strauss & Co., 9.75%, 2015 ............................ 625,000 650,000
Quiksilver, Inc., 6.875%, 2015 ............................. 255,000 245,438
-------------
$ 1,820,888
-------------
ASSET BACKED & SECURITIZED -- 2.6%
Airplane Pass-Through Trust, "D", 10.875%, 2019 (r)(d) ..... $ 691,390 $ 0
Anthracite CDO Ltd., 6%, 2037 (a) .......................... 1,300,000 1,146,438
Arbor Realty Mortgage Securities, 6.45%, 2041 (a) .......... 750,000 750,000
Asset Securitization Corp., FRN, 8.0075%, 2026 ............. 754,009 799,860
Commercial Mortgage Acceptance Corp., 5.44%, 2013 (a) ...... 2,700,000 2,696,825
Deutsche Mortgage & Asset Receiving Corp., 7.5%, 2031 ...... 1,100,000 1,167,881
First Union National Bank Commercial Mortgage
Corp., 6.75%, 2032 ....................................... 855,000 856,968
GMAC Commercial Mortgage Securities, Inc.,
FRN, 7.661%, 2034 (a) .................................... 882,000 959,681
Mortgage Capital Funding, Inc., 7.214%, 2007 ............... 1,000,000 1,022,072
-------------
$ 9,399,725
-------------
AUTOMOTIVE -- 5.0%
Delphi Corp., 6.5%, 2013 (d) ............................... $ 460,000 $ 231,150
Ford Motor Credit Co., 7%, 2013 ............................ 1,192,000 1,018,513
Ford Motor Credit Co., 5.625%, 2008 ........................ 1,025,000 899,388
Ford Motor Credit Co., 6.625%, 2008 ........................ 1,564,000 1,418,636
Ford Motor Credit Co., 5.8%, 2009 .......................... 790,000 689,148
Ford Motor Credit Co., 4.95%, 2008 ......................... 980,000 878,074
Ford Motor Credit Co., 8.625%, 2010 ........................ 1,065,000 971,269
General Motors Acceptance Corp., 6.125%, 2008 .............. 1,235,000 1,130,925
General Motors Acceptance Corp., 5.85%, 2009 ............... 1,130,000 1,010,929
General Motors Acceptance Corp., 6.75%, 2014 ............... 4,833,000 4,347,868
General Motors Corp., 8.375%, 2033 ......................... 922,000 608,520
Lear Corp., 8.11%, 2009 .................................... 1,080,000 1,005,162
Lear Corp., 5.75%, 2014 .................................... 870,000 706,356
Metaldyne Corp., 10%, 2013 ................................. 455,000 411,775
Navistar International Corp., 7.5%, 2011 ................... 1,850,000 1,762,125
TRW Automotive, Inc., 11%, 2013 ............................ 465,000 521,963
TRW Automotive, Inc., 9.375%, 2013 ......................... 773,000 836,773
-------------
$ 18,448,574
-------------
BROADCAST & CABLE TV -- 3.3%
Cablevision Systems Corp., 8%, 2012 ........................ $ 870,000 $ 813,450
CCH I Holdings LLC, 9.92%, 2014 (a) ........................ 1,156,000 658,920
CCH I LLC, 11%, 2015 (a) ................................... 2,729,000 2,292,360
CCO Holdings LLC, 8.75%, 2013 .............................. 665,000 633,413
Charter Communications, Inc., 8.625%, 2009 ................. 930,000 688,200
Charter Communications, Inc., 8.375%, 2014 (a) ............. 590,000 587,050
CSC Holdings, Inc., 8.125%, 2009 ........................... 1,645,000 1,661,450
CSC Holdings, Inc., 6.75%, 2012 (a) ........................ 1,085,000 1,025,325
FrontierVision Holdings LP, 11.875%, 2007 (d) .............. 290,000 304,863
FrontierVision Holdings LP, "B", 11.875%, 2007 (d) ......... 430,000 452,038
FrontierVision Operating Partners LP, 11%, 2006 (d) ........ 1,060,000 1,409,800
Mediacom Broadband LLC, 9.5%, 2013 ......................... 1,080,000 1,054,350
Rogers Cable, Inc., 8.75%, 2032 ............................ 185,000 212,750
Videotron Telecom, 6.375%, 2015 (a) ........................ 215,000 213,656
-------------
$ 12,007,625
-------------
BUILDING -- 1.1%
Goodman Global Holdings, Inc., 7.875%, 2012 (a) ............ $ 1,150,000 $ 1,069,500
Interface, Inc., 10.375%, 2010 ............................. 943,000 1,020,798
Nortek Holdings, Inc., 8.5%, 2014 .......................... 785,000 757,525
Nortek Holdings, Inc., 0% to 2009, 10.75% to 2014 .......... 1,147,000 716,875
Texas Industries, Inc., 7.25%, 2013 (a) .................... 585,000 606,938
-------------
$ 4,171,636
-------------
BUSINESS SERVICES -- 2.0%
Iron Mountain, Inc., 8.625%, 2013 .......................... $ 680,000 $ 708,900
Iron Mountain, Inc., 7.75%, 2015 ........................... 720,000 725,400
Lucent Technologies, Inc., 5.5%, 2008 ...................... 800,000 796,000
Lucent Technologies, Inc., 6.55%, 2029 ..................... 395,000 338,713
Northern Telecom Corp., 7.875%, 2026 ....................... 425,000 411,188
Northern Telecom Corp., 6.875%, 2023 ....................... 685,000 613,075
SunGard Data Systems, Inc., 10.25%, 2015 (a) ............... 1,040,000 1,040,000
Xerox Corp., 7.625%, 2013 .................................. 2,710,000 2,859,050
-------------
$ 7,492,326
-------------
CHEMICALS -- 4.8%
ARCO Chemical Co., 9.8%, 2020 .............................. $ 885,000 $ 993,413
BCP Crystal Holdings Corp., 9.625%, 2014 ................... 693,000 770,963
Crystal U.S. Holdings LLC, "A", 0% to 2009, 10% to 2014 .... 348,000 255,780
Crystal U.S. Holdings LLC, "B", 0% to 2009, 10.5% to 2014 .. 1,917,000 1,394,618
Equistar Chemicals LP, 10.625%, 2011 ....................... 680,000 748,000
Hercules, Inc., 6.75%, 2029 ................................ 1,150,000 1,106,875
Huntsman International LLC, 10.125%, 2009 .................. 1,161,000 1,198,733
Huntsman International LLC, 7.375%, 2015 (a) ............... 1,790,000 1,727,350
IMC Global, Inc., 10.875%, 2013 ............................ 565,000 649,044
KI Holdings, Inc., 0% to 2009, 9.875% to 2014 .............. 1,625,000 1,064,375
Kronos International, Inc., 8.875%, 2009 ................... EUR 70,000 86,633
Lyondell Chemical Co., 9.5%, 2008 .......................... $ 430,000 450,425
Lyondell Chemical Co., 11.125%, 2012 ....................... 750,000 839,063
Nalco Co., 7.75%, 2011 ..................................... 470,000 482,925
Nalco Co., 8.875%, 2013 .................................... 360,000 377,100
Nell AF S.a.r.L., 8.375%, 2015 (a) ......................... 1,445,000 1,430,550
NOVA Chemicals Corp., 6.5%, 2012 ........................... 770,000 745,938
Resolution Performance Products LLC, 13.5%, 2010 ........... 760,000 803,700
Rhodia S.A., 8.875%, 2011 .................................. 1,235,000 1,265,875
Rockwood Specialties Group, Inc., 10.625%, 2011 ............ 725,000 794,781
Rockwood Specialties Group, Inc., 7.5%, 2014 ............... 395,000 395,519
-------------
$ 17,579,660
-------------
CONSTRUCTION -- 1.6%
Beazer Homes USA, Inc., 6.875%, 2015 ....................... $ 1,260,000 1,208,025
D.R. Horton, Inc., 8%, 2009 ................................ 1,400,000 1,492,042
Technical Olympic USA, Inc., 9%, 2010 ...................... 435,000 439,894
Technical Olympic USA, Inc. 7.5%, 2011 ..................... 310,000 276,288
Technical Olympic USA, Inc. 7.5%, 2015 ..................... 840,000 705,600
WCI Communities, Inc., 7.875%, 2013 ........................ 1,145,000 1,079,163
WCI Communities, Inc., 6.625%, 2015 ........................ 625,000 543,750
-------------
$ 5,744,762
-------------
CONSUMER GOODS & SERVICES -- 2.6%
ACCO Brands Corp., 7.625%, 2015 ............................ $ 265,000 $ 249,763
Bombardier Recreational Products, Inc., 8.375%, 2013 ....... 885,000 886,106
Church & Dwight Co., Inc., 6%, 2012 ........................ 1,170,000 1,152,450
GEO Group, Inc., 8.25%, 2013 ............................... 435,000 425,213
Playtex Products, Inc., 9.375%, 2011 ....................... 1,025,000 1,073,688
Revlon Consumer Products Corp., 9.5%, 2011 ................ 1,210,000 1,104,125
Safilo Capital International S.A., 9.625%, 2013 (a) ....... EUR 1,765,000 2,338,357
Samsonite Corp., 8.875%, 2011 .............................. $ 1,145,000 1,185,075
Service Corp. International, 7%, 2017(a) ................... 1,205,000 1,195,963
-------------
$ 9,610,740
-------------
CONTAINERS -- 1.8%
Crown Americas, 7.75%, 2015 (a) ............................ $ 1,840,000 $ 1,904,400
Greif, Inc., 8.875%, 2012 .................................. 1,160,000 1,235,400
Owens-Brockway Glass Container, Inc., 8.25%, 2013 .......... 2,010,000 2,075,325
Owens-Illinois, Inc., 7.8%, 2018 ........................... 423,000 420,885
Plastipak Holdings, Inc., 8.5%, 2015(a) .................... 400,000 404,000
Pliant Corp., 11.625%, 2009 (p) ............................ 130,564 138,398
Pliant Corp., 11.125%, 2009 ................................ 410,000 364,900
-------------
$ 6,543,308
-------------
DEFENSE ELECTRONICS -- 0.5%
L-3 Communications Holdings, Inc., 6.125%, 2014 ............ $ 1,295,000 $ 1,282,050
L-3 Communications Holdings, Inc., 5.875%, 2015 ............ 725,000 703,250
-------------
$ 1,985,300
-------------
ELECTRONICS -- 0.5%
Flextronics International Ltd., 6.5%, 2013 ................. $ 1,765,000 $ 1,793,681
Magnachip Semiconductor S.A., 8%, 2014 ..................... 155,000 148,025
-------------
$ 1,941,706
-------------
EMERGING MARKET QUASI-SOVEREIGN -- 0.6%
Gazprom OAO, 9.625%, 2013 (a) .............................. $ 610,000 $ 735,050
Gazprom OAO, 8.625%, 2034 (a) .............................. 1,120,000 1,416,800
-------------
$ 2,151,850
---------------
EMERGING MARKET SOVEREIGN -- 0.5%
Federal Republic of Brazil, 8.875%, 22019 .................. $ 591,000 $ 662,216
Republic of Panama, 9.375%, 2029 ........................... 221,000 277,908
Russian Ministry of Finance, 12.75%, 2028 .................. 486,000 891,421
-------------
$ 1,831,545
-------------
ENERGY -- INDEPENDENT -- 3.0%
Belden & Blake Corp., 8.75%, 2012 .......................... $ 800,000 $ 816,000
Chesapeake Energy Corp., 6.875%, 2016 ...................... 2,210,000 2,265,250
Chesapeake Energy Corp., 7%, 2014 .......................... 1,433,000 1,483,155
Chesapeake Energy Corp., 6.375%, 2015 ...................... 1,300,000 1,300,000
Clayton Williams Energy, Inc., 7.75%, 2013 ................. 1,170,000 1,123,200
Kerr-McGee Corp., 6.95%, 2024 .............................. 1,175,000 1,246,301
Newfield Exploration Co., 6.625%, 2014 ..................... 1,410,000 1,434,675
Plains Exploration & Production Co., 7.125%, 2014 .......... 1,160,000 1,200,600
-------------
$ 10,869,181
-------------
ENERGY -- INTEGRATED -- 0.3%
Amerada Hess Corp., 7.3%, 2031 ............................. $ 940,000 $ 1,087,847
-------------
ENTERTAINMENT -- 1.3%
AMC Entertainment, Inc., 9.5%, 2011 ........................ $ 766,000 $ 753,553
AMC Entertainment, Inc., 8.625%, 2012 ...................... 1,470,000 1,090,063
Loews Cineplex Entertainment Corp., 9%, 2014 ............... 1,185,000 1,196,850
Six Flags, Inc., 9.75%, 2013 ............................... 1,260,000 1,236,375
-------------
$ 4,722,928
-------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 1.4%
B&G Foods Holding Corp., 8%, 2011 .......................... $ 725,000 $ 739,500
Dean Foods Co., 6.625%, 2009 ............................... 1,070,000 1,090,063
Michael Foods, Inc., 8%, 2013 .............................. 1,405,000 1,440,125
Smithfield Foods, Inc., 7%, 2011 ........................... 1,240,000 1,264,800
United Biscuits Finance PLC, 10.625%, 2011 ................. EUR 600,000 759,422
-------------
$ 5,293,910
-------------
FOREST & PAPER PRODUCTS -- 2.9%
Abitibi-Consolidated, Inc., 8.55%, 2010 .................... $ 1,512,000 $ 1,530,900
Buckeye Technologies, Inc., 8.5%, 2013 ..................... 1,165,000 1,165,000
Graphic Packaging International Corp., 9.5%, 2013 .......... 1,660,000 1,585,300
Jefferson Smurfit Corp., 8.25%, 2012 ....................... 805,000 772,800
JSG Funding LLC, 11.5%, 2015 (a)(p) ........................ EUR 1,736,228 1,899,750
MDP Acquisitions PLC, 9.625%, 2012 ......................... $ 1,145,000 1,145,000
Norske Skog Canada Ltd., 8.625%, 2011 ...................... 1,055,000 1,007,525
Norske Skog Canada Ltd., 7.375%, 2014 ...................... 770,000 673,750
Stone Container Corp., 7.375%, 2014 ........................ 855,000 778,050
-------------
$ 10,558,075
-------------
GAMING & LODGING -- 6.9%
Aztar Corp., 7.875%, 2014 .................................. $ 1,695,000 $ 1,775,513
Boyd Gaming Corp., 6.75%, 2014 ............................. 1,585,000 1,573,113
Caesars Entertainment, Inc., 8.125%, 2011 ................. 1,760,000 1,942,600
Caesars Entertainment, Inc., 8.875%, 2008 ................. 425,000 459,531
Greektown Holdings, 10.75%, 2013 (a) ....................... 685,000 679,863
GTECH Holdings Corp., 5.25%, 2014 .......................... 1,275,000 1,105,936
Host Marriott LP, 7.125%, 2013 ............................. 1,410,000 1,466,400
Host Marriott LP, 6.375%, 2015 ............................. 695,000 693,263
Majestic Star Casino, LLC, 9.5%, 2010 ...................... 380,000 399,950
Majestic Star Casino, LLC, 9.75%, 2011 (a) ................ 355,000 358,550
Mandalay Resort Group, 9.375%, 2010 ........................ 1,085,000 1,188,075
MGM Mirage, Inc., 8.5%, 2010 ............................... 1,165,000 1,262,569
MGM Mirage, Inc., 8.375%, 2011 ............................. 2,225,000 2,380,750
MGM Mirage, Inc., 5.875%, 2014 ............................. 485,000 463,175
Penn National Gaming, Inc., 6.75%, 2015 ................... 285,000 280,013
Pinnacle Entertainment, Inc., 8.75%, 2013 ................. 300,000 319,500
Pinnacle Entertainment, Inc., 8.25%, 2012 ................. 1,055,000 1,090,606
Royal Caribbean Cruises Ltd., 6.875%, 2013 ................ 2,345,000 2,483,683
Starwood Hotels & Resorts Worldwide, Inc., 7.875%, 2012 ... 2,560,000 2,822,400
Station Casinos, Inc., 6.875%, 2016 ........................ 80,000 81,800
Station Casinos, Inc., 6.5%, 2014 .......................... 1,070,000 1,080,700
Wynn Las Vegas LLC, 6.625%, 2014 ........................... 1,460,000 1,419,850
-------------
$ 25,327,840
-------------
INDUSTRIAL -- 2.7%
Amsted Industries, Inc., 10.25%, 2011 (a) ................. $ 1,255,000 $ 1,342,850
Da-Lite Screen Co., Inc., 9.5%, 2011 ....................... 785,000 824,250
JohnsonDiversey Holdings, Inc., "B", 9.625%, 2012 ......... 1,410,000 1,417,050
JohnsonDiversey Holdings, Inc., 0% to 2007, 10.67% to 2013 2,735,000 2,174,325
Knowledge Learning Corp., 7.75%, 2015 (a) ................. 725,000 688,750
Milacron Escrow Corp., 11.5%, 2011 ......................... 1,580,000 1,350,900
Valmont Industries, Inc., 6.875%, 2014 ..................... 1,160,000 1,168,700
Wesco Distribution, Inc., 7.5%, 2017 (a) ................... 965,000 971,031
-------------
$ 9,937,856
-------------
INSURANCE -- 0.6%
UnumProvident Corp., 7.625%, 2011 .......................... $ 1,024,000 $ 1,104,391
UnumProvident Finance Co., 6.85%, 2015 (a) ................ 1,048,000 1,091,626
-------------
$ 2,196,017
-------------
INSURANCE -- PROPERTY & CASUALTY -- 0.4%
AXIS Capital Holdings LTD., 5.75%, 2014 .................... $ 795,000 $ 795,170
Marsh & Mclennan Cos., Inc., 5.75%, 2015 .................. 631,000 636,070
-------------
$ 1,431,240
-------------
MACHINERY & TOOLS -- 1.7%
Case Corp., 7.25%, 2016 .................................... $ 840,000 $ 783,300
Case New Holland, Inc., 9.25%, 2011 ........................ 1,400,000 1,498,000
JLG Industries, Inc., 8.25%, 2008 .......................... 665,000 696,588
Terex Corp., 10.375%, 2011 ................................. 760,000 805,600
Terex Corp., 9.25%, 2011 ................................... 400,000 427,000
Terex Corp., 7.375%, 2014 .................................. 1,010,000 999,900
United Rentals, Inc., 7.75%, 2013 .......................... 315,000 307,125
United Rentals, Inc., 6.5%, 2012 ........................... 785,000 764,394
-------------
$ 6,281,907
-------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES -- 6.3%
AmerisourceBergen Corp., 5.875%, 2015 (a) ................. $ 1,165,000 $ 1,175,194
CDRV Investors, Inc., 0% to 2010, 9.625% to 2015 .......... 2,350,000 1,439,375
DaVita, Inc., 6.625%, 2013 ................................. 740,000 752,950
DaVita, Inc., 7.25%, 2015 .................................. 1,215,000 1,230,188
Extendicare Health Services, Inc., 6.875%, 2014 ........... 1,215,000 1,187,663
Fisher Scientific International, Inc., 6.75%, 2014 ........ 250,000 260,625
Fisher Scientific International, Inc., 6.125%, 2015 (a) ... 1,450,000 1,450,000
HCA, Inc., 7.875%, 2011 .................................... 2,785,000 2,994,312
HCA, Inc., 6.375%, 2015 .................................... 3,335,000 3,371,131
Healthsouth Corp., 7.625%, 2012 ............................ 1,045,000 1,060,675
Lifecare Holdings, Inc., 9.25%, 2013 (a) ................... 1,040,000 821,600
Omnicare, Inc., 6.875%, 2015 ............................... 380,000 385,700
Psychiatric Solutions, Inc., 7.75%, 2015 ................... 490,000 505,925
Select Medical Corp., 7.625%, 2015 ......................... 1,230,000 1,183,875
Tenet Healthcare Corp., 9.875%, 2014 ....................... 1,540,000 1,559,250
Tenet Healthcare Corp., 9.25%, 2015 (a) .................... 680,000 674,900
Triad Hospitals, Inc., 7%, 2013 ............................ 1,815,000 1,819,538
U.S. Oncology, Inc., 10.75%, 2014 .......................... 995,000 1,104,450
-------------
$ 22,977,351
-------------
MEDICAL EQUIPMENT -- 0.4%
Warner Chillcott Corp., 8.75%, 2015 (a) .................... $ 1,425,000 $ 1,311,000
-------------
METALS & MINING -- 1.5%
Century Aluminum Co., 7.5%, 2014 ........................... $ 1,595,000 $ 1,571,075
Massey Energy Co., 6.875%, 2013 (a) ........................ 1,125,000 1,134,844
Peabody Energy Corp., 5.875%, 2016 ......................... 1,565,000 1,523,919
Russel Metals, Inc., 6.375%, 2014 .......................... 1,325,000 1,285,250
-------------
$ 5,515,088
-------------
NATURAL GAS -- DISTRIBUTION -- 0.2%
AmeriGas Partners LP, 7.25%, 2015 .......................... $ 845,000 $ 861,900
-------------
NATURAL GAS -- PIPELINE -- 3.9%
ANR Pipeline Co., 9.625%, 2021 ............................. $ 875,000 $ 1,068,953
Atlas Pipeline Partners LP, 8.125%, 2015 (a) .............. 385,000 388,369
Colorado Interstate Gas Co., 5.95%, 2015 .................. 790,000 763,045
El Paso Energy Corp., 7%, 2011 ............................. 2,730,000 2,709,525
El Paso Energy Corp., 7.625%, 2010 ......................... 1,060,000 1,114,674
El Paso Energy Corp., 7.75%, 2013 .......................... 2,190,000 2,272,125
Enterprise Products Operating LP, 6.375%, 2013 ............ 653,000 683,631
Enterprise Products Operating LP, 5.6%, 2014 .............. 1,247,000 1,246,026
Markwest Energy Partners LP, 6.875%, 2014 (a) ............. 860,000 791,200
Pacific Energy Partners, LP, 6.25%, 2015 (a) .............. 470,000 462,950
Transcontinental Gas Pipe Line Corp., 7%, 2011 ............ 750,000 782,813
Williams Cos., Inc., 7.125%, 2011 .......................... 1,698,000 1,763,798
Williams Cos., Inc., 7.75%, 2031 ........................... 380,000 400,900
-------------
$ 14,448,009
-------------
NETWORK & TELECOM -- 4.3%
AT&T Corp., 7.3%, 2011 ..................................... $ 915,000 $ 1,012,745
AT&T Corp., 9.75%, 2031 .................................... 625,000 785,078
Cincinnati Bell, Inc., 8.375%, 2014 ........................ 820,000 806,675
Citizens Communications Co., 9%, 2031 ..................... 360,000 364,500
Citizens Communications Co., 9.25%, 2011 .................. 1,601,000 1,765,103
Citizens Communications Co., 6.25%, 2013 .................. 920,000 890,100
Eircom Funding PLC, 8.25%, 2013 ............................ 505,000 540,350
Espirit Telecom Group PLC, 10.875%, 2008 (d) .............. 200,000 0
GCI, Inc., 7.25%, 2014 ..................................... 770,000 762,300
Hawaiian Telecom Communications, Inc., 9.75%, 2013 (a) .... 735,000 718,463
Hawaiian Telecom Communications, Inc., 12.5%, 2015 (a) .... 175,000 163,625
MCI, Inc., 6.908%, 2007 .................................... 655,000 659,913
MCI, Inc., 7.688%, 2009 .................................... 815,000 841,488
Qwest Capital Funding, Inc., 7.25%, 2011 .................. 1,390,000 1,407,375
Qwest Corp., 8.875%, 2012 .................................. 1,625,000 1,832,188
Qwest Corp., 7.875%, 2011 .................................. 1,675,000 1,804,813
Time Warner Telecom Holdings, Inc., 9.25%, 2014 ........... 1,375,000 1,450,625
-------------
$ 15,805,341
-------------
OIL SERVICES -- 0.6%
GulfMark Offshore, Inc., 7.75%, 2014 ....................... $ 1,190,000 $ 1,237,600
Hanover Compressor Co., 9%, 2014 ........................... 1,055,000 1,149,950
-------------
$ 2,387,550
-------------
OILS -- 0.1%
Premcor Refining Group, Inc., 7.5%, 2015 .................. $ 500,000 $ 533,015
-------------
POLLUTION CONTROL -- 0.5%
Allied Waste North America, Inc., 7.875%, 2013 ............ $ 45,000 $ 46,463
Allied Waste North America, Inc., 6.5%, 2010 .............. 1,785,000 1,767,150
-------------
$ 1,813,613
-------------
PRECIOUS METALS & MINERALS -- 0.4%
Freeport-McMoRan Copper & Gold, Inc., 6.875%, 2014 ........ $ 1,415,000 $ 1,429,150
-------------
PRINTING & PUBLISHING -- 2.5%
American Media Operations, Inc., 8.875%, 2011 ............. $ 1,345,000 $ 1,143,250
Dex Media East LLC, 12.125%, 2012 .......................... 715,000 836,550
Dex Media, Inc., 0% to 2008, 9% to 2013 ................... 3,710,000 2,949,450
Lighthouse International Co. S.A., 8%, 2014 (a) ........... EUR 960,000 1,203,719
MediaNews Group, Inc., 6.875%, 2013 ........................ $ 1,180,000 1,128,375
PRIMEDIA, Inc., 8.875%, 2011 ............................... 765,000 705,713
PRIMEDIA, Inc., 8%, 2013 ................................... 25,000 21,156
WDAC Subsidiary Corp., 8.375%, 2014 (a) ................... 1,240,000 1,201,250
-------------
$ 9,189,463
-------------
RAILROAD & SHIPPING -- 0.7%
Kansas City Southern Railway Co., 7.5%, 2009 .............. $ 1,720,000 $ 1,775,900
TFM S.A. de C.V., 12.5%, 2012 .............................. 264,000 300,960
TFM S.A. de C.V., 9.375%, 2012 (a) ......................... 362,000 396,390
-------------
$ 2,473,250
-------------
RESTAURANTS -- 0.3%
Carrols Corp., 9%, 2013 .................................... $ 1,230,000 $ 1,196,175
-------------
RETAILERS -- 2.7%
Buhrmann U.S., Inc., 7.875%, 2015 .......................... $ 1,195,000 $ 1,166,619
Couche-Tard, Inc., 7.5%, 2013 .............................. 1,820,000 1,874,600
Dollar General Corp., 8.625%, 2010 ......................... 1,305,000 1,432,238
Finlay Fine Jewelry Corp., 8.375%, 2012 .................... 1,020,000 918,000
GSC Holdings Corp., 8%, 2012 (a) ........................... 1,085,000 1,019,900
J.C. Penney Corp., Inc., 8%, 2010 .......................... 995,000 1,089,771
Neiman Marcus Group, Inc., 9%, 2015 (a) ................... 1,065,000 1,088,963
Rite Aid Corp., 8.125%, 2010 ............................... 1,125,000 1,144,688
-------------
$ 9,734,779
-------------
SPECIALTY STORES -- 0.3%
Payless ShoeSource, Inc., 8.25%, 2013 ...................... $ 1,085,000 $ 1,133,825
-------------
STEEL -- 0.5%
AK Steel Holding Corp., 7.75%, 2012 ........................ $ 1,225,000 $ 1,105,563
Chaparral Steel Co., 10%, 2013 ............................. 765,000 824,288
-------------
$ 1,929,851
-------------
SUPERMARKETS -- 0%
Jitney Jungle Stores of America, Inc., 10.375%, 2007 (d) .. 250,000 $ 0
-------------
TELECOMMUNICATIONS -- WIRELESS -- 3.3%
Alamosa Holdings, Inc., 12%, 2009 .......................... $ 1,167,000 $ 1,276,406
American Tower Corp., 7.125%, 2012 ......................... 470,000 484,100
American Towers, Inc., 7.25%, 2011 ......................... 735,000 764,400
Centennial Communications Corp., 10%, 2013 (a) ............. 300,000 303,000
Centennial Communications Corp., 10.125%, 2013 ............. 655,000 712,313
Dolphin Telecom PLC, 11.5%, 2008 (d) ....................... 2,750,000 0
Dolphin Telecom PLC, "B", 14%, 2009 (d) .................... 1,525,000 0
IWO Holdings, Inc., 7.9%, 2012 ............................. 155,000 160,813
Nextel Communications, Inc., 5.95%, 2014 ................... 3,380,000 3,397,704
Rogers Wireless, Inc., 6.375%, 2014 ........................ 1,380,000 1,383,450
Rogers Wireless, Inc., 7.5%, 2015 .......................... 990,000 1,069,200
Rural Cellular Corp., 9.875%, 2010 ......................... 1,200,000 1,266,000
U.S. Unwired, Inc., 10%, 2012 .............................. 935,000 1,051,875
Wind Acquisition Finance S.A., 10.75%, 2015 (a) ............ 320,000 330,400
-------------
$ 12,199,661
-------------
TIRE & RUBBER -- 0.8%
Cooper Standard Automotive, Inc., 8.375%, 2014 ............. $ 1,310,000 $ 995,600
Goodyear Tire & Rubber Co., 9%, 2015 (a) ................... 1,910,000 1,881,350
-------------
$ 2,876,950
-------------
TOBACCO -- 0.5%
R.J. Reynolds Tobacco Holdings, Inc., 7.25%, 2012 .......... $ 1,040,000 $ 1,060,800
R.J. Reynolds Tobacco Holdings, Inc., 7.3%, 2015 (a) ....... 865,000 882,300
-------------
$ 1,943,100
-------------
TRANSPORTATION -- SERVICES -- 1.2%
CHC Helicopter Corp., 7.375%, 2014 ......................... $ 785,000 $ 793,831
Hertz Corp., 8.875%, 2014 (a) .............................. 760,000 774,250
Stena AB, 9.625%, 2012 ..................................... 435,000 472,519
Stena AB, 7%, 2016 ......................................... 1,311,000 1,199,565
Westinghouse Air Brake Technologies Corp., 6.875%, 2013 .... 1,015,000 1,025,150
-------------
$ 4,265,315
-------------
UTILITIES -- ELECTRIC POWER -- 7.3%
AES Corp., 8.75%, 2013 (a) ................................. $ 1,985,000 $ 2,161,169
AES Corp., 9%, 2015 (a) .................................... 280,000 306,600
Allegheny Energy Supply Co., LLC, 8.25%, 2012 (a) .......... 1,615,000 1,820,913
CMS Energy Corp., 8.5%, 2011 ............................... 1,660,000 1,807,325
Dynegy Holdings, Inc., 9.875%, 2010 (a) .................... 505,000 553,606
Dynegy Holdings, Inc., 10.125%, 2013 (a) ................... 645,000 728,850
Empresa Nacional de Electricidad S.A., 8.35%, 2013 ......... 317,000 361,037
Enersis S.A., 7.375%, 2014 ................................. 1,058,000 1,138,012
FirstEnergy Corp., 6.45%, 2011 ............................. 655,000 694,298
Midwest Generation LLC, 8.75%, 2034 ........................ 1,970,000 2,169,463
Mirant North America LLC, 7.375%, 2013 (a) ................. 940,000 950,575
Mission Energy Holding Co., 13.5%, 2008 .................... 1,015,000 1,177,400
Nevada Power Co., 6.5%, 2012 ............................... 270,000 276,750
Nevada Power Co., 5.875%, 2015 ............................. 690,000 684,702
NorthWestern Corp., 5.875%, 2014 ........................... 1,245,000 1,247,341
NRG Energy, Inc., 8%, 2013 ................................. 1,123,000 1,252,145
PSEG Energy Holdings LLC, 8.625%, 2008 ..................... 980,000 1,019,200
Reliant Energy, Inc., 6.75%, 2014 .......................... 210,000 183,225
Reliant Resources, Inc., 9.25%, 2010 ....................... 435,000 435,000
Reliant Resources, Inc., 9.5%, 2013 ........................ 635,000 636,588
Sierra Pacific Power Co., 6.25%, 2012 ...................... 585,000 593,775
Sierra Pacific Resources, 8.625%, 2014 ..................... 350,000 378,696
TECO Energy, Inc., 7%, 2012 ................................ 1,060,000 1,113,000
Tenaska Alabama Partners LP, 7%, 2021 (a) .................. 506,294 507,634
Texas Genco LLC, 6.875%, 2014 (a) .......................... 1,140,000 1,234,050
TXU Corp., 5.55%, 2014 ..................................... 3,420,000 3,248,439
-------------
$ 26,679,793
-------------
Total Bonds (Identified Cost, $341,619,237) ............................... $ 338,913,670
-------------
STOCKS -- 1.0%
AUTOMOTIVE -- 0.3%
Magna International, Inc., "A" ............................. 16,400 $ 1,180,442
-------------
BROADCAST & CABLE TV -- 0.1%
Telewest Global, Inc.(n) ................................... 13,918 $ 331,527
-------------
FOREST & PAPER PRODUCTS -- 0%
Corporacion Durango S.A. de C.V.(n) ........................ 39,184 $ 16,941
-------------
METALS & MINING -- 0%
Oxford Automotive, Inc.(n) ................................. 21 $ 0
-------------
PHARMACEUTICALS -- 0.2%
Merck & Co., Inc. .......................................... 26,600 $ 846,146
-------------
PRINTING & PUBLISHING -- 0%
Golden Books Family Entertainment, Inc.(n) ................. 17,708 $ 0
-------------
TELECOMMUNICATIONS -- WIRELESS -- 0.1%
Vodafone Group PLC, ADR .................................... 14,484 $ 310,971
-------------
TELEPHONE SERVICES -- 0.3%
NTL, Inc.(n) ............................................... 12,547 $ 854,200
-------------
Total Stocks (Identified Cost, $3,209,449) ............. $ 3,540,227
-------------
CONVERTIBLE PREFERRED STOCK -- 0.3%
AUTOMOTIVE -- 0.3%
General Motors Corp., 5.25% (Identified Cost, $1,336,760) .. 74,597 $ 1,111,495
-------------
PREFERRED STOCKS -- 0.1%
BROADCAST & CABLE TV -- 0.1%
Paxson Communications Corp., 14.25% ........................ 42 $ 365,400
-------------
CONSUMER GOODS & SERVICES -- 0%
Renaissance Cosmetics, Inc., 14% (n) ....................... 852 $ 0
-------------
REAL ESTATE -- 0%
HRPT Properties Trust, "B", 8.75% .......................... 1,225 $ 31,728
-------------
TELEPHONE SERVICES -- 0%
PTV, Inc., "A", 10% ........................................ 37 $ 78
-------------
Total Preferred Stocks
(Identified Cost, $372,443) .......................... $ 397,206
-------------
WARRANTS -- 0.0%
Strike First Shares/Par
Issuer Price Exercise ($) Value ($)
Cybernet Internet Services (Computer Software) (n) . $ 22.28 10/29/99 800 $ 0
GT Group Telecom, Inc. (Telephone Services)(n) ..... 0.00 8/01/00 2,900 0
Knology, Inc. (Network & Telecom) (a)(n) ........... 0.10 11/22/97 525 0
Loral Space & Communications Ltd. (Business
Services) (n) .................................... 0.14 1/28/97 1,000 0
Loral Space & Communications Ltd. (Business
Services) (n) .................................... 0.14 1/28/97 1,100 0
Ono Finance (Broadcast & Cable TV) (n) ............. 0.00 5/31/09 3,185 0
Pliant Corp. (Containers) (a)(n) ................... 0.01 5/25/00 660 7
Thermadyne Holdings Corp. (Machinery & Tools) (n) .. 20.78 5/29/03 6,594 330
XM Satellite Radio, Inc. (Broadcast & Cable TV)(n) . 45.24 9/16/00 1,030 46,350
XO Communications, Inc., "A" (Telephone Services)(n) 6.25 5/27/03 1,302 195
XO Communications, Inc., "B" (Telephone Services)(n) 7.50 5/27/03 976 98
XO Communications, Inc., "C" (Telephone Services)(n) 10.00 5/27/03 976 88
----------
Total Warrants (Identified Cost, $527,649) ..... $ 47,068
----------
REPURCHASE AGREEMENT -- 4.2%
Morgan Stanley, 4.23%, dated 12/30/05, due
1/03/06, total to be received
$15,537,299 (secured by various U.S. .....................
Treasury and Federal Agency obligations
in a jointly traded account), at Cost .................... $ 15,530,000 $ 15,530,000
-------------
Total Investments
(Identified Cost, $362,595,538) (k) ..................................... $ 359,539,666
-------------
OTHER ASSETS,
LESS LIABILITIES -- 2.1% .................................................... 7,807,704
-------------
Net Assets -- 100.0% ...................................................... $ 367,347,370
=============
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Sales and Purchases in the table below are reported by currency.
Net Unrealized
Contracts to Settlement In Exchange Contracts Appreciation
Deliver/Receive Date For at Value (Depreciation)
SALES
EUR 4,832,721 2/21/06 $5,678,906 $5,733,409 $(54,503)
SEK 319,639 2/13/06 40,241 40,332 (91)
---------- ---------- --------
$5,719,147 $5,773,741 $(54,594)
========== ========== ========
At December 31, 2005, forward foreign currency purchases and sales under master netting agreements excluded above amounted
to a net receivable of $7 with Merrill Lynch International.
At December 31, 2005, the series had sufficient cash and/or securities to cover any commitments under these
derivative contracts.
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
INTERNATIONAL VALUE SERIES
STOCKS -- 96.7%
Shares/Par
Issuer ($) Value ($)
AIRLINES -- 0.4%
Thai Airways International Public Co. Ltd. ...................... 451,300 $ 484,027
---------------
ALCOHOLIC BEVERAGES -- 1.0%
Diageo PLC ...................................................... 79,758 $ 1,155,001
---------------
APPAREL MANUFACTURERS -- 0.9%
Impact 21 Co. Ltd. .............................................. 23,400 $ 674,152
Sanyo Shokai Ltd. ............................................... 37,400 400,573
---------------
$ 1,074,725
---------------
AUTOMOTIVE -- 5.8%
Autoliv, Inc.(l) ................................................ 19,000 $ 857,809
Bayerische Motoren Werke AG ..................................... 31,470 1,379,218
Compagnie Generale des Etablissements Michelin(l) ............... 14,700 825,612
Hyundai Mobis ................................................... 7,400 674,331
Kongsberg Automotive A.S.A.(n) .................................. 51,500 367,601
Nissan Motor Co. Ltd. ........................................... 118,300 1,197,886
PSA Peugeot Citroen S.A.(l) ..................................... 12,000 691,287
Renault S.A.(l) ................................................. 11,200 912,820
---------------
$ 6,906,564
---------------
BANKS & CREDIT COMPANIES -- 15.6%
Aiful Corp. ..................................................... 14,050 $ 1,172,669
BNP Paribas(l) .................................................. 17,000 1,374,471
Close Brothers Group PLC ........................................ 18,880 294,501
Credit Agricole S.A ............................................. 67,663 2,129,826
DEPFA Bank PLC .................................................. 41,300 610,184
DNB Holding A.S.A.(l) ........................................... 88,760 946,395
ING Groep N.V ................................................... 50,700 1,757,210
Irish Life & Permanent PLC ...................................... 39,460 805,649
Joyo Bank ....................................................... 68,000 404,491
Kookmin Bank(n) ................................................. 9,650 724,167
Krung Thai Bank PLC ............................................. 1,523,900 404,888
Krungthai Card PLC .............................................. 491,000 239,366
LIC Housing Finance Ltd. ........................................ 60,900 267,651
Nordea Bank AB(l) ............................................... 88,500 918,206
Royal Bank of Scotland Group PLC ................................ 68,271 2,059,452
Shinhan Financial Group Co. Ltd.(n) ............................. 21,090 851,130
Shinsei Bank Ltd. ............................................... 189,000 1,092,217
Takefuji Corp. .................................................. 38,120 2,587,308
---------------
$ 18,639,781
---------------
BROADCAST & CABLE TV -- 2.5%
Nippon Television Network Corp. ................................. 5,240 $ 804,993
Pages Jaunes S.A.(l) ............................................ 45,100 1,173,140
Premiere AG(n) .................................................. 21,610 378,325
WPP Group PLC ................................................... 58,700 634,639
---------------
$ 2,991,097
---------------
CHEMICALS -- 2.0%
Hanwha Chemical Corp.(n) ........................................ 37,940 $ 432,419
Syngenta AG ..................................................... 15,337 1,906,267
---------------
$ 2,338,686
---------------
CONSTRUCTION -- 2.4%
Buzzi Unicem S.p.A .............................................. 16,800 $ 262,717
Geberit AG ...................................................... 1,300 1,027,785
Italcementi S.p.A ............................................... 59,800 756,890
Sekisui Chemical Co. Ltd.(l) .................................... 72,000 486,853
Wienerberger AG ................................................. 8,200 326,248
---------------
$ 2,860,493
---------------
CONSUMER GOODS & SERVICES -- 1.4%
Unicharm Corp.(l) ............................................... 36,200 $ 1,625,726
---------------
ELECTRICAL EQUIPMENT -- 0.6%
Saft Groupe S.A.(n) ............................................. 10,500 $ 235,864
Samsung SDI Co. Ltd. ............................................ 3,950 453,406
---------------
$ 689,270
---------------
ELECTRONICS -- 5.2%
Barco N.V.(l) ................................................... 4,400 $ 330,502
Brother Industries Ltd. ......................................... 35,000 367,453
Canon, Inc.(l) .................................................. 22,000 1,286,277
OMRON Corp. ..................................................... 34,200 788,239
Ricoh Co. Ltd. .................................................. 63,000 1,102,360
Royal Philips Electronics N.V ................................... 16,300 506,133
Samsung Electronics Co. Ltd. .................................... 2,250 1,454,174
Seiko Epson Corp. ............................................... 15,100 379,371
---------------
$ 6,214,509
---------------
ENERGY -- INDEPENDENT -- 3.3%
Cairn Energy PLC(n) ............................................. 10,700 $ 353,121
CNOOC Ltd. ...................................................... 1,052,500 699,078
EnCana Corp. .................................................... 25,380 1,146,912
Neste Oil OYJ(n) ................................................ 9,459 267,195
Norsk Hydro A.S.A ............................................... 10,400 1,067,306
PTT Public Co. .................................................. 76,900 423,629
---------------
$ 3,957,241
---------------
ENERGY -- INTEGRATED -- 5.4%
BP PLC, ADR ..................................................... 31,436 $ 2,018,820
LUKOIL, ADR ..................................................... 9,200 542,800
Repsol YPF S.A.(l) .............................................. 28,100 820,018
TOTAL S.A., ADR(l) .............................................. 24,220 3,061,408
---------------
$ 6,443,046
---------------
FOOD & DRUG STORES -- 3.3%
Carrefour S.A.(l) ............................................... 37,400 $ 1,751,037
Lawson, Inc. .................................................... 22,400 922,459
William Morrison Supermarkets PLC ............................... 379,000 1,260,545
---------------
$ 3,934,041
---------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 5.2%
CoolBrands International, Inc.(n) ............................... 53,900 $ 140,879
CSM nv .......................................................... 22,400 610,225
Greencore Group PLC ............................................. 91,771 364,748
Kirin Beverage Corp.(l) ......................................... 37,400 758,997
Nestle S.A ...................................................... 11,932 3,564,769
Unilever PLC .................................................... 83,330 825,732
---------------
$ 6,265,350
---------------
FOREST & PAPER PRODUCTS -- 0.4%
Abitibi-Consolidated, Inc. ...................................... 109,500 $ 438,716
---------------
FURNITURE & APPLIANCES -- 0.2%
Indesit Co. S.p.A.(l) ........................................... 23,400 $ 241,922
---------------
GAMING & LODGING -- 0.3%
William Hill Organization Ltd. .................................. 45,600 $ 419,723
---------------
INSURANCE -- 5.0%
AMB Generali Holding AG ......................................... 5,800 $ 577,681
Aviva PLC ....................................................... 116,290 1,409,191
Benfield Group PLC .............................................. 157,520 974,712
Catlin Group Ltd. ............................................... 57,900 483,674
Hiscox PLC ...................................................... 227,248 902,299
Jardine Lloyd Thompson Group PLC ................................ 148,200 1,271,121
St. James's Place Capital PLC ................................... 67,200 309,558
---------------
$ 5,928,236
---------------
LEISURE & TOYS -- 1.6%
Heiwa Corp.(l) .................................................. 47,900 $ 656,309
Nintendo Co. Ltd. ............................................... 7,800 941,829
Tamron Co. Ltd.(l) .............................................. 26,000 357,565
---------------
$ 1,955,703
---------------
MACHINERY & TOOLS -- 1.1%
Alfa Laval AB(l) ................................................ 23,800 $ 514,811
ASSA ABLOY AB, "B"(l) ........................................... 50,900 800,148
---------------
$ 1,314,959
---------------
METALS & MINING -- 1.4%
Anglo American PLC .............................................. 47,800 $ 1,625,968
---------------
NATURAL GAS -- DISTRIBUTION -- 1.8%
Tokyo Gas Co. Ltd.(l) ........................................... 478,000 $ 2,122,374
---------------
NETWORK & TELECOM -- 0.2%
ZTE Corp. ....................................................... 83,000 $ 278,858
---------------
OIL SERVICES -- 1.9%
Compagnie Generale de Geophysique
S.A.(l)(n) .................................................... 6,187 $ 547,066
Fugro N.V ....................................................... 14,612 468,929
Petrofac Ltd.(n) ................................................ 88,400 385,944
Vallourec S.A ................................................... 1,500 825,073
---------------
$ 2,227,012
---------------
PHARMACEUTICALS -- 5.0%
Astellas Pharma, Inc. ........................................... 29,300 $ 1,142,058
AstraZeneca PLC ................................................. 23,330 1,134,451
Roche Holding AG ................................................ 6,800 1,019,910
Sanofi-Aventis(l) ............................................... 12,625 1,105,124
Schering AG ..................................................... 11,740 786,018
Tanabe Seiyaku Co. Ltd. ......................................... 82,000 796,272
---------------
$ 5,983,833
---------------
PRINTING & PUBLISHING -- 0.4%
Reed Elsevier PLC ............................................... 49,330 $ 462,958
---------------
RAILROAD & SHIPPING -- 0.4%
Sincere Navigation Corp. ........................................ 472,000 $ 468,060
---------------
REAL ESTATE -- 0.3%
Nexity International ............................................ 7,200 $ 366,226
---------------
SPECIALTY CHEMICALS -- 1.3%
L'Air Liquide S.A.(l) ........................................... 7,900 $ 1,518,548
---------------
SPECIALTY STORES -- 1.8%
Grupo Elektra S.A. de C.V ....................................... 45,100 $ 399,312
Matalan PLC ..................................................... 127,400 400,736
NEXT PLC ........................................................ 31,000 817,915
Praktiker Bau-und Heimwerkermaerkte AG(n) ....................... 31,330 568,134
---------------
$ 2,186,097
---------------
TELECOMMUNICATIONS -- WIRELESS -- 4.8%
AFK Sistema, GDR(a) ............................................. 16,840 $ 395,740
KDDI Corp. ...................................................... 164 944,965
MobilCom AG(l) .................................................. 20,100 442,239
O2 PLC .......................................................... 288,000 978,920
Vodafone Group PLC .............................................. 1,394,953 3,009,134
---------------
$ 5,770,998
---------------
TELEPHONE SERVICES -- 4.6%
Deutsche Telekom AG ............................................. 68,500 $ 1,140,883
FastWeb S.p.A.(l) ............................................... 6,800 310,488
France Telecom S.A .............................................. 47,300 1,174,415
Hanaro Telecom, Inc.(n) ......................................... 92,100 232,378
KT Freetel Co. Ltd. ............................................. 26,200 637,585
Royal KPN N.V ................................................... 64,750 648,741
Telecom Corp. of New Zealand Ltd. ............................... 153,788 630,627
Telenor A.S.A ................................................... 79,300 778,004
---------------
$ 5,553,121
---------------
TOBACCO -- 2.1%
British American Tobacco PLC .................................... 80,100 $ 1,789,840
Swedish Match AB(l) ............................................. 63,300 744,317
---------------
$ 2,534,157
---------------
TRUCKING -- 1.9%
Singapore Post Ltd. ............................................. 422,400 $ 292,090
TNT N.V ......................................................... 65,100 2,032,979
---------------
$ 2,325,069
---------------
UTILITIES -- ELECTRIC POWER -- 5.2%
E.ON AG ......................................................... 13,900 $ 1,436,893
Endesa S.A.(l) .................................................. 27,200 714,926
Hera S.p.A ...................................................... 130,200 347,686
Iberdrola S.A.(l) ............................................... 24,400 666,441
Kelda Group PLC ................................................. 23,300 309,981
Scottish Power PLC .............................................. 50,100 468,032
Severn Trent PLC ................................................ 29,300 545,928
Suez S.A.(l) .................................................... 46,555 1,448,339
United Utilities PLC ............................................ 23,000 265,270
---------------
$ 6,203,496
---------------
Total Stocks (Identified Cost, $94,953,949) ............................... $ 115,505,591
---------------
PREFERRED STOCK -- 0.8%
CHEMICALS -- 0.8%
Henkel KGAA (l)
(Identified Cost, $847,317) ................................... 9,700 $ 975,301
---------------
SHORT-TERM OBLIGATION -- 2.0%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) ............................ $ 2,372,000 $ 2,371,447
---------------
COLLATERAL FOR SECURITIES LOANED -- 18.9%
Navigator Securities Lending Prime
Portfolio, at Cost and Net Asset Value ........................ 22,502,606 $ 22,502,606
---------------
Total Investments
(Identified Cost, $120,675,319) (k) ..................................... $ 141,354,945
---------------
OTHER ASSETS,
LESS LIABILITIES -- (18.4)% ................................................. (21,942,904)
---------------
Net Assets -- 100.0% ...................................................... $ 119,412,041
===============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
MONEY MARKET SERIES
COMMERCIAL PAPER (y) -- 89.5%
Shares/Par
Issuer ($) Value ($)
American General Finance Corp., 4.02%, due 1/12/06 ......... $ 3,891,000 $ 3,886,221
American General Finance Corp., 4.34%, due 2/17/06 ......... 10,594,000 10,533,973
Bank of America Corp., 4.34%, due 2/17/06 .................. 14,503,000 14,420,824
Barton Capital LLC, 4.25%, due 1/03/06(t) .................. 14,308,000 14,304,622
CAFCO LLC, 4.36%, due 2/21/06(t) ........................... 14,509,000 14,419,383
Citibank Credit Card Issuance Trust, 4.05%, due 1/11/06(t) . 15,309,000 15,291,777
Citigroup Funding, Inc., 4.36%, due 2/16/06 ................ 14,473,000 14,392,369
Depfa Bank PLC, 4.22%, due 1/23/06(t) ...................... 10,000,000 9,974,211
Dexia Delaware LLC, 4.29%, due 2/01/06 ..................... 12,601,000 12,554,450
Dexia Delaware LLC, 4.395%, due 3/14/06 .................... 1,854,000 1,837,703
Edison Asset Securitization LLC, 4.18%, due 2/01/06(t) ..... 14,555,000 14,502,610
Falcon Asset Securitization Corp., 4.18%, due 1/06/06(t) ... 1,065,000 1,064,382
Falcon Asset Securitization Corp., 4.36%, due 2/16/06(t) ... 13,378,000 13,303,470
General Electric Capital Corp., 4.36%, due 2/27/06 ......... 14,384,000 14,284,702
Govco, Inc., 4.03%, due 1/12/06(t) ......................... 15,306,000 15,287,152
HBOS Treasury Services PLC, 4.2%, due 2/15/06 .............. 15,335,000 15,254,491
Jupiter Securitization Corp., 4.21%, due 1/24/06(t) ........ 9,927,000 9,900,299
Jupiter Securitization Corp., 4.34%, due 2/07/06(t) ........ 4,457,000 4,437,119
Kitty Hawk Funding Corp., 4.39%, due 3/20/06(t) ............ 14,559,000 14,420,520
MetLife, Inc., 4.38%, due 3/20/06(t) ....................... 11,746,000 11,634,530
New Center Asset Trust, 4.23%, due 1/03/06 ................. 14,308,000 14,304,638
Old Line Funding LLC, 4.34%, due 2/06/06(t) ................ 8,822,000 8,783,713
Preferred Receivables Funding Corp., 4.21%, due 1/19/06(t) . 11,633,000 11,608,513
Preferred Receivables Funding Corp., 4.34%, due 2/03/06(t) . 2,686,000 2,675,314
Scaldis Capital LLC, 4.3%, due 1/17/06(t) .................. 14,472,000 14,444,342
Sheffield Receivables Corp., 4.15%, due 1/09/06(t) ......... 13,777,000 13,764,295
Societe Generale North America, 4.35%, due 2/22/06 ......... 14,510,000 14,418,829
Thunder Bay Funding LLC, 4.05%, due 1/10/06(t) ............. 680,000 679,312
Thunder Bay Funding LLC, 4.405%, due 3/21/06(t) ............ 13,842,000 13,708,196
UBS Finance Delaware LLC, 4.18%, due 1/12/06 ............... 2,077,000 2,074,347
UBS Finance Delaware LLC, 4.325%, due 2/13/06 .............. 590,000 586,952
Windmill Funding Corp., 4.3%, due 1/11/06(t) ............... 3,897,000 3,892,345
-------------
Total Commercial Paper, at Amortized Cost
and Value ............................................................... $ 326,645,604
-------------
REPURCHASE AGREEMENT -- 8.8%
Morgan Stanley, 4.23%, dated 12/30/05, due
1/03/06, total to be received $32,071,066
(secured by various U.S. Treasury and
Federal Agency obligations in a jointly
traded account), at Cost ...................................... $ 32,056,000 $ 32,056,000
-------------
Total Investments,
at Amortized Cost and Value ............................................. $ 358,701,604
-------------
OTHER ASSETS,
LESS LIABILITIES -- 1.7% .................................................... 6,214,065
-------------
Net Assets -- 100.0% ...................................................... $ 364,915,669
=============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
STRATEGIC INCOME SERIES
BONDS -- 96.8%
Issuer Shares/Par ($) Value ($)
ADVERTISING & BROADCASTING -- 2.2%
Allbritton Communications Co., 7.75%, 2012 ................. $ 300,000 $ 301,500
EchoStar DBS Corp., 6.375%, 2011 ........................... 215,000 206,920
Granite Broadcasting Corp., 9.75%, 2010 .................... 205,000 188,600
Innova S. de R.L., 9.375%, 2013 ............................ 60,000 66,600
Intelsat Ltd., 8.625%, 2015 (a) ............................ 230,000 232,300
Lamar Media Corp., 7.25%, 2013 ............................. 200,000 207,500
Liberty Media Corp., 5.7%, 2013 ............................ 251,000 233,872
Panamsat Holding Corp., 0% to 2009, 10.375% to 2014 ........ 290,000 203,000
Paxson Communications Corp., FRN, 10.7769%, 2013 (a) ....... 190,000 182,638
-------------
$ 1,822,930
-------------
AEROSPACE -- 0.2%
Transdigm Holding Co., 8.375%, 2011 ........................ $ 160,000 $ 168,400
-------------
AIRLINES -- 0.2%
Continental Airlines, Inc., 7.566%, 2020 ................... $ 174,203 $ 155,312
-------------
APPAREL MANUFACTURERS -- 0.1%
Levi Strauss & Co., 12.25%, 2012 ........................... $ 105,000 $ 117,075
-------------
ASSET BACKED & SECURITIZED -- 8.3%
Anthracite CDO Ltd., 6%, 2037 (a) .......................... $ 200,000 $ 176,375
ARCap, Inc., "H", 6.1%, 2045 (a) ........................... 200,000 184,877
Asset Securitization Corp., FRN, 8.2925%, 2029 ............. 215,000 228,074
Asset Securitization Corp., FRN, 8.7825%, 2029 (a) ......... 185,000 168,437
Chase Commercial Mortgage Securities Corp., 6.6%, 2029 ..... 360,000 362,546
Commercial Mortgage Acceptance Corp., FRN, 5.44%, 2030 (a) . 630,000 629,259
Countrywide Asset-Backed Certificates, FRN, 4.575%, 2035 ... 38,000 37,488
Crest Ltd., 7%, 2040 (a) ................................... 270,000 257,661
Deutsche Mortgage & Asset Receiving Corp., 7.5%, 2031 ...... 250,000 265,427
DLJ Commercial Mortgage Corp., 6.04%, 2031 ................. 265,000 268,835
DLJ Commercial Mortgage Corp., FRN, 7.6214%, 2032 .......... 565,000 609,376
Falcon Franchise Loan Corp., 6.5%, 2014 (a) ................ 250,000 214,531
Falcon Franchise Loan LLC, FRN, 3.0721%, 2023 (a)(i) ....... 804,870 94,836
Falcon Franchise Loan LLC, FRN, 3.7884%, 2025 (i) .......... 903,378 148,589
First Union-Lehman Brothers Bank of America, FRN,
0.4997%, 2035 (i) ........................................ 8,693,442 172,438
First Union-Lehman Brothers Commercial Mortgage Trust,
7%, 2029 (a) ............................................. 150,000 163,121
GMAC Commercial Mortgage Securities, Inc., 6.02%, 2033 ..... 350,000 352,313
Morgan Stanley Capital I, Inc., 7.18%, 2009 ................ 180,000 185,744
Morgan Stanley Capital I, Inc., 6.86%, 2010 ................ 250,000 253,279
Morgan Stanley Capital I, Inc., FRN, 1.4756%, 2039 (a)(i) .. 2,662,489 173,685
Mortgage Capital Funding, Inc., 7.214%, 2007 ............... 250,000 255,518
Preferred Term Securities IV Ltd., 6.7469%, 2031 (a) ....... 310,000 313,875
Prudential Securities Secured Financing Corp., FRN,
7.3844%, 2013 (a) ........................................ 411,000 444,130
Salomon Brothers Mortgage Securities, Inc., FRN,
7.0944%, 2032 (a) ........................................ 530,129 566,311
Wachovia Bank Commercial Mortgage Trust, 5.155%, 2044 ...... 312,000 317,301
-------------
$ 6,844,026
-------------
AUTOMOTIVE -- 1.7%
Ford Motor Credit Co., 5.8%, 2009 .......................... $ 531,000 $ 463,212
General Motors Acceptance Corp., 5.85%, 2009 ............... 384,000 343,537
General Motors Acceptance Corp., 6.75%, 2014 ............... 115,000 103,456
General Motors Corp., 8.375%, 2033 ......................... 233,000 153,780
Lear Corp., 8.11%, 2009 .................................... 60,000 55,842
Navistar International Corp., 7.5%, 2011 ................... 150,000 142,875
TRW Automotive, Inc., 9.375%, 2013 ......................... 76,000 82,270
TRW Automotive, Inc., 11%, 2013 ............................ 52,000 58,370
-------------
$ 1,403,342
-------------
BANKS & CREDIT COMPANIES -- 4.5%
Banco Bmg S.A., 9.15%, 2016 (a) ............................ $ 148,000 $ 145,928
Banco De Estado de Sao Paulo S.A., 8.7%, 2049 (a) .......... 169,000 173,436
Banco Mercantil del Norte S.A., 5.875% to 2009,
FRN to 2014 (a) .......................................... 568,000 563,740
BNP Paribas, 5.186% to 2015, FRN to 2049 (a) ............... 232,000 225,071
Bosphorus Financial Services Ltd., FRN, 6.14%, 2012 (a) .... 200,000 201,026
Chuo Mitsui Trust & Banking Co., 5.506% to 2015,
FRN to 2049 (a) .......................................... 195,000 188,957
Credit Suisse First Boston (USA), Inc., 4.875%, 2010 ....... 230,000 228,236
DFS Funding Corp., FRN, 6.4913%, 2010 (a) .................. 261,000 266,873
Kazkommerts International B.V., 10.125%, 2007 (a) .......... 100,000 105,500
Kazkommerts International B.V., 10.125%, 2007 .............. 221,000 233,155
Mizuho Financial Group, Inc., 4.75%, 2014 (a) .............. EUR 236,000 290,167
Resona Bank Ltd., 5.85% to 2016, FRN to 2049 (a) ........... $ 100,000 99,577
Royal Bank of Scotland Group PLC, 9.118%, 2049 ............. 207,000 237,139
Turanalem Finance B.V., 8%, 2014 (a) ....................... 120,000 124,200
UFJ Finance Aruba AEC, 6.75%, 2013 ......................... 159,000 173,607
UniCredito Italiano Capital Trust II, 9.2% to 2010,
FRN to 2049 (a) .......................................... 290,000 335,891
VTB Capital S.A., 6.25%, 2035 (a) .......................... 140,000 142,450
-------------
$ 3,734,953
-------------
BIOTECHNOLOGY -- 0.4%
Cardinal Health, Inc., 5.85%, 2017 ......................... $ 289,000 $ 293,960
-------------
BROADCAST & CABLE TV -- 2.2%
CCH I LLC, 11%, 2015 (a) ................................... $ 235,000 $ 197,400
Charter Communications, Inc., 8.625%, 2009 ................. 121,000 89,540
Charter Communications, Inc., 8.375%, 2014 (a) ............. 275,000 273,625
CSC Holdings, Inc., 8.125%, 2009 ........................... 398,000 401,980
Mediacom Broadband LLC, 9.5%, 2013 ......................... 100,000 97,625
Mediacom Broadband LLC, 11%, 2013 .......................... 105,000 112,875
Rogers Cable, Inc., 5.5%, 2014 ............................. 174,000 162,908
TCI Communications, Inc., 9.8%, 2012 ....................... 245,000 295,567
Time Warner Entertainment Co., LP, 8.375%, 2033 ........... 128,000 151,201
-------------
$ 1,782,721
-------------
BROKERAGE & ASSET MANAGERS -- 0.1%
Ameriprise Financial, Inc., 5.35%, 2010 .................... $ 54,000 $ 54,370
-------------
BUILDING -- 0.7%
American Standard Cos., Inc., 7.625%, 2010 ................. $ 225,000 $ 241,847
Jacuzzi Brands, Inc., 9.625%, 2010 ......................... 75,000 79,688
Nortek Holdings, Inc., 8.5%, 2014 .......................... 165,000 159,225
Nortek Holdings, Inc., 0% to 2009, 10.75% to 2014 .......... 195,000 121,875
-------------
$ 602,635
-------------
BUSINESS SERVICES -- 1.5%
Iron Mountain, Inc., 8.625%, 2013 .......................... $ 330,000 $ 344,025
Iron Mountain, Inc., 7.75%, 2015 ........................... 125,000 125,938
Lucent Technologies, Inc., 5.5%, 2008 ...................... 280,000 278,600
SunGard Data Systems, Inc., 10.25%, 2015 (a) ............... 85,000 85,000
Xerox Corp., 7.625%, 2013 .................................. 375,000 395,625
-------------
$ 1,229,188
-------------
CHEMICALS -- 2.4%
BCP Crystal Holdings Corp., 9.625%, 2014 ................... $ 270,000 $ 300,375
Equistar Chemicals LP, 10.625%, 2011 ....................... 190,000 209,000
Huntsman International LLC, 10.125%, 2009 .................. 118,000 121,835
Huntsman International LLC, 7.375%, 2015 (a) ............... 95,000 91,675
IMC Global, Inc., 10.875%, 2013 ............................ 260,000 298,675
Kronos International, Inc., 8.875%, 2009 ................... EUR 15,000 18,564
Lyondell Chemical Co., 9.625%, 2007 ........................ $ 200,000 208,750
Lyondell Chemical Co., 11.125%, 2012 ....................... 140,000 156,625
Nalco Co., 7.75%, 2011 ..................................... 105,000 107,888
Nalco Finance Holdings LLC, 0% to 2009, 9% to 2014 ......... 150,000 112,500
Nell AF S.a.r.l., 8.375%, 2015 (a) ......................... 100,000 99,000
NOVA Chemicals Corp., 6.5%, 2012 ........................... 130,000 125,938
Rhodia S.A., 8.875%, 2011 .................................. 130,000 133,250
-------------
$ 1,984,075
-------------
CONSTRUCTION -- 0.2%
D.R. Horton, Inc., 8%, 2009 ................................ $ 185,000 $ 197,163
-------------
CONSUMER GOODS & SERVICES -- 0.4%
Church & Dwight Co., Inc., 6%, 2012 ........................ $ 175,000 $ 172,375
Revlon Consumer Products Corp., 9.5%, 2011 ................. 185,000 168,813
-------------
$ 341,188
-------------
CONTAINERS -- 0.8%
Crown Americas, 7.75%, 2015 (a) ............................ $ 145,000 $ 150,075
Owens-Brockway Glass Container, Inc., 8.875%, 2009 ......... 160,000 167,000
Owens-Brockway Glass Container, Inc., 8.25%, 2013 .......... 290,000 299,425
Plastipak Holdings, Inc., 8.5%, 2015 (a) ................... 40,000 40,400
Pliant Corp., 11.125%, 2009 (d) ............................ 30,000 26,700
-------------
$ 683,600
-------------
DEFENSE ELECTRONICS -- 0.8%
BAE Systems Holdings, Inc., 5.2%, 2015 (a) ................. $ 312,000 $ 305,743
L-3 Communications Holdings, Inc., 6.125%, 2014 ............ 385,000 381,150
-------------
$ 686,893
-------------
ELECTRONICS -- 0.3%
Flectronics International Ltd., 6.5%, 2013 ................. $ 235,000 $ 238,819
-------------
EMERGING MARKET QUASI-SOVEREIGN -- 2.2%
Gazprom OAO, 9.625%, 2013 .................................. $ 350,000 $ 421,750
Gazprom OAO, 8.625%, 2034 (a) .............................. 221,000 279,565
Pemex Project Funding Master Trust, 7.375%, 2014 ........... 191,000 212,201
Pemex Project Funding Master Trust, 8.625%, 2022 ........... 328,000 404,260
Petronas Capital Ltd., 7.875%, 2022 (a) .................... 236,000 295,422
Petronas Capital Ltd., 7.875%, 2022 ........................ 190,000 237,840
-------------
$ 1,851,038
-------------
EMERGING MARKET SOVEREIGN -- 6.3%
Republic of Argentina, FRN, 4.005%, 2012 ................... $ 419,000 $ 321,842
Federal Republic of Brazil, FRN, 5.25%, 2012 ............... 465,714 459,893
Federal Republic of Brazil, 7.875%, 2015 ................... 37,000 39,405
Federal Republic of Brazil, 8%, 2018 ....................... 32,000 34,528
Federal Republic of Brazil, 8.875%, 2019 ................... 211,000 236,426
Federal Republic of Brazil, FRN, 5.1875%, 2024 ............. 216,000 210,330
Republic of Colombia, 6.1422%, 2015 ........................ 161,000 164,824
Republic of Korea, 5.58%, 2025 ............................. 259,000 261,918
Republic of Panama, 9.375%, 2029 ........................... 262,000 329,465
Republic of Peru, 5%, 2017 ................................. 129,360 120,628
Republic of South Africa, 9.125%, 2009 ..................... 75,000 84,094
Republic of South Africa, 8.5%, 2017 ....................... 206,000 259,560
Russian Federation, 3%, 2008 ............................... 1,015,000 962,626
Russian Federation, 3%, 2011 ............................... 810,000 722,925
Russian Federation, 11%, 2018 .............................. 147,000 217,575
State of Qatar, 9.75%, 2030 ................................ 119,000 181,773
United Mexican States, 6.375%, 2013 ........................ 24,000 25,500
United Mexican States, 8.125%, 2019 ........................ 420,000 515,550
-------------
$ 5,148,862
-------------
ENERGY -- INDEPENDENT -- 1.7%
Chesapeake Energy Corp., 6.375%, 2015 ...................... $ 325,000 $ 325,000
Chesapeake Energy Corp., 6.875%, 2016 ...................... 35,000 35,875
Clayton Williams Energy, Inc., 7.75%, 2013 ................. 180,000 172,800
Kerr-McGee Corp., 6.95%, 2024 .............................. 321,000 340,479
Newfield Exploration Co., 6.625%, 2014 ..................... 165,000 167,888
Pioneer Natural Resource Co., 6.5%, 2008 ................... 157,000 160,425
Plains Exploration & Production Co., 7.125%, 2014 .......... 165,000 170,775
-------------
$ 1,373,242
-------------
ENTERTAINMENT -- 1.0%
AMC Entertainment, Inc., 9.5%, 2011 ........................ $ 223,000 $ 219,376
Loews Cineplex Entertainment Corp., 9%, 2014 ............... 140,000 141,400
Six Flags, Inc., 9.75%, 2013 ............................... 235,000 230,594
Turner Broadcasting System, Inc., 8.375%, 2013 ............. 185,000 213,047
-------------
$ 804,417
-------------
FINANCIAL INSTITUTIONS -- 0.4%
HSBC Finance Corp., 5.25%, 2011 ............................ $ 360,000 $ 360,184
-------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 0.4%
Dean Foods Co., 6.625%, 2009 ............................... $ 85,000 $ 86,594
Michael Foods, Inc., 8%, 2013 .............................. 195,000 199,875
-------------
$ 286,469
-------------
FOREST & PAPER PRODUCTS -- 1.4%
Buckeye Technologies, Inc., 8.5%, 2013 ..................... $ 255,000 $ 255,000
Graphic Packaging International Corp., 8.5%, 2011 .......... 250,000 250,625
JSG Funding PLC, 7.75%, 2015 ............................... EUR 220,000 228,359
MDP Acquisitions PLC, 9.625%, 2012 ......................... $ 195,000 195,000
Stone Container Corp., 7.375%, 2014 ........................ 220,000 200,200
-------------
$ 1,129,184
-------------
GAMING & LODGING -- 2.8%
Aztar Corp., 7.875%, 2014 .................................. $ 135,000 $ 141,413
Boyd Gaming Corp., 6.75%, 2014 ............................. 175,000 173,688
Host Marriott LP, 7.125%, 2013 ............................. 220,000 228,800
Host Marriott LP, 6.375%, 2015 ............................. 125,000 124,688
Majestic Star Casino, LLC, 9.5%, 2010 ...................... 30,000 31,575
Majestic Star Casino, LLC, 9.75%, 2011 (a) ................. 35,000 35,350
MGM Mirage, Inc., 8.375%, 2011 ............................. 450,000 481,500
Pinnacle Inteertainment, Inc., 8.75%, 2013 ................. 275,000 292,875
Royal Caribbean Cruises Ltd., 8%, 2010 ..................... 230,000 249,807
Scientific Games Corp., 6.25%, 2012 ........................ 185,000 181,994
Starwood Hotels & Resorts Worldwide, Inc., 7.875%, 2012 .... 250,000 275,625
Station Casinos, Inc., 6.5%, 2014 .......................... 125,000 126,250
-------------
$ 2,343,565
-------------
INDUSTRIAL -- 0.9%
Amsted Industries, Inc., 10.25%, 2011 (a) .................. $ 280,000 $ 299,600
JohnsonDiversey Holdings, Inc., "B", 9.625%, 2012 .......... 210,000 211,050
JohnsonDiversey Holdings, Inc., 0% to 2007, 10.67% to 2013 . 225,000 178,875
Milacron Escrow Corp., 11.5%, 2011 ......................... 105,000 89,775
-------------
$ 779,300
-------------
INSURANCE -- 1.9%
American International Group, Inc., 4.25%, 2013 ............ $ 891,000 $ 847,456
ING Groep N.V., 5.775% to 2015, FRN to 2049 ................ 520,000 527,021
UnumProvident Corp., 7.625%, 2011 .......................... 85,000 91,673
UnumProvident Finance Co., 6.85%, 2015 (a) ................. 85,000 88,538
-------------
$ 1,554,688
-------------
INSURANCE -- PROPERTY & CASUALTY -- 1.1%
Allianz AG, 5.5%, 2049 ..................................... EUR 248,000 $ 318,066
AXIS Capital Holdings Ltd., 5.75%, 2014 .................... $ 185,000 185,040
St. Paul Treavelers Cos., Inc., 5.5%, 2015 ................. 289,000 291,080
Willis Group North America, Inc., 5.625%, 2015 ............. 93,000 92,964
-------------
$ 887,150
-------------
INTERNATIONAL MARKET QUASI-SOVEREIGN -- 0.8%
KfW Bankengruppe, 2.328%, 2007 ............................. EUR 342,000 $ 403,828
Landesbank Baden-Wurttemberg, 2.185%, 2007 ................. EUR 112,000 132,471
Landesbank Baden-Wurttemberg, 2.321%, 2007 ................. EUR 105,000 124,172
-------------
$ 660,471
-------------
INTERNATIONAL MARKET SOVEREIGN -- 15.0%
Federal Republic of Germany,
3.5%, 2008 ............................................... EUR 1,148,000 $ 1,377,953
Federal Republic of Germany,
3.75%, 2015 .............................................. EUR 312,000 382,377
Federal Republic of Germany,
6.25%, 2030 .............................................. EUR 76,000 128,305
Government of Australia, 6.25%, 2015 ....................... EUR 468,000 369,566
Government of New Zealand, 6%, 2008 ........................ EUR 341,000 232,846
Government of New Zealand, 7%, 2009 ........................ NZD 1,297,000 926,604
Government of New Zealand, 6.5%, 2013 ...................... NZD 247,000 174,100
Government of New Zealand, 6%, 2015 ........................ NZD 285,000 198,740
Kingdom of Netherlands, 5.75%, 2007 ........................ EUR 454,000 554,764
Kingdom of Netherlands, 3.75%, 2009 ........................ EUR 536,000 650,010
Kingdom of Spain, 6%, 2008 ................................. EUR 501,000 627,970
Kingdom of Spain, 5.35%, 2011 .............................. EUR 299,000 394,450
Republic of Austria, 5.5%, 2007 ............................ EUR 528,000 653,425
Republic of Finland, 5.375%, 2013 .......................... EUR 861,000 1,164,545
Republic of France, 4.75%, 2007 ............................ EUR 954,000 1,159,890
Republic of France, 4.75%, 2012 ............................ EUR 98,000 126,973
Republic of France, 6%, 2025 ............................... EUR 46,000 73,266
Republic of Ireland, 4.25%, 2007 ........................... EUR 974,000 1,179,944
Republic of Ireland, 4.6%, 2016 ............................ EUR 98,000 128,563
United Kingdom Treasury, 5.75%, 2009 ....................... GBP 524,000 951,116
United Kingdom Treasury, 8%, 2015 .......................... GBP 412,000 934,224
-------------
$ 12,389,631
-------------
MACHINERY & TOOLS -- 1.3%
Case Corp., 7.25%, 2016 .................................... $ 35,000 $ 32,638
Case New Holland, Inc., 9.25%, 2011 ........................ 230,000 246,100
Manitowoc Co., Inc., 10.5%, 2012 ........................... 120,000 133,200
Terex Corp., 9.25%, 2011 ................................... 100,000 106,750
Terex Corp., 10.375%, 2011 ................................. 135,000 143,100
Terex Corp., 7.375%, 2014 .................................. 170,000 168,300
United Rentals, Inc., 6.5%, 2012 ........................... 210,000 204,488
-------------
$ 1,034,576
-------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES -- 1.2%
AmerisourceBergen Corp., 5.875%, 2015 (a) .................. $ 115,000 $ 116,006
Baxter International, Inc., 9.5%, 2008 ..................... 164,000 179,586
CDRV Investors, Inc., 0% to 2010, 9.625% to 2015 ........... 160,000 98,000
DaVita, Inc., 6.625%, 2013 ................................. 65,000 66,138
HCA, Inc., 6.375%, 2015 .................................... 360,000 363,900
Omnicare, Inc., 6.875%, 2015 ............................... 30,000 30,450
Triad Hospitals, Inc., 7%, 2013 ............................ 145,000 145,363
-------------
$ 999,443
-------------
METALS & MINING -- 1.2%
Century Aluminum Co., 7.5%, 2014 ........................... $ 85,000 $ 83,725
Codelco, Inc., 5.625%, 2035 (a) ............................ 235,000 234,500
Foundation PA Coal Co., 7.25%, 2014 ........................ 30,000 31,013
Massey Energy Co., 6.875%, 2013 (a) ........................ 85,000 85,744
Peabody Energy Corp., "B", 6.875%, 2013 .................... 210,000 218,400
U.S. Steel Corp., 9.75%, 2010 .............................. 130,000 141,375
-------------
$ 1,016,757
-------------
MORTGAGE BACKED -- 5.8%
Fannie Mae, 5.5%, 2018 - 2035 .............................. $ 3,295,939 $ 3,289,921
Fannie Mae, 6.5%, 2032 ..................................... 363,193 373,265
Fannie Mae, 6%, 2034 ....................................... 1,135,245 1,147,098
-------------
$ 4,810,284
-------------
NATURAL GAS -- PIPELINE -- 2.8%
ANR Pipeline Co., 8.875%, 2010 ............................. $ 60,000 $ 64,123
Atlas Pipeline Partners LP, 8.125%, 2015 (a) ............... 35,000 35,306
CenterPoint Energy Resources Corp., 7.875%, 2013 ........... 448,000 512,329
El Paso Energy Corp., 7%, 2011 ............................. 140,000 138,950
El Paso Energy Corp., 7.75%, 2013 .......................... 265,000 274,938
Enterprise Products Operating LP, 6.375%, 2013 ............. 61,000 63,861
Kinder Morgan Finance Corp., 5.35%, 2011 (a) ............... 362,000 362,518
Southern Natural Gas Co., Inc., 8.875%, 2010 ............... 310,000 331,302
Williams Cos., Inc., 7.125%, 2011 .......................... 470,000 488,213
-------------
$ 2,271,540
-------------
NETWORK & TELECOM -- 1.5%
Citizens Communications Co., 9.25%, 2011 ................... $ 382,000 $ 421,155
Deutsche Telekom International Finance B.V., 8.5%, 2010 .... 137,000 155,327
Eircom Funding PLC, 8.25%, 2013 ............................ 165,000 176,550
MCI, Inc., 8.735%, 2014 .................................... 155,000 171,469
Qwest Corp., 8.875%, 2012 .................................. 105,000 118,388
Telecom Italia Capital, 4.875%, 2010 ....................... 60,000 58,823
Time Warner Telecom Holdings, Inc., 9.25%, 2014 ............ 130,000 137,150
-------------
$ 1,238,862
-------------
OILS -- 0.4%
Premcor Refining Group, Inc., 7.5%, 2015 ................... $ 310,000 $ 330,469
-------------
PRINTING & PUBLISHING -- 1.7%
American Media Operations, Inc., 8.875%, 2011 .............. $ 175,000 $ 148,750
Cenveo, Inc., 9.625%, 2012 ................................. 213,000 230,040
Dex Media East LLC, 9.875%, 2009 ........................... 245,000 264,906
Dex Media West LLC, 9.875%, 2013 ........................... 283,000 314,130
Lighthouse International Co. S.A., 8%, 2014 (a) ............ EUR 155,000 194,350
MediaNews Group, Inc., 6.875%, 2013 ........................ $ 265,000 253,406
-------------
$ 1,405,582
-------------
RAILROAD & SHIPPING -- 0.2%
TFM S.A. de C.V., 9.375%, 2012 (a) ......................... $ 149,000 $ 163,155
-------------
RETAILERS -- 1.0%
Couche-Tard, Inc., 7.5%, 2013 .............................. $ 230,000 $ 236,900
GSC Holdings Corp., 8%, 2012 (a) ........................... 90,000 84,600
Limited Brands, Inc., 5.25%, 2014 .......................... 276,000 260,510
Rite Aid Corp., 8.125%, 2010 ............................... 250,000 254,375
-------------
$ 836,385
-------------
SUPERMARKETS -- 0.1%
Safeway, Inc., 4.95%, 2010 ................................. $ 56,000 $ 54,537
-------------
SUPRANATIONAL -- 0.3%
Central American Bank, 4.875%, 2012 (a) .................... $ 221,000 $ 214,409
-------------
TELECOMMUNICATIONS -- WIRELESS -- 2.4%
Alamosa Holdings, Inc., 11%, 2010 .......................... $ 184,000 $ 207,460
Americal Movil S.A. de C.V., 5.75%, 2015 ................... 251,000 251,853
American Tower Corp., 7.125%, 2012 ......................... 165,000 169,950
Centennial Communications Corp., 10%, 2013 (a) ............. 30,000 30,300
Centennial Communications Corp., 10.125%, 2013 ............. 105,000 114,188
Dolphin Telecom PLC, "B", 14%, 2009 (d) .................... 400,00 0
Nextel Communications, Inc., 5.95%, 2014 ................... 380,000 381,990
Rogers Wireless, Inc., 7.5%, 2015 .......................... 250,000 270,000
Rural Cellular Corp., 9.875%, 2010 ......................... 160,000 168,800
U.S. Unwired, Inc., 10%, 2012 .............................. 105,000 118,125
-------------
$ 1,947,416
-------------
TOBACCO -- 0.3%
R.J. Reynolds Tobacco Holdings, Inc., 7.25%, 2012 .......... $ 266,000 $ 271,320
-------------
TRANSPORTATION -- SERVICES -- 0.3%
Hertz Corp., 8.875%, 2014 (a) .............................. $ 70,000 $ 71,313
Stena AB, 7%, 2016 ......................................... 110,000 100,650
Westinghouse Air Brake Technologies Corp., 6.875%, 2013 .... 80,000 80,800
-------------
$ 252,763
-------------
U.S. GOVERNMENT AGENCIES -- 3.8%
Fannie Mae, 3.25%, 2006 .................................... $ 450,000 $ 446,380
Fannie Mae, 4.25%, 2007 .................................... 750,000 743,240
Small Business Administration, 4.34%, 2024 ................. 236,829 227,535
Small Business Administration, 4.77%, 2024 ................. 311,746 307,323
Small Business Administration, 5.18%, 2024 ................. 581,915 586,294
Small Business Administration, 4.625%, 2025 ................ 219,774 214,212
Small Business Administration, 4.86%, 2025 ................. 392,380 388,197
Small Business Administration, 5.11%, 2025 ................. 195,000 195,414
-------------
$ 3,108,595
-------------
U.S. TREASURY OBLIGATIONS -- 4.1%
U.S. Treasury Notes, 3.25%, 2008 ........................... $ 1,700,000 $ 1,652,919
U.S. Treasury Notes, 4.125%, 2015 .......................... 121,000 118,348
U.S. Treasury Notes, 4.25%, 2015 ........................... 270,000 266,509
U.S. Treasury Notes, TIPS, 0.875%, 2010 .................... 180,834 171,912
U.S. Treasury Notes, TIPS, 3%, 2012 ........................ 217,119 229,569
U.S. Treasury Notes, TIPS, 2%, 2014 ........................ 692,106 688,240
U.S. Treasury Notes, TIPS, 1.625%, 2015 .................... 229,482 221,082
-------------
$ 3,348,579
-------------
UTILITIES -- ELECTRIC POWER -- 5.5%
AES Corp., 9%, 2015 (a) .................................... $ 295,000 $ 323,025
Allegheny Energy Supply Co., LLC, 8.25%, 2012 (a) .......... 410,000 462,275
Beaver Valley Funding Corp., 9%, 2017 ...................... 424,000 486,358
CMS Energy Corp., 8.5%, 2011 ............................... 300,000 326,625
DPL, Inc., 6.875%, 2011 .................................... 81,000 85,354
Duke Capital Corp., 8%, 2019 ............................... 164,000 195,742
Dynegy Holdings, Inc., 9.875%, 2010 (a) .................... 190,000 208,288
Empresa Nacional de Electricidad S.A., 8.35%, 2013 ......... 26,000 29,612
Enersis S.A., 7.375%, 2014 ................................. 363,000 390,452
FirstEnergy Corp., 6.45%, 2011 ............................. 207,000 219,419
HQI Transelec Chile S.A., 7.875%, 2011 ..................... 290,000 320,921
Midland Funding II, 13.25%, 2006 ........................... 55,374 57,350
Mirant North America LLC, 7.375%, 2013 (a) ................. 90,000 91,013
MSW Energy Holdings LLC, 7.375%, 2010 ...................... 165,000 169,538
NorthWestern Corp., 5.875%, 2014 ........................... 165,000 165,310
NRG Energy, Inc., 8%, 2013 ................................. 129,000 143,835
Texas Genco LLC, 6.875%, 2014 (a) .......................... 385,000 416,763
TXU Corp., 5.55%, 2014 ..................................... 425,000 403,680
-------------
$ 4,495,560
-------------
Total Bonds (Identified Cost, $79,177,804) ............................... $ 79,709,083
-------------
CONVERTIBLE PREFERRED STOCK -- 0.2%
AUTOMOTIVE -- 0.2%
Ford Motor Co. Capital Trust II, 6.5% ...................... 3,353 $ 92,543
General Motors Corp., 5.25% ................................ 5,200 77,480
-------------
Total Convertible Preferred Stocks
(Identified Cost, $262,280) ............................................ $ 170,023
-------------
PREFERRED STOCK -- 0.0%
REAL ESTATE -- 0%
HRPT Properties Trust, "B", 8.75%
(Identified Cost, $17,094) ............................... 625 $ 16,188
-------------
CONVERTIBLE BOND -- 0.1%
TELECOMMUNICATIONS -- WIRELESS -- 0.1%
Nextel Communications, Inc., 5.25%, 2010
(Identified Cost, $96,383) ............................... $ 100,000 $ 99,875
-------------
SHORT-TERM OBLIGATION -- 0.9%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost(y) ........................ $ 742,000 $ 741,827
-------------
Total Investments
(Identified Cost, $80,295,388) (k) ..................................... $ 80,736,996
-------------
OTHER ASSETS,
LESS LIABILITIES -- 2.0% ................................................... 1,613,399
-------------
Net Assets -- 100.0% ..................................................... $ 82,350,395
=============
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Sales and Purchases in the table below are reported by currency.
Net Unrealized
Contracts to Contracts Appreciation
Deliver/Receive Settlement Date In Exchange For at Value (Depreciation)
SALES
AUD 250,020 2/06/06 - 2/07/06 $186,188 $183,265 $2,923
EUR 6,736,329 1/23/06 - 2/21/06 7,915,975 7,991,561 (75,586)
GBP 1,077,232 1/31/06 1,917,453 1,851,339 66,114
NZD 2,252,628 2/07/06 1,590,570 1,531,577 58,993
----------- ----------- -------
$11,610,186 $11,557,742 $52,444
=========== =========== =======
PURCHASES
AUD 28,083 2/07/06 $20,491 $20,584 $93
CAD 109,350 1/18/06 94,550 94,069 (481)
DKK 81,234 1/17/06 12,833 12,892 59
EUR 1,151,585 1/23/06 - 2/21/06 1,370,252 1,364,757 (5,495)
NOK 2,254,956 1/17/06 338,649 334,264 (4,385)
----------- ----------- -------
$1,836,775 $1,826,566 $(10,209)
=========== =========== =======
At December 31, 2005, forward foreign currency purchases and sales under master netting agreements
excluded above amounted to a net receivable of $6,957 with Merrill Lynch International.
CREDIT DEFAULT SWAPS
Notional Principal Unrealized
Amount of Appreciation
Expiration Contract Description (Depreciation)
December 20, 2012 $310,000 Agreement between the series $(52)
and Merrill Lynch Capital
Services to exchange the
credit risk of Bear Stearns
Co. Inc. As a buyer of
protection, the series agrees
to pay Merrill Lynch quarterly
at a fixed annual rate of
0.30% of the notional amount
of $310,000 until maturity on
December 20, 2012. If Bear
Stearns Co., Inc. experiences
one of the following credit
events: bankruptcy, failure to
pay, or a restructuring, the
series would then purchase
$310,000 par of Bear Stearns
bonds at the post credit event
market price, and then deliver
those bonds to Merrill Lynch, who
in turn would deliver $310,000
in cash to the series.
At December 31, 2005, the series had sufficient cash and/or securities to cover any commitments under
these derivative contracts.
PORTFOLIO FOOTNOTES:
(n) Non-income producing security.
(d) Non-income producing security - in default.
(a) SEC Rule 144A restriction.
(l) All or a portion of this security is on loan.
(y) The rate shown represents an annualized yield at time of purchase.
(t) Security exempt from registration with the U.S. Securities and Exchange Commission under Section
4(2) of the Securities Act of 1933.
(i) Interest only security for which the series receives interest on notional principal (Par amount).
Par amount shown is the notional principal and does not reflect the cost of the security.
(f) All or a portion of the security has been segregated as collateral for an open futures contract.
(p) Payment-in-kind security.
(k) As of December 31, 2005, Emerging Markets Equity Series had 14 securities representing $16,353,946
and 17.5% of net assets that were fair valued in accordance with the policies adopted by the Board
of Trustees.
(k) As of December 31, 2005, Global Total Return Series had five securities representing $3,567,941
and 2.0% of net assets that were fair valued in accordance with the policies adopted by the Board
of Trustees.
(k) As of December 31, 2005, High Yield Series had 11 securities representing $0 of net assets that
were fair valued in accordance with the policies adopted by the Board of Trustees.
(k) As of December 31, 2005, International Value Series had 11 securities representing $7,700,126 and
6.4% of net assets that were fair valued in accordance with the policies adopted by the Board of
Trustees.
(k) As of December 31, 2005, Strategic Income Series had one security representing $0 of net assets
that was fair valued in accordance with the policies adopted by the Board of Trustees.
(r) Restricted securities (excluding 144A issues) are not registered under the Securities Act of 1933
and are subject to legal or contractual restrictions on resale. These securities generally may be
resold in transactions exempt from registration or to the public if the securities are registered.
Disposal of these securities may involve time-consuming negotiations and prompt sale at an
acceptable price may be difficult. High Yield Series holds the following restricted security:
Current Total
Acquisition Acquisition Market % of
Security Date Cost Value Net Assets
Airplane Pass-Through Trust, "D", 10.875%, 2019 .. 3/13/96 $691,390 $0 0.0%
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated
in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below:
AUD Australian Dollar GBP British Pound
CAD Canadian Dollar JPY Japanese Yen
CHF Swiss Franc NOK Norwegian Krone
DKK Danish Krone NZD New Zealand Dollar
EUR Euro SEK Swedish Krona
The following abbreviations are used in the Portfolio of Investments and are defined:
ADR American Depository Receipt
GDR Global Depository Receipt
FRN Floating Rate Note. The interest rate is the rate in effect
as of period end.
TIPS Treasury Inflation Protected Security
STRIPS Separate Trading of Registered Interest and Principal of Securities.
Insurers
FSA Financial Security Assurance Inc.
MBIA MBIA Insurance Corp.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES -- December 31, 2005
Emerging Global Global Total Government
Bond Markets Governments Return Securities
Series Equity Series Series Series Series
---------- ---------- ---------- ---------- ----------
Assets:
Investments --
Unaffiliated issuers, at identified cost ...... $215,681,825 $ 77,335,298 $ 52,569,863 $172,044,397 $659,599,667
Unrealized appreciation (depreciation) ........ 929,447 24,499,248 (874,205) 17,654,487 215,456
------------ ------------ ------------ ------------ ------------
Total investments, at value (including
securities loaned of $--, $8,601,520,
$--, $12,294,990 and $--, respectively) ... $216,611,272 $101,834,546 $ 51,695,658 $189,698,884 $659,815,123
Cash ............................................ 36,746 6,185 12,787 9,739 --
Foreign currency, at value (identified cost,
$--, $287,088, $--, $-- and $--,
respectively) ................................. -- 291,931 -- -- --
Receivable for forward foreign currency
exchange contracts ............................ -- -- 329,486 418,183 --
Receivable for forward foreign currency
exchange contracts subject to master
netting agreements ............................ -- -- 7,389 -- --
Receivable for daily variation margin on
open futures contracts ........................ -- -- 8,161 8,161 --
Receivable for investments sold ................. -- -- -- 5,041 --
Receivable for series shares sold ............... 61,684 36,384 134 6,565 235,332
Interest and dividends receivable ............... 2,921,507 143,252 627,173 995,240 7,340,044
Other assets .................................... -- 159 -- -- 2,547
------------ ------------ ------------ ------------ ------------
Total assets ................................ $219,631,209 $102,312,457 $ 52,680,788 $191,141,813 $667,393,046
============ ============ ============ ============ ============
Liabilities:
Payable for forward foreign currency
exchange contracts .......................... $-- $-- $ 122,899 $ 116,271 $--
Payable for forward foreign currency
exchange contracts subject to master
netting agreements .......................... -- -- -- 14,107 --
Payable to custodian .......................... -- -- -- -- 14,163
Payable for daily variation margin on open
futures contracts ........................... -- -- -- -- 9,141
Payable for investments purchased ............. -- 109,845 -- 30,920 --
Payable for series shares reacquired .......... 93,656 54 48,096 51,294 396,240
Collateral for securities loaned, at value .... -- 8,807,065 -- 12,901,792 --
Payable to affiliates --
Management fee .............................. 7,244 5,365 2,191 7,340 20,128
Distribution fee ............................ 1,045 145 59 230 3,302
Administrative services fee ................. 192 82 46 156 584
Accrued expenses and other liabilities ........ 73,214 92,455 66,373 79,276 81,416
------------ ------------ ------------ ------------ ------------
Total liabilities ......................... $ 175,351 $ 9,015,011 $ 239,664 $ 13,201,386 $ 524,974
------------ ------------ ------------ ------------ ------------
Net assets ...................................... $219,455,858 $ 93,297,446 $ 52,441,124 $177,940,427 $666,868,072
============ ============ ============ ============ ============
Net assets consist of:
Paid-in capital ............................... $207,528,319 $ 52,502,242 $ 53,498,030 $157,057,747 $649,827,050
Unrealized appreciation (depreciation) on
investments and translation of assets and
liabilities in foreign currencies (net of
deferred country tax of $--, $48,805, $--,
$--, and $--, respectively) ................. 929,447 24,453,758 (667,242) 17,932,076 162,666
Accumulated undistributed net realized gain
(loss) on investments and foreign currency
transactions ................................ (1,530,821) 15,296,157 66,300 1,845,716 (15,081,600)
Undistributed (distributions in excess of)
net investment income ....................... 12,528,913 1,045,289 (455,964) 1,104,888 31,959,956
------------ ------------ ------------ ------------ ------------
Total ..................................... $219,455,858 $ 93,297,446 $ 52,441,124 $177,940,427 $666,868,072
============ ============ ============ ============ ============
Net Assets:
Initial Class ................................. $143,679,563 $ 82,803,918 $ 48,202,784 $161,143,079 $425,739,687
Service Class ................................. 75,776,295 10,493,528 4,238,340 16,797,348 241,128,385
------------ ------------ ------------ ------------ ------------
Total ..................................... $219,455,858 $ 93,297,446 $ 52,441,124 $177,940,427 $666,868,072
============ ============ ============ ============ ============
Shares of beneficial interest outstanding:
Initial Class ................................. 12,600,134 3,791,645 4,686,641 9,674,687 33,157,195
Service Class ................................. 6,687,403 483,379 414,780 1,014,325 18,875,765
------------ ------------ ------------ ------------ ------------
Total ..................................... 19,287,537 4,275,024 5,101,421 10,689,012 52,032,960
============ ============ ============ ============ ============
Initial Class
Net asset value per share
(net assets / shares of beneficial
interest outstanding) ..................... $ 11.40 $ 21.84 $ 10.29 $ 16.66 $ 12.84
============ ============ ============ ============ ============
Service Class
Net asset value per share
(net assets / shares of beneficial
interest outstanding) ..................... $ 11.33 $ 21.71 $ 10.22 $ 16.56 $ 12.77
============ ============ ============ ============ ============
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES -- December 31, 2005 -- continued
High International Money Strategic
Yield Value Market Income
Series Series Series Series
------------ ------------ ------------ ------------
Assets:
Investments --
Unaffiliated issuers, at identified cost .... $362,595,538 $120,675,319 $358,701,604 $ 80,295,388
Unrealized appreciation (depreciation) ...... (3,055,872) 20,679,626 -- 441,608
------------ ------------ ------------ ------------
Total investments, at value (including
securities loaned of $--, $21,479,357,
$--, and $--, respectively) ............. $359,539,666 $141,354,945 $358,701,604 $ 80,736,996
Cash .......................................... 2,760,467 14,102 81 514,431
Foreign currency, at value (identified cost,
$--, $578,080, $-- and $787, respectively) .. -- 553,975 -- 787
Receivable for forward foreign currency
exchange contracts .......................... -- -- -- 131,335
Receivable for forward foreign currency
exchange contracts subject to master
netting agreements .......................... 7 -- -- 6,957
Receivable for investments sold ............... 307,605 -- -- 627,239
Receivable for series shares sold ............. 75,870 -- 6,293,772 64
Interest and dividends receivable ............. 6,345,416 154,186 7,533 1,250,537
Receivable from investment adviser ............ -- -- 1,471 --
Other assets .................................. 1,810 338 2,373 --
------------ ------------ ------------ ------------
Total assets .............................. $369,030,841 $142,077,546 $365,006,834 $ 83,268,346
============ ============ ============ ============
Liabilities:
Payable for forward foreign currency
exchange contracts .......................... $ 54,594 $-- $-- $ 89,100
Payable for investments purchased ............. 1,340,315 13,256 -- 668,230
Payable for series shares reacquired .......... 187,092 52,685 12,343 97,855
Collateral for securities loaned, at value .... -- 22,502,606 -- --
Unrealized depreciation on credit default
swaps ....................................... -- -- -- 52
Payable to affiliates --
Management fee .............................. 15,100 5,940 14,666 3,358
Distribution fee ............................ 1,523 152 2,409 310
Administrative services fee ................. 322 105 313 72
Accrued expenses and other liabilities ........ 84,525 90,761 61,434 58,974
------------ ------------ ------------ ------------
Total liabilities ......................... $ 1,683,471 $ 22,665,505 $ 91,165 $ 917,951
------------ ------------ ------------ ------------
Net assets ...................................... $367,347,370 $119,412,041 $364,915,669 $ 82,350,395
============ ============ ============ ============
Net assets consist of:
Paid-in capital ............................... $455,951,691 $ 83,289,340 $364,914,998 $ 77,404,662
Unrealized appreciation (depreciation) on
investments and translation of assets and
liabilities in foreign currencies (net of
deferred country tax of $--, $21,837, $--,
and $--, respectively) ...................... (3,110,495) 20,633,029 -- 485,830
Accumulated undistributed net realized gain
(loss) on investments and foreign currency
transactions ................................ (114,559,008) 13,842,572 (1,174) 49,242
Undistributed net investment income ........... 29,065,182 1,647,100 1,845 4,410,661
------------ ------------ ------------ ------------
Total ..................................... $367,347,370 $119,412,041 $364,915,669 $ 82,350,395
============ ============ ============ ============
Net Assets:
Initial Class ................................. $255,999,134 $108,418,481 $241,683,624 $ 59,707,318
Service Class ................................. 111,348,236 10,993,560 123,232,045 22,643,077
------------ ------------ ------------ ------------
Total ..................................... $367,347,370 $119,412,041 $364,915,669 $ 82,350,395
============ ============ ============ ============
Shares of beneficial interest outstanding:
Initial Class ................................. 37,467,861 6,235,718 241,683,624 5,574,862
Service Class ................................. 16,401,657 634,690 123,232,045 2,127,790
------------ ------------ ------------ ------------
Total ..................................... 53,869,518 6,870,408 364,915,669 7,702,652
============ ============ ============ ============
Initial Class
Net asset value per share
(net assets / shares of beneficial
interest outstanding) ..................... $ 6.83 $ 17.39 $ 1.00 $ 10.71
============ ============ ============ ============
Service Class
Net asset value per share
(net assets / shares of beneficial
interest outstanding) ..................... $ 6.79 $ 17.32 $ 1.00 $ 10.64
============ ============ ============ ============
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF OPERATIONS --Year Ended December 31, 2005
Emerging Global Global Total Government
Bond Markets Governments Return Securities
Series Equity Series Series Series Series
------------ ------------ ------------ ------------ ------------
Net investment income:
Income --
Interest .................................... $ 13,201,708 $ 29,603 $ 2,209,691 $ 2,582,709 $ 34,203,044
Dividends ................................... -- 2,336,851 -- 3,161,955 --
Income on securities loaned ................. -- 11,544 -- 46,541 --
Foreign taxes withheld ...................... -- (230,706) (1,581) (209,387) --
------------ ------------ ------------ ------------ ------------
Total investment income ................... $ 13,201,708 $ 2,147,292 $ 2,208,110 $ 5,581,818 $ 34,203,044
------------ ------------ ------------ ------------ ------------
Expenses --
Management fee .............................. $ 1,371,235 $ 773,809 $ 455,073 $ 1,351,021 $ 3,789,826
Distribution fee ............................ 188,739 19,491 11,506 38,778 562,725
Administrative services fee ................. 40,214 13,125 10,639 31,817 121,458
Independent trustees' compensation .......... 25,874 9,067 6,511 20,511 65,247
Custodian fee ............................... 105,265 89,019 72,261 170,300 220,917
Printing .................................... 25,255 10,290 13,232 24,686 55,069
Auditing fees ............................... 55,632 45,427 54,758 56,210 48,876
Legal fees .................................. 7,061 6,699 6,892 4,214 7,210
Miscellaneous ............................... 24,634 10,696 8,185 4,484 72,252
------------ ------------ ------------ ------------ ------------
Total expenses ............................ $ 1,843,909 $ 977,623 $ 639,057 $ 1,702,021 $ 4,943,580
Fees paid indirectly ........................ (6,854) (4,479) (1,304) (4,621) (20,778)
Reduction of expenses by investment adviser . -- -- (19,764) -- --
------------ ------------ ------------ ------------ ------------
Net expenses .............................. $ 1,837,055 $ 973,144 $ 617,989 $ 1,697,400 $ 4,922,802
------------ ------------ ------------ ------------ ------------
Net investment income ......................... $ 11,364,653 $ 1,174,148 $ 1,590,121 $ 3,884,418 $ 29,280,242
============ ============ ============ ============ ============
Realized and unrealized gain (loss) on
investments and foreign currency transactions:
Realized gain (loss) (identified cost
basis) --
Investment transactions ..................... $ 1,451,127 $ 15,472,646 $ 2,241,041 $ 15,972,417 $ (3,008,636)
Futures contracts ........................... 42,267 47,235 11,342 10,227 514,430
Foreign currency transactions ............... (2,478) (141,785) (1,989,103) (2,469,170) --
------------ ------------ ------------ ------------ ------------
Net realized gain (loss) on investments
and foreign currency transactions ....... $ 1,490,916 $ 15,378,096 $ 263,280 $ 13,513,474 $ (2,494,206)
------------ ------------ ------------ ------------ ------------
Change in unrealized appreciation
(depreciation) --
Investments (net of $--, $48,805, $--,
$--, and $-- increase in deferred
country tax, respectively) ................ $ (8,985,735) $ 7,480,749 $ (6,662,738) $(10,932,934) $(12,233,753)
Futures contracts ........................... 39,198 -- 31,802 17,146 375,470
Translation of assets and liabilities
in foreign currencies ..................... (6,949) (4,123) 123,160 186,270 --
------------ ------------ ------------ ------------ ------------
Net unrealized gain (loss) on investments
and foreign currency translation ........ $ (8,953,486) $ 7,476,626 $ (6,507,776) $(10,729,518) $(11,858,283)
------------ ------------ ------------ ------------ ------------
Net realized and unrealized gain
(loss) on investments and foreign
currency .............................. $ (7,462,570) $ 22,854,722 $ (6,244,496) $ 2,783,956 $(14,352,489)
------------ ------------ ------------ ------------ ------------
Change in net assets from operations .... $ 3,902,083 $ 24,028,870 $ (4,654,375) $ 6,668,374 $ 14,927,753
============ ============ ============ ============ ============
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF OPERATIONS -- Year Ended December 31, 2005 -- continued
High International Money Strategic
Yield Value Market Income
Series Series Series Series
------------ ------------ ------------ ------------
Net investment income:
Income --
Interest .................................... $ 30,345,361 $ 93,825 $ 12,137,751 $ 5,422,125
Dividends ................................... 347,967 3,030,297 -- 12,264
Income on securities loaned ................. -- 138,774 -- --
Foreign taxes withheld ...................... (4,348) (268,289) -- (1,698)
------------ ------------ ------------ ------------
Total investment income ................... $ 30,688,980 $ 2,994,607 $ 12,137,751 $ 5,432,691
------------ ------------ ------------ ------------
Expenses --
Management fee .............................. $ 2,905,993 $ 962,262 $ 1,853,071 $ 647,885
Distribution fee ............................ 262,624 22,315 267,719 58,144
Administrative services fee ................. 67,944 19,015 63,079 15,201
Trustees' compensation ...................... 43,689 11,073 38,124 12,364
Custodian fee ............................... 178,656 141,111 130,004 82,120
Printing .................................... 47,070 15,166 56,294 10,809
Auditing fees ............................... 54,349 46,086 30,393 43,551
Legal fees .................................. 7,027 6,280 7,058 7,191
Miscellaneous ............................... 32,887 13,678 39,858 13,937
------------ ------------ ------------ ------------
Total expenses ............................ $ 3,600,239 $ 1,236,986 $ 2,485,600 $ 891,202
Fees paid indirectly ........................ (21,981) (2,475) (6,778) (3,360)
Reduction of expenses by investment adviser . -- -- (2,087) --
------------ ------------ ------------ ------------
Net expenses .............................. $ 3,578,258 $ 1,234,511 $ 2,476,735 $ 887,842
------------ ------------ ------------ ------------
Net investment income ......................... $ 27,110,722 $ 1,760,096 $ 9,661,016 $ 4,544,849
============ ============ ============ ============
Realized and unrealized gain (loss) on
investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions (net of country
tax of $--, $8,458, $--, and $--,
respectively) ............................... $ 1,025,152 $ 14,403,559 $ (61) $ 1,487,382
Futures contracts ........................... -- -- -- (162,240)
Foreign currency transactions ............... 689,160 (95,710) -- 226,123
------------ ------------ ------------ ------------
Net realized gain (loss) on investments
and foreign currency transactions ...... $ 1,714,312 $ 14,307,849 $ (61) $ 1,551,265
------------ ------------ ------------ ------------
Change in unrealized appreciation
(depreciation) --
Investments (net of $--, $7,975, $--,
and $-- increase in deferred country
tax, respectively) ........................ $(21,281,574) $ (539,578) $-- $ (5,150,871)
Futures contracts ........................... -- -- -- 74,336
Swap transactions ........................... -- -- -- (52)
Translation of assets and liabilities in
foreign currencies ........................ 311,444 (31,797) -- 470,123
============ ============ ============
Net realized and unrealized gain
(loss) on investments and foreign
currency .............................. $(19,255,818) $ 13,736,474 $ (61) $ (3,055,199)
------------ ------------ ------------ ------------
Change in net assets from operations .... $ 7,854,904 $ 15,496,570 $ 9,660,955 $ 1,489,650
============ ============ ============ ============
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Year Ended December 31, 2005
Emerging Global Global Total Government
Bond Markets Governments Return Securities
Series Equity Series Series Series Series
------------ ------------ ------------ ------------ ------------
Changes in net assets:
From operations:
Net investment income ....................... $ 11,364,653 $ 1,174,148 $ 1,590,121 $ 3,884,418 $ 29,280,242
Net realized gain (loss) on investments
and foreign currency transactions ......... 1,490,916 15,378,096 263,280 13,513,474 (2,494,206)
Net unrealized gain (loss) on investments
and foreign currency translation .......... (8,953,486) 7,476,626 (6,507,776) (10,729,518) (11,858,283)
------------ ------------ ------------ ------------ ------------
Change in net assets from operations ............ $ 3,902,083 $ 24,028,870 $ (4,654,375) $ 6,668,374 $ 14,927,753
------------ ------------ ------------ ------------ ------------
Distributions declared to shareholders:
From net investment income (Initial Class) .. $ (9,411,635) $ (448,328) $ (5,969,201) $ (6,966,176) $(21,947,118)
From net investment income (Service Class) .. (4,408,284) (39,696) (477,244) (589,331) (9,752,762)
From net realized gain on investments
and foreign currency transactions
(Initial Class) ........................... (2,642,743) (243,293) (328,895) (10,281,639) --
From net realized gain on investments
and foreign currency transactions
(Service Class) ........................... (1,287,828) (29,086) (26,977) (916,598) --
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................ $(17,750,490) $ (760,403) $ (6,802,317) $(18,753,744) $(31,699,880)
------------ ------------ ------------ ------------ ------------
Change in net assets from series share
transactions .............................. $ (4,494,371) $ 5,833,884 $ (3,041,599) $ 9,531,704 $(14,464,265)
------------ ------------ ------------ ------------ ------------
Total change in net assets ................ $(18,342,778) $ 29,102,351 $(14,498,291) $ (2,553,666) $(31,236,392)
Net Assets:
At beginning of period ........................ 237,798,636 64,195,095 66,939,415 180,494,093 698,104,464
------------ ------------ ------------ ------------ ------------
At end of period .............................. $219,455,858 $ 93,297,446 $ 52,441,124 $177,940,427 $666,868,072
============ ============ ============ ============ ============
Undistributed (distributions in excess of)
net investment income included in net assets
at end of period .............................. $ 12,528,913 $ 1,045,289 $ (455,964) $ 1,104,888 $ 31,959,956
============ ============ ============ ============ ============
High International Money Strategic
Yield Value Market Income
Series Series Series Series
------------ ------------ ------------ ------------
Changes in net assets:
From operations:
Net investment income ....................... $ 27,110,722 $ 1,760,096 $ 9,661,016 $ 4,544,849
Net realized gain (loss) on investments
and foreign currency transactions ........ 1,714,312 14,307,849 (61) 1,551,265
Net unrealized gain (loss) on investments
and foreign currency translation .......... (20,970,130) (571,375) -- (4,606,464)
------------ ------------ ------------ ------------
Change in net assets from operations ........ $ 7,854,904 $ 15,496,570 $ 9,660,955 $ 1,489,650
------------ ------------ ------------ ------------
Distributions declared to shareholders:
From net investment income (Initial Class) .. $(23,882,264) $ (1,083,122) $ (6,992,613) $ (4,482,176)
From net investment income (Service Class) .. (8,025,309) (78,002) (2,668,342) (1,550,120)
From net realized gain on investments
and foreign currency transactions
(Initial Class) ............................ -- (1,914,712) -- (584,605)
From net realized gain on investments and
foreign currency transactions
(Service Class) ........................... -- (162,463) -- (210,297)
------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................. $(31,907,573) $ (3,238,299) $ (9,660,955) $ (6,827,198)
------------ ------------ ------------ ------------
Change in net assets from series share
transactions ................................ $(38,167,173) $ 15,353,050 $ (5,463,894) $ (2,744,135)
------------ ------------ ------------ ------------
Total change in net assets ...................... $(62,219,842) $ 27,611,321 $ (5,463,894) $ (8,081,683)
Net Assets:
At beginning of period ...................... 429,567,212 91,800,720 370,379,563 90,432,078
------------ ------------ ------------ ------------
At end of period ............................ $367,347,370 $119,412,041 $364,915,669 $ 82,350,395
============ ============ ============ ============
Undistributed net investment income included
in net assets at end of period .............. $ 29,065,182 $ 1,647,100 $ 1,845 $ 4,410,661
============ ============ ============ ============
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Year Ended December 31, 2004
Emerging Global Global Total Government
Bond Markets Governments Return Securities
Series Equity Series Series Series Series
------------ ------------ ------------ ------------ ------------
Changes in net assets:
From operations:
Net investment income ....................... $ 12,371,941 $ 719,523 $ 1,648,941 $ 3,283,850 $ 30,027,467
Net realized gain (loss) on investments
and foreign currency transactions ......... 5,203,484 7,520,252 5,314,944 18,517,241 4,868,672
Net unrealized gain (loss) on investments
and foreign currency translation .......... (3,066,881) 5,362,164 (840,981) 5,149,021 (7,866,609)
------------ ------------ ------------ ------------ ------------
Change in net assets from operations ............ $ 14,508,544 $ 13,601,939 $ 6,122,904 $ 26,950,112 $ 27,029,530
------------ ------------ ------------ ------------ ------------
Distributions declared to shareholders:
From net investment income (Initial Class) .. $(10,988,097) $ (506,672) $ (7,801,714) $ (3,877,428) $(30,916,358)
From net investment income (Service Class) .. (4,202,427) (46,618) (606,872) (295,362) (9,878,792)
From net realized gain on investments and
foreign currency transactions
(Initial Class) ........................... (2,635,514) -- -- -- --
From net realized gain on investments
and foreign currency transactions
(Service Class) ........................... (1,037,911) -- -- -- --
------------ ------------ ------------ ------------ ------------
Total distributions declared to shareholders .... $(18,863,949) $ (553,290) $ (8,408,586) $ (4,172,790) $(40,795,150)
------------ ------------ ------------ ------------ ------------
Change in net assets from series share
transactions ................................. $(23,671,454) $ (671,282) $ (3,602,597) $(10,503,036) $(89,973,097)
------------ ------------ ------------ ------------ ------------
Total change in net assets ...................... $(28,026,859) $ 12,377,367 $ (5,888,279) $ 12,274,286 $(103,738,717)
Net Assets:
At beginning of period ........................ 265,825,495 51,817,728 72,827,694 168,219,807 801,843,181
------------ ------------ ------------ ------------ ------------
At end of period .............................. $237,798,636 $ 64,195,095 $ 66,939,415 $180,494,093 $698,104,464
============ ============ ============ ============ ============
Undistributed net investment income included
in net assets at end of period .............. $ 13,818,923 $ 462,646 $ 4,525,297 $ 5,559,844 $ 31,698,731
============ ============ ============ ============ ============
High International Money Strategic
Yield Value Market Income
Series Series Series Series
------------ ------------ ------------ ------------
Changes in net assets:
From operations:
Net investment income ....................... $ 30,573,872 $ 1,114,869 $ 3,275,930 $ 4,995,747
Net realized gain (loss) on investments
and foreign currency transactions ......... 938,873 10,143,940 -- 1,958,594
Net unrealized gain (loss) on investments
and foreign currency translation .......... 5,453,005 7,944,729 -- (254,509)
Net increase from payments by affiliates
for losses realized on the disposal
of investments in violation of
restrictions .............................. -- 11,832 -- --
------------ ------------ ------------ ------------
Change in net assets from operations ............ $ 36,965,750 $ 19,215,370 $ 3,275,930 $ 6,699,832
------------ ------------ ------------ ------------
Distributions declared to shareholders:
From net investment income (Initial Class) .. $(25,517,531) $ (505,289) $ (2,750,581) $ (3,174,021)
From net investment income (Service Class) .. (6,394,985) (37,595) (525,349) (1,403,154)
------------ ------------ ------------ ------------
Total distributions declared to shareholders .... $(31,912,516) $ (542,884) $ (3,275,930) $ (4,577,175)
------------ ------------ ------------ ------------
Change in net assets from series share
transactions ................................. $(34,624,125) $ 7,374,782 $(105,154,375) $ (245,132)
------------ ------------ ------------ ------------
Total change in net assets ...................... $(29,570,891) $ 26,047,268 $(105,154,375) $ 1,877,525)
Net Assets:
At beginning of period ....................... 459,138,103 65,753,452 475,533,93 888,554,553
------------ ------------ ------------ ------------
At end of period ............................. $429,567,212 $ 91,800,720 $370,379,563 $ 90,432,078
============ ============ ============ ============
Undistributed net investment income included
in net assets at end of period ............... $ 31,675,554 $ 1,100,210 $-- $ 4,838,371
============ ============ ============ ============
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular share class, if shorter). Certain information reflects financial results for a single series share. The
total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series
share class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the
series' independent registered public accounting firm, whose report, together with the series' financial statements, are
included in this report.
Bond Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
2005 2004 2003 2002 2001
INITIAL CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 12.15 $ 12.39 $ 11.85 $ 11.34 $ 10.91
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.59 $ 0.61 $ 0.62 $ 0.66 $ 0.65
Net realized and unrealized gain (loss) on
investments and foreign currency ............ (0.39) 0.09 0.51 0.37 0.19
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.20 $ 0.70 $ 1.13 $ 1.03 $ 0.84
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.74) $ (0.76) $ (0.59) $ (0.45) $ (0.41)
From net realized gain on investments and
foreign currency transactions .............. (0.21) (0.18) -- (0.07) --
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................ $ (0.95) $ (0.94) $ (0.59) $ (0.52) $ (0.41)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 11.40 $ 12.15 $ 12.39 $ 11.85 $ 11.34
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 1.75 6.25 9.72 9.53 7.85
Ratios (%) (to average net assets) and
Supplemental data:
Expenses (f) .................................. 0.72 0.69 0.69 0.68 0.71
Net investment income ......................... 5.05 5.04 5.10 5.87 5.80
Portfolio turnover (%) .......................... 52 50 96 130 236
Net assets at end of period (000 Omitted) ....... $ 143,680 $ 164,227 $ 199,735 $ 211,757 $ 170,392
Bond Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
2005 2004 2003 2002 2001(i)
SERVICE CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 12.07 $ 12.33 $ 11.81 $ 11.32 $ 11.20
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.56 $ 0.58 $ 0.57 $ 0.63 $ 0.22
Net realized and unrealized gain (loss) on
investments and foreign currency ............ (0.38) 0.08 0.53 0.38 (0.10)(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.18 $ 0.66 $ 1.10 $ 1.01 $ 0.12
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.71) $ (0.74) $ (0.58) $ (0.45) $--
From net realized gain on investments and
foreign currency transactions ............... (0.21) (0.18) -- (0.07) --
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................. $ (0.92) $ (0.92) $ (0.58) $ (0.52) $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 11.33 $ 12.07 $ 12.33 $ 11.81 $ 11.32
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 1.59 5.91 9.43 9.34 1.07(n)
Ratios (%) (to average net assets) and
Supplemental data:
Expenses (f) .................................. 0.97 0.94 0.94 0.93 0.96(a)
Net investment income ......................... 4.81 4.80 4.77 5.62 5.52(a)
Portfolio turnover (%) .......................... 52 50 96 130 236
Net assets at end of period (000 Omitted) ....... $ 75,776 $ 73,572 $ 66,091 $ 36,960 $ 10,468
(i) For the period from the class' inception, August 24, 2001 (Service Class) through the stated period end.
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular share class, if shorter). Certain information reflects financial results for a single series share. The
total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series
share class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the
series' independent registered public accounting firm, whose report, together with the series' financial statements, are
included in this report.
Emerging Markets Equity Series
-------------------------------------------------------------------------
Years Ended December 31,
-------------------------------------------------------------------------
2005 2004 2003 2002 2001
INITIAL CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 16.16 $ 12.85 $ 8.48 $ 8.73 $ 8.82
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.29 $ 0.18 $ 0.20 $ 0.09 $ 0.14
Net realized and unrealized gain (loss) on
investments and foreign currency ............. 5.59 3.27 4.23 (0.24) (0.23)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 5.88 $ 3.45 $ 4.43 $ (0.15) $ (0.09)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.13) $ (0.14) $ (0.06) $ (0.10) $--
From net realized gain on investments and
foreign currency transactions ................ (0.07) -- -- -- --
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................. $ (0.20) $ (0.14) $ (0.06) $ (0.10) $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 21.84 $ 16.16 $ 12.85 $ 8.48 $ 8.73
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 36.76 27.18 52.60 (1.88) (1.02)
Ratios (%) (to average net assets) and
Supplemental data:
Expenses (f) .................................. 1.31 1.35 1.65 1.49 1.62
Net investment income ......................... 1.62 1.33 1.99 1.01 1.63
Portfolio turnover (%) .......................... 95 109 125 246 179
Net assets at end of period (000 Omitted) ....... $ 82,804 $ 57,799 $ 46,769 $ 30,393 $ 32,175
Emerging Markets Equity Series
-------------------------------------------------------------------------
Years Ended December 31,
-------------------------------------------------------------------------
2005 2004 2003 2002 2001(i)
SERVICE CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 16.08 $ 12.80 $ 8.45 $ 8.72 $ 8.29
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.25 $ 0.15 $ 0.17 $ 0.06 $ 0.00(w)
Net realized and unrealized gain (loss) on
investments and foreign currency ............ 5.54 3.25 4.22 (0.23) 0.43(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 5.79 $ 3.40 $ 4.39 $ (0.17) $ 0.43
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.09) $ (0.12) $ (0.04) $ (0.10) $--
From net realized gain on investments and
foreign currency transactions ................ (0.07) -- -- -- --
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................. $ (0.16) $ (0.12) $ (0.04) $ (0.10) $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 21.71 $ 16.08 $ 12.80 $ 8.45 $ 8.72
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 36.36 26.96 52.12 (2.12) 5.19(n)
Ratios (%) (to average net assets) and
Supplemental data:
Expenses (f) .................................. 1.56 1.60 1.89 1.74 1.87(a)
Net investment income ......................... 1.38 1.08 1.71 0.70 0.22(a)
Portfolio turnover (%) .......................... 95 109 125 246 179
Net assets at end of period (000 Omitted) ....... $ 10,494 $ 6,397 $ 5,049 $ 2,066 $ 381
(i) For the period from the class' inception, August 24, 2001 (Service Class) through the stated period end.
(a) Annualized.
(n) Not annualized.
(w) Per share amount was less than $0.01.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular share class, if shorter). Certain information reflects financial results for a single series share. The
total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series
share class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the
series' independent registered public accounting firm, whose report, together with the series' financial statements, are
included in this report.
Global Governments Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
2005 2004 2003 2002 2001
INITIAL CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 12.40 $ 12.92 $ 11.75 $ 9.74 $ 9.95
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.29 $ 0.30 $ 0.34 $ 0.35 $ 0.38
Net realized and unrealized gain (loss) on
investments and foreign currency ............ (1.10) 0.76 1.45 1.66 (0.59)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ (0.81) $ 1.06 $ 1.79 $ 2.01 $ (0.21)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (1.23) $ (1.58) $ (0.62) $-- $--
From net realized gain on investments and
foreign currency transactions ............... (0.07) -- -- -- --
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................. $ (1.30) $ (1.58) $ (0.62) $-- $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 10.29 $ 12.40 $ 12.92 $ 11.75 $ 9.74
============ ============ ============ ============ ============
Total return (%) (k)(r) ......................... (7.20) 10.06 15.60 20.64 (2.11)
Ratios (%) (to average net assets) and
Supplemental data:
Expenses before expense reductions (f) ........ 1.03 0.98 0.95 0.93 0.98
Expenses after expense reductions (f) ......... 1.00 0.98 0.95 0.93 0.98
Net investment income ......................... 2.64 2.48 2.75 3.36 3.81
Portfolio turnover (%) .......................... 137 124 143 120 67
Net assets at end of period (000 Omitted) ....... $ 48,203 $ 62,107 $ 67,472 $ 70,613 $ 50,189
Global Governments Series
-------------------------------------------------------------------------
Years Ended December 31,
-------------------------------------------------------------------------
2005 2004 2003 2002 2001(i)
SERVICE CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 12.33 $ 12.85 $ 11.71 $ 9.73 $ 10.02
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.27 $ 0.27 $ 0.30 $ 0.33 $ 0.12
Net realized and unrealized gain (loss) on
investments and foreign currency ............ (1.11) 0.75 1.45 1.65 (0.41)(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ (0.84) $ 1.02 $ 1.75 $ 1.98 $ (0.29)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (1.20) $ (1.54) $ (0.61) $-- $--
From net realized gain on investments and
foreign currency transactions ............... (0.07) -- -- -- --
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................ $ (1.27) $ (1.54) $ (0.61) $-- $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 10.22 $ 12.33 $ 12.85 $ 11.71 $ 9.73
============ ============ ============ ============ ============
Total return (%) (k)(r) ......................... (7.49) 9.80 15.30 20.35 (2.89)(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f) ........ 1.28 1.23 1.20 1.18 1.23(a)
Expenses after expense reductions (f) ......... 1.25 1.23 1.20 1.18 1.23(a)
Net investment income ......................... 2.39 2.23 2.50 3.03 3.34(a)
Portfolio turnover (%) .......................... 137 124 143 120 67
Net assets at end of period (000 Omitted) ....... $ 4,238 $ 4,832 $ 5,355 $ 3,969 $ 169
(i) For the period from the class' inception, August 24, 2001 (Service Class) through the stated period end.
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect expense reductions from fees paid indirectly.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(r) Certain expenses have been reduced without which performance would have been lower.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular class, if shorter). Certain information reflects financial results for a single series share. The total
returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series share
class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the series'
independent registered public accounting firm, whose report, together with the series' financial statements, are included in
this report.
Global Total Return Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
2005 2004 2003 2002 2001
INITIAL CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 17.91 $ 15.70 $ 13.11 $ 13.28 $ 15.74
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.37 $ 0.32 $ 0.29 $ 0.31 $ 0.31
Net realized and unrealized gain (loss)
on investments and foreign currency ......... 0.23 2.29 2.66 (0.23) (1.24)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.60 $ 2.61 $ 2.95 $ 0.08 $ (0.93)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.75) $ (0.40) $ (0.36) $ (0.25) $ (0.61)
From net realized gain on investments and
foreign currency transactions ............... (1.10) -- -- -- (0.92)
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................ $ (1.85) $ (0.40) $ (0.36) $ (0.25) $ (1.53)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 16.66 $ 17.91 $ 15.70 $ 13.11 $ 13.28
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 3.83 17.12 22.97 0.58 (6.17)
Ratios (%) (to average net assets)
and Supplemental data:
Expenses (f) .................................. 0.92 0.89 0.94 0.90 0.91
Net investment income ......................... 2.18 1.97 2.06 2.34 2.19
Portfolio turnover (%) .......................... 78 86 93 84 66
Net assets at end of period (000 Omitted) ....... $ 161,143 $ 166,034 $ 156,675 $ 80,150 $ 88,199
Global Total Return Series
-------------------------------------------------------------------------
Years Ended December 31,
-------------------------------------------------------------------------
2005 2004 2003 2002 2001(i)
SERVICE CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 17.82 $ 15.63 $ 13.08 $ 13.28 $ 13.53
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.32 $ 0.28 $ 0.26 $ 0.27 $ 0.09
Net realized and unrealized gain (loss)
on investments and foreign currency ......... 0.23 2.29 2.63 (0.22) (0.34)(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.55 $ 2.57 $ 2.89 $ 0.05 $ (0.25)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.71) $ (0.38) $ (0.34) $ (0.25) $--
From net realized gain on investments and
foreign currency transactions ................ (1.10) -- -- -- --
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ........................... $ (1.81) $ (0.38) $ (0.34) $ (0.25) $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 16.56 $ 17.82 $ 15.63 $ 13.08 $ 13.28
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 3.54 16.88 22.53 0.41 (1.92)(n)
Ratios (%) (to average net assets) and
Supplemental data:
Expenses (f) .................................. 1.17 1.14 1.19 1.15 1.16(a)
Net investment income ......................... 1.91 1.72 1.83 2.10 1.82(a)
Portfolio turnover (%) .......................... 78 86 93 84 66
Net assets at end of period (000 Omitted) ....... $ 16,797 $ 14,460 $ 11,545 $ 5,699 $ 1,476
(i) For the period from the class' inception, August 24, 2001 (Service Class) through the stated period end.
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gain and losses at such time.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular class, if shorter). Certain information reflects financial results for a single series share. The total
returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series share
class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the series'
independent registered public accounting firm, whose report, together with the series' financial statements, are included in
this report.
Government Securities Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
2005 2004 2003 2002 2001
INITIAL CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 13.16 $ 13.44 $ 13.85 $ 13.28 $ 13.11
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.56 $ 0.54 $ 0.44 $ 0.58 $ 0.73
Net realized and unrealized gain (loss)
on investments and foreign currency ......... (0.26) (0.07) (0.14) 0.67 0.22
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.30 $ 0.47 $ 0.30 $ 1.25 $ 0.95
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.62) $ (0.75) $ (0.59) $ (0.68) $ (0.78)
From net realized gain on investments and
foreign currency transactions .............. -- -- (0.12) -- --
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................ $ (0.62) $ (0.75) $ (0.71) $ (0.68) $ (0.78)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 12.84 $ 13.16 $ 13.44 $ 13.85 $ 13.28
============ ============ ============ ============ ============
Total return (%) (k) ............................ 2.30 3.76 2.15 9.80 7.47
Ratios (%) (to average net assets) and
Supplemental data:
Expenses (f) .................................. 0.63 0.62 0.62 0.60 0.62
Net investment income ......................... 4.32 4.12 3.22 4.33 5.55
Portfolio turnover (%) .......................... 75 85 144 157 97
Net assets at end of period (000 Omitted) ....... $ 425,740 $ 493,616 $ 629,265 $ 877,180 $ 696,167
Government Securities Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
2005 2004 2003 2002 2001(i)
SERVICE CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 13.10 $ 13.38 $ 13.81 $ 13.27 $ 13.08
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.53 $ 0.51 $ 0.36 $ 0.51 $ 0.28
Net realized and unrealized gain (loss)
on investments and foreign currency ......... (0.27) (0.07) (0.10) 0.71 (0.09)(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.26 $ 0.44 $ 0.26 $ 1.22 $ 0.19
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.59) $ (0.72) $ (0.57) $ (0.68) $--
From net realized gain on investments and
foreign currency transactions .............. -- -- (0.12) -- --
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................ $ (0.59) $ (0.72) $ (0.69) $ (0.68) $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 12.77 $ 13.10 $ 13.38 $ 13.81 $ 13.27
============ ============ ============ ============ ============
Total return (%) (k) ............................ 2.01 3.55 1.87 9.55 1.45(n)
Ratios (%) (to average net assets) and
Supplemental data:
Expenses (f) .................................. 0.88 0.87 0.87 0.85 0.87(a)
Net investment income ......................... 4.10 3.90 2.64 3.86 5.52(a)
Portfolio turnover (%) .......................... 75 85 144 157 97
Net assets at end of period (000 Omitted) ....... $ 241,128 $ 204,488 $ 172,578 $ 132,071 $ 30,174
(i) For the period from the class' inception, August 24, 2001 (Service Class) through the stated period end.
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular class, if shorter). Certain information reflects financial results for a single series share. The total
returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series share
class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the series'
independent registered public accounting firm, whose report, together with the series' financial statements, are included in
this report.
High Yield Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
2005 2004 2003 2002 2001
INITIAL CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 7.32 $ 7.27 $ 6.56 $ 7.05 $ 7.63
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.49 $ 0.52 $ 0.54 $ 0.61 $ 0.73
Net realized and unrealized gain (loss)
on investments and foreign currency .......... (0.36) 0.11 0.80 (0.42) (0.57)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.13 $ 0.63 $ 1.34 $ 0.19 $ 0.16
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.62) $ (0.58) $ (0.63) $ (0.68) $ (0.74)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 6.83 $ 7.32 $ 7.27 $ 6.56 $ 7.05
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 2.19 9.54 21.44 2.70 1.80
Ratios (%) (to average net assets) and
Supplemental data:
Expenses (f) .................................. 0.86 0.83 0.83 0.82 0.84
Net investment income ......................... 7.06 7.27 7.89 9.15 9.93
Portfolio turnover (%) .......................... 53 68 92 75 58
Net assets at end of period (000 Omitted) ....... $ 255,999 $ 319,653 $ 360,207 $ 305,487 $ 367,973
High Yield Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
2005 2004 2003 2002 2001(i)
SERVICE CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 7.28 $ 7.23 $ 6.53 $ 7.04 $ 7.09
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.47 $ 0.49 $ 0.51 $ 0.58 $ 0.25
Net realized and unrealized gain (loss) on
investments and foreign currency ............ (0.36) 0.12 0.81 (0.41) (0.30)(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.11 $ 0.61 $ 1.32 $ 0.17 $ (0.05)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.60) $ (0.56) $ (0.62) $ (0.68) $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 6.79 $ 7.28 $ 7.23 $ 6.53 $ 7.04
------------ ------------ ------------ ------------ ------------
Total return (%) (k)(s) ......................... 1.93 9.37 21.21 2.37 (0.71)(n)
Ratios (%) (to average net assets) and
Supplemental data:
Expenses (f) .................................. 1.11 1.08 1.08 1.07 1.09(a)
Net investment income ......................... 6.81 6.99 7.59 8.99 9.55(a)
Portfolio turnover (%) .......................... 53 68 92 75 58
Net assets at end of period (000 Omitted) ....... $ 111,348 $ 109,914 $ 98,931 $ 44,533 $ 11,990
(i) For the period from the class' inception, August 24, 2001 (Service Class) through the stated period end.
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular class, if shorter). Certain information reflects financial results for a single series share. The total
returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series share
class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the series'
independent registered public accounting firm, whose report, together with the series' financial statements, are included in
this report.
International Value Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
2005 2004 2003 2002 2001
INITIAL CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 15.58 $ 12.27 $ 9.28 $ 9.93 $ 13.16
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.27 $ 0.20 $ 0.11 $ 0.09 $ 0.08
Net realized and unrealized gain (loss)
on investments and foreign currency ......... 2.03 3.21 2.98 (0.66) (1.89)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 2.30 $ 3.41 $ 3.09 $ (0.57) $ (1.81)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.18) $ (0.10) $ (0.10) $ (0.08) $ (0.24)
From net realized gain on investments and
foreign currency transactions ............... (0.31) -- -- -- (1.18)
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................ $ (0.49) $ (0.10) $ (0.10) $ (0.08) $ (1.42)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 17.39 $ 15.58 $ 12.27 $ 9.28 $ 9.93
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 15.22 28.02(v) 33.63 (5.86) (14.63)
Ratios (%) (to average net assets) and
Supplemental data:
Expenses (f) .................................. 1.13 1.15 1.28 1.24 1.23
Net investment income ......................... 1.67 1.52 1.06 0.91 0.76
Portfolio turnover (%) .......................... 46 65 84 80 112
Net assets at end of period (000 Omitted) ....... $ 108,418 $ 84,996 $ 61,108 $ 50,609 $ 64,134
International Value Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
2005 2004 2003 2002 2001(i)
SERVICE CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 15.54 $ 12.24 $ 9.27 $ 9.93 $ 10.51
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (loss) (d) .............. $ 0.22 $ 0.18 $ 0.07 $ 0.04 $ (0.01)
Net realized and unrealized gain (loss) on
investments and foreign
currency .................................... 2.02 3.20 2.98 (0.62) (0.57)(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 2.24 $ 3.38 $ 3.05 $ (0.58) $ (0.58)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.15) $ (0.08) $ (0.08) $ (0.08) $--
From net realized gain on investments and
foreign currency transactions ............... (0.31) -- -- -- --
------------ ------------ ------------ ------------ ------------
Total distributions declared to shareholders .... $ (0.46) $ (0.08) $ (0.08) $ (0.08) $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 17.32 $ 15.54 $ 12.24 $ 9.27 $ 9.93
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 14.86 27.82(v) 33.20 (5.97) (5.52)(n)
Ratios (%) (to average net assets) and
Supplemental data:
Expenses (f) .................................. 1.39 1.40 1.53 1.49 1.48(a)
Net investment income (loss) .................. 1.37 1.31 0.67 0.44 (0.17)(a)
Portfolio turnover (%) .......................... 46 65 84 80 112
Net assets at end of period (000 Omitted) ....... $ 10,994 $ 6,805 $ 4,646 $ 2,246 $ 425
(i) For the period from the class' inception, August 24, 2001 (Service Class) through the stated period end.
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect expense reductions from fees paid indirectly.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(v) During the year ended December 31, 2004, the series received a payment from the investment adviser to reimburse the series
for losses on investments not meeting the investment guidelines of the series. If this loss had been incurred, the total
returns would have been 28.01% and 27.81% for the Initial Class and Service Class, respectively.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular class, if shorter). Certain information reflects financial results for a single series share. The total
returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series share
class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the series'
independent registered public accounting firm, whose report, together with the series' financial statements, are included in
this report.
Money Market Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
2005 2004 2003 2002 2001
INITIAL CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.03 $ 0.01 $ 0.01 $ 0.01 $ 0.04
Net realized and unrealized gain (loss)
on investments ............................. (0.00)(w) -- -- -- --
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.03 $ 0.01 $ 0.01 $ 0.01 $ 0.04
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.03) $ (0.01) $ (0.01) $ (0.01) $ (0.04)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
============ ============ ============ ============ ============
Total return (%) (k)(r) ......................... 2.72 0.83 0.63 1.27 3.78
Ratios (%) (to average net assets) and
Supplemental data:
Expenses before expense reductions (f) ........ 0.60 0.58 0.57 0.57 0.57
Expenses after expense reductions (f) ......... 0.60 0.58 0.57 0.57 0.57
Net investment income ......................... 2.65 0.79 0.64 1.27 3.56
Net assets at end of period (000 Omitted) ....... $ 241,684 $ 282,595 $ 426,154 $ 690,127 $ 702,808
Money Market Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
2005 2004 2003 2002 2001(i)
SERVICE CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.02 $ 0.01 $ 0.00(w) $ 0.01 $ 0.01
Net realized and unrealized gain (loss)
on investments .............................. (0.00)(w) -- -- -- --
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.02 $ 0.01 $ 0.00(w) $ 0.01 $ 0.01
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.02) $ (0.01) $ (0.00)(w)$ (0.01) $ (0.01)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
============ ============ ============ ============ ============
Total return (%) (k)(r) ......................... 2.46 0.57 0.38 1.02 0.72(n)
Ratios (%) (to average net assets) and
Supplemental data:
Expenses before expense reductions (f) ........ 0.85 0.82 0.82 0.82 0.82(a)
Expenses after expense reductions (f) ......... 0.85 0.82 0.82 0.82 0.82(a)
Net investment income ......................... 2.49 0.63 0.37 0.99 3.31(a)
Net assets at end of period (000 Omitted) ....... $ 123,232 $ 87,785 $ 49,380 $ 52,745 $ 20,493
(i) For the period from the class' inception, August 24, 2001 (Service Class) through the stated period end.
(r) Certain expenses have been reduced without which performance would have been lower.
(a) Annualized.
(n) Not annualized.
(w) Per share amount was less than $0.01.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular class, if shorter). Certain information reflects financial results for a single series share. The total
returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series share
class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the series'
independent registered public accounting firm, whose report, together with the series' financial statements, are included in
this report.
Strategic Income Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
2005 2004 2003 2002 2001
INITIAL CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 11.42 $ 11.12 $ 10.31 $ 10.04 $ 10.10
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.58 $ 0.61 $ 0.59 $ 0.57 $ 0.67
Net realized and unrealized gain (loss) on
investments and foreign currency ............ (0.39) 0.23 0.71 0.16 (0.34)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.19 $ 0.84 $ 1.30 $ 0.73 $ 0.33
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.80) $ (0.54) $ (0.49) $ (0.46) $ (0.35)
From net realized gain on investments and
foreign currency transactions ............... (0.10) -- -- -- (0.04)
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................. $ (0.90) $ (0.54) $ (0.49) $ (0.46) $ (0.39)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 10.71 $ 11.42 $ 11.12 $ 10.31 $ 10.04
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 1.89 8.04 12.89 7.52 3.31
Ratios (%) (to average net assets) and
Supplemental data:
Expenses (f) .................................. 0.97 0.91 0.90 0.86 1.01
Net investment income ......................... 5.33 5.55 5.58 5.74 6.69
Portfolio turnover (%) .......................... 66 74 127 137 179
Net assets at end of period (000 Omitted) ....... $ 59,707 $ 66,248 $ 67,547 $ 56,980 $ 47,813
Strategic Income Series
--------------------------------------------------------------------------
Years Ended December 31,
--------------------------------------------------------------------------
2005 2004 2003 2002 2001(i)
SERVICE CLASS SHARES ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 11.35 $ 11.06 $ 10.28 $ 10.03 $ 9.91
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.55 $ 0.59 $ 0.57 $ 0.53 $ 0.21
Net realized and unrealized gain (loss) on
investments and foreign currency ............ (0.39) 0.22 0.68 0.18 (0.09)(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.16 $ 0.81 $ 1.25 $ 0.71 $ 0.12
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.77) $ (0.52) $ (0.47) $ (0.46) $--
From net realized gain on investments and
foreign currency transactions .............. (0.10) -- -- -- --
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................ $ (0.87) $ (0.52) $ (0.47) $ (0.46) $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 10.64 $ 11.35 $ 11.06 $ 10.28 $ 10.03
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 1.61 7.83 12.48 7.31 1.21(n)
Ratios (%) (to average net assets) and
Supplemental data:
Expenses (f) .................................. 1.22 1.16 1.15 1.11 1.26(a)
Net investment income ......................... 5.08 5.31 5.36 5.41 6.00(a)
Portfolio turnover (%) .......................... 66 74 127 137 179
Net assets at end of period (000 Omitted) ....... $ 22,643 $ 24,184 $ 21,008 $ 12,979 $ 2,585
(i) For the period from the class' inception, August 24, 2001 (Service Class) through the stated period end.
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
(1) BUSINESS AND ORGANIZATION
The Trust is organized as a Massachusetts business trust and is registered
under the Investment Company Act of 1940, as amended, as an open-end
management investment company consisting of twenty-eight separate series (the
series) of shares: Bond Series*, Capital Appreciation Series, Capital
Opportunities Series, Core Equity Series, Emerging Growth Series, Emerging
Markets Equity Series*, Global Governments Series*, Global Growth Series,
Global Total Return Series*, Government Securities Series*, High Yield
Series*, International Growth Series, International Value Series*,
Massachusetts Investors Growth Stock Series, Massachusetts Investors Trust
Series, Mid Cap Growth Series, Mid Cap Value Series, Money Market Series*, New
Discovery Series, Research Series, Research International Series, Strategic
Growth Series, Strategic Income Series*, Strategic Value Series, Technology
Series, Total Return Series, Utilities Series and Value Series. The shares of
each series are sold only to variable accounts established by Sun Life
Assurance Company of Canada (U.S.) and Sun Life Insurance and Annuity Company
of New York to fund benefits under variable contracts issued by such
companies.
The series denoted with an asterisk above are included within these financial
statements.
(2) SIGNIFICANT ACCOUNTING POLICIES
General - The preparation of financial statements in conformity with U.S.
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities,
and disclosure of contingent assets and liabilities at the date of the
financial statements and the reported amounts of revenues and expenses during
the reporting period. Actual results could differ from those estimates. High
Yield Series can invest up to 100% of its portfolio in high-yield securities
rated below investment grade. Investments in high-yield securities involve
greater degrees of credit and market risk than investments in higher-rated
securities and tend to be more sensitive to economic conditions. Certain
series can invest in foreign securities, including securities of emerging
market issuers. Investments in foreign securities are vulnerable to the
effects of changes in the relative values of the local currency and the U.S.
dollar and to the effects of changes in each country's legal, political, and
economic environment. The markets of emerging markets countries are generally
more volatile than the markets of developed countries with more mature
economies. All of the risks of investing in foreign securities previously
described are heightened when investing in emerging markets countries.
Investment Valuations - Money market instruments are valued at amortized cost,
which approximates market value. Amortized cost involves valuing an instrument
at its cost as adjusted for amortization of premium or accretion of discount
rather than its current market value. Each money market fund's use of
amortized cost is subject to the fund's compliance with Rule 2a-7 of the
Investment Company Act of 1940. The amortized cost value of an instrument can
be different from the market value of an instrument. Equity securities,
including restricted equity securities, are generally valued at the last sale
or official closing price as reported by an independent pricing service on the
market or exchange on which they are primarily traded. For securities for
which there were no sales during the day, equity securities are generally
valued at the last quoted bid price as reported by an independent pricing
service on the market or exchange on which they are primarily traded. Debt
instruments (other than short-term instruments), including restricted debt
instruments, are generally valued at an evaluated bid price as reported by an
independent pricing service. Values of debt instruments obtained from pricing
services can utilize both dealer-supplied valuations and electronic data
processing techniques which take into account factors such as institutional-
size trading in similar groups of securities, yield, quality, coupon rate,
maturity, type of issue, trading characteristics and other market data. Short-
term instruments with a maturity at issuance of 365 days or less are generally
valued at amortized cost, which approximates market value. Exchange-traded
options are generally valued at the last sale or closing price as reported by
an independent pricing service on the exchange on which they are primarily
traded. For exchange-traded options in which there were no sales during the
day, exchange-traded options are generally valued at the last quoted bid price
as reported by an independent pricing service on the exchange on which they
are primarily traded. Options not traded on an exchange are generally valued
as reported by an independent pricing service or on the basis of quotations
obtained from brokers and dealers. Foreign currency options are generally
valued using an external pricing model that uses market data from an
independent source. Futures contracts are generally valued at settlement price
as reported by an independent pricing service on the exchange on which they
are primarily traded. For futures contracts in which there were no sales
during the day, futures contracts are generally valued at the last quoted bid
price as reported by an independent pricing service on the exchange on which
they are primarily traded. Forward foreign currency contracts are generally
valued at the mean of bid and asked prices based on rates reported by an
independent pricing service. Swaps are generally valued on the basis of
quotations from brokers and dealers. Open-end investment companies are
generally valued at their net asset value per share. Securities and other
assets generally valued on the basis of information from an independent
pricing service may also be valued on the basis of information from brokers
and dealers. The values of foreign securities and other assets and liabilities
expressed in foreign currencies are converted to U.S. dollars based upon
exchange rates provided by an independent source. When pricing-service
information or market quotations are not readily available, securities are
priced at fair value as determined under the direction of the Board of
Trustees. For example, in valuing securities that trade principally on foreign
markets, events reasonably determined to be significant (such as certain
movements in the U.S. securities market, or other regional and local
developments) may occur between the time that foreign markets close (where the
security is principally traded) and the series' valuation time that may impact
the value of securities traded in these foreign markets. In these cases, the
series may utilize information from an external vendor or other sources to
adjust closing market prices of foreign equity securities to reflect what it
believes to be the fair value of the securities as of the series' valuation
time. Fair valuation of foreign equity securities may occur frequently based
on an assessment that events which occur on a fairly regular basis (such as
U.S. market movements) are significant.
Repurchase Agreements - Each series may enter into repurchase agreements with
institutions that the series' investment adviser has determined are
creditworthy. Each repurchase agreement is recorded at cost. The series
requires that the securities collateral in a repurchase transaction be
transferred to the custodian in a manner sufficient to enable the series to
obtain those securities in the event of a default under the repurchase
agreement. Each series monitors, on a daily basis, the value of the collateral
to ensure that its value, including accrued interest, is greater than amounts
owed to the series under each such repurchase agreement. Each series, along
with other affiliated entities of Massachusetts Financial Services Company
(MFS), may utilize a joint trading account for the purpose of entering into
one or more repurchase agreements.
Inflation-Adjusted Debt Securities - Certain series invest in inflation-
adjusted debt securities issued by the U.S. Treasury. Certain series may also
invest in inflation-adjusted debt securities issued by U.S. Government
agencies and instrumentalities other than the U.S. Treasury and by other
entities such as U.S. and foreign corporations and foreign governments. The
principal value of these debt securities is adjusted by references to changes
in the Consumer Price Index or another general price or wage index. These debt
securities typically pay a fixed rate of interest, but this fixed rate is
applied to the inflation-adjusted principal amount. The principal paid at
maturity of the debt security is typically equal to the inflation-adjusted
principal amount, or the security's original par value, whichever is greater.
Other types of inflation-adjusted securities may use other methods to adjust
for other measures of inflation.
Foreign Currency Translation - Purchases and sales of foreign investments,
income, and expenses are converted into U.S. dollars based upon currency
exchange rates prevailing on the respective dates of such transactions. Gains
and losses attributable to foreign currency exchange rates on sales of
securities are recorded for financial statement purposes as net realized gains
and losses on investments. Gains and losses attributable to foreign exchange
rate movements on income and expenses are recorded for financial statement
purposes as foreign currency transaction gains and losses. That portion of
both realized and unrealized gains and losses on investments that results from
fluctuations in foreign currency exchange rates is not separately disclosed.
Derivative Risk - Each series may invest in derivatives for hedging or non-
hedging purposes. While hedging can reduce or eliminate losses, it can also
reduce or eliminate gains. When each series uses derivatives as an investment
to gain market exposure, or for hedging purposes, gains and losses from
derivative instruments may be substantially greater than the derivative's
original cost. Derivative instruments include written options, purchased
options, forward foreign currency exchange contracts, swap agreements, short
sales, and futures contracts.
Purchased Options - Each series may purchase call or put options for a
premium. Purchasing call options may be a hedge against an anticipated
increase in the dollar cost of securities to be acquired or to increase the
series' exposure to the underlying instrument. Purchasing put options may
hedge against a decline in the value of portfolio securities. The premium paid
is included as an investment in the Statement of Assets and Liabilities and is
subsequently adjusted to the current value of the option. Premiums paid for
purchased options which have expired are treated as realized losses on
investments in the Statement of Operations. Premiums paid for purchased
options which are exercised or closed are added to the amount paid or offset
against the proceeds on the underlying security or financial instrument to
determine the realized gain or loss. The risk of loss associated with
purchased options is limited to the premium paid.
Futures Contracts - Each series may enter into futures contracts for the
delayed delivery of securities or currency, or contracts based on financial
indices at a fixed price on a future date. In entering such contracts, each
series is required to deposit with the broker either in cash or securities an
amount equal to a certain percentage of the contract amount. Subsequent
payments are made or received by each series each day, depending on the daily
fluctuations in the value of the contract, and are recorded for financial
statement purposes as unrealized gains or losses by the series. Upon entering
into such contracts, each series bears the risk of interest or exchange rates
or securities prices moving unexpectedly, in which case, each series may not
achieve the anticipated benefits of the futures contracts and may realize a
loss.
Forward Foreign Currency Exchange Contracts - Each series may enter into
forward foreign currency exchange contracts for the purchase or sale of a
specific foreign currency at a fixed price on a future date. Risks may arise
upon entering into these contracts from the potential inability of
counterparties to meet the terms of their contracts and from unanticipated
movements in the value of the contract. Each series may enter into forward
foreign currency exchange contracts for hedging purposes as well as for non-
hedging purposes. For hedging purposes, each series may enter into contracts
to deliver or receive foreign currency it will receive from or require for its
normal investment activities. Each series may also use contracts in a manner
intended to protect foreign currency denominated securities from declines in
value due to unfavorable exchange rate movements. For non-hedging purposes,
each series may enter into contracts with the intent of changing the relative
exposure of the series' portfolio of securities to different currencies to
take advantage of anticipated changes. The forward foreign currency exchange
contracts are adjusted by the daily exchange rate of the underlying currency
and any gains or losses are recorded as unrealized until the contract
settlement date. On contract settlement date, the gains or losses are recorded
as realized gains or losses on foreign currency transactions.
Swap Agreements - Each series may enter into swap agreements. A swap is an
exchange of cash payments between the series and another party. Net cash
payments are exchanged at specified intervals and are recorded as a realized
gain or loss in the Statement of Operations. The value of the swap is adjusted
daily and the change in value is recorded as unrealized appreciation or
depreciation in the Statement of Operations. Risks may arise upon entering
into these agreements from the potential inability of counterparties to meet
the terms of their contract and from unanticipated changes in the value of the
financial index on which the swap agreement is based.
Each series may enter into credit default swaps to limit or to reduce risk
exposure of the series to defaults of corporate and sovereign issuers. The
series may also use credit default swaps to create direct or synthetic short
or long exposure to domestic or foreign corporate debt securities or certain
sovereign debt securities to which the series is not otherwise exposed. In a
credit default swap, one party makes a stream of payments to another party in
exchange for the right to receive a specified return in the event of a default
by a third party, such as a corporate issuer or foreign issuer, on its
obligation.
Security Loans - State Street Bank and Trust Company ("State Street") and J.P.
Morgan Chase and Co. ("Chase"), as lending agents, may loan the securities of
certain series to certain qualified institutions (the "Borrowers") approved by
the series. The loans are collateralized at all times by cash and/or U.S.
Treasury securities in an amount at least equal to the market value of the
securities loaned. State Street and Chase provide certain series with
indemnification against Borrower default. Each series bears the risk of loss
with respect to the investment of cash collateral. On loans collateralized by
cash, the cash collateral is invested in a money market fund or short-term
securities. A portion of the income generated upon investment of the
collateral is remitted to the Borrowers, and the remainder is allocated
between the series and the lending agents. On loans collateralized by U.S.
Treasury securities, a fee is received from the Borrower, and is allocated
between the series and the lending agents. The dividend and interest income
earned on the securities loaned is accounted for in the same manner as other
dividend and interest income.
Dollar Roll Transactions - Certain series enter into dollar roll transactions,
with respect to mortgage backed securities issued by Ginnie Mae, Fannie Mae,
and Freddie Mac, in which the series sells mortgage backed securities to
financial institutions and simultaneously agrees to accept substantially
similar (same type, coupon, and maturity) securities at a later date at an
agreed-upon price. During the period between the sale and repurchase in a
dollar roll transaction the series will not be entitled to receive interest
and principal payments on the securities sold but is compensated by interest
earned on the proceeds of the initial sale and by a lower purchase price on
the securities to be repurchased which enhances the series' total return. Each
series accounts for dollar roll transactions as purchases and sales. If
certain criteria are met these dollar roll transactions may be considered a
financing transaction whereby the difference in the sales price and the future
purchase price is recorded as an adjustment to interest income.
Investment Transactions and Income - Investment transactions are recorded on
the trade date. Some securities may be purchased on a "when-issued" or
"forward delivery" basis, which means that the securities will be delivered to
the series at a future date, usually beyond customary settlement time.
Interest income is recorded on the accrual basis. All premium and discount is
amortized or accreted for financial statement purposes in accordance with U.S.
generally accepted accounting principles. All discount is accreted for tax
reporting purposes as required by federal income tax regulations. For Money
Market Series, all premium and discount is amortized and accreted for
financial statement purposes and tax reporting purposes in accordance with
generally accepted accounting principles and federal tax regulations,
respectively. Dividends received in cash are recorded on the ex-dividend date.
Certain dividends from foreign securities will be recorded as soon as the
series is informed of the dividend if such information is obtained subsequent
to the ex-dividend date. Dividend and interest payments received in additional
securities are recorded on the ex-dividend or ex-interest date in an amount
equal to the value of the security on such date.
Certain series may receive proceeds from litigation settlements involving its
portfolio holdings. Any proceeds received are reflected in realized gain/loss
in the Statements of Operations, or in unrealized gain/loss if the security is
still held by the series.
Certain series may enter into "TBA" (to be announced) purchase commitments to
purchase securities for a fixed unit price at a future date. Although the unit
price has been established, the principal value has not been finalized.
However, the principal amount of the commitments will not fluctuate more than
0.01%. The series holds, and maintains until settlement date, cash or high-
grade debt obligations in an amount sufficient to meet the purchase price, or
the series may enter into offsetting contracts for the forward sale of other
securities it owns. Income on the securities will not be earned until
settlement date. TBA purchase commitments may be considered securities in
themselves, and involve a risk of loss if the value of the security to be
purchased declines prior to settlement date, which is in addition to the risk
of decline in the value of the series' other assets. Unsettled TBA purchase
commitments are valued at the current market value of the underlying
securities.
Certain series may enter into "TBA" (to be announced) sale commitments to
hedge its portfolio positions or to sell mortgage-backed securities it owns
under delayed delivery arrangements. Proceeds of TBA sale commitments are not
received until the contractual settlement date. During the time a TBA sale
commitment is outstanding, equivalent deliverable securities, or an offsetting
TBA purchase commitment deliverable on or before the sale commitment date, are
held as "cover" for the transaction.
Fees Paid Indirectly - Each series' custody fees are reduced according to an
arrangement that measures the value of cash deposited with the custodian by
the series. During the year ended December 31, 2005, certain series' custodian
fees were reduced under this arrangement as noted below. Certain series have
entered into a commission recapture agreement, under which certain brokers
will credit the series a portion of the commissions generated, to offset
certain expenses of the series. For the year ended December 31, 2005, each
series' custodian expenses were reduced under this agreement as noted below.
These amounts are shown as a reduction of total expenses on the Statements of
Operations.
Emerging
Markets Global Global Total Government High International Money Strategic
Bond Equity Governments Return Securities Yield Value Market Income
Series Series Series Series Series Series Series Series Series
- ------------------------------------------------------------------------------------------------------------------------------------
Balance credits ............... $6,854 $1,174 $1,304 $3,187 $20,778 $21,981 $1,529 $6,778 $3,360
Commission recapture credits .. -- 3,305 -- 1,434 -- -- 946 -- --
----- ----- ----- ----- ------ ------ ----- ----- -----
Total ......................... $6,854 $4,479 $1,304 $4,621 $20,778 $21,981 $2,475 $6,778 $3,360
====== ====== ====== ====== ======= ======= ====== ====== ======
Tax Matters and Distributions - Each series intends to continue to qualify as
a regulated investment company, as defined under Subchapter M of the Internal
Revenue Code, and to distribute all of its taxable income, including realized
capital gains. Accordingly, no provision for federal income tax is required in
the financial statements. Foreign taxes, if any, have been accrued by each
series in the accompanying financial statements.
Distributions to shareholders are recorded on the ex-dividend date. Income and
capital gain distributions are determined in accordance with income tax
regulations, which may differ from generally accepted accounting principles.
Certain capital accounts in the financial statements are periodically adjusted
for permanent differences in order to reflect their tax character. These
adjustments have no impact on net assets or net asset value per share.
Temporary differences which arise from recognizing certain items of income,
expense, gain or loss in different periods for financial statement and tax
purposes will reverse at some time in the future. Distributions in excess of
net investment income or net realized gains are temporary over distributions
for financial statement purposes resulting from differences in the recognition
or classification of income for financial statement and tax purposes.
Book/tax differences primarily relate to net operating losses, amortization
and accretion of debt securities, defaulted bonds, passive foreign investment
companies, wash sale loss deferrals, straddle loss deferrals, foreign currency
transactions and derivative transactions.
The tax character of distributions declared to shareholders is as follows:
Emerging Markets
Bond Series Equity Series Global Governments Series
--------------------------- ------------------------ ----------------------------
December 31, December 31, December 31,
--------------------------- ------------------------ ---------------------------
2005 2004 2005 2004 2005 2004
- -----------------------------------------------------------------------------------------------------------------------------
Ordinary income (including any
short-term capital gains) ....... $ 14,157,639 $ 15,984,702 $ 488,024 $ 553,290 $ 6,705,443 $ 8,408,856
Long-term capital gain .......... 3,592,851 2,879,247 272,379 -- 96,874 --
------------ ------------ ------------ ------------ ------------ ------------
Total distributions ........... $ 17,750,490 $ 18,863,949 $ 760,403 $ 553,290 $ 6,802,317 $ 8,408,856
============ ============ ============ ============ ============ ============
Government
Global Total Return Series Securities Series High Yield Series
--------------------------- ------------------------ ----------------------------
December 31, December 31, December 31,
--------------------------- ------------------------ ---------------------------
2005 2004 2005 2004 2005 2004
- -----------------------------------------------------------------------------------------------------------------------------
Ordinary income (including any
short-term capital gains) ...... $ 10,130,137 $ 4,172,790 $ 31,699,880 $ 40,795,150 $ 31,907,573 $ 31,912,516
Long-term capital gain .......... 8,623,607 -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total distributions ........... $ 18,753,744 $ 4,172,790 $ 31,699,880 $ 40,795,150 $ 31,907,573 $ 31,912,516
============ ============ ============ ============ ============ ============
International Value Series MoneyMarket Series Strategic Income Series
--------------------------- ------------------------ ----------------------------
December 31, December 31, December 31,
--------------------------- ------------------------ ---------------------------
2005 2004 2005 2004 2005 2004
- -----------------------------------------------------------------------------------------------------------------------------
Ordinary income (including any
short-term capital gains) ...... $ 1,161,124 $ 542,884 $ 9,660,955 $ 3,275,930 $ 6,201,359 $ 4,577,175
Long-term capital gain .......... 2,077,175 -- -- -- 625,839 --
------------ ------------ ------------ ------------ ------------ ------------
Total distributions ........... $ 3,238,299 $ 542,884 $ 9,660,955 $ 3,275,930 $ 6,827,198 $ 4,577,175
============ ============ ============ ============ ============ ============
As of December 31, 2005, the federal tax cost and the tax basis components of distributable earnings were as follows:
Emerging Global
Bond Markets Equity Governments
Series Series Series
- -------------------------------------------------------------------------------------------------
Cost of investments ................................ $217,660,144 $ 77,475,966 $ 52,938,467
------------ ------------ ------------
Gross appreciation ................................. $ 3,108,710 $ 25,010,704 $ 267,292
Gross depreciation ................................. (4,157,582) (652,124) (1,510,101)
------------ ------------ ------------
Net unrealized appreciation (depreciation) ......... $ (1,048,872) $ 24,358,580 $ (1,242,809)
============ ============ ============
Undistributed ordinary income ...................... $ 12,528,913 $ 6,816,912 $ 458,176
Undistributed long-term capital gain ............... 1,203,795 9,677,725 --
Post-October capital loss deferral ................. (756,297) -- (109,878)
Other temporary differences ........................ -- (58,013) (162,395)
Global Government High
Total Return Securities Yield
Series Series Series
- -------------------------------------------------------------------------------------------------
Cost of investments ................................ $172,650,035 $662,782,518 $369,491,911
------------ ------------ ------------
Gross appreciation ................................. $ 20,818,812 $ 8,006,591 $ 6,679,287
Gross depreciation ................................. (3,769,963) (10,973,986) (16,631,532)
------------ ------------ ------------
Net unrealized appreciation (depreciation) ......... $ 17,048,849 $ (2,967,395) $ (9,952,245)
============ ============ ============
Undistributed ordinary income ...................... $ 2,628,639 $ 31,959,956 $ 29,153,280
Undistributed long-term capital gain ............... 10,608,263 -- --
Capital loss carryforwards ......................... (9,210,362) (11,951,539) (107,662,635)
Other temporary differences ........................ (192,709) -- (142,721)
International Money Strategic
Value Market Income
Series Series Series
- -------------------------------------------------------------------------------------------------
Cost of investments ................................ $121,106,702 $358,701,604 $ 81,008,079
------------ ------------ ------------
Gross appreciation ................................. $ 22,999,285 $-- $ 1,430,755
Gross depreciation ................................. (2,751,042) -- (1,701,838)
------------ ------------ ------------
Net unrealized appreciation (depreciation) ......... $ 20,248,243 $-- $ (271,083)
============ = ============
Undistributed ordinary income ...................... $ 6,462,283 $ 1,845 $ 4,883,496
Undistributed long-term capital gain ............... 9,463,422 -- 618,624
Capital loss carryforwards ......................... -- (1,113) --
Post-October capital loss deferral ................. -- (61) (125,199)
Other temporary differences ........................ (51,247) -- (160,105)
As of December 31, 2005, the following series had available capital loss carryforwards to offset future realize
gains. Such losses expire as follows:
Global Government High Money
Total Return Securities Yield Market
Expiration Date Series(1) Series Series Series
- -------------------------------------------------------------------------------------------------------------
December 31, 2006 .................................. $ -- $ -- $(5,499,919) $ --
December 31, 2007 .................................. -- -- (6,145,967) --
December 31, 2008 .................................. -- -- (6,617,797) --
December 31, 2009 .................................. (3,481,964) -- (37,568,488) (776)
December 31, 2010 .................................. (5,728,398) -- (46,740,625) --
December 31, 2011 .................................. -- (4,003,424) -- (271)
December 31, 2012 .................................. -- (3,805,608) -- (66)
December 31, 2013 .................................. -- (4,142,507) (5,089,839) --
---------- ---------- ---------- ----------
Total .............................................. $(9,210,362) $(11,951,539) $(107,662,635) $ (1,113)
=========== ============ ============= ==========
(1) The availability of a portion of these respective capital loss carryforwards, which were acquired on September 5, 2003,
in connection with the Global Asset Allocation Fund acquisition, may be limited in a given year.
Multiple Classes of Shares of Beneficial Interest - Each series offers
multiple classes of shares, which differ in their respective distribution
fees. All shareholders bear the common expenses of the series based on daily
net assets of each class, without distinction between share classes. Dividends
are declared separately for each class. Differences in per share dividend
rates are generally due to differences in separate class expenses.
(3) TRANSACTIONS WITH AFFILIATES
Investment Adviser - Each series has an investment advisory agreement with MFS
to provide overall investment advisory and administrative services, and
general office facilities.
The management fee is computed daily and paid monthly at an annual rate based
on a percentage of each series' average daily net assets
as follows:
Bond Series: The management fee is 0.60% of average daily net assets.
Emerging Markets Equity Series: The management fee is 1.05% of the first $500
million of average daily net assets and 1.00% of average daily net assets in
excess of $500 million.
Global Governments Series: The management fee is 0.75% of the first $300
million of average daily net assets and 0.675% of average daily net assets in
excess of $300 million.
Global Total Return Series: The management fee is 0.75% of the first $300
million of average daily net assets and 0.675% of average daily net assets in
excess of $300 million.
Government Securities Series: Prior to September 1, 2005 the management fee
was 0.55% of the series' average daily net assets. Effective September 1,
2005, the management fee is 0.55% of the first $1 billion of average daily net
assets and 0.50% of average daily net assets in excess of $1 billion.
High Yield Series: The management fee is 0.75% of average daily net assets.
The investment adviser has contractually agreed to waive its fee to 0.70% of
average daily net assets in excess of $1 billion. This reduction of the
management fee may be rescinded by MFS only with the approval of the series'
Board of Trustees.
International Value Series: The management fee is 0.90% of the first $1
billion of average daily net assets, 0.80% of the next $1 billion of average
daily net assets and 0.70% of average daily net assets in excess of $2
billion.
Money Market Series: The management fee is 0.50% of average daily net assets.
The investment adviser has contractually agreed to waive its fee to 0.45% of
average daily net assets in excess of $500 million. This reduction of the
management fee may be rescinded by MFS only with the approval of the series'
Board of Trustees.
Strategic Income Series: Prior to September 1, 2005 the management fee was
0.75% of the series' average daily net assets. Effective September 1, 2005, the
management fee is 0.75% of the first $1 billion of average daily net assets and
0.65% of average daily net assets in excess of $1 billion. The investment
adviser has contractually agreed to waive its fee to 0.65% of average daily net
assets in excess of $500 million for the period September 1, 2005, through
April 30, 2007. This reduction of the management fee may be rescinded by MFS
only with the approval of the series' Board of Trustees.
The investment adviser has agreed to pay a portion of certain series' total
operating expenses, exclusive of certain fees and expenses, such that the
operating expenses of these series do not exceed the expense limitations
indicated below, based on the average daily net assets of such series. For the
year ended December 31, 2005, this agreement is reflected as a reduction of
total expenses in the Statements of Operations for these series.
The management fees and expense limitations incurred for the year ended
December 31, 2005 were equivalent to an annual effective rate of each series'
average daily net assets as follows:
Effective Initial Class Service Class
Management Expense Expense
Fee Limitations Limitations
- ------------------------------------------------------------------------------
Bond Series ...................... 0.60% N/A N/A
Emerging Markets Equity Series ... 1.05% N/A N/A
Global Governments Series ........ 0.75% 1.00%(a) 1.25%(a)
Global Total Return Series ....... 0.75% N/A N/A
Government Securities Series ..... 0.55% 1.00% 1.25%
High Yield Series ................ 0.75% 1.00% 1.25%
International Value Series ....... 0.90% N/A N/A
Money Market Series .............. 0.50% 0.60%(a) 0.85%(a)
Strategic Income Series .......... 0.75% N/A N/A
(a) For Global Governments Series and Money Market Series, the expense
reduction was $19,764 and $2,087, respectively.
Distributor - MFS Fund Distributors, Inc. (MFD), a wholly owned subsidiary of
MFS, is the distributor of shares of the series. The Trustees have adopted a
distribution plan for the Service Class shares pursuant to Rule 12b-1 under
the Investment Company Act of 1940.
The series' distribution plan provides that each series will pay MFD
distribution fees equal to 0.25% per annum of its average daily net assets
attributable to Service Class shares as partial consideration for services
performed and expenses incurred by MFD and financial intermediaries in
connection with the sale and distribution of the series' Service Class shares
and the sale and distribution of the variable annuity or variable life
insurance contracts investing indirectly in Service Class shares. MFD may
subsequently pay all, or a portion, of the distribution fees to financial
intermediaries.
Administrator - MFS provides certain financial, legal, shareholder
communications, compliance, and other administrative services to each series
and certain other MFS funds (the funds) for which MFS acts as investment
adviser. Under an administrative services agreement, the funds may partially
reimburse MFS the costs incurred to provide these services, subject to review
and approval by the Board of Trustees. Each fund is allocated a portion of
these administrative costs based on its size and relative average net assets.
The administrative services fee incurred for the year ended December 31, 2005
was equivalent to an annual effective rate of each series' average daily net
assets as follows:
% of Average
Daily Net Assets
- -------------------------------------------------------------------
Bond Series ....................................... 0.0176%
Emerging Markets Equity Series .................... 0.0178%
Global Governments Series ......................... 0.0175%
Global Total Return Series ........................ 0.0177%
Government Securities Series ...................... 0.0176%
High Yield Series ................................. 0.0175%
International Value Series ........................ 0.0178%
Money Market Series ............................... 0.0170%
Strategic Income Series ........................... 0.0176%
Trustees' and Officers' Compensation - Each series pays compensation to
Independent Trustees in the form of a retainer, attendance fees, and
additional compensation to the Board chairperson. Each series does not pay
compensation directly to Trustees who are officers of the investment adviser,
or to officers of the series, all of whom receive remuneration for their
services to the series from MFS. Certain officers and Trustees of the series
are officers or directors of MFS, MFD, and MFS Service Center, Inc. (MFSC).
Other - The funds have entered into a services agreement (the Agreement) which
provides for payment of fees by the funds to Tarantino LLC in return for the
provision of services of an Independent Chief Compliance Officer (ICCO) for the
funds. The ICCO is an officer of the funds and the sole member of Tarantino
LLC. MFS has agreed to bear all expenses associated with office space, other
administrative support, and supplies provided to the ICCO. The funds can
terminate the Agreement with Tarantino LLC at any time under the terms of the
Agreement. For the year ended December 31, 2005, payments made by the series to
Tarantino LLC amounted to the following and are included in miscellaneous
expense in the Statements of Operations:
ICCO Fee
- ----------------------------------------------------------------
Bond Series ............................................ $1,096
Emerging Markets Equity Series ......................... 353
Global Governments Series .............................. 293
Global Total Return Series ............................. 864
Government Securities Series ........................... 3,305
High Yield Series ...................................... 1,860
International Value Series ............................. 512
Money Market Series .................................... 1,777
Strategic Income Series ................................ 415
The International Value Series' and Global Total Return Series' investment
adviser, MFS, has been the subject of an administrative proceeding regarding
disclosure of brokerage allocation practices in connection with fund sales. As
a result, proceeds in the amount of $942 and $2,205, respectively, were
accrued on July 28, 2004 and paid to each series on February 16, 2005.
(4) PORTFOLIO SECURITIES
Purchases and sales of investments, other than purchased option transactions
and short-term obligations, were as follows:
Emerging Global
Bond MarketsEquity Governments Global Total
Series Series Series Return Series
- -----------------------------------------------------------------------------------------------------------------
Purchases
U.S. government securities ......................... $42,916,486 $ -- $23,749,135 $27,848,020
Investments (non-U.S. government securities) ....... $71,526,658 $74,620,126 $48,900,411 $106,178,305
Sales
U.S. government securities ......................... $36,975,928 $ -- $22,841,793 $26,587,591
Investments (non-U.S. government securities) ....... $86,059,851 $69,013,592 $61,605,084 $116,429,638
Government
Securities High Yield International Strategic
Series Series Value Series Income Series
- ----------------------------------------------------------------------------------------------------------------
Purchases
U.S. government securities ......................... $491,310,988 $ -- $ -- $7,128,522
Investments (non-U.S. government securities) ....... $11,893,864 $192,875,466 $60,488,683 $47,785,303
Sales
U.S. government securities ......................... $508,439,682 $ -- $ -- $5,484,211
Investments (non-U.S. government securities) ....... $9,012,944 $234,195,819 $47,599,276 $50,937,312
Purchases and sales of investments for the Money Market Series, which consist solely of short-term obligations, amounted
to $5,430,368,400 and $5,475,747,400, respectively, excluding repurchase agreements.
(5) SHARES OF BENEFICIAL INTEREST
The series' Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial
interest. Transactions in series shares were as follows:
Bond Series Emerging Markets Equity Series
------------------------------------------------- ---------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
December 31, 2005 December 31, 2004 December 31, 2005 December 31, 2004
----------------------- ------------------------ ------------------------- ------------------------------
Initial Class Shares Amount Shares Amount Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold 532,824 $ 6,159,640 5,071,162 $ 61,086,732 750,581 $ 13,792,728 3,317,958 $ 45,643,027
Shares issued to
shareholders in
reinvestment of
distributions 1,078,209 12,054,378 1,205,629 13,623,611 41,967 691,621 41,395 506,672
Shares reacquired (2,532,487) (29,446,090) (8,878,390) (106,999,719) (576,657) (10,304,020) (3,422,783) (46,843,179)
---------- ------------ ---------- ------------- --------- ------------ ---------- ------------
Net change (921,454) $(11,232,072) (2,601,599) $ (32,289,376) 215,891 $ 4,180,329 (63,430) $ (693,480)
========== ============ ========== ============= ========= ============ ========== ============
Year Ended Year Ended Year Ended Year Ended
December 31, 2005 December 31, 2004 December 31, 2005 December 31, 2004
----------------------- ------------------------ ------------------------- ------------------------------
Service Class Shares Amount Shares Amount Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold ........ 709,728 $ 8,260,306 11,543,356 $ 138,961,201 162,593 $ 3,056,316 495,061 $ 6,772,071
Shares issued to
shareholders in
reinvestment of
distributions .... 511,780 5,696,112 465,808 5,240,338 4,191 68,782 3,824 46,618
Shares reacquired ..(627,154) (7,218,717) (11,276,829) (135,583,617) (81,283) (1,471,543) (495,573) (6,796,491)
---------- ------------ ---------- ------------- --------- ------------ ---------- ------------
Net change ....... 594,354 $ 6,737,701 732,335 $ 8,617,922 85,501 $ 1,653,555 3,312 $ 22,198
========== ============ ========== ============= ========= ============ ========== ============
Global Governments Series Global Total Return Series
------------------------------------------------- ---------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
December 31, 2005 December 31, 2004 December 31, 2005 December 31, 2004
----------------------- ------------------------ ------------------------- ------------------------------
Initial Class Shares Amount Shares Amount Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold ....... 338,069 $ 3,864,329 3,105,655 $ 37,822,314 617,589 $ 10,572,346 2,848,109 $ 46,670,802
Shares issued to
shareholders in
reinvestment of
distributions .. 575,169 6,298,096 726,417 7,801,714 1,081,368 17,247,815 257,636 3,877,428
Shares reacquired (1,233,242) (13,475,400) (4,045,789) (48,878,366) (1,292,942) (21,543,832) (3,818,141) (62,193,006)
---------- ------------ ---------- ------------- --------- ------------ ---------- ------------
Net change ...... (320,004) $(3,312,975) (213,717) $ (3,254,338) 406,015 $ 6,276,329 (712,396) $(11,644,776)
========== ============ ========== ============= ========= ============ ========== ============
Year Ended Year Ended Year Ended Year Ended
December 31, 2005 December 31, 2004 December 31, 2005 December 31, 2004
----------------------- ------------------------ ------------------------- ------------------------------
Service Class Shares Amount Shares Amount Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold ...... 86,041 $ 967,223 387,025 $ 4,673,245 220,372 $ 3,625,886 566,152 $ 9,254,717
Shares issued to
shareholders in
reinvestment of
distributions .. 46,301 504,221 56,770 606,872 94,772 1,505,929 19,704 295,362
Shares reacquired (109,455) (1,200,068) (468,575) (5,628,376) (112,149) (1,876,440) (512,982) (8,408,339)
---------- ------------ ---------- ------------- --------- ------------ ---------- ------------
Net change ....... 22,887 $ 271,376 (24,780) $ (348,259) 202,995 $ 3,255,375 72,874 $ 1,141,740
========== ============ ========== ============= ========= ============ ========== ============
Government Securities Series High Yield Series
------------------------------------------------- ----------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
December 31, 2005 December 31, 2004 December 31, 2005 December 31, 2004
----------------------- ------------------------ ------------------------- ------------------------------
Initial Class Shares Amount Shares Amount Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold ..... 1,930,095 $ 25,145,323 40,533,635 $ 535,793,081 2,797,916 $ 18,918,498 32,287,107 $230,054,193
Shares issued to
shareholders in
reinvestment of
distributions .. 1,730,845 21,947,118 2,469,358 30,916,358 3,668,551 23,882,264 3,895,806 25,517,531
Shares reacquired (8,002,617) (103,478,662) (52,340,280) (691,733,093)(12,661,076) (88,241,247) (42,095,125 (299,588,726)
---------- ------------ ---------- ------------- ---------- ------------ ---------- ------------
Net change ...... (4,341,677) $(56,386,221) (9,337,287) $(125,023,654) (6,194,609) $(45,440,485) (5,912,212) $(44,017,002)
========== ============ ========== ============= ========= ============ ========== ============
Year Ended Year Ended Year Ended Year Ended
December 31, 2005 December 31, 2004 December 31, 2005 December 31, 2004
----------------------- ------------------------ ------------------------- ------------------------------
Service Class Shares Amount Shares Amount Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold ..... 3,834,346 $ 49,457,894 36,404,580 $ 478,360,783 5,365,903 $ 36,088,400 24,759,395 $175,223,437
Shares issued to
shareholders in
reinvestment of
distributions . 771,579 9,752,762 791,570 9,878,792 1,238,473 8,025,309 980,826 6,394,985
Shares reacquired (1,336,977) (17,288,700) (34,486,780) (453,189,018) (5,307,145) (36,840,397) (24,321,573) (172,225,545)
---------- ------------ ---------- ------------- ---------- ------------ ---------- ------------
Net change ...... 3,268,948 $ 41,921,956 2,709,370 $ 35,050,557 1,297,231 $ 7,273,312 1,418,648 $ 9,392,877
========== ============ ========== ============= ========= ============ ========== ============
International Value Series Money Market Series
------------------------------------------------ ----------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
December 31, 2005 December 31, 2004 December 31, 2005 December 31, 2004
---------------------- ------------------------ ------------------------- -------------------------
Initial Class Shares Amount Shares Amount Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------------
Shares sold ... 1,186,772 $ 18,986,115 2,841,851 $ 39,146,547 70,048,871 $ 70,048,871 240,019,262 $240,019,262
Shares issued to
shareholders in
reinvestment of
distributions ... 197,356 2,997,834 40,749 505,289 6,992,613 6,992,613 2,750,581 2,750,581
Shares reacquired (602,285) (9,717,718) (2,410,210) (33,083,568) (117,952,563) (117,952,563) (386,329,180) (386,329,180)
---------- ------------ ---------- ------------- ----------- ------------ ----------- ------------
Net change ......... 781,843 $ 12,266,231 472,390 $ 6,568,268 (4,911,079) $(40,911,079) (143,559,337) (143,559,337)
========== ============ ========== ============= =========== ============ =========== ============
Year Ended Year Ended Year Ended Year Ended
December 31, 2005 December 31, 2004 December 31, 2005 December 31, 2004
----------------------- ------------------------ ------------------------- -------------------------
Service Class Shares Amount Shares Amount Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------------
Shares sold ........ 244,374 $ 3,868,563 $ 489,087 $ 6,684,295 77,065,752 $ 77,065,752 242,738,366 $242,738,366
Shares issued to
shareholders in
reinvestment of
distributions .... 15,861 240,465 3,037 37,595 2,668,342 2,668,342 525,349 525,349
Shares reacquired .. (63,452) (1,022,209) (433,613) (5,915,376)(44,286,909) (44,286,909) (204,858,753) (204,858,753)
---------- ------------ ---------- ------------- ---------- ------------ ----------- -----------
Net change ........ 196,783 $ 3,086,819 58,511 $ 806,514 35,447,185 $ 35,447,185 38,404,962 $38,404,962
========== ============ ========== ============= ========== ============ ========== ===========
Strategic Income Series
------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
--------------------------- ----------------------------
Initial Class Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold ..................................... 333,858 $ 3,671,323 3,253,893 $ 36,025,626
Shares issued to
shareholders in
reinvestment of
distributions ................................... 486,255 5,066,781 305,783 3,174,021
Shares reacquired ............................... (1,044,745) (11,344,741) (3,836,156) (42,429,005)
------------ ------------ ------------ ------------
Net change ...................................... (224,632) $ (2,606,637) (276,480) $ (3,229,358)
============ ============ ============ ============
Year Ended Year Ended
December 31, 2005 December 31, 2004
--------------------------- ----------------------------
Service Class Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold ..................................... 216,627 $ 2,349,211 2,607,127 $ 28,789,259
Shares issued to
shareholders in
reinvestment of
distributions ................................... 169,761 1,760,417 135,833 1,403,154
Shares reacquired ............................... (389,034) (4,247,126) (2,511,605) (27,208,187)
------------ ------------ ------------ ------------
Net change ...................................... (2,646) $ (137,498) 231,355 $ 2,984,226
============ ============ ============ ============
(6) LINE OF CREDIT
Each series and other affiliated funds participate in a $1 billion unsecured
line of credit provided by a syndication of banks under a credit agreement.
Borrowings may be made for temporary financing needs. Interest is charged to
each fund, based on its borrowings, at a rate equal to the Federal Reserve
funds rate plus 0.35%. In addition, a commitment fee, based on the average
daily, unused portion of the line of credit, is allocated among the
participating funds at the end of each calendar quarter. The commitment fee
allocated to each series for the year ended December 31, 2005 is included in
miscellaneous expense on the Statements of Operations and is as follows for
each series:
Commitment Fee
- -------------------------------------------------------------------
Bond Series ........................................ $1,460
Emerging Markets Equity Series ..................... 497
Global Governments Series .......................... 390
Global Total Return Series ......................... 1,176
Government Securities Series........................ 4,134
High Yield Series .................................. 2,274
International Value Series ......................... 726
Money Market Series ................................ 2,357
Strategic Income Series ............................ 555
None of the series had any significant borrowings during the year ended
December 31, 2005.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and the Shareholders of MFS/Sun Life Series Trust:
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments, of MFS/Sun Life Series Trust (the
"Trust"), comprising Bond Series, Emerging Markets Equity Series, Global
Governments Series, Global Total Return Series, Government Securities Series,
High Yield Series, International Value Series, Money Market Series and
Strategic Income Series as of December 31, 2005, and the related statements of
operations for the year then ended, the statements of changes in net assets
for each of the two years in the period then ended, and the financial
highlights for each of the five years in the period then ended. These
financial statements and financial highlights are the responsibility of the
Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. The Trust is not required to have, nor were we engaged to
perform, an audit of its internal control over financial reporting. Our audits
included consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the
Trust's internal control over financial reporting. Accordingly, we express no
such opinion. An audit also includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
as well as evaluating the overall financial statement presentation. Our
procedures included confirmation of securities owned as of December 31, 2005,
by correspondence with the custodian and brokers; where replies were not
received from brokers, we performed other auditing procedures. We believe that
our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial positions of Bond Series,
Emerging Markets Equity Series, Global Governments Series, Global Total Return
Series, Government Securities Series, High Yield Series, International Value
Series, Money Market Series and Strategic Income Series as of December 31,
2005, the results of their operations for the year then ended, the changes in
their net assets for each of the two years in the period then ended, and their
financial highlights for each of the five years in the period then ended, in
conformity with accounting principles generally accepted in the United States
of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 23, 2006
MFS/SUN LIFE SERIES TRUST
TRUSTEES AND OFFICERS -- IDENTIFICATION AND BACKGROUND
The Trustees and officers of the Trust, as of February 1, 2006, are listed below, together with their principal occupations
during the past five years. (Their titles may have varied during that period.) The address of each Trustee and officer is 500
Boylston Street, Boston, Massachusetts 02116.
- -----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
OCCUPATIONS DURING THE PAST
POSITION(s) HELD TRUSTEE/OFFICER FIVE YEARS AND OTHER
NAME, DATE OF BIRTH WITH FUND SINCE(1) DIRECTORSHIPS(2)
- -----------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES
- -----------------------------------------------------------------------------------------------------------------------------------
C. James Prieur(3) Trustee July 1999 Sun Life Assurance Company of Canada, President
(born 04/21/51) and Chief Operating Officer
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
David D. Horn(3) Trustee April 1986 Private investor; Retired; Sun Life Assurance
(born 06/07/41) Company of Canada, Former Senior Vice President
and General Manager for the United States
(until 1997)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
- -----------------------------------------------------------------------------------------------------------------------------------
J. Kermit Birchfield Chairman May 1997 Consultant; Century Partners, Inc. (investments),
(born 01/08/40) Managing Director; Displaytech, Inc. (manufacturer
of liquid crystal display technology), Director
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Robert C. Bishop Trustee May 2001 AutoImmune Inc. (pharmaceutical product
(born 01/13/43) development), Chairman, President and Chief
Executive Officer; Caliper Life Sciences Corp.
(laboratory analytical instruments), Director;
Millipore Corporation (purification/filtration
products), Director; Quintiles Transnational Corp.
(contract services to the medical industry),
Director
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Frederick H. Dulles Trustee May 2001 Ten State Street LLP (law firm),
(born 03/12/42) Partner; McFadden, Pilkington & Ward LLP
(solicitors and registered foreign
lawyers), Partner (until June 2003);
Jackson & Nash, LLP (law firm), Of
Counsel (January 2000 to November 2000)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Marcia A. Kean Trustee April 2005 Feinstein Kean Healthcare (consulting), Chief
(born 06/30/48) Executive Officer (since December 2002),
Managing Director (January 1991 until May
2001); Ardais Corporation (biotech products),
Senior Vice President - Commercialization
(February 2002 until 2002)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Ronald G. Steinhart Trustee May 2001 Private investor; Bank One, Texas N.A., Vice
(born 06/15/40) Chairman and Director (January 2000 to January
2001); Bank One Corporation, Officer (until
January 2000); Carreker Corporation (consultant
and technology provider to financial
institutions), Director; Prentiss Properties
Trust (real estate investment trust), Director
(until January 2006); United Auto Group, Inc.
(automotive retailer), Director
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Haviland Wright Trustee May 2001 Hawaii Small Business Development Center,
(born 07/21/48) Kaua'l Center, Center Director (since March
2002); Displaytech, Inc. (manufacturer of
liquid crystal display technology), Chairman
and Chief Executive Officer 2002)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
TRUSTEE EMERITUS
- -----------------------------------------------------------------------------------------------------------------------------------
Samuel Adams Trustee Emeritus Retired
(born 10/19/25)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
OFFICERS
- -----------------------------------------------------------------------------------------------------------------------------------
Maria F. Dwyer(4) President November 2005 Massachusetts Financial Services Company,
(born 12/01/58) Executive Vice President and Chief Regulatory
Officer (since March 2004); Fidelity Management
& Research Company, Vice President (prior to
March 2004); Fidelity Group of Funds, President
and Treasurer (prior to March 2004)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Tracy Atkinson(4) Treasurer September 2005 Massachusetts Financial Services Company,
(born 12/30/64) Senior Vice President (since September 2004);
PricewaterhouseCoopers LLP, Partner (prior to
September 2004)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Christopher R. Bohane(4) Assistant Secretary July 2005 Massachusetts Financial Services Company, Vice
(born 01/18/74) and Assistant Clerk President and Senior Counsel (since April
2003); Kirkpatrick & Lockhart LLP (law firm),
Associate (prior to April 2003); Nvest Services
Company, Assistant 2001)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Ethan D. Corey(4) Assistant Secretary July 2005 Massachusetts Financial Services Company,
(born 11/21/63) and Assistant Clerk Special Counsel (since December 2004); Dechert
LLP (law firm), Counsel (prior to December
2004)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
David L. DiLorenzo(4) Assistant Treasurer July 2005 Massachusetts Financial Services Company, Vice
(born 08/10/68) President (since June 2005); JP Morgan Investor
Services, Vice President (January 2001 to June
2005); State Street Bank, Vice President and
Corporate Audit Manager (prior to January 2001)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Timothy M. Fagan(4) Assistant Secretary September 2005 Massachusetts Financial Services Company, Vice
(born 07/10/68) and Assistant Clerk President and Senior Counsel (since September
2005); John Hancock Advisers, LLC, Vice
President and Chief Compliance Officer
(September 2004 to August 2005) Senior Attorney
(prior to September 2004); John Hancock Group
of Funds, Vice President and Chief Compliance
Officer (September 2004 to December 2004)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Mark D. Fischer(4) Assistant Treasurer July 2005 Massachusetts Financial Services Company, Vice
(born 10/27/70) President (since May 2005); JP Morgan
Investment Management Company, Vice President
(prior to May 2005)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Brian T. Hourihan(4) Assistant Secretary September 2004 Massachusetts Financial Services Company, Vice
(born 11/11/64) and Assistant Clerk President, Senior Counsel and Assistant
Secretary (since June 2004); Affiliated
Managers Group, Inc., Chief Legal
Officer/Centralized Compliance Program (January
to April 2004); Fidelity Research & Management
Company, Assistant General Counsel (prior to
January 2004)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Ellen Moynihan(4) Assistant Treasurer May 1997 Massachusetts Financial Services President
(born 11/13/57)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Susan S. Newton(4) Assistant Secretary May 2005 Massachusetts Financial Services Company,
(born 03/07/50) and Assistant Clerk Senior Vice President and Assistant General
Counsel (since April 2005); John Hancock
Advisers, LLC, Senior Vice President, Secretary
and Chief Legal Officer (prior to April 2005);
John Hancock Group of Funds, Senior Vice
President, Secretary and Chief Legal Officer
(prior to April 2005)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Susan A. Pereira(4) Assistant Secretary July 2005 Massachusetts Financial Services Company, Vice
(born 11/05/70) and Assistant Clerk President and Senior Counsel (since June 2004);
Bingham McCutchen LLP (law firm), Associate
(January 2001 to June 2004); Preti, Flaherty,
Beliveau, Pachios & Haley, LLC, Associate
(prior to January 2001)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Frank L. Tarantino Independent Chief September 2004 Tarantino LLC (provider of compliance
(born 03/07/44) Compliance Officer services), Principal (since June 2004); CRA
Business Strategies Group (consulting
services), Executive Vice President (April 2003
to June 2004); David L. Babson & Co.
(investment adviser), Managing Director, Chief
Administrative Officer and Director (February
1997 to March 2003)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
James O. Yost(4) Assistant Treasurer April 1992 Massachusetts Financial Services President
(born 06/12/60)
- -----------------------------------------------------------------------------------------------------------------------------------
- --------------------------
(1) Date first appointed to serve as Trustee/Officer of a MFS/Sun Life Product. Each Trustee has served continuously since
appointment.
(2) Directorships or trusteeships of companies required to report to the Securities and Exchange Commission (i.e., "public
companies").
(3) "Interested person" of the Sun Life of Canada (U.S.), within the meaning of the Investment Company Act of 1940 (referred
to as the 1940 Act), which is the principal federal law governing investment companies like the Series. The address of
Sun Life of Canada (U.S.) is One Sun Life Executive Park, Wellesley Hills, Massachusetts 02481.
(4) "Interested person" of MFS within the meaning of the 1940 Act. The address of MFS is 500 Boylston Street, Boston,
Massachusetts 02116.
The Series do not hold annual meetings for the purpose of electing Trustees, and Trustees are not elected for fixed terms. Each
Trustee and officer holds office until his or her successor is chosen and qualified, or until his or her earlier death,
resignation, retirement or removal.
All Trustees currently serve as Trustees of the Series and have served in that capacity since originally elected or appointed.
All of the Trustees are also Managers of the Compass Variable Accounts. The executive officers of the MFS Sun Life Series Trust
hold similar offices for the Compass Variable Accounts and other funds in the MFS fund complex. Each Trustee serves as a
Trustee or Manager of 34 Accounts/Series.
The Statement of Additional Information contains further information about the Trustees and is available without charge upon
request by calling 1-800-752-7215.
BOARD REVIEW OF INVESTMENT ADVISORY AGREEMENTS
The Investment Company Act of 1940 requires that both the full Board of Trustees
and a majority of the non-interested ("independent") Trustees, voting
separately, annually approve the continuation of the Trust's investment advisory
agreements with Massachusetts Financial Services Company (MFS) on behalf of the
Series. The Trustees consider matters bearing on the Series and their advisory
arrangements at their meetings throughout the year, including a review of
performance data at each regular meeting. In addition, the independent Trustees
met several times over the course of three months beginning in May and ending in
July 2005 ("contract review meetings") for the specific purpose of considering
whether to approve the continuation of the investment advisory agreements for
the Series. The independent Trustees were assisted in their evaluation of the
investment advisory agreements by independent legal counsel, from whom they
received separate legal advice and with whom they met separately from MFS
management during various contract review meetings. The independent Trustees
were also assisted in this process by the Series' Independent Chief Compliance
Officer, a full-time senior officer appointed by and reporting to the
independent Trustees.
In connection with their deliberations, the Trustees, including the independent
Trustees, considered such information and factors as they believed, in light of
the legal advice furnished to them and their own business judgment, to be
relevant. The investment advisory agreements were considered separately for each
Series, although the Trustees also took into account the common interests of all
Series in their review. As described below, the Trustees considered the nature,
quality, and extent of the various investment advisory, administrative, and
shareholder services performed by MFS under the existing investment advisory
agreements and other arrangements with the Trust.
In connection with their contract review meetings, the Trustees received and
relied upon materials which included, among other items: (i) information
provided by Lipper Inc. on the investment performance of each Series for various
time periods ended December 31, 2004, compared to the investment performance of
a group of funds with substantially similar investment
classifications/objectives (the "Lipper performance universe"), as well as the
investment performance of a group of funds identified by objective criteria
suggested by MFS ("peer funds"), (ii) information provided by Lipper Inc. on
each Series' advisory fees and other expenses compared to the advisory fees and
other expenses of comparable funds identified by Lipper (the "Lipper expense
group"), as well as the advisory fees and other expenses of peer funds
identified by objective criteria suggested by MFS, (iii) information provided by
MFS on the advisory fees of comparable portfolios of its other clients,
including institutional separate account and other clients, (iv) information as
to whether, and to what extent applicable, expense waivers, reimbursements or
fee "breakpoints" are observed for a Series, (v) information regarding MFS'
financial results and financial condition, including MFS' and certain of its
affiliates' estimated profitability from services performed for the Series, (vi)
MFS' views regarding the outlook for the mutual fund industry and its strategic
business plans, (vii) descriptions of various functions performed by MFS for the
Trust, such as compliance monitoring and portfolio trading practices, and (viii)
information regarding the overall organization of MFS, including information
about MFS' senior management and other personnel providing investment advisory,
administrative and other services to the Series. The comparative performance,
fee and expense information prepared and provided by Lipper Inc. was not
independently verified, and the independent Trustees did not independently
verify any information provided to them by MFS.
The Trustees' conclusion as to the continuation of the investment advisory
agreements was based on comprehensive consideration of all information provided
to the Trustees and not the result of any single factor. Some of the factors
that figured particularly in the Trustees' deliberations are described below for
each Series, while individual Trustees may have given different weight to
various factors and evaluated the information presented as a whole differently
than another Trustee. The Trustees recognized that the fee arrangements for the
Series reflect years of review and discussion between the independent Trustees
and MFS, that certain aspects of such arrangements may receive greater scrutiny
in some years than others, and that the Trustees' conclusions may be based, in
part, on their consideration of these same arrangements during the course of the
year and in prior years.
Based on information provided by Lipper Inc. and MFS, the Trustees compared each
Series' total return investment performance to the performance of peer groups of
funds over various time periods. The Trustees placed particular emphasis on the
total return performance of each Series' Initial Class shares in comparison to
the performance of funds in its Lipper performance universe over the one-,
three- and five-year periods. The Trustees did not rely on performance results
for more recent periods, including those shown elsewhere in this report.
In the course of their deliberations, the Trustees took into account information
provided by MFS during contract review meetings, as well as during investment
review meetings conducted with portfolio management personnel during the course
of the year. For Series whose performance lagged their peer groups, they
discussed MFS' efforts to improve such Series' performance. After reviewing this
information, the Trustees concluded, within the context of their overall
conclusions regarding the investment advisory agreements, that they were
satisfied with MFS' responses and efforts relating to investment performance.
In assessing the reasonableness of each Series' advisory fee, the Trustees
considered, among other information, each Series' advisory fee and the total
expense ratio of the Series' Initial Class shares as a percentage of average net
assets, compared to the advisory fee and total expense ratios of peer groups of
funds based on information provided by Lipper Inc. and MFS. The Trustees also
considered the advisory fees charged by MFS to institutional accounts. In
comparing these fees, the Trustees considered the generally broader scope of
services provided by MFS to the Trust than those provided to institutional
accounts. The Trustees also considered the higher demands placed on MFS'
investment personnel and trading infrastructure as a result of the daily cash
in-flows and out-flows of the Series, and the impact on MFS and related expenses
due to the more extensive regulatory regime to which the Series are subject,
compared to institutional accounts.
The Trustees also considered whether a Series is likely to benefit from any
economies of scale due to future asset growth. In this regard, the Trustees
reviewed the adequacy of breakpoints, and considered if breakpoints should be
implemented for any Series that did not have them.
The Trustees also considered information prepared by MFS relating to its costs
and profits with respect to the Series and other investment companies and
accounts advised by MFS, as well as MFS' methodologies used to determine and
allocate its costs to the Series and other accounts and products for purposes of
estimating profitability.
After reviewing these and other factors described below, the Trustees concluded
that the advisory fees charged to the Series represent reasonable compensation
in light of the nature and quality of the services being provided by MFS.
In addition, the Trustees considered MFS' resources and related efforts to
continue to retain, attract and motivate capable personnel to serve the Series.
The Trustees also considered the financial resources of MFS and its affiliation
with Sun Life Financial Inc. The Trustees further considered any advantages and
possible disadvantages of having an adviser which also serves other investment
companies as well as institutional accounts.
The Trustees also considered the nature, quality, cost, and extent of
administrative, transfer agency, and distribution services provided to the
Series by MFS and its affiliates under agreements and plans other than the
investment advisory agreements, including the 12b-1 fees the Series pay to MFS
Fund Distributors, Inc., an affiliate of MFS. The Trustees also considered the
nature, extent and quality of certain other services MFS performs or arranges on
the Series' behalf, including securities lending programs, directed expense
payment programs, class action recovery programs, and MFS' interaction with
third-party service providers, principally custodians and sub-custodians. The
Trustees concluded that the various non-advisory services provided by MFS and
its affiliates on behalf of the Series were satisfactory. The Trustees also
considered the benefits to MFS from the use of the Series' portfolio brokerage
commissions to pay for research and other similar services (including MFS'
current policy not to use "soft dollars" generated by Series portfolio
transactions to pay for third-party research), and various other factors.
Additionally, the Trustees considered so-called "fall-out benefits" to MFS such
as reputational value derived from serving as investment manager to the Trust,
and determined that any such benefits derived by MFS were reasonable and fair.
Based on their evaluation of factors that they deemed to be material,
including those factors described above, and the individual Series factors
noted below, the Board of Trustees, including a majority of the independent
Trustees, concluded that the investment advisory agreements should be
continued for an additional one-year period, commencing September 1, 2005.
BOND SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 10th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the best
performers and the 100th percentile being the worst performers). The total
return performance of the Series was in the 12th percentile for the three-year
period and the 11th percentile for the five-year period ended December 31, 2004,
relative to the Lipper performance universe. Based on the nature and quality of
services provided by MFS, the Board of Trustees concluded that the Series'
performance was satisfactory.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate was higher than, and total expense ratio was
approximately at, the median of such fees and expenses of funds in the Lipper
expense group. They further noted that the Series' advisory fee rate schedule is
not currently subject to any breakpoints. In light of the relatively small size
of the Series, the Trustees concluded the fees were satisfactory without
implementing breakpoints.
EMERGING MARKETS EQUITY SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 18th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the best
performers and the 100th percentile being the worst performers). The total
return performance of the Series was in the 28th percentile for the three-year
period and the 11th percentile for the five-year period ended December 31, 2004,
relative to the Lipper performance universe. Based on the nature and quality of
services provided by MFS, the Board of Trustees concluded that the Series'
performance was satisfactory.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate was approximately at, and total expense
ratio was lower than, the median of such fees and expenses of funds in the
Lipper expense group. The Trustees further concluded that the existing
breakpoints were sufficient to allow the Series to benefit from economies of
scale as its assets grow. The Trustees concluded that the fees were reasonable
in light of the nature and quality of services provided.
GLOBAL GOVERNMENTS SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 38th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the best
performers and the 100th percentile being the worst performers). The total
return performance of the Series was in the 35th percentile for the three-year
and five-year periods ended December 31, 2004, relative to the Lipper
performance universe. Based on the nature and quality of services provided by
MFS, the Board of Trustees concluded that the Series' performance was
satisfactory.
In considering the fees, the Trustees noted that MFS currently observes a
voluntary expense limitation for the Series, which may not be changed without
the Trustees' approval. The Trustees noted from the Lipper data that the Series'
effective advisory fee rate and total expense ratio were each approximately at
the median of such fees and expenses of funds in the Lipper expense group. The
Trustees further concluded that the existing breakpoints were sufficient to
allow the Series to benefit from economies of scale as its assets grow. The
Trustees concluded that the fees were reasonable in light of the nature and
quality of services provided.
GLOBAL TOTAL RETURN SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 7th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the best
performers and the 100th percentile being the worst performers). The total
return performance of the Series was in the 24th percentile for the three-year
period and the 10th percentile for the five-year period ended December 31, 2004,
relative to the Lipper performance universe. Based on the nature and quality of
services provided by MFS, the Board of Trustees concluded that the Series'
performance was satisfactory.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate and total expense ratio were each lower
than the median of such fees and expenses of funds in the Lipper expense
group. The Trustees further concluded that the existing breakpoints were
sufficient to allow the Series to benefit from economies of scale as its
assets grow. The Trustees concluded that the fees were reasonable in light of
the nature and quality of services provided.
GOVERNMENT SECURITIES SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 39th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the
best performers and the 100th percentile being the worst performers). The
total return performance of the Series was in the 45th percentile for the
three-year period and the 36th percentile for the five-year period ended
December 31, 2004, relative to the Lipper performance universe. Based on the
nature and quality of services provided by MFS, the Board of Trustees
concluded that the Series' performance was satisfactory.
In considering the fees, the Trustees noted that MFS currently observes a
voluntary expense limitation for the Series, which may not be changed without
the Trustees' approval. The Trustees noted from the Lipper data that the
Series' effective advisory fee rate and total expense ratio were each
approximately at the median of such fees and expenses of funds in the Lipper
expense group. They further noted that the Series' advisory fee rate schedule
is not currently subject to any breakpoints. Based on these considerations, at
the request of the Trustees, MFS agreed to implement an advisory fee
contractual breakpoint to reduce the Series' annual advisory fee rate by 0.05%
on net assets over $1 billion, which took
effect on September 1, 2005. The Trustees concluded that the fees were
reasonable in light of the nature and quality of services provided.
HIGH YIELD SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 54th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the
best performers and the 100th percentile being the worst performers). The
total return performance of the Series was in the 43rd percentile for the
three-year period and the 48th percentile for the five-year period ended
December 31, 2004, relative to the Lipper performance universe. Based on the
nature and quality of services provided by MFS, the Board of Trustees
concluded that the Series' performance was satisfactory. In considering
performance, the Trustees noted the change in portfolio management
responsibilities in 2004 and enhancements to the investment process.
In considering the fees, the Trustees noted that MFS currently observes a
voluntary expense limitation for the Series, which may not be changed without
the Trustees' approval. The Trustees noted from the Lipper data that the
Series' effective advisory fee rate and total expense ratio were each higher
than the median of such fees and expenses of funds in the Lipper expense
group. The Trustees also concluded that the existing breakpoints were
sufficient to allow the Series to benefit from economies of scale as its
assets grow. The Trustees concluded that the fees were reasonable in light of
the nature and quality of services provided.
INTERNATIONAL VALUE SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 2nd percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the
best performers and the 100th percentile being the worst performers). The
total return performance of the Series was in the 8th percentile for the
three-year period and the 7th percentile for the five-year period ended
December 31, 2004, relative to the Lipper performance universe. Based on the
nature and quality of services provided by MFS, the Board of Trustees
concluded that the Series' performance was satisfactory.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate was higher than, and the total expense
ratio was approximately at, the median of such fees and expenses of funds in
the Lipper expense group. The Trustees further concluded that the existing
breakpoints were sufficient to allow the Series to benefit from economies of
scale as its assets grow. The Trustees concluded that the fees were reasonable
in light of the nature and quality of services provided.
MONEY MARKET SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 53rd percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the
best performers and the 100th percentile being the worst performers). The
total return performance of the Series was in the 58th percentile for the
three-year period and the 59th percentile for the five-year period ended
December 31, 2004, relative to the Lipper performance universe. In considering
performance, the Trustees noted the management team's conservative investment
strategy and the narrow dispersion of returns in the Lipper category. Based on
the nature and quality of services provided by MFS, the Board of Trustees
concluded that the Series' performance was satisfactory.
In considering the fees, the Trustees noted that MFS currently observes a
voluntary expense limitation for the Series, which may not be changed without
the Trustees' approval. The Trustees noted from the Lipper data that the
Series' effective advisory fee rate and total expense ratio were each higher
than the median of such fees and expenses of funds in the Lipper expense
group. The Trustees also concluded that the existing breakpoints were
sufficient to allow the Series to benefit from economies of scale as its
assets grow. The Trustees concluded that the fees were reasonable in light of
the nature and quality of services provided.
STRATEGIC INCOME SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 40th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the
best performers and the 100th percentile being the worst performers). The
total return performance of the Series was in the 48th percentile for the
three-year period and the 68th percentile for the five-year period ended
December 31, 2004, relative to the Lipper performance universe. Based on the
nature and quality of services provided by MFS, the Board of Trustees
concluded that the Series' performance was satisfactory.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate and total expense ratio were each higher
than the median of such fees and expenses of funds in the Lipper expense
group. They further noted that the Series' advisory fee rate schedule is not
currently subject to any breakpoints. Based on these considerations, at the
request of the Trustees, MFS agreed to implement an advisory fee contractual
breakpoint to reduce the Series' annual advisory fee rate by 0.10% on net
assets over $1 billion, which took effect on September 1, 2005, and MFS
further agreed to voluntarily reduce the breakpoint to $500 million through
April 30, 2007. The Trustees concluded that the fees were reasonable in light
of the nature and quality of services provided.
A discussion regarding the Board's most recent review and renewal of the
Series' Investment Advisory Agreement with MFS is available by clicking on
"Sun Life Annuities" in the "Products and Performance" section of the MFS Web
site (mfs.com).
MFS/SUN LIFE SERIES TRUST
INVESTMENT ADVISER
Massachusetts Financial Services Company
500 Boylston Street, Boston, MA 02116-3741
CUSTODIAN AND DIVIDEND DISBURSING AGENT
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110-2875
PROXY VOTING POLICIES AND INFORMATION
A general description of the series' proxy voting policies and procedures is
available without charge, upon request, by calling 1-800-225-2606, by visiting
the Proxy Voting section of mfs.com or by visiting the SEC's Web site at
http://www.sec.gov.
Information regarding how each series voted proxies relating to portfolio
securities during the most recent twelve month period ended June 30 is
available without charge by visiting the Proxy Voting section of mfs.com or by
visiting the SEC's Web site at http://www.sec.gov.
QUARTERLY PORTFOLIO DISCLOSURE
Each series will file a complete schedule of portfolio holdings with the
Securities and Exchange Commission (the Commission) for the first and third
quarters of each fiscal year on Form N-Q. Each series' Form N-Q may be
reviewed and copied at the:
Public Reference Room
Securities and Exchange Commission
Washington, D.C. 20549-0102
Information on the operation of the Public Reference Room may be obtained by
calling the Commission at 1-800-SEC-0330. Each series' Form N-Q is available
on the EDGAR database on the Commission's Internet Web site at http://
www.sec.gov, and copies of this information may be obtained, upon payment of a
duplicating fee, by electronic request at the following e-mail address:
publicinfor@sec.gov or by writing the Public Reference Section at
the above address.
FEDERAL TAX INFORMATION (UNAUDITED)
The following information is provided pursuant to provisions of the Internal
Revenue Code.
The series below designates the following as capital gain dividend paid during
the fiscal year.
Capital
Gains
- -----------------------------------------------------------------
Bond Series ................................. $3,592,851
Emerging Markets Equity Series .............. 272,379
Global Governments Series ................... 96,874
Global Total Return Series .................. 8,623,607
International Value Series .................. 2,077,175
Strategic Income Series ..................... 625,839
The Global Total Return Series designates for corporate shareholders, 10.34%
of the ordinary income dividends paid during the fiscal year qualify for the
corporate dividends received deduction.
The series below intend to pass through foreign tax credits. Income derived
from foreign sources and foreign tax credits were as follows:
Foreign
Source Foreign
Income Tax Credit
- ------------------------------------------------------------------------------
Emerging Markets Equity Series ............. $1,968,597 $286,339
Global Total Return Series ................. 3,557,809 122,432
International Value Series ................. 1,977,933 140,930
Sun Life Financial Distributors Inc.
SUN-A-ANN-2/06 130M
MFS(R)/SUN LIFE SERIES TRUST [GRAPHIC]
ANNUAL REPORT o DECEMBER 31, 2005
Capital Appreciation Series
Emerging Growth Series
Global Growth Series
Massachusetts Investors Trust Series
Mid Cap Growth Series
Research Series
Total Return Series
Utilities Series
TABLE OF CONTENTS
Letter from the CEO of MFS ............................................ 1
Management Reviews .................................................... 1
Portfolio Composition ................................................. 6
Performance Summary ................................................... 14
Expense Tables ........................................................ 20
Portfolio of Investments .............................................. 22
Financial Statements .................................................. 42
Notes to Financial Statements ......................................... 56
Report of Independent Registered Public Accounting Firm ............... 63
Trustees and Officers ................................................. 64
Board Review of Investment Advisory Agreements ........................ 68
Proxy Voting Policies and Information ............................. Back Cover
Quarterly Portfolio Disclosure .................................... Back Cover
Federal Tax Information ........................................... Back Cover
- -------------------------------------------------------------------------------
THE REPORT IS PREPARED FOR THE GENERAL INFORMATION OF CONTRACT OWNERS. IT IS
AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS ONLY WHEN PRECEDED OR
ACCOMPANIED BY A CURRENT PROSPECTUS.
- -------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------
NOT FDIC INSURED MAY LOSE VALUE NO BANK OR CREDIT UNION GUARANTEE NOT A DEPOSIT
NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY OR NCUA/NCUSIF
- --------------------------------------------------------------------------------------------------
LETTER FROM THE CEO OF MFS
DEAR CONTRACT OWNERS,
Most investors are familiar with the basic principles of investing - focus on
the long term and keep your assets diversified across different investment
categories. Still, it is surprising how often we forget these basic lessons.
Certainly, the dot-com euphoria that overtook Wall Street in the late 1990s
had many people hoping they could become millionaires overnight. But the
market decline that started in the spring of 2000 taught everyone how
misguided those hopes had been.
Now, less than six years after the market taught a harsh lesson in the follies
of speculative investing, we are seeing a number of trends that suggest many
investors, including professionals, are hoping for overnight miracles again.
We see a steady stream of market "gurus" on television news shows, promising
to teach amateur investors the strategies that will allow them to get rich
quick. Hedge funds - which by their nature move in and out of investments
rapidly - have soared in popularity in recent years. We are reminded every day
that we live in a "what have you done for me lately?" world, but this mindset
should not influence how we invest and manage our money. In fact, investors
often fall short of their goals because they traded in and out of investments
too frequently and at inopportune times.
Throughout our more than 80-year history, MFS' money management process has
focused on long-term investment opportunities. We firmly believe that the best
way to realize long-term financial goals - be it a college education, a
comfortable retirement, or a secure family legacy - is to follow a three-
pronged approach that focuses on longer time horizons. Allocate holdings
across the major asset classes - including stocks, bonds, and cash. Diversify
within each class to take advantage of different market segments and investing
styles. And rebalance assets regularly to maintain a desired asset
allocation.* This long-term approach requires diligence and patience, two
traits that in our experience are essential to capitalizing on the many
opportunities the financial markets can offer.
Respectfully,
/s/ Robert J. Manning
Robert J. Manning
Chief Executive Officer and Chief Investment Officer
MFS Investment Management(R)
February 15, 2006
* Asset allocation, diversification, and rebalancing do not guarantee a profit
or protect against a loss. The opinions expressed in this letter are those of
MFS, and no forecasts can be guaranteed.
MANAGEMENT REVIEWS
CAPITAL APPRECIATION SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 0.92%, while Service Class shares provided a
total return of 0.63%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 5.26% for the series'
benchmark, the Russell 1000 Growth Index.
DETRACTORS FROM PERFORMANCE
The technology sector was the largest detractor from relative performance over
the period. Poor stock selection was the primary reason for relative
underperformance within the sector. Our holdings in printer products
manufacturer Lexmark International*, security software firm Symantec, and
networking and communications manufacturer Cisco Systems held back results as
these stocks underperformed the index over the reporting period.
Underweighting computer manufacturer Apple Computer* also weighed on relative
results.
No individual stocks within the leisure sector were among the portfolio's top
detractors.
Security selection in the industrial goods and services and retailing sectors
also dampened results. In industrial goods and services, manufacturing
conglomerate Tyco International (not an index constituent) weakened
performance. In retailing, online retailer and services provider IAC/
InterActiveCorp* held back results.
Elsewhere, holdings in motorcycle manufacturer Harley-Davidson* and biotech
firm ImClone Systems* hampered results. Our virtual avoidance of drug maker
Pfizer*, which outperformed during the period, also held back performance.
The portfolio's cash position was also a detractor from relative performance.
The portfolio holds cash to buy new holdings and to provide liquidity. In a
period when equity markets rose, as measured by the portfolio's benchmark,
holding cash hurt performance versus the benchmark, which has no cash
position.
CONTRIBUTORS TO PERFORMANCE
Stock selection and an underweighted position in the financial services
sector, which underperformed the index, added to relative results. No
individual stocks within the sector were among the portfolio's top
contributors.
Stock selection in the basic materials sector helped relative results. Within
the sector, Brazilian iron ore miner Companhia Vale do Rio Doce* (not an index
constituent) contributed to performance.
Overweighting the energy sector and strong stock selection in the health care
sector also boosted relative performance. In energy, oil and gas supplier
Tenaris* (not an index constituent) aided results. In health care, our
holdings in biotech firm Amgen, pharmaceutical and diagnostic company Roche
Holding (not an index constituent), and hospital operators HCA* and Community
Health Systems* proved favorable.
Other individual stocks that contributed to relative performance included drug
store chain CVS and microchip and electronics manufacturer Samsung Electronics
(not an index constituent). Additionally, not owning International Business
Machine (IBM) and underweighting industrial conglomerate General Electric
enhanced relative results as both stocks performed poorly relative to the
overall index over the period.
* Security was not held in the portfolio at period-end.
EMERGING GROWTH SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 9.14%, while Service Class shares provided a
total return of 8.90%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 5.17% for the series'
benchmark, the Russell 3000 Growth Index.
CONTRIBUTORS TO PERFORMANCE
Over the period, the financial services, health care, and technology sectors
boosted results. In each case, the primary driver was strong stock selection.
In financial services, investment management firm Legg Mason and commodities
exchange Chicago Mercantile Exchange Holdings were among the top contributors
to relative performance. Despite its positive contribution to relative
performance, no individual stocks within the health care sector were among the
portfolio's top contributors.
In technology, our holdings in Internet search engine Google, maker of flash
memory storage products SanDisk, and South Korean microchip and electronics
manufacturer Samsung Electronics (not an index constituent) proved beneficial
to relative performance. Not holding weak-performing International Business
Machines (IBM) also helped relative results.
The portfolio's overweighted position in the utilities and communications
sector bolstered results as the sector outperformed the overall index.
Broadcast and communications operator American Tower and Latin American
wireless communications company America Movil (not an index constituent) were
among the portfolio's top relative contributors.
Other individual contributors to performance included drilling rig operator
GlobalSantaFe, which is not held in the index, and media image provider Getty
Images.
DETRACTORS FROM PERFORMANCE
Stock selection and, to a lesser extent, an overweighted position in the
leisure sector detracted from relative performance. Video games maker
Electronic Arts was among the portfolio's top detractors over the period.
Stock selection in the industrial goods and services and autos and housing
sectors also held back results. No individual stocks in the industrial goods
and services sector were among the top detractors. In autos and housing, sleep
products manufacturer Tempur-Pedic International* dampened relative
performance.
While no individual stocks in the special products and services sector were
among the portfolio's top detractors during the period, our overweighted
position in this sector hampered performance as the sector underperformed the
benchmark.
Elsewhere, our holdings in network security software company Symantec* and
software provider Mercury Interactive* hurt returns.
In health care, dermatological treatment company Medicis Pharmaceutical*,
biotech firms ImClone Systems and Genentech, and health care service provider
UnitedHealth Group negatively affected relative performance. Not holding
pharmaceutical company Pfizer also proved disappointing as the stock performed
better than the overall index during the period. In retailing, discount store
Family Dollar Stores* hindered relative results.
During the reporting period, the portfolio's currency exposure was a detractor
from relative performance. All of MFS' investment decisions are driven by the
fundamentals of each individual opportunity and, as such, it is common for our
portfolios to have different currency exposure than the benchmark.
* Security was not held in the portfolio at period-end.
GLOBAL GROWTH SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 10.03% while Service Class shares provided a
total return of 9.65%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 11.16% for the series'
benchmark, the MSCI All Country World Growth Index. The series' other
benchmark, the MSCI World Growth Index, provided a return of 9.74%.
DETRACTORS FROM PERFORMANCE
Although our relative underweighting in the technology sector aided results,
this was more than offset by security selection in this sector. Our positions
in network security software company Symantec, which is not a benchmark
constituent, and computer company Dell* hurt relative returns. Not owning
strong-performing index constituents Apple Computer and Google also hindered
results as both stocks more than doubled over the period.
The financial services and energy sectors also held back results, although no
individual holdings in either sector were among the portfolio's top relative
detractors. In other sectors, pay-television operator Premiere*, home
improvement retailer Kingfisher*, apparel retailer NEXT, and biotech firm
ImClone Systems*, which is not a benchmark constituent, dampened performance.
During the reporting period, the portfolio's currency exposure was a detractor
from relative performance. All of MFS' investment decisions are driven by the
fundamentals of each individual opportunity and, as such, it is common for our
portfolios to have different currency exposure than the benchmark.
CONTRIBUTORS TO PERFORMANCE
Stock selection in the consumer staples, industrial goods and services, and
retailing sectors contributed to the portfolio's relative performance over the
period. Our positions in strong-performing Brazilian brewer Companhia de
Bebidas das Americas* and convenience store operator 7-Eleven*, which is not a
benchmark constituent, boosted relative results in the consumer staples and
the retailing sectors, respectively. No individual holdings in the industrial
goods and services sector were among the portfolio's top contributors.
Elsewhere, our holdings in petrochemical company Reliance Industries, metal
miner Companhia Vale do Rio Doce, and global cement producer Cemex* aided
portfolio results. Avoiding benchmark constituent International Business
Machines (IBM) also helped as shares declined over the year. Other stocks that
contributed to performance included consumer finance company AEON Credit
Service, generic drug manufacturer Teva Pharmaceutical Industries, oil and gas
company Talisman Energy, and electronics manufacturer Samsung Electronics.
* Security was not held in the portfolio at period-end.
MASSACHUSETTS INVESTORS TRUST SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 7.70%, while Service Class shares provided a
total return of 7.42%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 4.91% for the series'
benchmark, the Standard & Poor's 500 Stock Index (the S&P 500 Stock Index).
CONTRIBUTORS TO PERFORMANCE
During the period, the energy, financial services, and health care sectors
contributed to relative performance. Security selection was the primary driver
of positive relative returns. In energy, oil field services provider
Halliburton, exploration and production company EOG Resources, offshore
drilling companies Noble Corp. and Transocean, and Canadian oil and gas
company EnCana, which is not an index constituent, contributed to relative
performance.
In financial services, investment management firm Legg Mason (not an index
constituent) aided relative results. In health care, our holdings in biotech
firm Gilead Sciences proved beneficial.
Other individual contributors over the period included personal computer maker
Apple Computer and agrichemical products manufacturer Monsanto. Our avoidance
of computer products and services provider International Business Machines
(IBM), was also favorable to relative performance, as the stock declined early
in the period.
DETRACTORS FROM PERFORMANCE
The utilities and communications sector detracted from relative performance
over the period. U.K.-based wireless phone services provider Vodafone Group
(not an index constituent) held back relative results. Although the
transportation and special products and services sectors also hurt results, no
individual stocks within these sectors were among the top detractors of the
portfolio.
Elsewhere, pharmaceutical company Abbott Laboratories and orthopedic products
designer and marketer Zimmer Holdings hurt the portfolio's relative
performance. Also, not holding oil and gas company ExxonMobil hampered results
as the stock performed better than the benchmark.
Stocks in other sectors that detracted from results included manufacturing
conglomerate Tyco International, direct-sale computer vendor Dell, home
improvement products maker Masco, video games maker Electronic Arts, cosmetics
and beauty supply company Avon*, and enterprise software giant Oracle.
During the reporting period, the portfolio's currency exposure was a detractor
from the portfolio's relative performance. All of MFS' investment decisions
are driven by the fundamentals of each individual opportunity and, as such, it
is common for our portfolios to have different currency exposure than the
benchmark.
* Security was not held in the portfolio at period-end.
MID CAP GROWTH SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 3.10%, while Service Class shares provided a
total return of 2.78%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 12.10% for the series'
benchmark, the Russell Midcap Growth Index.
DETRACTORS FROM PERFORMANCE
The retailing, technology, and leisure sectors were the largest detractors
from relative performance over the period. In all three sectors, stock
selection dampened investment results.
Several individual securities in the technology sector significantly hurt
results including network security software company Symantec, which is not a
benchmark constituent, business software company Mercury Interactive*, and
semiconductor manufacturers PMC-Sierra and Xilinx.
In the leisure sector, radio broadcasting firm Citadel Broadcasting, media
company Gemstar-TV Guide*, and cruise line operator Royal Caribbean Cruises*,
which is not a benchmark constituent, held back results relative to the
benchmark.
No individual stocks within the retailing sector were among the portfolio's
top detractors.
Other stocks that hurt performance included for-profit education company
Apollo Group, which is not an index constituent, dermatological treatment
company Medicis Pharmaceutical, and biotech firm ImClone Systems.
CONTRIBUTORS TO PERFORMANCE
Stock selection in the financial services sector boosted relative performance
as our holdings in investment management firm Legg Mason significantly
outperformed the benchmark over the period.
Results were aided by our overweighted position in the strong-performing
utilities and communications sector. Within this sector, broadcast and
communication tower management firm American Tower was the top contributor.
Elsewhere, in technology, networking chip maker Marvell Technology Group,
which is not a benchmark constituent, and flash memory storage products maker
SanDisk bolstered results. Our positioning in multimedia and publishing
software company Adobe Systems also contributed as we added the stock to the
portfolio prior to a run-up in share price.
In health care, our holdings in biotech firm Gilead Sciences and medical
device company Thoratec, neither of which are benchmark constituents, and non-
urban hospital operator Community Health Systems* were among the portfolio's
top contributors.
Other individual holdings that benefited portfolio performance included
drilling rig operator GlobalSantaFe, which is not a benchmark constituent, and
multimedia image provider
Getty Images.
* Security was not held in the portfolio at period-end.
RESEARCH SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 7.94% while Service Class shares provided a
total return of 7.71%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 4.91% for the series'
benchmark, the Standard & Poor's 500 Stock Index (the S&P 500 Stock Index).
CONTRIBUTORS TO PERFORMANCE
Stock selection in the financial services sector boosted relative performance
as our holdings in investment management firm Legg Mason, which is not a
benchmark constituent, significantly outperformed the benchmark over the
period. Other stocks in this sector that positively impacted results included
investment manager Franklin Resources and investment banking firm Goldman
Sachs Group.
Security selection in the energy sector also contributed to performance. Our
holdings in drilling rig operator GlobalSantaFe, which is not a benchmark
constituent, was the top contributing stock within this sector. Other energy
stocks that benefited relative results included offshore drilling company
Noble Corp., oil field services provider Halliburton*, and French integrated
oil company TOTAL, which is not an index constituent.
Although the portfolio benefited from strong stock selection in the special
products and services sector, no individual stocks within this sector were
among the portfolio's top contributors. Stocks in other sectors that aided
performance included flash memory storage products maker SanDisk, multimedia
image provider Getty Images, and drug-maker Endo Pharmaceuticals Holdings,
none of which are benchmark constituents.
DETRACTORS FROM PERFORMANCE
The technology sector was the largest relative detractor as stock selection
within this sector held back results. Our holdings in network security
software company Symantec* and computer company Dell proved disappointing as
shares of both stocks declined over the period. Additionally, not owning
strong-performing benchmark constituent Apple Computer was a drag on relative
returns as the stock more than doubled over the year.
The autos and housing and basic materials sectors also hurt results. In autos
and housing, our positions in home improvement products maker Masco and
motorcycle manufacturer Harley-Davidson* hindered results, while in basic
materials, newsprint maker Bowater, which is not an index constituent, was
among the top detractors. Elsewhere, biotechnology firm ImClone, apparel
retailer Gap, and hospital operator Tenet Healthcare* dampened performance.
During the reporting period, the portfolio's currency exposure was a detractor
from relative performance. All of MFS' investment decisions are driven by the
fundamentals of each individual opportunity and, as such, it is common for our
portfolios to have different currency exposure than the benchmark.
* Security was not held in the portfolio at period-end.
TOTAL RETURN SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 3.02%, while Service Class shares provided a
total return of 2.81%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 4.91% for the series'
benchmark, the Standard & Poor's 500 Stock Index (the S&P 500 Stock Index).
The series' other benchmark, the Lehman Brothers U.S. Aggregate Bond Index,
provided a return of 2.43%.
DETRACTORS FROM PERFORMANCE
Within the equity portion of the series, security selection in the utilities
and communications sector detracted from relative performance. Overweighted
positions in independent power producer Calpine* and telecom services provider
Verizon Communications held back returns as both stocks lagged the S&P 500
Stock Index.
Security selection within the basic materials sector also weighed on results.
During the period, the portfolio's holdings in newsprint maker Bowater (not an
S&P 500 Stock Index constituent) hurt relative performance.
A combination of an overweighted position and stock selection within the
leisure sector held back investment results. Overweighting poor-performing
global entertainment conglomerate Viacom negatively impacted the portfolio's
relative performance.
Elsewhere, holdings in health care firm Tenet Healthcare hurt results as the
stock underperformed the S&P 500 Stock Index. In technology, positions in
network security firm Symantec and telecom equipment company Nortel Networks
(not an S&P 500 Stock Index constituent), and the avoidance of strong-
performing Apple Computer, detracted from relative performance. Overweighting
home improvement firm Masco (in the autos and housing sector) and retailer Gap
also held back returns.
During the reporting period, currency exposure within the equity portion of
the series was a detractor from relative performance. All of MFS' equity
investment decisions are driven by the fundamentals of each individual
opportunity and, as such, it is common for our portfolios to have different
currency exposure than the benchmark.
Within the fixed income portion of the series, overweighting "BBB"-rated(1)
securities held back performance relative to the Lehman Brothers U.S.
Aggregate Bond Index. During the period, spreads on "BBB"-rated debt widened,
causing bonds within this quality sector to lose value. Specific sectors that
detracted from performance included finance and agency-related debt. In the
finance sector, bonds of Ford Motor Credit and General Motors Acceptance Corp
hurt returns.
CONTRIBUTORS TO PERFORMANCE
Within the equity portion of the series, a combination of an overweighted
position and positive security selection within the strong-performing energy
sector boosted performance relative to the S&P 500 Stock Index. Overweighting
a number of energy firms contributed to the portfolio's relative results,
including oil and gas producer Devon Energy, energy exploration and production
company EOG Resources, and offshore drilling company Noble Corp. Positions in
drilling rig operator GlobalSantaFe and oil and gas service company Cooper
Cameron, neither of which are S&P 500 Stock Index constituents, also helped.
A combination of stock selection and, to a lesser extent, the portfolio's
overweighting in the financial services sector contributed to relative results
over the period. Although financial services was a top contributing sector on
a relative basis, no individual securities within the sector were among the
portfolio's top contributors. An overweighted position and positive security
selection within the special products and services sector also aided results.
Avoiding poor-performing Internet auctioneer eBay benefited returns as the
stock underperformed the S&P 500 Stock Index over the period.
Elsewhere, underweighting information technology firm International Business
Machines (IBM) and computer manufacturer Dell* in the technology sector added
to relative performance. In health care, underweighting weak-performing
pharmaceutical giant Pfizer* also boosted results. In the industrial goods and
services sector, overweighting aerospace and defense firm Lockheed Martin
proved beneficial to performance as the stock outperformed the S&P 500 Stock
Index.
Within the fixed income portion of the series, the stance on duration(2) aided
performance relative to the Lehman Brothers U.S. Aggregate Bond Index. During
the period, the portfolio maintained a shorter duration than the index.
Holdings of Treasury securities bolstered performance over the period as did
the portfolio's positioning in mortgage-backed and asset-backed securities.
* Security was not held in the portfolio at period-end.
UTILITIES SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 17.23%, while Service Class shares provided
a total return of 16.97%. These returns do not reflect any applicable contract
or surrender charges and compare with a return of 16.84% for the series'
benchmark, the Standard & Poor's 500 Utilities Index.
CONTRIBUTORS TO PERFORMANCE
Strong stock selection in the electric power industry contributed to the
portfolio's relative returns for the period. Within this industry, wholesale
power generator NRG Energy and Brazilian electricity provider CPFL Energia,
neither of which are benchmark constituents, were among the portfolio's top
contributors. Additionally, not holding electric power companies Southern
Company, independent power producer Calpine, and Progress Energy (all
benchmark constituents which lagged overall benchmark returns) aided relative
performance.
Our positions in the oil service industry, which is not represented in the
index, bolstered results. Oil field services provider Halliburton contributed
positively to the portfolio's relative performance over the period.
Stock selection in the natural gas distribution industry also boosted relative
performance. Our position in Questar, which is not a benchmark constituent,
helped performance as the stock value appreciated significantly over the
period. Not owning weak-performing benchmark constituent KeySpan also proved
favorable.
Elsewhere, our holdings in Mexican wireless communications company America
Movil and Brazilian oil and gas exploration and production company Petroleo
Brasileiro, neither of which are benchmark constituents, also had a positive
impact on the portfolio's relative results.
DETRACTORS FROM PERFORMANCE
Holdings in the telephone services industry hurt relative results. Several
stocks within this industry, which is not represented in the index, were among
the portfolio's greatest individual detractors. These included wireless
services companies Sprint Nextel, Deutsche Telekom*, and Telefonica*.
Our positions in the broadcast and cable television industry, which is not
represented in the index, also hindered relative performance. Among the
portfolio's top detractors were media and entertainment company News Corp,
cable services provider Comcast, and media giant Viacom.
Although the electric power industry contributed to relative performance, our
underweighted positions in several strong-performing benchmark constituents
detracted from results. These included TXU, Public Service Enterprise Group*,
and FirstEnergy. Our holdings in wireless communications provider Vodafone
Group, which is not a benchmark constituent, also held back relative returns.
During the reporting period, the portfolio's currency exposure was a detractor
from relative performance. All of MFS' investment decisions are driven by the
fundamentals of each individual opportunity, and as such, it is common for our
portfolios to have different currency exposure than the benchmark.
*Security was not held in the portfolio at period-end.
The views expressed in this report are those of the portfolio managers only
through the end of the period of the report as stated on the cover and do not
necessarily reflect the views of MFS or any other person in the MFS
organization. These views are subject to change at any time based on market
and other conditions, and MFS disclaims any responsibility to update such
views. These views may not be relied upon as investment advice or an
indication of trading intent on behalf of any MFS/Sun Life series. References
to specific securities are not recommendations of such securities, and may not
be representative of any MFS/Sun Life series' current or future investments.
The portfolios are actively managed, and current holdings may be different.
Variable annuities are designed for long-term retirement investing; please see
your investment professional for more information.
(1) Bonds rated "BBB" or higher are considered investment grade; bonds rated
"BB" or lower are considered non-investment grade.
(2) Duration is a measure of a portfolio's sensitivity to changes in interest
rates.
PORTFOLIO COMPOSITION -- CAPITAL APPRECIATION SERIES
PORTFOLIO STRUCTURE
Stocks 97.0%
Cash & Other Net Assets 3.0%
TOP TEN HOLDINGS
Cisco Systems, Inc. 3.9%
------------------------------------------------
Wyeth 3.3%
------------------------------------------------
Intel Corp. 2.9%
------------------------------------------------
Samsung Electronics Co. Ltd., GDR 2.7%
------------------------------------------------
Johnson & Johnson 2.6%
------------------------------------------------
Wal-Mart Stores, Inc. 2.6%
------------------------------------------------
QUALCOMM, Inc. 2.5%
------------------------------------------------
Oracle Corp. 2.4%
------------------------------------------------
Gilead Sciences, Inc. 2.4%
------------------------------------------------
Dell, Inc. 2.4%
------------------------------------------------
SECTOR WEIGHTINGS
Technology 39.3%
------------------------------------------------
Health Care 22.7%
------------------------------------------------
Retailing 13.1%
------------------------------------------------
Leisure 6.3%
------------------------------------------------
Financial Services 5.7%
------------------------------------------------
Consumer Staples 2.6%
------------------------------------------------
Industrial Goods & Services 2.3%
------------------------------------------------
Transportation 1.6%
------------------------------------------------
Special Products & Services 1.4%
------------------------------------------------
Autos & Housing 1.1%
------------------------------------------------
Energy 0.9%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- EMERGING GROWTH SERIES
PORTFOLIO STRUCTURE
PORTFOLIO STRUCTURE
Stocks 98.4%
Cash & Other Net Assets 1.6%
TOP TEN HOLDINGS
American Tower Corp., "A" 2.5%
------------------------------------------------
Google, Inc., "A" 2.5%
------------------------------------------------
Cytyc Corp. 2.4%
------------------------------------------------
Gilead Sciences, Inc. 2.3%
------------------------------------------------
Samsung Electronics Co. Ltd., GDR 2.2%
------------------------------------------------
Adobe Systems, Inc. 2.0%
------------------------------------------------
QUALCOMM, Inc. 2.0%
------------------------------------------------
Legg Mason, Inc. 2.0%
------------------------------------------------
Getty Images, Inc. 1.9%
------------------------------------------------
Nokia Corp., ADR 1.9%
------------------------------------------------
SECTOR WEIGHTINGS
Technology 29.1%
------------------------------------------------
Health Care 22.7%
------------------------------------------------
Financial Services 9.8%
------------------------------------------------
Leisure 8.5%
------------------------------------------------
Retailing 6.5%
------------------------------------------------
Energy 6.3%
------------------------------------------------
Special Products & Services 5.2%
------------------------------------------------
Utilities & Communications 4.7%
------------------------------------------------
Autos & Housing 1.8%
------------------------------------------------
Consumer Staples 1.7%
------------------------------------------------
Industrial Goods & Services 1.0%
------------------------------------------------
Basic Materials 0.6%
------------------------------------------------
Transportation 0.5%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- GLOBAL GROWTH SERIES
PORTFOLIO STRUCTURE
PORTFOLIO STRUCTURE
Stocks 99.3%
Cash & Other Net Assets 0.7%
TOP TEN HOLDINGS
Samsung Electronics Co. Ltd. 2.0%
------------------------------------------------
AEON Credit Service Co. Ltd. 1.7%
------------------------------------------------
Reckitt Benckiser PLC 1.5%
------------------------------------------------
TOTAL S.A. 1.5%
------------------------------------------------
Roche Holding AG 1.5%
------------------------------------------------
Johnson & Johnson 1.4%
------------------------------------------------
GlaxoSmithKline PLC 1.4%
------------------------------------------------
Intel Corp. 1.4%
------------------------------------------------
Vodafone Group PLC 1.3%
------------------------------------------------
UBS AG 1.2%
------------------------------------------------
SECTOR WEIGHTINGS
Technology 16.7%
------------------------------------------------
Financial Services 15.9%
------------------------------------------------
Health Care 15.7%
------------------------------------------------
Energy 7.9%
------------------------------------------------
Leisure 7.9%
------------------------------------------------
Consumer Staples 7.8%
------------------------------------------------
Basic Materials 6.6%
------------------------------------------------
Utilities & Communications 6.2%
------------------------------------------------
Retailing 5.5%
------------------------------------------------
Industrial Goods & Services 3.9%
------------------------------------------------
Special Products & Services 3.2%
------------------------------------------------
Autos & Housing 2.0%
------------------------------------------------
COUNTRY WEIGHTINGS
United States 32.8%
------------------------------------------------
Great Britain 12.2%
------------------------------------------------
Japan 12.0%
------------------------------------------------
France 9.1%
------------------------------------------------
Switzerland 5.7%
------------------------------------------------
Canada 2.6%
------------------------------------------------
India 2.3%
------------------------------------------------
Brazil 2.2%
------------------------------------------------
South Korea 2.0%
------------------------------------------------
Other Countries 19.1%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- MASSACHUSETTS INVESTORS TRUST SERIES
PORTFOLIO STRUCTURE
Stocks 98.7%
Cash & Other Net Assets 1.3%
TOP TEN HOLDINGS
American International Group, Inc. 3.4%
------------------------------------------------
Johnson & Johnson 2.8%
------------------------------------------------
United Technologies Corp. 2.5%
------------------------------------------------
EMC Corp. 2.3%
------------------------------------------------
Lockheed Martin Corp. 2.1%
------------------------------------------------
Amgen, Inc. 2.1%
------------------------------------------------
Bank of America Corp. 2.1%
------------------------------------------------
Wyeth 2.0%
------------------------------------------------
Reckitt Benckiser PLC 1.8%
------------------------------------------------
Procter & Gamble Co. 1.8%
------------------------------------------------
SECTOR WEIGHTINGS
Financial Services 17.0%
------------------------------------------------
Health Care 16.9%
------------------------------------------------
Technology 15.8%
------------------------------------------------
Consumer Staples 9.9%
------------------------------------------------
Energy 9.9%
------------------------------------------------
Industrial Goods & Services 8.1%
------------------------------------------------
Retailing 6.9%
------------------------------------------------
Leisure 4.7%
------------------------------------------------
Basic Materials 3.9%
------------------------------------------------
Utilities & Communications 3.2%
------------------------------------------------
Transportation 1.0%
------------------------------------------------
Autos & Housing 0.8%
------------------------------------------------
Special Products & Services 0.6%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- MID CAP GROWTH SERIES
PORTFOLIO STRUCTURE
PORTFOLIO STRUCTURE
Stocks 97.7%
Cash & Other Net Assets 2.3%
TOP TEN HOLDINGS
American Tower Corp., "A" 3.2%
------------------------------------------------
Juniper Networks, Inc. 2.4%
------------------------------------------------
Xilinx, Inc. 2.1%
------------------------------------------------
Analog Devices, Inc. 2.1%
------------------------------------------------
Amdocs Ltd. 2.1%
------------------------------------------------
Medicis Pharmaceutical Corp., "A" 2.0%
------------------------------------------------
Smith International, Inc. 1.8%
------------------------------------------------
Corporate Executive Board Co. 1.8%
------------------------------------------------
PETsMART, Inc. 1.8%
------------------------------------------------
SanDisk Corp. 1.7%
------------------------------------------------
SECTOR WEIGHTINGS
Health Care 22.6%
------------------------------------------------
Technology 21.0%
------------------------------------------------
Special Products & Services 11.0%
------------------------------------------------
Financial Services 8.7%
------------------------------------------------
Leisure 7.8%
------------------------------------------------
Retailing 7.2%
------------------------------------------------
Energy 7.1%
------------------------------------------------
Industrial Goods & Services 4.9%
------------------------------------------------
Utilities & Communications 3.2%
------------------------------------------------
Autos & Housing 1.9%
------------------------------------------------
Basic Materials 1.1%
------------------------------------------------
Consumer Staples 0.6%
------------------------------------------------
Transportation 0.6%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- RESEARCH SERIES
PORTFOLIO STRUCTURE
PORTFOLIO STRUCTURE
Stocks 99.4%
Cash & Other Net Assets 0.6%
TOP TEN HOLDINGS
Tyco International Ltd. 2.5%
------------------------------------------------
GlobalSantaFe Corp. 2.5%
------------------------------------------------
Altria Group, Inc. 2.4%
------------------------------------------------
Bank of America Corp. 2.4%
------------------------------------------------
Intel Corp. 2.4%
------------------------------------------------
Johnson & Johnson 2.0%
------------------------------------------------
Franklin Resources, Inc. 1.9%
------------------------------------------------
Wyeth 1.9%
------------------------------------------------
PETsMART, Inc. 1.9%
------------------------------------------------
Legg Mason, Inc. 1.8%
------------------------------------------------
SECTOR WEIGHTINGS
Financial Services 21.1%
------------------------------------------------
Technology 14.2%
------------------------------------------------
Health Care 13.1%
------------------------------------------------
Energy 9.7%
------------------------------------------------
Consumer Staples 7.5%
------------------------------------------------
Retailing 6.9%
------------------------------------------------
Basic Materials 6.7%
------------------------------------------------
Utilities & Communications 6.7%
------------------------------------------------
Industrial Goods & Services 6.0%
------------------------------------------------
Leisure 4.4%
------------------------------------------------
Special Products & Services 1.7%
------------------------------------------------
Autos & Housing 1.4%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- TOTAL RETURN SERIES
PORTFOLIO STRUCTURE (b)
Stocks 61.1%
Bonds 38.0%
Cash & Other Net Assets 0.9%
TOP TEN HOLDINGS (b)
Fannie Mae 30 Year, 5.5% 3.8%
------------------------------------------------
Bank of America Corp. 2.6%
------------------------------------------------
U.S. Treasury Bonds, 6.25%, 2023 1.7%
------------------------------------------------
Sprint Nextel Corp. 1.6%
------------------------------------------------
Wyeth 1.6%
------------------------------------------------
PNC Financial Services Group, Inc. 1.5%
------------------------------------------------
J.P. Morgan Chase & Co. 1.5%
------------------------------------------------
U.S. Treasury Notes, 4.75%, 2008 1.4%
------------------------------------------------
Masco Corp. 1.3%
------------------------------------------------
Citigroup, Inc. 1.3%
------------------------------------------------
EQUITY SECTOR WEIGHTINGS
Financial Services 16.5%
------------------------------------------------
Energy 6.9%
------------------------------------------------
Utilities & Communications 5.9%
------------------------------------------------
Technology 5.5%
------------------------------------------------
Health Care 4.9%
------------------------------------------------
Industrial Goods & Services 4.5%
------------------------------------------------
Basic Materials 4.0%
------------------------------------------------
Leisure 3.8%
------------------------------------------------
Consumer Staples 3.6%
------------------------------------------------
Retailing 2.9%
------------------------------------------------
Autos & Housing 1.5%
------------------------------------------------
Transportation 0.6%
------------------------------------------------
Special Products & Services 0.5%
------------------------------------------------
FIXED INCOME SECTOR WEIGHTINGS (b)
Mortgage-Backed Securities 13.7%
------------------------------------------------
High Grade Corporates 8.7%
------------------------------------------------
U.S. Treasury Securities 8.7%
------------------------------------------------
U.S. Government Agencies 4.1%
------------------------------------------------
Commercial Mortgage-Backed Securities 1.6%
------------------------------------------------
Asset-Backed Securities 0.7%
------------------------------------------------
High Yield Corporates 0.2%
------------------------------------------------
Emerging Market Bonds 0.2%
------------------------------------------------
Non U.S. Government Bonds 0.1%
------------------------------------------------
(b) For purposes of this graphical presentation, the bond component includes
both accrued interest amounts and the equivalent exposure from any
derivative holdings, if applicable.
Percentages are based on net assets as of 12/31/05, unless otherwise noted.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- UTILITIES SERIES
PORTFOLIO STRUCTURE (b)
Stocks 92.1%
Bonds 3.0%
Convertible Preferred Stocks 2.6%
Cash & Other Net Assets 2.3%
TOP TEN HOLDINGS (b)
NRG Energy, Inc. 5.2%
------------------------------------------------
TXU Corp. 4.4%
------------------------------------------------
AES Corp. 4.1%
------------------------------------------------
Exelon Corp. 3.1%
------------------------------------------------
Constellation Energy Group, Inc. 2.8%
------------------------------------------------
Sprint Nextel Corp. 2.6%
------------------------------------------------
PPL Corp. 2.5%
------------------------------------------------
FPL Group, Inc. 2.3%
------------------------------------------------
FirstEnergy Corp. 2.2%
------------------------------------------------
Williams Cos., Inc. 2.2%
------------------------------------------------
TOP FIVE EQUITY SECTOR WEIGHTINGS
Electric Power 51.5%
------------------------------------------------
Telephone Services 11.0%
------------------------------------------------
Natural Gas Distribution 6.7%
------------------------------------------------
Broadcast & Cable TV 6.4%
------------------------------------------------
Natural Gas Pipeline 4.9%
------------------------------------------------
COUNTRY WEIGHTINGS (b)
United States 71.6%
------------------------------------------------
United Kingdom 4.2%
------------------------------------------------
France 3.6%
------------------------------------------------
Mexico 3.5%
------------------------------------------------
Germany 3.0%
------------------------------------------------
Brazil 2.7%
------------------------------------------------
Spain 2.5%
------------------------------------------------
Italy 2.1%
------------------------------------------------
Canada 1.5%
------------------------------------------------
Other countries 5.3%
------------------------------------------------
(b) For purposes of this graphical presentation, the bond component includes
both accrued interest amounts and the equivalent exposure from any
derivative holdings, if applicable.
Percentages are based on net assets as of 12/31/05, unless otherwise noted.
The portfolio is actively managed, and current holdings may be different.
PERFORMANCE SUMMARY
The information below and on the following pages illustrates the historical
performance of each series in comparison to its benchmark(s). Benchmark
comparisons are unmanaged and do not reflect any fees or expenses. The
performance of other share classes will be more than or less than the line
shown. It is not possible to invest directly in an index. (See Notes to
Performance Summary.)
PERFORMANCE DATA SHOWN REPRESENTS PAST PERFORMANCE AND IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE FLUCTUATE SO YOUR UNITS,
WHEN SOLD, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST; CURRENT
PERFORMANCE MAY BE LOWER OR HIGHER THAN QUOTED. FOR MOST RECENT MONTH-END
PERFORMANCE, PLEASE VISIT SUNLIFE-USA.COM. THE PERFORMANCE SHOWN DOES NOT
REFLECT THE DEDUCTION OF TAXES, IF ANY, THAT A CONTRACT HOLDER WOULD PAY ON
DISTRIBUTIONS OR REDEMPTION OF CONTRACT UNITS.
CAPITAL APPRECIATION SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
(For the 10-year period ended December 31, 2005.)
Capital Appreciation Russell 1000
Series -- Initial Class Growth Index
12/95 $10,000 $10,000
12/96 12,148 12,312
12/97 14,958 16,066
12/98 19,251 22,284
12/99 25,534 29,674
12/00 22,619 23,020
12/01 16,890 18,319
12/02 11,419 13,211
12/03 14,697 17,141
12/04 16,317 18,220
12/05 16,467 19,179
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Average Annual Total Return 6/12/85 0.92% -6.15% 5.11%
Service Class 1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 0.63% -6.36% 5.00%
COMPARATIVE BENCHMARK
1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Russell 1000 Growth Index (s) 5.26% -3.58% 6.73%
(s) Source: Standard & Poor's Micropal, Inc.
EMERGING GROWTH SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
(For the 10-year period ended December 31, 2005).
Emerging Growth Russell 3000
Series -- Initial Class Growth Index
12/95 $10,000 $10,000
12/96 11,715 12,188
12/97 14,284 15,691
12/98 19,123 21,186
12/99 33,620 28,352
12/00 27,197 21,996
12/01 17,794 17,679
12/02 11,718 12,723
12/03 15,408 16,664
12/04 17,448 17,818
12/05 19,043 18,739
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr 10-yr
- -------------------------------------------------------------------------------
Average Annual Total Return 5/01/95 9.14% -6.88% 6.65%
Service Class 1-yr 5-yr 10-yr
- -------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 8.90% -7.09% 6.53%
COMPARATIVE BENCHMARK
1-yr 5-yr 10-yr
- -------------------------------------------------------------------------------
Russell 3000 Growth Index (s) 5.17% -3.15% 6.48%
(s) Source: Standard & Poor's Micropal, Inc.
GLOBAL GROWTH SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
(For the 10-year period ended December 31, 2005.)
Global Growth MSCI World MSCI All Country
Series -- Initial Class Growth Index World Growth Index(r)
12/95 $10,000 $10,000
12/96 11,302 11,312 $10,000
12/97 13,034 13,156 11,485
12/98 14,938 17,603 15,000
12/99 24,984 23,414 20,218
12/00 21,700 17,433 14,988
12/01 17,438 14,091 12,207
12/02 14,062 11,328 9,879
12/03 19,046 14,559 12,779
12/04 22,019 16,191 14,272
12/05 24,229 17,767 15,865
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr 10-yr
- -------------------------------------------------------------------------------
Average Annual Total Return 11/16/93 10.03% 2.23% 9.25%
Service Class 1-yr 5-yr 10-yr
- -------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 9.65% 1.97% 9.11%
COMPARATIVE BENCHMARKS
1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
MSCI All Country World Growth Index (s)(r) 11.16% 1.14% --
MSCI World Growth Index (s) 9.74% 0.38% 5.92%
(s) Source: Standard & Poor's Micropal, Inc.
(r) MSCI All Country World Growth Index measures global growth stocks. Returns
for the MSCI All-Country World Growth Index are not available for periods
prior to January 1, 1997. Therefore the MSCI World Growth Index has been
included to supplement the index performance since the portfolio's
inception date.
MASSACHUSETTS INVESTORS TRUST SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
(For the 10-year period ended December 31, 2005.)
Massachusetts
Investors Trust S&P 500
Series -- Initial Class Stock Index
12/95 $10,000 $10,000
12/96 12,541 12,294
12/97 16,546 16,395
12/98 20,493 21,080
12/99 21,965 25,515
12/00 21,984 23,194
12/01 18,530 20,440
12/02 14,597 15,924
12/03 17,930 20,489
12/04 20,079 22,717
12/05 21,626 23,832
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr 10-yr
- -------------------------------------------------------------------------------
Average Annual Total Return 11/14/86 7.70% -0.33% 8.02%
Service Class 1-yr 5-yr 10-yr
- -------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 7.42% -0.55% 7.90%
COMPARATIVE BENCHMARK
1-yr 5-yr 10-yr
- -------------------------------------------------------------------------------
S&P 500 Stock Index (s) 4.91% 0.54% 9.07%
(s) Source: Standard & Poor's Micropal, Inc.
PERFORMANCE SUMMARY -- continued
MID CAP GROWTH SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
(For the period from the commencement of the series' investment operations,
August 31, 2000, through December 31, 2005. Index information is from
September 1, 2000.)
Mid Cap Growth Russell Midcap
Series -- Initial Class Growth Index
8/00 $10,000 $10,000
12/00 9,080 7,300
12/01 6,970 5,829
12/02 3,686 4,231
12/03 5,082 6,039
12/04 5,825 6,974
12/05 6,005 7,817
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr Life (t)
- -------------------------------------------------------------------------------
Average Annual Total Return 8/31/00 3.10% -7.94% -9.11%
Service Class 1-yr 5-yr Life (t)
- -------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 2.78% -8.12% -9.28%
COMPARATIVE BENCHMARK
1-yr 5-yr Life (t)
- -------------------------------------------------------------------------------
Russell Midcap Growth Index (s) 12.10% 1.38% -4.51%
(t) For the period from the commencement of the series' investment operations,
August 31, 2000, through December 31, 2005. Index information is from
September 1, 2000.
(s) Source: Standard & Poor's Micropal, Inc.
RESEARCH SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
(For the 10-year period ended December 31, 2005.)
Research Series -- S&P 500
Initial Class Stock Index
12/95 $10,000 $10,000
12/96 12,376 12,295
12/97 14,958 16,395
12/98 18,491 21,080
12/99 22,955 25,515
12/00 22,014 23,194
12/01 17,302 20,440
12/02 12,958 15,924
12/03 16,239 20,489
12/04 18,809 22,717
12/05 20,303 23,832
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Average Annual Total Return 11/07/94 7.94% -1.61% 7.34%
Service Class 1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 7.71% -1.84% 7.21%
COMPARATIVE BENCHMARK
1-yr 5-yr 10-yr
- --------------------------------------------------------------------------------
S&P 500 Stock Index (s) 4.91% 0.54% 9.07%
(s) Source: Standard & Poor's Micropal, Inc.
PERFORMANCE SUMMARY -- continued
TOTAL RETURN SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
(For the 10-year period ended December 31, 2005.)
Lehman Brothers
Total Return U.S. Aggregate S&P 500
Series -- Initial Class Bond Index Stock Index
12/95 $10,000 $10,000 $10,000
12/96 11,410 10,363 12,295
12/97 13,918 11,364 16,395
12/98 15,547 12,351 21,080
12/99 15,989 12,249 25,515
12/00 18,670 13,673 23,194
12/01 18,767 14,828 20,440
12/02 17,700 16,348 15,924
12/03 20,736 17,019 20,489
12/04 23,114 17,758 22,717
12/05 23,813 18,189 23,832
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr 10-yr
- -------------------------------------------------------------------------------
Average Annual Total Return 5/11/88 3.02% 4.99% 9.06%
Service Class 1-yr 5-yr 10-yr
- -------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 2.81% 4.76% 8.95%
COMPARATIVE BENCHMARKS
1-yr 5-yr 10-yr
- -------------------------------------------------------------------------------
S&P 500 Stock Index (s) 4.91% 0.54% 9.07%
Lehman Brothers U.S. Aggregate
Bond Index (s) 2.43% 5.87% 6.16%
(s) Source: Standard & Poor's Micropal, Inc.
UTILITIES SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
(For the 10-year period ended December 31, 2005.)
Utilities Series -- Standard & Poor's
Initial Class 500 Utilities Index
12/95 $10,000 $10,000
12/96 12,037 10,568
12/97 15,975 13,174
12/98 18,778 15,128
12/99 24,655 13,739
12/00 26,380 21,596
12/01 19,960 15,023
12/02 15,197 10,517
12/03 20,706 13,278
12/04 26,995 16,502
12/05 31,646 19,282
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr 10-yr
- -------------------------------------------------------------------------------
Average Annual Total Return 11/16/93 17.23% 3.71% 12.21%
Service Class 1-yr 5-yr 10-yr
- -------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 16.97% 3.48% 12.09%
COMPARATIVE BENCHMARK
1-yr 5-yr 10-yr
- -------------------------------------------------------------------------------
Standard & Poor's 500 Utilities Index (s) 16.84% -2.24% 6.79%
(s) Source: Standard & Poor's Micropal, Inc.
NOTES TO PERFORMANCE SUMMARY
Initial Class shares have no sales charge. Service Class shares have no sales
charge and carry a 0.25% annual Rule 12b-1 fee.
Service Class share performance includes the performance of Initial Class
shares for periods prior to the inception of Service Class shares (blended
performance). These blended performance figures have not been adjusted to take
into account differences in the class-specific operating expenses (such as
Rule 12b-1 fees). Because operating expenses of Service Class shares are
generally higher than those of Initial Class shares, the blended Service Class
shares performance shown is higher than it would have been had Service Class
shares been offered for the entire period.
Performance results reflect any applicable expense subsidies and waivers in
effect during the periods shown; without these the results would have been
less favorable. See the prospectus for details. All results are historical and
assume the reinvestment of any dividends and capital gains distributions.
The returns for the series shown do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk charges,
separate account charges, and sales charges imposed by insurance company
separate accounts. Such expenses would reduce the overall returns shown.
From time to time the series may receive proceeds from litigation settlements,
without which performance would be lower.
INDEX DEFINITIONS
RUSSELL 1000 GROWTH INDEX -- constructed to provide a comprehensive barometer
for growth securities in the large-cap segment of the U.S. equity universe.
Companies in this index generally have higher price-to-book ratios and higher
forecasted growth values.
RUSSELL 3000 GROWTH INDEX -- constructed to provide a comprehensive barometer
for the growth securities in the small to large-cap segment of the U.S. equity
universe. Companies in this Index generally have higher price-to-book ratios
and higher forecasted growth values.
MSCI ALL COUNTRY WORLD GROWTH INDEX -- a market capitalization index that is
designed to measure equity market performance for growth securities in the
global developed and emerging markets.
MSCI WORLD GROWTH INDEX -- a market capitalization index that is designed to
measure global developed market equity performance for growth securities.
RUSSELL MIDCAP GROWTH INDEX -- constructed to provide a comprehensive
barometer for the growth securities in the mid-cap segment of the U.S. equity
universe. Companies in this index generally have higher price-to-book ratios
and higher forecasted growth values.
STANDARD & POOR'S 500 STOCK INDEX -- a capitalization-weighted index of 500
widely held equity securities, designed to measure broad U.S. equity
performance.
LEHMAN BROTHERS U.S. AGGREGATE BOND INDEX -- measures the U.S. investment
grade, fixed rate bond market, with index components for government and
corporate securities, mortgage pass-through securities, and asset-backed
securities.
STANDARD & POOR'S 500 UTILITIES INDEX -- a capitalization-weighted index
designed to measure the utilities sector, including those companies considered
electric, gas or water utilities, or companies that operate as independent
producers and/or distributors of power.
It is not possible to invest directly in an index.
KEY RISK CONSIDERATIONS
CAPITAL APPRECIATION SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments.
EMERGING GROWTH SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. Changes in currency exchange rates may
affect the portfolio's net asset value, the value of dividends and interest
earned, and gains and losses realized on the sale of securities. Growth stocks
may perform differently from the general stock market and can be more volatile
than other types of stocks.
GLOBAL GROWTH SERIES
Stock markets are volatile and can decline due to adverse issuer, political
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. Changes in currency exchange rates may
affect the portfolio's net asset value, the value of dividends and interest
earned, and gains and losses realized on the sale of securities. Investing in
emerging markets can involve risks in addition to those generally associated
with investing in more developed foreign markets. Because MFS may invest a
relatively large percentage of the portfolio's assets in issuers located in a
single country or a small number of countries, the portfolio's performance
could be closely tied to the market, economic, political or regulatory
conditions and developments in those countries and could be more volatile than
the performance of more geographically diversified portfolios. Growth stocks
may perform differently from the general stock market and can be more volatile
than other types of stocks.
MASSACHUSETTS INVESTORS TRUST SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments.
MID CAP GROWTH SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. The securities of medium size
companies may be more volatile than those of larger companies. Growth stocks
may perform differently from the general stock market and can be more volatile
than other types of stocks.
RESEARCH SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments.
TOTAL RETURN SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. The portfolio's yield and share prices
change daily based on the credit quality of its investments and changes in
interest rates. In general, the value of debt securities will decline when
interest rates rise and will increase when interest rates fall. Debt
securities with longer maturity dates will be subject to greater price
fluctuations than those with shorter maturities. Derivatives involve risks
different from, and greater than, those of the underlying indicator's in whose
value the derivative is based. The value of the derivative can move in
unexpected ways and result in unanticipated losses and increased volatility if
the value of the underlying indicator(s) does not move in the direction or the
extent anticipated.
UTILITIES SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. Because the portfolio's investments
are focused in a particular industry or sector, the portfolio's performance
may depend more heavily on the performance of that industry or sector and
therefore may be more volatile than the market as a whole. The portfolio's
yield and share prices change daily based on the credit quality of its
investments and changes in interest rates. In general, the value of debt
securities will decline when interest rates rise and will increase when
interest rates fall. Debt securities with longer maturity dates will be
subject to greater price fluctuations than those with shorter maturities.
Derivatives involve risks different from, and greater than, those of the
underlying indicator's in whose value the derivative is based. The value of
the derivative can move in unexpected ways and result in unanticipated losses
and increased volatility if the value of the underlying indicator(s) does not
move in the direction or the extent anticipated. Lower quality debt securities
involve substantially greater risk of default and their value can decline
significantly over time.
When you sell units, they may be worth more or less than the amount you paid
for them.
Please see the prospectus for further information regarding these and other
risks considerations.
EXPENSE TABLES
SERIES EXPENSES BORNE BY THE SHAREHOLDERS DURING THE PERIOD,
JULY 1, 2005 THROUGH DECEMBER 31, 2005
As a shareholder of the series, you incur ongoing costs, including management
fees; distribution (12b-1) fees; and other series expenses. This example is
intended to help you understand your ongoing costs (in dollars) of investing
in the series and to compare these costs with the ongoing costs of investing
in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of
the period and held for the entire period, July 1, 2005 through December 31,
2005.
ACTUAL EXPENSES
The first line for each share class in the following tables provides
information about actual account values and actual expenses. You may use the
information in this line, together with the amount you invested, to estimate
the expenses that you paid over the period. Simply divide your account value
by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then
multiply the result by the number in the first line under the heading entitled
"Expenses Paid During Period" to estimate the expenses you paid on your
account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each share class in the following tables provides
information about hypothetical account values and hypothetical expenses based
on the series' actual expense ratio and an assumed rate of return of 5% per
year before expenses, which is not the series' actual return. The hypothetical
account values and expenses may not be used to estimate the actual ending
account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in the series and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight the
series' ongoing costs only and do not take into account the fees and expenses
imposed under the variable contracts through which your investment in the
series is made. Therefore, the second line for each share class in the tables
is useful in comparing ongoing costs associated with an investment in vehicles
(such as the series) which fund benefits under variable annuity and variable
life insurance contracts and to qualified pension and retirement plans only,
and will not help you determine the relative total costs of investing in the
series through variable annuity and variable life insurance contracts. If the
fees and expenses imposed under the variable contracts were included, your
costs would have been higher.
Beginning Ending
Annualized Account Account Expenses Paid
CAPITAL Expense Value Value During Period (p)
APPRECIATION SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- -------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.85% $1,000.00 $1,034.30 $4.36
Hypothetical (h) 0.85% $1,000.00 $1,020.92 $4.33
Service Class
Actual 1.11% $1,000.00 $1,033.40 $5.69
Hypothetical (h) 1.11% $1,000.00 $1,019.61 $5.65
Beginning Ending
Annualized Account Account Expenses Paid
EMERGING Expense Value Value During Period (p)
GROWTH SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- -------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.84% $1,000.00 $1,109.80 $4.47
Hypothetical (h) 0.84% $1,000.00 $1,020.97 $4.28
Service Class
Actual 1.09% $1,000.00 $1,108.30 $5.79
Hypothetical (h) 1.09% $1,000.00 $1,019.71 $5.55
Beginning Ending
Annualized Account Account Expenses Paid
Expense Value Value During Period (p)
GLOBAL GROWTH SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- -------------------------------------------------------------------------------------------------------
Initial Class
Actual 1.08% $1,000.00 $1,130.90 $5.80
Hypothetical (h) 1.08% $1,000.00 $1,019.76 $5.50
Service Class
Actual 1.33% $1,000.00 $1,129.00 $7.14
Hypothetical (h) 1.33% $1,000.00 $1,018.50 $6.77
Beginning Ending
Annualized Account Account Expenses Paid
MASSACHUSETTS Expense Value Value During Period (p)
INVESTORS TRUST SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- -------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.63% $1,000.00 $1,079.90 $3.30
Hypothetical (h) 0.63% $1,000.00 $1,022.03 $3.21
Service Class
Actual 0.88% $1,000.00 $1,078.50 $4.61
Hypothetical (h) 0.88% $1,000.00 $1,020.77 $4.48
Beginning Ending
Annualized Account Account Expenses Paid
Expense Value Value During Period (p)
MID CAP GROWTH SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- -------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.89% $1,000.00 $1,075.50 $4.66
Hypothetical (h) 0.89% $1,000.00 $1,020.72 $4.53
Service Class
Actual 1.14% $1,000.00 $1,074.40 $5.96
Hypothetical (h) 1.14% $1,000.00 $1,019.46 $5.80
Beginning Ending
Annualized Account Account Expenses Paid
Expense Value Value During Period (p)
RESEARCH SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- -------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.84% $1,000.00 $1,069.70 $4.38
Hypothetical (h) 0.84% $1,000.00 $1,020.97 $4.28
Service Class
Actual 1.09% $1,000.00 $1,068.80 $5.68
Hypothetical (h) 1.09% $1,000.00 $1,019.71 $5.55
Beginning Ending
Annualized Account Account Expenses Paid
Expense Value Value During Period (p)
TOTAL RETURN SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- -------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.71% $1,000.00 $1,021.90 $3.62
Hypothetical (h) 0.71% $1,000.00 $1,021.63 $3.62
Service Class
Actual 0.96% $1,000.00 $1,021.00 $4.89
Hypothetical (h) 0.96% $1,000.00 $1,020.37 $4.89
Beginning Ending
Annualized Account Account Expenses Paid
Expense Value Value During Period (p)
UTILITIES SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- -------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.84% $1,000.00 $1,079.90 $4.40
Hypothetical (h) 0.84% $1,000.00 $1,020.97 $4.28
Service Class
Actual 1.10% $1,000.00 $1,079.10 $5.76
Hypothetical (h) 1.10% $1,000.00 $1,019.66 $5.60
(h) 5% class return per year before expenses.
(p) Expenses paid is equal to each class' annualized expense ratio, as shown above, multiplied by
the average account value over the period, multiplied by the number of days in the period,
divided by the number of days in the year.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
CAPITAL APPRECIATION SERIES
STOCKS -- 97.0%
Issuer Shares/Par($) Value ($)
APPAREL MANUFACTURERS -- 2.0%
Cintas Corp. ............................. 160,300 $ 6,601,154
Nike, Inc., "B" .......................... 78,370 6,801,732
------------
$ 13,402,886
------------
AUTOMOTIVE -- 1.1%
Harman International Industries, Inc. .... 79,380 $ 7,767,333
------------
BANKS & CREDIT COMPANIES -- 2.3%
American Express Co. ..................... 101,600 $ 5,228,336
SLM Corp. ................................ 181,610 10,004,895
UBS AG ................................... 8,260 785,939
------------
$ 16,019,170
------------
BIOTECHNOLOGY -- 5.3%
Amgen, Inc.(n) ........................... 133,030 $ 10,490,746
Genzyme Corp.(n) ......................... 128,430 9,090,275
Gilead Sciences, Inc.(n) ................. 316,070 16,634,764
------------
$ 36,215,785
------------
BROADCAST & CABLE TV -- 2.2%
Grupo Televisa S.A., ADR ................. 75,020 $ 6,039,110
Univision Communications, Inc., "A"(n) ... 142,900 4,199,831
Walt Disney Co. .......................... 195,900 4,695,723
------------
$ 14,934,664
------------
BROKERAGE & ASSET MANAGERS -- 1.2%
Chicago Mercantile Exchange Holdings, Inc. 10,950 $ 4,024,016
Merrill Lynch & Co., Inc. ................ 61,100 4,138,303
------------
$ 8,162,319
------------
BUSINESS SERVICES -- 1.4%
Getty Images, Inc.(n) .................... 46,650 $ 4,164,446
Infosys Technologies Ltd., ADR ........... 68,300 5,522,738
------------
$ 9,687,184
------------
COMPUTER SOFTWARE -- 7.6%
Adobe Systems, Inc. ...................... 365,000 $ 13,490,400
Check Point Software Technologies Ltd.(n) 129,600 2,604,960
Microsoft Corp. .......................... 554,640 14,503,836
Oracle Corp.(n) .......................... 1,363,880 16,652,975
Symantec Corp.(n) ........................ 292,680 5,121,900
------------
$ 52,374,071
------------
COMPUTER SOFTWARE -- SYSTEMS -- 4.8%
Amdocs Ltd.(n) ........................... 373,880 $ 10,281,700
Dell, Inc.(n) ............................ 546,000 16,374,540
LG Philips LCD Co. Ltd., ADR(n) .......... 285,400 6,124,684
------------
$ 32,780,924
------------
CONSUMER GOODS & SERVICES -- 1.1%
Procter & Gamble Co. ..................... 129,200 $ 7,478,096
------------
ELECTRICAL EQUIPMENT -- 1.9%
Cooper Industries Ltd., "A" .............. 47,100 $ 3,438,300
General Electric Co. ..................... 110,100 3,859,005
Tyco International Ltd. .................. 205,380 5,927,267
------------
$ 13,224,572
------------
ELECTRONICS -- 11.5%
Analog Devices, Inc. ..................... 170,400 $ 6,112,248
Applied Materials, Inc. .................. 219,500 3,937,830
Intel Corp. .............................. 809,440 20,203,622
KLA-Tencor Corp. ......................... 81,200 4,005,596
Marvell Technology Group Ltd.(n) ......... 58,800 3,298,092
Samsung Electronics Co. Ltd., GDR(n) ..... 56,790 18,712,305
SanDisk Corp.(n) ......................... 131,260 $ 8,245,753
Taiwan Semiconductor Manufacturing Co.
Ltd., ADR .............................. 609,940 6,044,505
Xilinx, Inc. ............................. 330,430 8,330,140
------------
$ 78,890,091
------------
FOOD & DRUG STORES -- 0.9%
CVS Corp. ................................ 243,200 $ 6,425,344
------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 1.5%
PepsiCo, Inc. ............................ 177,130 $ 10,464,840
------------
GAMING & LODGING -- 2.3%
Carnival Corp. ........................... 164,700 $ 8,806,509
Royal Caribbean Cruises Ltd. ............. 63,400 2,856,804
Starwood Hotels & Resorts Worldwide, Inc. . 65,100 4,157,286
------------
$ 15,820,599
------------
GENERAL MERCHANDISE -- 5.2%
Kohl's Corp.(n) .......................... 183,130 $ 8,900,118
Target Corp. ............................. 164,760 9,056,857
Wal-Mart Stores, Inc. .................... 374,130 17,509,284
------------
$ 35,466,259
------------
HEALTH MAINTENANCE ORGANIZATIONS -- 1.0%
UnitedHealth Group, Inc. ................. 110,970 $ 6,895,676
------------
INSURANCE -- 2.2%
Ace Ltd. ................................. 79,120 $ 4,228,173
American International Group, Inc. ....... 157,150 10,722,345
------------
$ 14,950,518
------------
INTERNET -- 2.8%
Google, Inc., "A"(n) ..................... 33,870 $ 14,051,308
Yahoo!, Inc.(n) .......................... 138,060 5,409,191
------------
$ 19,460,499
------------
LEISURE & TOYS -- 1.2%
Electronic Arts, Inc.(n) ................. 161,930 $ 8,470,559
------------
MACHINERY & TOOLS -- 0.4%
Illinois Tool Works, Inc. ................ 33,370 $ 2,936,226
------------
MEDICAL EQUIPMENT -- 4.7%
Advanced Medical Optics, Inc.(n) ......... 175,550 $ 7,337,990
Alcon, Inc. .............................. 48,300 6,259,680
DENTSPLY International, Inc. ............. 40,100 2,152,969
Medtronic, Inc. .......................... 125,610 7,231,368
St. Jude Medical, Inc.(n) ................ 178,300 8,950,660
------------
$ 31,932,667
------------
NETWORK & TELECOM -- 9.3%
Cisco Systems, Inc.(n) ................... 1,559,330 $ 26,695,730
Corning, Inc.(n) ......................... 684,480 13,456,877
Juniper Networks, Inc.(n) ................ 149,100 3,324,930
Nokia Corp., ADR ......................... 176,030 3,221,349
QUALCOMM, Inc. ........................... 393,080 16,933,886
------------
$ 63,632,772
------------
OIL SERVICES -- 0.9%
Noble Corp. .............................. 85,220 $ 6,011,419
------------
PERSONAL COMPUTERS & PERIPHERALS -- 3.3%
EMC Corp.(n) ............................. 1,198,000 $ 16,316,760
Network Appliance, Inc.(n) ............... 226,800 6,123,600
------------
$ 22,440,360
------------
PHARMACEUTICALS -- 11.7%
Abbott Laboratories ...................... 241,590 $ 9,525,894
Eli Lilly & Co. .......................... 213,420 12,077,438
Johnson & Johnson ........................ 291,510 17,519,751
Roche Holding AG ......................... 59,970 8,994,702
Teva Pharmaceutical Industries Ltd., ADR . 210,920 9,071,669
Wyeth .................................... 491,530 22,644,787
------------
$ 79,834,241
------------
RESTAURANTS -- 0.6%
Cheesecake Factory, Inc.(n) .............. 31,100 $ 1,162,829
P.F. Chang's China Bistro, Inc.(n) ....... 58,300 2,893,429
------------
$ 4,056,258
------------
SPECIALTY STORES -- 5.0%
Home Depot, Inc. ......................... 206,200 $ 8,346,976
Lowe's Cos., Inc. ........................ 65,890 4,392,227
PETsMART, Inc. ........................... 230,320 5,910,011
Staples, Inc. ............................ 296,100 6,724,431
Williams-Sonoma, Inc.(n) ................. 197,800 8,535,070
------------
$ 33,908,715
------------
TRUCKING -- 1.6%
FedEx Corp. .............................. 56,070 $ 5,797,077
United Parcel Service, Inc., "B" ......... 70,300 5,283,045
------------
$ 11,080,122
------------
Total Stocks (Identified Cost, $643,729,234) ......... $664,724,169
------------
SHORT-TERM OBLIGATION -- 2.9%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) ..... $19,643,000 $ 19,638,417
------------
Total Investments
(Identified Cost, $663,367,651) .................... $684,362,586
------------
OTHER ASSETS,
LESS LIABILITIES -- 0.1% ............................... 596,093
------------
Net Assets -- 100.0% ................................. $684,958,679
============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
EMERGING GROWTH SERIES
STOCKS -- 98.4%
Issuer Shares/Par($) Value ($)
AEROSPACE -- 0.5%
ITT Industries, Inc. ..................... 19,300 $ 1,984,426
------------
AUTOMOTIVE -- 1.5%
Harman International Industries, Inc. .... 58,510 $ 5,725,204
------------
BANKS & CREDIT COMPANIES -- 1.4%
SLM Corp. ................................ 92,250 $ 5,082,053
------------
BIOTECHNOLOGY -- 7.6%
Affymetrix, Inc.(l)(n) ................... 11,500 $ 549,125
Amgen, Inc.(n) ........................... 29,620 2,335,833
Celgene Corp.(n) ......................... 31,400 2,034,720
CV Therapeutics, Inc.(l)(n) .............. 6,800 168,164
Gen-Probe, Inc.(l)(n) .................... 37,970 1,852,556
Genentech, Inc.(n) ....................... 14,600 1,350,500
Genzyme Corp.(n) ......................... 57,180 4,047,200
Gilead Sciences, Inc.(n) ................. 159,200 8,378,696
Human Genome Sciences, Inc.(l)(n) ........ 38,800 332,128
ImClone Systems, Inc.(l)(n) .............. 39,300 1,345,632
Keryx Biopharmaceuticals, Inc.(n) ........ 11,600 169,824
MedImmune, Inc.(n) ....................... 67,410 2,360,698
Neurochem, Inc.(n) ....................... 14,440 206,059
Neurocrine Biosciences, Inc.(l)(n) ....... 47,340 2,969,638
------------
$ 28,100,773
------------
BROADCAST & CABLE TV -- 1.7%
Grupo Televisa S.A., ADR ................. 65,010 $ 5,233,305
XM Satellite Radio Holdings, Inc., "A"(n) . 33,300 908,424
------------
$ 6,141,729
------------
BROKERAGE & ASSET MANAGERS -- 7.4%
Chicago Mercantile Exchange Holdings, Inc. 13,130 $ 4,825,144
Deutsche Boerse AG ....................... 18,500 1,894,249
Euronext N.V ............................. 39,900 2,076,699
Franklin Resources, Inc. ................. 23,400 2,199,834
Goldman Sachs Group, Inc. ................ 29,700 3,792,987
Greenhill & Co., Inc.(l) ................. 26,500 1,488,240
IntercontinentalExchange, Inc.(n) ........ 33,620 1,222,087
Lazard Ltd.(l) ........................... 52,100 1,661,990
Legg Mason, Inc. ......................... 61,030 7,304,681
Lehman Brothers Holdings, Inc. ........... 8,210 1,052,276
------------
$ 27,518,187
------------
BUSINESS SERVICES -- 4.2%
CheckFree Corp.(n) ....................... 8,200 $ 376,380
Cognizant Technology Solutions Corp.,
"A"(n) ................................. 15,400 775,390
Corporate Executive Board Co. ............ 25,800 2,314,260
DST Systems, Inc.(n) ..................... 37,390 2,240,035
Getty Images, Inc.(l)(n) ................. 78,460 7,004,124
Monster Worldwide, Inc.(n) ............... 37,000 1,510,340
Universal Technical Institute, Inc.(n) ... 44,800 1,386,112
------------
$ 15,606,641
------------
CHEMICALS -- 0.3%
Nalco Holding Co.(n) ..................... 59,240 $ 1,049,140
------------
COMPUTER SOFTWARE -- 4.1%
Adobe Systems, Inc. ...................... 205,600 $ 7,598,976
MicroStrategy, Inc., "A"(l)(n) ........... 19,640 1,625,014
Oracle Corp.(n) .......................... 266,970 3,259,704
TIBCO Software, Inc.(n) .................. 365,500 2,730,285
------------
$ 15,213,979
------------
COMPUTER SOFTWARE -- SYSTEMS -- 3.9%
Amdocs Ltd.(n) ........................... 177,600 $ 4,884,000
Apple Computer, Inc.(n) .................. 71,300 5,125,757
Dell, Inc.(n) ............................ 89,420 2,681,706
LG Philips LCD Co. Ltd., ADR(n) .......... 89,600 1,922,816
------------
$ 14,614,279
------------
CONSTRUCTION -- 0.3%
CEMEX S.A. de C.V., ADR(l) ............... 21,300 $ 1,263,729
------------
CONSUMER GOODS & SERVICES -- 1.0%
ITT Educational Services, Inc.(n) ........ 26,300 $ 1,554,593
Strayer Education, Inc.(l) ............... 22,570 2,114,809
------------
$ 3,669,402
------------
ELECTRICAL EQUIPMENT -- 0.5%
Rockwell Automation, Inc. ................ 33,100 $ 1,958,196
------------
ELECTRONICS -- 6.4%
Analog Devices, Inc. ..................... 41,350 $ 1,483,225
AU Optronics Corp., ADR(l) ............... 128,935 1,935,314
Marvell Technology Group Ltd.(n) ......... 56,400 3,163,476
Samsung Electronics Co. Ltd., GDR ........ 24,530 8,082,635
SanDisk Corp.(n) ......................... 63,000 3,957,660
Tessera Technologies, Inc.(n) ............ 21,200 548,020
Xilinx, Inc. ............................. 179,690 4,529,985
------------
$ 23,700,315
------------
ENERGY -- INDEPENDENT -- 1.0%
EOG Resources, Inc. ...................... 26,800 $ 1,966,316
Peabody Energy Corp. ..................... 20,000 1,648,400
------------
$ 3,614,716
------------
ENTERTAINMENT -- 0.5%
Pixar Animation Studios(l)(n) ............ 37,200 $ 1,961,184
------------
FOOD & DRUG STORES -- 1.3%
Walgreen Co. ............................. 80,790 $ 3,575,765
Whole Foods Market, Inc. ................. 14,800 1,145,372
------------
$ 4,721,137
------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 1.7%
Cadbury Schweppes PLC .................... 199,260 $ 1,882,028
PepsiCo, Inc. ............................ 72,260 4,269,121
------------
$ 6,151,149
------------
GAMING & LODGING -- 2.0%
Great Canadian Gaming Corp.(n) ........... 55,200 $ 777,385
Hilton Group PLC ......................... 206,900 1,292,716
International Game Technology ............ 31,900 981,882
Kerzner International Ltd.(l)(n) ......... 21,800 1,498,750
Las Vegas Sands Corp.(l)(n) .............. 22,100 872,287
Station Casinos, Inc.(l) ................. 29,200 1,979,760
------------
$ 7,402,780
------------
GENERAL MERCHANDISE -- 1.4%
Kohl's Corp.(n) .......................... 51,120 $ 2,484,432
Target Corp. ............................. 32,470 1,784,876
Wal-Mart de Mexico S.A. de C.V ........... 188,730 1,048,821
------------
$ 5,318,129
------------
HEALTH MAINTENANCE ORGANIZATIONS -- 2.0%
UnitedHealth Group, Inc. ................. 36,000 $ 2,237,040
WellPoint, Inc.(n) ....................... 62,840 5,014,004
------------
$ 7,251,044
------------
INSURANCE -- 1.0%
Ace Ltd. ................................. 68,400 $ 3,655,296
------------
INTERNET -- 4.6%
CNET Networks, Inc.(n) ................... 65,900 $ 968,071
Google, Inc., "A"(n) ..................... 22,210 9,214,041
Yahoo!, Inc.(n) .......................... 172,230 6,747,971
------------
$ 16,930,083
------------
LEISURE & TOYS -- 2.7%
Activision, Inc.(n) ...................... 193,173 $ 2,654,197
Electronic Arts, Inc.(n) ................. 111,920 5,854,535
THQ, Inc.(l)(n) .......................... 64,700 1,543,095
------------
$ 10,051,827
------------
MEDICAL EQUIPMENT -- 7.9%
Advanced Medical Optics, Inc.(n) ......... 102,200 $ 4,271,960
Alcon, Inc. .............................. 38,300 4,963,680
Cytyc Corp.(n) ........................... 317,560 8,964,719
Millipore Corp.(n) ....................... 75,860 5,009,794
ResMed, Inc.(n) .......................... 31,300 1,199,103
St. Jude Medical, Inc.(n) ................ 101,590 5,099,818
------------
$ 29,509,074
------------
METALS & MINING -- 0.3%
Companhia Vale do Rio Doce, ADR .......... 30,260 $ 1,244,896
------------
NETWORK & TELECOM -- 8.0%
Corning, Inc.(n) ......................... 202,100 $ 3,973,286
F5 Networks, Inc.(n) ..................... 45,700 2,613,583
Juniper Networks, Inc.(n) ................ 276,358 6,162,783
NeuStar, Inc., "A"(l)(n) ................. 37,600 1,146,424
Nokia Corp., ADR ......................... 381,400 6,979,620
QUALCOMM, Inc. ........................... 172,380 7,426,130
Research In Motion Ltd.(n) ............... 21,900 1,445,619
------------
$ 29,747,445
------------
OIL SERVICES -- 5.3%
BJ Services Co. .......................... 79,960 $ 2,932,133
ENSCO International, Inc. ................ 62,200 2,758,570
GlobalSantaFe Corp. ...................... 109,000 5,248,350
National Oilwell Varco, Inc.(n) .......... 61,200 3,837,240
Noble Corp. .............................. 43,600 3,075,544
Smith International, Inc.(l) ............. 53,340 1,979,447
------------
$ 19,831,284
------------
PERSONAL COMPUTERS & PERIPHERALS -- 2.1%
EMC Corp.(n) ............................. 380,590 $ 5,183,636
M-Systems Flash Disk Pioneers Ltd.(l)(n) . 82,100 2,719,152
------------
$ 7,902,788
------------
PHARMACEUTICALS -- 5.2%
Allergan, Inc. ........................... 55,090 $ 5,947,516
Johnson & Johnson ........................ 54,190 3,256,819
Roche Holding AG ......................... 39,350 5,901,977
Teva Pharmaceutical Industries Ltd., ADR(l). 100,030 4,302,290
------------
$ 19,408,602
------------
PRINTING & PUBLISHING -- 0.2%
Playboy Enterprises, Inc.,"B"(l)(n) ...... 56,060 $ 778,673
------------
RESTAURANTS -- 1.4%
Cheesecake Factory, Inc.(n) .............. 44,180 $ 1,651,890
Starbucks Corp.(n) ....................... 123,700 3,712,237
------------
$ 5,364,127
------------
SPECIALTY STORES -- 3.8%
Aeropostale, Inc.(n) ..................... 58,000 $ 1,525,400
Best Buy Co., Inc. ....................... 43,750 1,902,250
Chico's FAS, Inc.(l)(n) .................. 40,700 1,787,951
Circuit City Stores, Inc. ................ 88,200 1,992,438
PETsMART, Inc. ........................... 63,700 1,634,542
Submarino S.A.(n) ........................ 99,280 1,762,241
Urban Outfitters, Inc.(n) ................ 90,600 2,293,086
Williams-Sonoma, Inc.(n) ................. 26,300 1,134,845
------------
$ 14,032,753
------------
TELECOMMUNICATIONS -- WIRELESS -- 1.0%
America Movil S.A. de C.V., "L", ADR(l) .. 121,820 $ 3,564,453
------------
TELEPHONE SERVICES -- 3.7%
American Tower Corp., "A"(n) ............. 342,245 $ 9,274,840
Orascom Telecom Holding (S.A.E), GDR ..... 15,800 845,300
Sprint Nextel Corp. ...................... 157,460 3,678,266
------------
$ 13,798,406
------------
TRUCKING -- 0.5%
UTi Worldwide, Inc. ...................... 19,900 $ 1,847,516
------------
Total Stocks (Identified Cost, $306,913,268) ......... $365,715,415
------------
SHORT-TERM OBLIGATION -- 1.4%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) ..... $ 5,313,000 $ 5,311,760
------------
COLLATERAL FOR SECURITIES LOANED -- 7.5%
Navigator Securities Lending Prime
Portfolio, at Cost and Net Asset Value . 27,722,508 $ 27,722,508
------------
Total Investments
(Identified Cost, $339,947,536) .................... $398,749,683
------------
OTHER ASSETS,
LESS LIABILITIES -- (7.3)% ............................. (27,069,099)
------------
Net Assets -- 100.0% ................................. $371,680,584
============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
GLOBAL GROWTH SERIES
STOCKS -- 99.3%
Issuer Shares/Par($) Value ($)
AEROSPACE -- 0.6%
Lockheed Martin Corp. .................... 15,380 $ 978,630
------------
ALCOHOLIC BEVERAGES -- 0.7%
Pernod Ricard S.A.(l) .................... 6,200 $ 1,081,029
------------
APPAREL MANUFACTURERS -- 1.5%
Burberry Group PLC ....................... 103,630 $ 765,490
LVMH Moet Hennessy Louis Vuitton S.A ..... 18,930 1,680,541
------------
$ 2,446,031
------------
AUTOMOTIVE -- 2.0%
Autoliv, Inc.(l) ......................... 18,690 $ 843,814
Kongsberg Automotive A.S.A.(n) ........... 73,540 524,920
Toyota Motor Corp. ....................... 35,300 1,830,581
------------
$ 3,199,315
------------
BANKS & CREDIT COMPANIES -- 11.6%
AEON Credit Service Co. Ltd. ............. 29,900 $ 2,827,471
Aiful Corp. .............................. 20,500 1,711,011
American Express Co. ..................... 36,930 1,900,418
Anglo Irish Bank Corp. PLC ............... 58,370 885,168
Capital One Financial Corp. .............. 4,400 380,160
DEPFA Bank PLC ........................... 63,420 936,994
Erste Bank der Oesterreichischen
Sparkassen AG .......................... 26,190 1,452,159
Nedbank Group Ltd. ....................... 109,020 1,719,884
Shinsei Bank Ltd. ........................ 131,000 757,039
Standard Chartered PLC ................... 76,200 1,696,145
Takefuji Corp. ........................... 10,860 737,098
UBS AG ................................... 21,094 2,006,051
UniCredito Italiano S.p.A ................ 264,340 1,819,843
------------
$ 18,829,441
------------
BIOTECHNOLOGY -- 1.8%
Amgen, Inc.(n) ........................... 18,490 $ 1,458,121
Genzyme Corp.(n) ......................... 9,390 664,624
Gilead Sciences, Inc.(n) ................. 16,450 865,764
------------
$ 2,988,509
------------
BROADCAST & CABLE TV -- 4.9%
Grupo Televisa S.A., ADR ................. 23,290 $ 1,874,845
Nippon Television Network Corp. .......... 5,270 809,601
Pages Jaunes S.A.(l) ..................... 44,380 1,154,411
Viacom, Inc., "B" ........................ 23,190 755,994
Walt Disney Co. .......................... 66,010 1,582,260
WPP Group PLC ............................ 162,730 1,759,367
------------
$ 7,936,478
------------
BROKERAGE & ASSET MANAGERS -- 3.8%
Franklin Resources, Inc. ................. 17,200 $ 1,616,972
Goldman Sachs Group, Inc. ................ 12,870 1,643,628
Julius Baer Holding Ltd. ................. 18,650 1,319,940
Morgan Stanley ........................... 28,200 1,600,068
------------
$ 6,180,608
------------
BUSINESS SERVICES -- 2.4%
Getty Images, Inc.(l)(n) ................. 16,620 $ 1,483,667
Infosys Technologies Ltd. ................ 27,090 1,803,190
Monster Worldwide, Inc.(n) ............... 16,300 665,366
------------
$ 3,952,223
------------
CHEMICALS -- 0.4%
Nalco Holding Co.(n) ..................... 35,660 $ 631,539
------------
COMPUTER SOFTWARE -- 1.7%
Oracle Corp.(n) .......................... 140,530 $ 1,715,871
Symantec Corp.(n) ........................ 60,023 1,050,403
------------
$ 2,766,274
------------
COMPUTER SOFTWARE -- SYSTEMS -- 0.6%
Amdocs Ltd.(n) ........................... 35,890 $ 986,975
------------
CONSUMER GOODS & SERVICES -- 4.1%
Avon Products, Inc. ...................... 29,560 $ 843,938
Colgate-Palmolive Co. .................... 14,770 810,135
eBay, Inc.(n) ............................ 29,960 1,295,770
L'Oreal S.A.(l) .......................... 16,250 1,207,149
Reckitt Benckiser PLC .................... 75,350 2,486,696
------------
$ 6,643,688
------------
ELECTRICAL EQUIPMENT -- 2.6%
Keyence Corp. ............................ 2,900 $ 824,429
MSC Industrial Direct Co., Inc., "A" ..... 18,140 729,591
Nitto Denko Corp. ........................ 19,200 1,495,132
Schneider Electric S.A.(l) ............... 12,533 1,117,085
------------
$ 4,166,237
------------
ELECTRONICS -- 10.4%
Analog Devices, Inc. ..................... 2,210 $ 79,273
Canon, Inc.(l) ........................... 27,000 1,578,613
Intel Corp. .............................. 88,550 2,210,208
KLA-Tencor Corp. ......................... 18,170 896,326
Murata Manufacturing Co. Ltd. ............ 13,800 884,023
Nippon Electric Glass Co. Ltd.(l) ........ 57,000 1,243,698
Ricoh Co. Ltd. ........................... 69,000 1,207,347
Royal Philips Electronics N.V ............ 64,100 1,990,377
Samsung Electronics Co. Ltd. ............. 4,960 3,205,645
SanDisk Corp.(n) ......................... 16,900 1,061,658
Taiwan Semiconductor Manufacturing Co.
Ltd., ADR .............................. 168,800 1,672,808
USHIO America, Inc.(l) ................... 37,000 863,746
------------
$ 16,893,722
------------
ENERGY -- INDEPENDENT -- 4.3%
Canadian Natural Resources Ltd. .......... 15,220 $ 754,130
CNOOC Ltd. ............................... 2,353,000 1,562,880
EnCana Corp. ............................. 21,180 957,115
Norsk Hydro A.S.A ........................ 7,160 734,799
Reliance Industries Ltd. ................. 95,260 1,881,065
Talisman Energy, Inc. .................... 22,270 1,179,462
------------
$ 7,069,451
------------
ENERGY -- INTEGRATED -- 2.6%
BP PLC, ADR .............................. 26,968 $ 1,731,885
TOTAL S.A.(l) ............................ 9,860 2,474,972
------------
$ 4,206,857
------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 3.8%
Coca-Cola Hellenic Bottling Co. S.A ...... 56,520 $ 1,663,415
Groupe Danone(l) ......................... 13,040 1,361,258
Nestle S.A ............................... 5,977 1,785,671
PepsiCo, Inc. ............................ 23,250 1,373,610
------------
$ 6,183,954
------------
FOREST & PAPER PRODUCTS -- 1.0%
Aracruz Celulose S.A., ADR(l) ............ 38,990 $ 1,559,990
------------
GAMING & LODGING -- 0.9%
Hilton Group PLC ......................... 136,060 $ 850,106
William Hill Organization Ltd. ........... 71,730 660,235
------------
$ 1,510,341
------------
GENERAL MERCHANDISE -- 0.9%
Target Corp. ............................. 27,730 $ 1,524,318
------------
INSURANCE -- 0.5%
Ace Ltd. ................................. 15,290 $ 817,098
------------
INTERNET -- 0.8%
Yahoo!, Inc.(n) .......................... 31,500 $ 1,234,170
------------
LEISURE & TOYS -- 0.7%
Electronic Arts, Inc.(n) ................. 20,860 $ 1,091,187
------------
MACHINERY & TOOLS -- 0.7%
Sandvik AB ............................... 25,310 $ 1,177,705
------------
MEDICAL EQUIPMENT -- 6.0%
Advanced Medical Optics, Inc.(n) ......... 21,370 $ 893,266
Alcon, Inc. .............................. 6,010 778,896
Cyberonics, Inc.(n) ...................... 24,800 801,040
Cytyc Corp.(n) ........................... 29,910 844,359
Discovery Partners International, Inc.(n). 60 159
Medtronic, Inc. .......................... 24,130 1,389,164
Millipore Corp.(n) ....................... 12,380 817,575
Smith & Nephew PLC ....................... 157,540 1,450,069
Straumann Holding AG(l) .................. 3,500 810,179
Synthes, Inc. ............................ 8,020 899,884
Zimmer Holdings, Inc.(n) ................. 15,560 1,049,366
------------
$ 9,733,957
------------
METALS & MINING -- 3.0%
Aber Diamond Corp.(a) .................... 24,730 $ 913,634
Aber Diamond Corp. ....................... 10,640 393,088
BHP Billiton Ltd. ........................ 97,040 1,620,202
Companhia Vale do Rio Doce, ADR .......... 48,310 1,987,473
------------
$ 4,914,397
------------
NETWORK & TELECOM -- 2.2%
Cisco Systems, Inc.(n) ................... 90,620 $ 1,551,414
Juniper Networks, Inc.(n) ................ 52,110 1,162,053
QUALCOMM, Inc. ........................... 22,090 951,637
------------
$ 3,665,104
------------
OIL SERVICES -- 1.0%
Tenaris S.A., ADR(l) ..................... 14,130 $ 1,617,885
------------
PERSONAL COMPUTERS & PERIPHERALS -- 1.0%
EMC Corp.(n) ............................. 60,560 $ 824,827
Network Appliance, Inc.(n) ............... 32,280 871,560
------------
$ 1,696,387
------------
PHARMACEUTICALS -- 7.9%
AstraZeneca PLC .......................... 31,710 $ 1,541,940
Eli Lilly & Co. .......................... 28,050 1,587,350
GlaxoSmithKline PLC ...................... 88,990 2,246,990
Johnson & Johnson ........................ 37,850 2,274,785
Roche Holding AG ......................... 16,010 2,401,287
Sanofi-Aventis(l) ........................ 14,220 1,244,742
Teva Pharmaceutical Industries Ltd., ADR(l) 38,490 1,655,455
------------
$ 12,952,549
------------
PRINTING & PUBLISHING -- 0.9%
Yell Group PLC ........................... 153,190 $ 1,412,662
------------
RESTAURANTS -- 0.5%
Outback Steakhouse, Inc. ................. 19,870 $ 826,791
------------
SPECIALTY CHEMICALS -- 2.2%
Asahi Glass Co. Ltd.(l) .................. 75,000 $ 967,885
Kaneka Corp. ............................. 60,000 724,484
L'Air Liquide S.A., Bearer Shares ........ 9,945 1,911,640
------------
$ 3,604,009
------------
SPECIALTY STORES -- 3.1%
Esprit Holdings Ltd. ..................... 102,500 $ 728,404
Industria de Diseno Textil S.A ........... 27,260 888,373
NEXT PLC ................................. 42,126 1,111,468
Nishimatsuya Chain Co. Ltd. .............. 22,200 1,021,446
PETsMART, Inc. ........................... 53,330 1,368,448
------------
$ 5,118,139
------------
TELECOMMUNICATIONS -- WIRELESS -- 2.3%
Turkcell Iletisim Hizmetleri A.S., ADR ... 106,880 $ 1,641,677
Vodafone Group PLC ....................... 1,012,020 2,183,087
------------
$ 3,824,764
------------
TELEPHONE SERVICES -- 2.2%
FastWeb S.p.A ............................ 14,704 $ 671,384
Sprint Nextel Corp. ...................... 65,270 1,524,707
Telenor A.S.A ............................ 135,770 1,332,025
------------
$ 3,528,116
------------
UTILITIES -- ELECTRIC POWER -- 1.7%
Iberdrola S.A.(l) ........................ 45,410 $ 1,240,291
Suez S.A.(l) ............................. 50,483 1,570,540
------------
$ 2,810,831
------------
Total Stocks (Identified Cost, $139,968,339) ......... $161,761,361
------------
SHORT-TERM OBLIGATION -- 0.5%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) ..... $ 885,000 $ 884,794
------------
COLLATERAL FOR SECURITIES LOANED -- 12.8%
Navigator Securities Lending Prime
Portfolio, at Cost and Net Asset Value .. 20,841,693 $ 20,841,693
------------
Total Investments
(Identified Cost, $161,694,826) (k) ................ $183,487,848
------------
OTHER ASSETS,
LESS LIABILITIES -- (12.6)% ............................ (20,513,827)
------------
Net Assets -- 100.0% ................................. $162,974,021
============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
MASSACHUSETTS INVESTORS TRUST SERIES
STOCKS -- 98.7%
Issuer Shares/Par($) Value ($)
AEROSPACE -- 4.6%
Lockheed Martin Corp. .................... 372,140 $ 23,679,268
United Technologies Corp. ................ 507,620 28,381,034
--------------
$ 52,060,302
--------------
APPAREL MANUFACTURERS -- 0.9%
Nike, Inc., "B" .......................... 120,440 $ 10,452,988
--------------
BANKS & CREDIT COMPANIES -- 8.0%
American Express Co. ..................... 255,560 $ 13,151,118
Bank of America Corp. .................... 501,300 23,134,995
J.P. Morgan Chase & Co. .................. 517,620 20,544,338
SLM Corp. ................................ 297,220 16,373,850
Wells Fargo & Co. ........................ 269,880 16,956,560
--------------
$ 90,160,861
--------------
BIOTECHNOLOGY -- 4.2%
Amgen, Inc.(n) ........................... 294,650 $ 23,236,099
Genzyme Corp.(n) ......................... 117,050 8,284,799
Gilead Sciences, Inc.(n) ................. 309,340 16,280,564
--------------
$ 47,801,462
--------------
BROADCAST & CABLE TV -- 1.8%
Viacom, Inc., "B" ........................ 334,090 $ 10,891,334
Walt Disney Co. .......................... 390,850 9,368,675
--------------
$ 20,260,009
--------------
BROKERAGE & ASSET MANAGERS -- 3.8%
Goldman Sachs Group, Inc. ................ 148,540 $ 18,970,043
Legg Mason, Inc. ......................... 97,320 11,648,231
Lehman Brothers Holdings, Inc. ........... 92,820 11,896,739
--------------
$ 42,515,013
--------------
BUSINESS SERVICES -- 0.6%
Accenture Ltd., "A" ...................... 221,240 $ 6,387,199
--------------
CHEMICALS -- 2.8%
3M Co. ................................... 147,940 $ 11,465,350
Dow Chemical Co. ......................... 247,630 10,851,147
Monsanto Co. ............................. 126,610 9,816,073
--------------
$ 32,132,570
--------------
COMPUTER SOFTWARE -- 2.1%
Adobe Systems, Inc. ...................... 188,820 $ 6,978,787
Oracle Corp.(n) .......................... 1,349,670 16,479,471
--------------
$ 23,458,258
--------------
COMPUTER SOFTWARE -- SYSTEMS -- 4.2%
Amdocs Ltd.(n) ........................... 436,940 $ 12,015,850
Apple Computer, Inc.(n) .................. 175,880 12,644,013
Dell, Inc.(n) ............................ 404,290 12,124,657
International Business Machines Corp. .... 134,410 11,048,502
--------------
$ 47,833,022
--------------
CONSTRUCTION -- 0.8%
Masco Corp. .............................. 282,940 $ 8,541,959
--------------
CONSUMER GOODS & SERVICES -- 5.0%
Colgate-Palmolive Co. .................... 284,890 $ 15,626,217
Procter & Gamble Co. ..................... 355,740 20,590,231
Reckitt Benckiser PLC .................... 624,290 20,602,780
--------------
$ 56,819,228
--------------
ELECTRICAL EQUIPMENT -- 1.5%
Tyco International Ltd. .................. 601,840 $ 17,369,102
--------------
ELECTRONICS -- 4.2%
Analog Devices, Inc. ..................... 176,780 $ 6,341,099
Intel Corp. .............................. 420,880 10,505,165
Samsung Electronics Co. Ltd., GDR ........ 46,170 15,213,015
SanDisk Corp.(n) ......................... 152,590 9,585,704
Xilinx, Inc. ............................. 242,100 6,103,341
--------------
$ 47,748,324
--------------
ENERGY -- INDEPENDENT -- 2.0%
EnCana Corp. ............................. 174,880 $ 7,897,581
EOG Resources, Inc. ...................... 199,370 14,627,777
--------------
$ 22,525,358
--------------
ENERGY -- INTEGRATED -- 3.9%
Amerada Hess Corp. ....................... 106,320 $ 13,483,502
BP PLC, ADR(l) ........................... 188,202 12,086,332
TOTAL S.A., ADR(l) ....................... 144,110 18,215,504
--------------
$ 43,785,338
--------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 3.2%
Coca-Cola Co. ............................ 198,630 $ 8,006,775
Nestle S.A ............................... 38,928 11,630,016
PepsiCo, Inc. ............................ 282,680 16,700,734
--------------
$ 36,337,525
--------------
GAMING & LODGING -- 1.8%
Carnival Corp. ........................... 246,050 $ 13,156,294
Hilton Group PLC ......................... 1,247,110 7,791,972
--------------
$ 20,948,266
--------------
GENERAL MERCHANDISE -- 3.3%
Kohl's Corp.(n) .......................... 179,410 $ 8,719,326
Target Corp. ............................. 318,500 17,507,945
Wal-Mart Stores, Inc. .................... 229,630 10,746,684
--------------
$ 36,973,955
--------------
INSURANCE -- 5.2%
Ace Ltd. ................................. 165,630 $ 8,851,267
American International Group, Inc. ....... 554,307 37,820,367
Genworth Financial, Inc., "A" ............ 345,200 11,937,016
--------------
$ 58,608,650
--------------
INTERNET -- 0.5%
Yahoo!, Inc.(n) .......................... 131,660 $ 5,158,439
--------------
LEISURE & TOYS -- 1.1%
Electronic Arts, Inc.(n) ................. 232,990 $ 12,187,707
--------------
MACHINERY & TOOLS -- 2.0%
Caterpillar, Inc. ........................ 286,650 $ 16,559,771
Illinois Tool Works, Inc.(l) ............. 62,830 5,528,412
--------------
$ 22,088,183
--------------
MEDICAL EQUIPMENT -- 2.6%
Boston Scientific Corp.(n) ............... 281,250 $ 6,887,813
Medtronic, Inc. .......................... 194,230 11,181,821
Zimmer Holdings, Inc.(n) ................. 166,870 11,253,713
--------------
$ 29,323,347
--------------
NETWORK & TELECOM -- 2.5%
Cisco Systems, Inc.(n) ................... 1,013,090 $ 17,344,101
QUALCOMM, Inc. ........................... 241,950 10,423,206
--------------
$ 27,767,307
--------------
OIL SERVICES -- 4.0%
GlobalSantaFe Corp. ...................... 248,280 $ 11,954,682
Halliburton Co. .......................... 69,700 4,318,612
Noble Corp. .............................. 221,440 15,620,378
Transocean, Inc.(n) ...................... 195,480 13,623,001
--------------
$ 45,516,673
--------------
PERSONAL COMPUTERS & PERIPHERALS -- 2.3%
EMC Corp.(n) ............................. 1,913,120 $ 26,056,694
--------------
PHARMACEUTICALS -- 10.1%
Abbott Laboratories ...................... 466,290 $ 18,385,815
Eli Lilly & Co. .......................... 304,230 17,216,376
Johnson & Johnson ........................ 526,680 31,653,468
Roche Holding AG ......................... 85,660 12,847,860
Teva Pharmaceutical Industries Ltd.,
ADR(l) ................................. 241,640 10,392,936
Wyeth .................................... 500,700 23,067,249
--------------
$ 113,563,704
--------------
SPECIALTY CHEMICALS -- 1.1%
Praxair, Inc. ............................ 238,320 $ 12,621,427
--------------
SPECIALTY STORES -- 2.7%
Gap, Inc. ................................ 400,000 $ 7,056,000
Staples, Inc. ............................ 573,540 13,025,093
TJX Cos., Inc.(l) ........................ 447,190 10,388,224
--------------
$ 30,469,317
--------------
TELECOMMUNICATIONS -- WIRELESS -- 0.6%
Vodafone Group PLC, ADR(l) ............... 311,150 $ 6,680,391
--------------
TELEPHONE SERVICES -- 1.3%
Sprint Nextel Corp. ...................... 618,180 $ 14,440,685
--------------
TOBACCO -- 1.7%
Altria Group, Inc. ....................... 264,270 $ 19,746,254
--------------
TRUCKING -- 1.0%
FedEx Corp. .............................. 105,110 $ 10,867,323
--------------
UTILITIES -- ELECTRIC POWER -- 1.3%
Entergy Corp. ............................ 46,840 $ 3,215,564
Exelon Corp. ............................. 221,230 11,756,162
--------------
$ 14,971,726
--------------
Total Stocks (Identified Cost, $966,492,411) ....... $1,114,178,566
--------------
SHORT-TERM OBLIGATION -- 1.0%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) ..... $11,052,000 $ 11,049,421
--------------
COLLATERAL FOR SECURITIES LOANED -- 2.5%
Navigator Securities Lending Prime
Portfolio, at Cost and Net Asset Value . 28,321,677 $ 28,321,677
--------------
Total Investments
(Identified Cost, $1,005,863,509) ................ $1,153,549,664
--------------
OTHER ASSETS,
LESS LIABILITIES -- (2.2)% ........................... (25,051,435)
--------------
Net Assets -- 100.0% ............................... $1,128,498,229
==============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
MID CAP GROWTH SERIES
STOCKS -- 97.7%
Issuer Shares/Par($) Value ($)
AEROSPACE -- 1.5%
FLIR Systems, Inc.(l)(n) ................. 21,430 $ 478,532
ITT Industries, Inc. ..................... 11,680 1,200,938
------------
$ 1,679,470
------------
AUTOMOTIVE -- 1.6%
Gentex Corp.(l) .......................... 33,200 $ 647,400
Harman International Industries, Inc. .... 10,970 1,073,414
------------
$ 1,720,814
------------
BANKS & CREDIT COMPANIES -- 2.5%
Commerce Bancorp, Inc.(l) ................ 33,300 $ 1,145,853
Investors Financial Services Corp.(l) .... 20,030 737,705
Nelnet, Inc., "A"(l)(n) .................. 8,100 329,508
SLM Corp. ................................ 10,380 571,834
------------
$ 2,784,900
------------
BIOTECHNOLOGY -- 5.2%
Gen-Probe, Inc.(n) ....................... 17,040 $ 831,382
Genzyme Corp.(n) ......................... 20,580 1,456,652
Gilead Sciences, Inc.(n) ................. 30,720 1,616,794
Human Genome Sciences, Inc.(l)(n) ........ 20,350 174,196
ImClone Systems, Inc.(l)(n) .............. 17,960 614,950
MedImmune, Inc.(n) ....................... 28,950 1,013,829
------------
$ 5,707,803
------------
BROADCAST & CABLE TV -- 2.2%
Citadel Broadcasting Corp.(l) ............ 54,500 $ 732,480
Grupo Televisa S.A., ADR ................. 18,490 1,488,445
XM Satellite Radio Holdings, Inc.,
"A"(l)(n) .............................. 9,700 264,616
------------
$ 2,485,541
------------
BROKERAGE & ASSET MANAGERS -- 3.0%
Chicago Mercantile Exchange Holdings, Inc. 4,400 $ 1,616,956
Legg Mason, Inc. ......................... 14,034 1,679,729
------------
$ 3,296,685
------------
BUSINESS SERVICES -- 8.4%
Alliance Data Systems Corp.(l)(n) ........ 32,930 $ 1,172,308
Bright Horizons Family Solutions, Inc.(n) . 15,200 563,160
Brink's Co. .............................. 13,500 646,785
Corporate Executive Board Co. ............ 22,310 2,001,207
DST Systems, Inc.(n) ..................... 18,530 1,110,132
Getty Images, Inc.(l)(n) ................. 19,700 1,758,619
Monster Worldwide, Inc.(n) ............... 26,980 1,101,324
Paychex, Inc. ............................ 23,850 909,162
------------
$ 9,262,697
------------
COMPUTER SOFTWARE -- 3.6%
Adobe Systems, Inc. ...................... 44,930 $ 1,660,613
Check Point Software Technologies Ltd.(n) 38,150 766,815
Symantec Corp.(n) ........................ 87,663 1,534,103
------------
$ 3,961,531
------------
COMPUTER SOFTWARE -- SYSTEMS -- 2.6%
Amdocs Ltd.(n) ........................... 83,200 $ 2,288,000
MICROS Systems, Inc.(n) .................. 11,600 560,512
------------
$ 2,848,512
------------
CONSUMER GOODS & SERVICES -- 3.2%
Apollo Group, Inc., "A"(l)(n) ............ 25,950 $ 1,568,937
Estee Lauder Cos., Inc., "A" ............. 21,100 706,428
ITT Educational Services, Inc.(n) ........ 21,700 1,282,687
------------
$ 3,558,052
------------
ELECTRICAL EQUIPMENT -- 1.7%
MSC Industrial Direct Co., Inc., "A" ..... 22,100 $ 888,862
W.W. Grainger, Inc. ...................... 13,180 937,098
------------
$ 1,825,960
------------
ELECTRONICS -- 10.9%
Analog Devices, Inc. ..................... 64,280 $ 2,305,724
KLA-Tencor Corp. ......................... 34,730 1,713,231
Marvell Technology Group Ltd.(n) ......... 28,880 1,619,879
Novellus Systems, Inc.(n) ................ 22,890 552,107
PMC-Sierra, Inc.(l)(n) ................... 142,240 1,096,670
SanDisk Corp.(n) ......................... 30,290 1,902,818
Tessera Technologies, Inc.(l)(n) ......... 20,200 522,170
Xilinx, Inc. ............................. 93,210 2,349,824
------------
$ 12,062,423
------------
ENERGY -- INTEGRATED -- 1.1%
Amerada Hess Corp. ....................... 9,370 $ 1,188,303
------------
FURNITURE & APPLIANCES -- 0.3%
Tempur-Pedic International, Inc.(l)(n) ... 31,970 $ 367,655
------------
GAMING & LODGING -- 1.7%
International Game Technology ............ 41,720 $ 1,284,142
Station Casinos, Inc. .................... 8,400 569,520
------------
$ 1,853,662
------------
GENERAL MERCHANDISE -- 1.3%
99 Cents Only Stores(l)(n) ............... 31,250 $ 326,875
Kohl's Corp.(n) .......................... 23,010 1,118,286
------------
$ 1,445,161
------------
HEALTH MAINTENANCE ORGANIZATIONS -- 1.4%
Health Net, Inc.(l)(n) ................... 29,100 $ 1,500,105
------------
INSURANCE -- 3.2%
Ace Ltd. ................................. 21,030 $ 1,123,843
Endurance Specialty Holdings Ltd. ........ 25,600 917,760
PartnerRe Ltd.(l) ........................ 17,600 1,155,792
Platinum Underwriters Holdings Ltd. ...... 9,200 285,844
------------
$ 3,483,239
------------
LEISURE & TOYS -- 1.3%
Electronic Arts, Inc.(n) ................. 27,900 $ 1,459,449
------------
MACHINERY & TOOLS -- 1.7%
Precision Castparts Corp.(l) ............. 13,960 $ 723,268
Roper Industries, Inc.(l) ................ 28,420 1,122,874
------------
$ 1,846,142
------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES -- 1.1%
Laboratory Corp. of America Holdings(n) .. 22,280 $ 1,199,778
------------
MEDICAL EQUIPMENT -- 10.7%
Advanced Medical Optics, Inc.(n) ......... 45,500 $ 1,901,900
C.R. Bard, Inc. .......................... 16,600 1,094,272
Cytyc Corp.(n) ........................... 61,790 1,744,332
DENTSPLY International, Inc. ............. 23,430 1,257,957
Fisher Scientific International, Inc.(l)(n) 19,230 1,189,568
Millipore Corp.(n) ....................... 25,930 1,712,417
ResMed, Inc.(n) .......................... 17,690 677,704
St. Jude Medical, Inc.(n) ................ 31,480 1,580,296
Thoratec Corp.(n) ........................ 33,580 694,770
------------
$ 11,853,216
------------
METALS & MINING -- 0.1%
Aber Diamond Corp. ....................... 2,100 $ 77,583
------------
NETWORK & TELECOM -- 3.5%
Comverse Technology, Inc.(l)(n) .......... 45,660 $ 1,214,099
Juniper Networks, Inc.(n) ................ 120,000 2,676,000
------------
$ 3,890,099
------------
OIL SERVICES -- 6.0%
BJ Services Co.(l) ....................... 17,320 $ 635,124
GlobalSantaFe Corp. ...................... 26,370 1,269,716
National Oilwell Varco, Inc.(n) .......... 27,820 1,744,314
Noble Corp. .............................. 13,800 973,452
Smith International, Inc. ................ 54,720 2,030,659
------------
$ 6,653,265
------------
PERSONAL COMPUTERS & PERIPHERALS -- 0.4%
M-Systems Flash Disk Pioneers Ltd.(n) .... 13,380 $ 443,146
------------
PHARMACEUTICALS -- 4.2%
Allergan, Inc.(l) ........................ 14,080 $ 1,520,077
Endo Pharmaceuticals Holdings, Inc.(n) ... 28,250 854,845
Medicis Pharmaceutical Corp., "A"(l) ..... 69,610 2,231,000
------------
$ 4,605,922
------------
RESTAURANTS -- 2.6%
Cheesecake Factory, Inc.(n) .............. 47,435 $ 1,773,595
Rare Hospitality International, Inc.(n) .. 37,760 1,147,526
------------
$ 2,921,121
------------
SPECIALTY CHEMICALS -- 1.0%
Praxair, Inc. ............................ 21,000 $ 1,112,160
------------
SPECIALTY STORES -- 5.9%
Aeropostale, Inc.(n) ..................... 22,940 $ 603,322
Bed Bath & Beyond, Inc.(n) ............... 43,580 1,575,417
Chico's FAS, Inc.(n) ..................... 15,930 699,805
PETsMART, Inc. ........................... 77,950 2,000,197
Urban Outfitters, Inc.(n) ................ 29,870 756,010
Williams-Sonoma, Inc.(n) ................. 19,300 832,795
------------
$ 6,467,546
------------
TELEPHONE SERVICES -- 3.2%
American Tower Corp., "A"(n) ............. 131,134 $ 3,553,731
------------
TRUCKING -- 0.6%
Expeditors International of Washington,
Inc.(l) ................................ 10,150 $ 685,226
------------
Total Stocks (Identified Cost, $94,273,517) .......... $107,800,897
------------
SHORT-TERM OBLIGATION -- 2.0%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) ..... $ 2,185,000 $ 2,184,490
------------
COLLATERAL FOR SECURITIES LOANED -- 16.2%
Navigator Securities Lending Prime
Portfolio, at Cost and Net Asset Value .. 17,909,575 $ 17,909,575
------------
Total Investments
(Identified Cost, $114,367,582) (k) ................ $127,894,962
------------
OTHER ASSETS,
LESS LIABILITIES -- (15.9)% ............................ (17,545,002)
------------
Net Assets -- 100.0% ................................. $110,349,960
============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
RESEARCH SERIES
STOCKS -- 99.4%
Issuer Shares/Par($) Value ($)
AEROSPACE -- 2.6%
Lockheed Martin Corp. .................... 53,300 $ 3,391,479
United Technologies Corp. ................ 119,850 6,700,813
------------
$ 10,092,292
------------
ALCOHOLIC BEVERAGES -- 0.9%
Diageo PLC ............................... 256,030 $ 3,707,652
------------
APPAREL MANUFACTURERS -- 1.3%
Columbia Sportswear Co.(l)(n) ............ 38,430 $ 1,834,264
Nike, Inc., "B" .......................... 40,080 3,478,543
------------
$ 5,312,807
------------
BANKS & CREDIT COMPANIES -- 8.4%
American Express Co. ..................... 77,010 $ 3,962,935
Bank of America Corp. .................... 203,220 9,378,603
Capital One Financial Corp. .............. 42,700 3,689,280
J.P. Morgan Chase & Co. .................. 128,400 5,096,196
PNC Financial Services Group, Inc. ....... 98,330 6,079,744
SLM Corp. ................................ 93,540 5,153,119
------------
$ 33,359,877
------------
BIOTECHNOLOGY -- 3.3%
Amgen, Inc.(n) ........................... 45,720 $ 3,605,479
Genzyme Corp.(n) ......................... 26,800 1,896,904
Gilead Sciences, Inc.(n) ................. 69,230 3,643,575
ImClone Systems, Inc.(l)(n) .............. 109,890 3,762,634
------------
$ 12,908,592
------------
BROADCAST & CABLE TV -- 1.0%
Walt Disney Co. .......................... 159,260 $ 3,817,462
------------
BROKERAGE & ASSET MANAGERS -- 7.6%
Franklin Resources, Inc. ................. 81,790 $ 7,689,078
Goldman Sachs Group, Inc. ................ 41,880 5,348,495
Legg Mason, Inc. ......................... 59,535 7,125,744
Lehman Brothers Holdings, Inc. ........... 45,480 5,829,172
Mellon Financial Corp. ................... 115,790 3,965,807
------------
$ 29,958,296
------------
BUSINESS SERVICES -- 1.7%
Corporate Executive Board Co. ............ 33,150 $ 2,973,555
Getty Images, Inc.(l)(n) ................. 43,660 3,897,528
------------
$ 6,871,083
------------
CHEMICALS -- 1.3%
Nalco Holding Co.(l)(n) .................. 294,760 $ 5,220,200
------------
COMPUTER SOFTWARE -- 2.3%
MicroStrategy, Inc., "A"(l)(n) ........... 59,480 $ 4,921,375
Oracle Corp.(n) .......................... 325,650 3,976,186
------------
$ 8,897,561
------------
COMPUTER SOFTWARE -- SYSTEMS -- 1.7%
Amdocs Ltd.(n) ........................... 106,500 $ 2,928,750
Dell, Inc.(n) ............................ 120,640 3,617,994
------------
$ 6,546,744
------------
CONSTRUCTION -- 1.4%
Masco Corp. .............................. 182,720 $ 5,516,317
------------
CONSUMER GOODS & SERVICES -- 0.9%
Avon Products, Inc. ...................... 70,360 $ 2,008,778
Procter & Gamble Co. ..................... 26,563 1,537,466
------------
$ 3,546,244
------------
CONTAINERS -- 1.5%
Owens-Illinois, Inc.(n) .................. 290,780 $ 6,118,011
------------
ELECTRICAL EQUIPMENT -- 3.4%
Tyco International Ltd. .................. 342,380 $ 9,881,087
W.W. Grainger, Inc. ...................... 50,490 3,589,839
------------
$ 13,470,926
------------
ELECTRONICS -- 6.2%
Analog Devices, Inc. ..................... 5,720 $ 205,176
Intel Corp. .............................. 373,900 9,332,544
Marvell Technology Group Ltd.(n) ......... 66,830 3,748,495
SanDisk Corp.(l)(n) ...................... 102,310 6,427,114
Tessera Technologies, Inc.(n) ............ 72,500 1,874,125
Xilinx, Inc. ............................. 109,620 2,763,520
------------
$ 24,350,974
------------
ENERGY -- INDEPENDENT -- 1.5%
Apache Corp. ............................. 85,000 $ 5,824,200
------------
ENERGY -- INTEGRATED -- 4.3%
Amerada Hess Corp.(l) .................... 52,200 $ 6,620,004
Exxon Mobil Corp. ........................ 103,390 5,807,416
TOTAL S.A., ADR(l) ....................... 34,690 4,384,816
------------
$ 16,812,236
------------
FOOD & DRUG STORES -- 0.5%
CVS Corp. ................................ 79,790 $ 2,108,052
------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 3.3%
Coca-Cola Co. ............................ 39,380 $ 1,587,408
Nestle S.A ............................... 15,405 4,602,353
PepsiCo, Inc. ............................ 113,200 6,687,856
------------
$ 12,877,617
------------
FOREST & PAPER PRODUCTS -- 1.0%
Abitibi-Consolidated, Inc. ............... 428,600 $ 1,735,830
Bowater, Inc.(l) ......................... 69,370 2,131,046
------------
$ 3,866,876
------------
GENERAL MERCHANDISE -- 2.4%
Kohl's Corp.(n) .......................... 77,550 $ 3,768,930
Target Corp. ............................. 66,010 3,628,570
Wal-Mart Stores, Inc. .................... 40,570 1,898,676
------------
$ 9,296,176
------------
INSURANCE -- 5.1%
Ace Ltd. ................................. 69,430 $ 3,710,339
Chubb Corp. .............................. 43,900 4,286,835
Endurance Specialty Holdings Ltd. ........ 52,980 1,899,333
Genworth Financial, Inc., "A" ............ 132,860 4,594,299
PartnerRe Ltd.(l) ........................ 29,200 1,917,564
St. Paul Travelers Cos., Inc. ............ 86,380 3,858,595
------------
$ 20,266,965
------------
INTERNET -- 1.3%
Google, Inc., "A"(n) ..................... 12,780 $ 5,301,911
------------
LEISURE & TOYS -- 1.7%
Electronic Arts, Inc.(n) ................. 94,800 $ 4,958,988
THQ, Inc.(l)(n) .......................... 81,240 1,937,574
------------
$ 6,896,562
------------
MEDICAL EQUIPMENT -- 2.7%
Alcon, Inc.(l) ........................... 16,750 $ 2,170,800
Millipore Corp.(n) ....................... 54,740 3,615,030
Zimmer Holdings, Inc.(n) ................. 70,140 4,730,242
------------
$ 10,516,072
------------
METALS & MINING -- 2.0%
BHP Billiton PLC ......................... 309,010 $ 5,043,195
Companhia Vale do Rio Doce, ADR .......... 66,200 2,723,468
------------
$ 7,766,663
------------
NATURAL GAS -- DISTRIBUTION -- 0.2%
Sempra Energy ............................ 13,560 $ 608,030
------------
NETWORK & TELECOM -- 1.3%
Juniper Networks, Inc.(n) ................ 230,730 $ 5,145,279
------------
OIL SERVICES -- 3.9%
GlobalSantaFe Corp.(l) ................... 203,555 $ 9,801,173
Noble Corp. .............................. 81,740 5,765,940
------------
$ 15,567,113
------------
PERSONAL COMPUTERS & PERIPHERALS -- 1.4%
EMC Corp.(n) ............................. 217,750 $ 2,965,755
Network Appliance, Inc.(l)(n) ............ 99,670 2,691,090
------------
$ 5,656,845
------------
PHARMACEUTICALS -- 7.1%
Abbott Laboratories ...................... 36,400 $ 1,435,252
Eli Lilly & Co. .......................... 99,030 5,604,108
Endo Pharmaceuticals Holdings, Inc.(l)(n) . 122,320 3,701,403
Johnson & Johnson ........................ 130,220 7,826,222
Medicis Pharmaceutical Corp., "A"(l) ..... 56,550 1,812,427
Wyeth .................................... 164,050 7,557,783
------------
$ 27,937,195
------------
PRINTING & PUBLISHING -- 0.7%
Washington Post Co., "B" ................. 3,580 $ 2,738,700
------------
RESTAURANTS -- 1.0%
P.F. Chang's China Bistro, Inc.(l)(n) .... 41,870 $ 2,078,008
Rare Hospitality International, Inc.(n) .. 64,180 1,950,430
------------
$ 4,028,438
------------
SPECIALTY CHEMICALS -- 0.9%
Praxair, Inc. ............................ 63,630 $ 3,369,845
------------
SPECIALTY STORES -- 2.7%
Gap, Inc. ................................ 184,340 $ 3,251,758
PETsMART, Inc. ........................... 289,510 7,428,827
------------
$ 10,680,585
------------
TELECOMMUNICATIONS -- WIRELESS -- 1.1%
America Movil S.A. de C.V., "L", ADR(l) .. 35,760 $ 1,046,337
Vodafone Group PLC, ADR .................. 160,043 3,436,123
------------
$ 4,482,460
------------
TELEPHONE SERVICES -- 2.3%
CenturyTel, Inc.(l) ...................... 47,300 $ 1,568,468
Sprint Nextel Corp. ...................... 291,655 6,813,061
Verizon Communications, Inc. ............. 24,570 740,048
------------
$ 9,121,577
------------
TOBACCO -- 2.4%
Altria Group, Inc. ....................... 129,460 $ 9,673,251
------------
UTILITIES -- ELECTRIC POWER -- 3.1%
FPL Group, Inc. .......................... 140,600 $ 5,843,336
NRG Energy, Inc.(l)(n) ................... 132,750 6,255,180
------------
$ 12,098,516
------------
Total Stocks (Identified Cost, $367,546,454) ......... $392,336,202
------------
SHORT-TERM OBLIGATION -- 0.6%
New Center Asset Trust, 4.23%,
due 1/03/06, at Amortized Cost (y) ...... $2,533,000 $ 2,532,405
------------
COLLATERAL FOR SECURITIES LOANED -- 7.0%
Navigator Securities Lending Prime
Portfolio, at Cost and Net Asset Value .. 27,537,097 $ 27,537,097
------------
Total Investments
(Identified Cost, $397,615,956) .................... $422,405,704
------------
OTHER ASSETS,
LESS LIABILITIES -- (7.0)% ............................. (27,535,609)
------------
Net Assets -- 100.0% ................................. $394,870,095
============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
TOTAL RETURN SERIES
STOCKS -- 61.1%
Issuer Shares/Par($) Value ($)
AEROSPACE -- 1.6%
Lockheed Martin Corp. .................... 265,100 $ 16,868,313
Northrop Grumman Corp. ................... 156,600 9,413,226
United Technologies Corp. ................ 159,200 8,900,872
--------------
$ 35,182,411
--------------
ALCOHOLIC BEVERAGES -- 0.4%
Diageo PLC ............................... 471,912 $ 6,833,908
Molson Coors Brewing Co.(l) .............. 39,270 2,630,697
--------------
$ 9,464,605
--------------
AUTOMOTIVE -- 0.1%
Johnson Controls, Inc. ................... 44,400 $ 3,237,204
--------------
BANKS & CREDIT COMPANIES -- 9.4%
American Express Co. ..................... 143,870 $ 7,403,550
Bank of America Corp. .................... 1,203,536 55,543,187
Capital One Financial Corp. .............. 53,040 4,582,656
Citigroup, Inc. .......................... 571,333 27,726,791
Countrywide Financial Corp. .............. 95,450 3,263,435
Fannie Mae ............................... 133,600 6,521,016
Freddie Mac .............................. 34,200 2,234,970
J.P. Morgan Chase & Co. .................. 793,752 31,504,017
MBNA Corp. ............................... 83,000 2,253,450
PNC Financial Services Group, Inc. ....... 535,620 33,117,385
SunTrust Banks, Inc. ..................... 199,380 14,506,889
UBS AG ................................... 41,677 3,963,505
Wells Fargo & Co. ........................ 129,200 8,117,636
--------------
$ 200,738,487
--------------
BIOTECHNOLOGY -- 0.1%
MedImmune, Inc.(n) ....................... 46,170 $ 1,616,873
--------------
BROADCAST & CABLE TV -- 2.2%
Viacom, Inc., "B" ........................ 839,078 $ 27,353,943
Walt Disney Co. .......................... 799,030 19,152,749
--------------
$ 46,506,692
--------------
BROKERAGE & ASSET MANAGERS -- 3.7%
Ameriprise Financial, Inc. ............... 33,774 $ 1,384,734
Franklin Resources, Inc. ................. 66,310 6,233,803
Goldman Sachs Group, Inc. ................ 98,800 12,617,748
Lehman Brothers Holdings, Inc. ........... 72,070 9,237,212
Mellon Financial Corp. ................... 802,390 27,481,857
Merrill Lynch & Co., Inc. ................ 230,350 15,601,605
Morgan Stanley ........................... 102,780 5,831,737
--------------
$ 78,388,696
--------------
BUSINESS SERVICES -- 0.5%
Accenture Ltd., "A" ...................... 347,530 $ 10,033,191
--------------
CHEMICALS -- 1.7%
3M Co. ................................... 68,470 $ 5,306,425
Dow Chemical Co. ......................... 84,750 3,713,745
E.I. du Pont de Nemours & Co. ............ 263,900 11,215,750
Nalco Holding Co.(n) ..................... 280,180 4,961,988
PPG Industries, Inc. ..................... 134,840 7,807,236
Syngenta AG .............................. 32,900 4,089,209
--------------
$ 37,094,353
--------------
COMPUTER SOFTWARE -- 2.5%
Compuware Corp.(l)(n) .................... 1,183,280 $ 10,614,022
Microsoft Corp. .......................... 78,700 2,058,005
Oracle Corp.(n) .......................... 1,274,400 15,560,424
Symantec Corp.(n) ........................ 1,422,400 24,892,000
--------------
$ 53,124,451
--------------
COMPUTER SOFTWARE -- SYSTEMS -- 0.7%
International Business Machines Corp. .... 52,380 $ 4,305,636
Sun Microsystems, Inc.(l)(n) ............. 2,671,710 11,194,465
--------------
$ 15,500,101
--------------
CONSTRUCTION -- 1.4%
Masco Corp. .............................. 936,160 $ 28,262,670
Sherwin-Williams Co. ..................... 29,600 1,344,432
--------------
$ 29,607,102
--------------
CONSUMER GOODS & SERVICES -- 0.6%
Colgate-Palmolive Co.(l) ................. 79,490 $ 4,360,026
Estee Lauder Cos., Inc., "A" ............. 146,900 4,918,212
Kimberly-Clark Corp. ..................... 50,450 3,009,342
--------------
$ 12,287,580
--------------
CONTAINERS -- 1.0%
Owens-Illinois, Inc.(n) .................. 929,790 $ 19,562,782
Smurfit-Stone Container Corp.(l)(n) ...... 85,400 1,210,118
--------------
$ 20,772,900
--------------
ELECTRICAL EQUIPMENT -- 2.1%
Cooper Industries Ltd., "A" .............. 47,000 $ 3,431,000
Emerson Electric Co. ..................... 5,600 418,320
General Electric Co. ..................... 349,980 12,266,799
Hubbell, Inc., "B"(l) .................... 41,310 1,863,907
Tyco International Ltd. .................. 817,350 23,588,721
W.W. Grainger, Inc.(l) ................... 33,700 2,396,070
--------------
$ 43,964,817
--------------
ELECTRONICS -- 0.6%
Analog Devices, Inc.(l) .................. 146,830 $ 5,266,792
Intel Corp. .............................. 157,800 3,938,688
Samsung Electronics Co. Ltd., GDR ........ 7,810 2,573,395
Xilinx, Inc. ............................. 87,420 2,203,858
--------------
$ 13,982,733
--------------
ENERGY -- INDEPENDENT -- 1.5%
Apache Corp. ............................. 29,500 $ 2,021,340
Devon Energy Corp. ....................... 340,460 21,292,368
EnCana Corp. ............................. 53,250 2,404,770
EOG Resources, Inc. ...................... 75,460 5,536,500
--------------
$ 31,254,978
--------------
ENERGY -- INTEGRATED -- 3.4%
Amerada Hess Corp. ....................... 66,780 $ 8,469,040
BP PLC, ADR .............................. 83,800 5,381,636
Chevron Corp. ............................ 133,667 7,588,276
ConocoPhillips ........................... 266,170 15,485,771
Exxon Mobil Corp. ........................ 339,616 19,076,231
TOTAL S.A., ADR(l) ....................... 141,870 17,932,368
--------------
$ 73,933,322
--------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 1.4%
Archer Daniels Midland Co. ............... 113,100 $ 2,789,046
Coca-Cola Co. ............................ 124,360 5,012,952
H.J. Heinz Co. ........................... 84,600 2,852,712
Kellogg Co. .............................. 138,100 5,968,682
Nestle S.A ............................... 15,410 4,603,847
PepsiCo, Inc. ............................ 91,490 5,405,229
Sara Lee Corp. ........................... 141,650 2,677,185
--------------
$ 29,309,653
--------------
FOREST & PAPER PRODUCTS -- 0.8%
Bowater, Inc.(l) ......................... 307,680 $ 9,451,930
International Paper Co.(l) ............... 126,500 4,251,665
MeadWestvaco Corp.(l) .................... 90,020 2,523,261
--------------
$ 16,226,856
--------------
GAMING & LODGING -- 0.4%
Cendant Corp. ............................ 300,220 $ 5,178,795
International Game Technology ............ 90,440 2,783,743
--------------
$ 7,962,538
--------------
GENERAL MERCHANDISE -- 1.1%
Family Dollar Stores, Inc.(l) ............ 372,740 $ 9,240,225
Wal-Mart Stores, Inc. .................... 284,650 13,321,620
--------------
$ 22,561,845
--------------
HEALTH MAINTENANCE ORGANIZATIONS -- 0.1%
CIGNA Corp. .............................. 15,500 $ 1,731,350
--------------
INSURANCE -- 3.4%
Ace Ltd. ................................. 67,000 $ 3,580,480
AFLAC, Inc. .............................. 8,900 413,138
Allstate Corp. ........................... 357,360 19,322,455
Chubb Corp.(l) ........................... 26,500 2,587,725
Conseco, Inc.(l)(n) ...................... 496,790 11,510,624
Genworth Financial, Inc., "A" ............ 203,390 7,033,226
Hartford Financial Services Group, Inc. .. 115,720 9,939,191
Lincoln National Corp. ................... 82,000 4,348,460
MetLife, Inc. ............................ 225,800 11,064,200
XL Capital Ltd., "A"(l) .................. 31,800 2,142,684
--------------
$ 71,942,183
--------------
LEISURE & TOYS -- 0.3%
Hasbro, Inc. ............................. 78,600 $ 1,586,148
Mattel, Inc. ............................. 375,420 5,939,144
--------------
$ 7,525,292
--------------
MACHINERY & TOOLS -- 0.8%
Deere & Co. .............................. 121,400 $ 8,268,554
Finning International, Inc.(a) ........... 4,940 157,744
Illinois Tool Works, Inc. ................ 90,170 7,934,058
--------------
$ 16,360,356
--------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES -- 0.5%
Tenet Healthcare Corp.(l)(n) ............. 1,290,260 $ 9,883,392
--------------
MEDICAL EQUIPMENT -- 0%
Baxter International, Inc. ............... 21,250 $ 800,062
--------------
METALS & MINING -- 0.1%
BHP Billiton PLC ......................... 194,340 $ 3,171,724
--------------
NATURAL GAS -- DISTRIBUTION -- 0.2%
AGL Resources, Inc. ...................... 85,610 $ 2,980,084
Sempra Energy ............................ 38,040 1,705,714
--------------
$ 4,685,798
--------------
NETWORK & TELECOM -- 1.7%
Cisco Systems, Inc.(n) ................... 427,930 $ 7,326,162
Nokia Corp., ADR ......................... 536,930 9,825,819
Nortel Networks Corp.(n) ................. 6,289,580 19,246,115
--------------
$ 36,398,096
--------------
OIL SERVICES -- 2.0%
BJ Services Co.(l) ....................... 161,540 $ 5,923,672
Cooper Cameron Corp.(n) .................. 140,680 5,824,152
GlobalSantaFe Corp. ...................... 331,760 15,974,244
Noble Corp. .............................. 222,700 15,709,258
--------------
$ 43,431,326
--------------
PHARMACEUTICALS -- 4.3%
Abbott Laboratories ...................... 205,380 $ 8,098,134
Eli Lilly & Co. .......................... 58,400 3,304,856
Johnson & Johnson ........................ 366,580 22,031,458
Merck & Co., Inc. ........................ 806,240 25,646,494
Wyeth .................................... 737,140 33,960,040
--------------
$ 93,040,982
--------------
PRINTING & PUBLISHING -- 0.7%
Knight-Ridder, Inc.(l) ................... 99,400 $ 6,292,020
New York Times Co., "A"(l) ............... 102,050 2,699,222
Reed Elsevier PLC ........................ 330,200 3,098,903
Tribune Co. .............................. 64,800 1,960,848
--------------
$ 14,050,993
--------------
RAILROAD & SHIPPING -- 0.5%
Burlington Northern Santa Fe Corp. ....... 77,400 $ 5,481,468
Norfolk Southern Corp. ................... 104,800 4,698,184
--------------
$ 10,179,652
--------------
RESTAURANTS -- 0.2%
McDonald's Corp. ......................... 121,870 $ 4,109,456
--------------
SPECIALTY CHEMICALS -- 0.4%
Air Products & Chemicals, Inc. ........... 120,710 $ 7,144,825
L'Air Liquide S.A., Bearer Shares ........ 2,200 422,887
Praxair, Inc. ............................ 27,200 1,440,512
--------------
$ 9,008,224
--------------
SPECIALTY STORES -- 1.8%
Circuit City Stores, Inc. ................ 238,970 $ 5,398,332
Gap, Inc. ................................ 1,153,100 20,340,684
Lowe's Cos., Inc. ........................ 34,400 2,293,104
OfficeMax, Inc.(l) ....................... 291,580 7,394,469
TJX Cos., Inc.(l) ........................ 163,380 3,795,317
--------------
$ 39,221,906
--------------
TELECOMMUNICATIONS -- WIRELESS -- 0.4%
Vodafone Group PLC, ADR .................. 436,978 $ 9,381,918
--------------
TELEPHONE SERVICES -- 3.2%
AT&T, Inc. ............................... 236,986 $ 5,803,787
Sprint Nextel Corp. ...................... 1,492,000 34,853,120
Verizon Communications, Inc. ............. 915,180 27,565,222
--------------
$ 68,222,129
--------------
TOBACCO -- 1.2%
Altria Group, Inc. ....................... 345,700 $ 25,830,704
--------------
TRUCKING -- 0%
CNF, Inc. ................................ 18,200 $ 1,017,198
--------------
UTILITIES -- ELECTRIC POWER -- 2.1%
Allegheny Energy, Inc.(l)(n) ............. 19,400 $ 614,010
Dominion Resources, Inc. ................. 185,060 14,286,632
Entergy Corp. ............................ 66,850 4,589,252
Exelon Corp. ............................. 119,000 6,323,660
FirstEnergy Corp. ........................ 60,100 2,944,299
FPL Group, Inc. .......................... 134,800 5,602,288
NRG Energy, Inc.(l)(n) ................... 25,500 1,201,560
PPL Corp.(l) ............................. 200,960 5,908,224
Public Service Enterprise Group, Inc. .... 29,000 1,884,130
TXU Corp. ................................ 44,600 2,238,474
--------------
$ 45,592,529
--------------
Total Stocks (Identified Cost, $1,163,108,998) ..... $1,308,336,658
--------------
BONDS -- 37.7%
ADVERTISING & BROADCASTING -- 0.1%
News America Holdings, 8.5%, 2025 ........ $ 994,000 $ 1,195,931
News America, Inc., 6.2%, 2034 ........... 1,106,000 1,098,590
--------------
$ 2,294,521
--------------
AEROSPACE -- 0.3%
Boeing Capital Corp., 6.5%, 2012 ......... $ 2,734,000 $ 2,951,142
Northrop Grumman Corp., 7.75%, 2031 ...... 2,738,000 3,500,402
--------------
$ 6,451,544
--------------
AGENCY -- OTHER -- 0%
Financing Corp., 9.65%, 2018 ............. $ 490,000 $ 704,961
--------------
AIRLINES -- 0.1%
Continental Airlines, Inc., 6.648%, 2017 $ 1,930,735 $ 1,886,709
--------------
ALCOHOLIC BEVERAGES -- 0.2%
Foster's Financial Corp.,
5.875%, 2035 (a) ....................... $ 1,528,000 $ 1,488,102
Miller Brewing Co., 5.5%, 2013 (a) ....... 2,785,000 2,838,767
--------------
$ 4,326,869
--------------
ASSET BACKED & SECURITIZED -- 2.3%
AmeriCredit Automobile Receivables Trust,
2.18%, 2008 ............................ $ 1,396,788 $ 1,388,396
Banc of America Commercial Mortgage,
Inc., FRN, 5.182%, 2047 ................ 776,389 777,754
Bear Stearns Commercial Mortgage
Securities, Inc., FRN, 5.116%, 2041 .... 1,220,816 1,216,267
Blackrock Capital Finance LP,
7.75%, 2026 (a) ........................ 264,140 258,858
Capital One Auto Finance Trust,
4.79%, 2009 ............................ 886,723 885,257
Chase Commercial Mortgage Securities
Corp., 6.39%, 2008 ..................... 2,775,733 2,869,948
Chase Commercial Mortgage Securities
Corp., 7.543%, 2009 .................... 485,251 508,208
Citibank Credit Card Issuance Trust,
6.65%, 2008 ............................ 4,743,000 4,773,821
Citigroup/Deutsche Bank Commercial
Mortgage Trust, FRN, 5.2254%, 2044 ..... 570,000 573,219
Countrywide Asset-Backed Certificates,
FRN, 4.823%, 2035 ...................... 1,298,000 1,284,911
Countrywide Asset-Backed Certificates
FRN, 4.575%, 2035 ...................... 81,000 79,909
CPS Auto Receivables Trust,
2.89%, 2009 (a) ........................ 92,951 90,816
CRIIMI MAE CMBS Corp., 6.701%, 2008 (a) .. 1,272,000 1,284,487
CRIIMI MAE Commercial Mortgage Trust,
7%, 2033 (a) ........................... 1,508,804 1,529,550
Deutsche Mortgage & Asset Receiving
Corp., 6.538%, 2031 .................... 1,486,413 1,522,629
Falcon Franchise Loan LLC,
7.382%, 2010 (a) ....................... 488,794 507,826
Greenwich Capital Commercial Funding
Corp., FRN, 5.317%, 2036 ............... 625,465 631,338
Greenwich Capital Commercial Funding
Corp., 4.305%, 2042 .................... 1,644,482 1,601,383
Greenwich Capital Commercial Funding
Corp., FRN, 5.224%, 2037 ............... 1,532,847 1,539,637
J.P. Morgan Chase Commercial Mortgage
Securities Corp., 4.78%, 2042 .......... 1,370,000 1,326,437
J.P. Morgan Chase Commercial Mortgage
Securities Corp., FRN, 5.2133%, 2041 ... 1,985,000 1,999,002
J.P. Morgan Chase Commercial Mortgage
Securities Corp., FRN, 5.038%, 2046 .... 2,097,327 2,073,780
J.P. Morgan Commercial Mortgage Finance
Corp., 6.613%, 2030 .................... 926,772 948,399
Morgan Stanley Capital I, Inc.,
5.168%, 2042 ........................... 859,244 859,084
Morgan Stanley Capital I, Inc., FRN,
0.567%, 2030 (a)(i) .................... 66,111,590 1,176,330
Mortgage Capital Funding, Inc.,
6.337%, 2031 ........................... 2,279,628 2,333,072
Multi-Family Capital Access One, Inc.,
6.65%, 2024 ............................ 454,489 469,129
Residential Asset Mortgage Products,
Inc., 3.8%, 2030 ....................... 603,984 601,596
Residential Asset Mortgage Products,
Inc., 4.109%, 2035 ..................... 978,423 958,658
Residential Asset Mortgage Products,
Inc., FRN, 4.9708%, 2034 ............... 931,000 910,870
Residential Funding Mortgage Securities,
Inc., FRN, 5.32%, 2035 ................. 1,405,000 1,403,559
Spirit Master Funding LLC,
5.05%, 2023 (a) ........................ 1,768,308 1,729,593
Structured Asset Securities Corp., FRN,
4.67%, 2035 ............................ 3,279,080 3,246,926
Wachovia Bank Commercial Mortgage Trust,
FRN, 5.155%, 2044 ...................... 1,005,000 1,022,075
Wachovia Bank Commercial Mortgage Trust,
FRN, 5.083%, 2042 ...................... 2,033,724 2,018,000
Wachovia Bank Commercial Mortgage Trust,
FRN, 4.847%, 2041 ...................... 2,000,000 1,952,652
Wachovia Bank Commercial Mortgage Trust,
FRN, 5.195%, 2044 ...................... 1,432,000 1,436,341
--------------
$ 49,789,717
--------------
AUTOMOTIVE -- 0.2%
Ford Motor Co., 7.45%, 2031 .............. $ 983,000 $ 668,440
Ford Motor Credit Co., 5.7%, 2010 ........ 2,094,000 1,780,032
Ford Motor Credit Co., 4.95%, 2008 ....... 810,000 725,755
General Motors Acceptance Corp., 7.25%,
2011 ................................... 732,000 672,809
General Motors Acceptance Corp., 5.85%,
2009 ................................... 1,202,000 1,075,342
--------------
$ 4,922,378
--------------
BANKS & CREDIT COMPANIES -- 1.8%
Abbey National Capital Trust I,
8.963% to 2030, FRN to 2049 ............ $ 1,558,000 $ 2,119,804
Bank of America Corp., 7.4%, 2011 ........ 2,792,000 3,075,455
Bank of America Corp., 5.375%, 2014 ...... 2,830,000 2,876,718
Citigroup, Inc., 5%, 2014 ................ 5,072,000 4,992,649
Credit Suisse First Boston (USA), Inc.,
4.125%, 2010 ........................... 1,530,000 1,479,632
Credit Suisse First Boston (USA), Inc.,
4.875%, 2010 ........................... 1,292,000 1,282,089
DBS Capital Funding Corp.,
7.657% to 2011, FRN to 2049 (a) ........ 1,476,000 1,633,123
HBOS Capital Funding LP,
6.071% to 2014, FRN to 2049(a) ......... 977,000 1,009,467
J.P. Morgan Chase & Co., 5.125%, 2014 .... 2,110,000 2,088,712
Mizuho Financial Group, Inc.,
5.79%, 2014(a) ......................... 1,078,000 1,113,655
Natexis AMBS Co. LLC, 8.44% to 2008, FRN
to 2049, (a) ........................... 135,000 145,314
Nordea Bank AB, 5.424% to 2015,
FRN to 2049 (a) ........................ 1,019,000 1,010,111
Popular North America, Inc.,
4.25%, 2008 ............................ 1,839,000 1,803,708
RBS Capital Trust II, 6.425% to 2034, FRN
to 2049 ................................ 1,490,000 1,563,681
Socgen Real Estate LLC,
7.64% to 2007, FRN to 2049 (a) ......... 3,128,000 3,254,506
UFJ Finance Aruba AEC, 6.75%, 2013 ....... 1,024,000 1,118,070
UniCredito Italiano Capital Trust II,
9.2% to 2010, FRN to 2049 (a) .......... 1,509,000 1,747,790
Wachovia Corp., 5.25%, 2014 .............. 3,339,000 3,343,428
Wells Fargo & Co., 6.45%, 2011 ........... 340,000 362,350
Wells Fargo National Bank, 4.75%, 2015 ... 2,588,000 2,517,518
--------------
$ 38,537,780
--------------
BROADCAST & CABLE TV -- 0.4%
Cox Communications, Inc., 4.625%, 2013 ... $ 1,624,000 $ 1,512,891
TCI Communications Financing III,
9.65%, 2027 ............................ 4,805,000 5,199,519
Time Warner Entertainment Co., LP,
10.15%, 2012 ........................... 335,000 407,872
Time Warner Entertainment Co., LP,
8.375%, 2033 ........................... 1,050,000 1,240,321
--------------
$ 8,360,603
--------------
BROKERAGE & ASSET MANAGERS -- 0.5%
Ameriprise Financial, Inc., 5.35%, 2010 .. $ 1,122,000 $ 1,129,688
Goldman Sachs Group, Inc., 5.7%, 2012 .... 2,668,000 2,744,513
Lehman Brothers Holdings, Inc.,
8.25%, 2007 ............................ 1,405,000 1,468,847
Merrill Lynch & Co., Inc., 5.45%, 2014 ... 2,012,000 2,044,872
Morgan Stanley Group, Inc., 6.75%, 2011 .. 1,530,000 1,647,086
Morgan Stanley Group, Inc., 4.75%, 2014 .. 1,168,000 1,120,190
--------------
$ 10,155,196
--------------
BUILDING -- 0.1%
CRH America, Inc., 6.95%, 2012 ........... $ 1,847,000 $ 2,009,588
--------------
CHEMICALS -- 0.1%
Dow Chemical Co., 5.75%, 2008 ............ $ 1,416,000 $ 1,452,589
Dow Chemical Co., 6%, 2012 ............... 620,000 651,606
--------------
$ 2,104,195
--------------
CONGLOMERATES -- 0.2%
Kennametal, Inc., 7.2%, 2012 ............. $ 1,780,000 $ 1,932,302
Tyco International Group S.A.,
6.75%, 2011 ............................ 1,307,000 1,374,165
--------------
$ 3,306,467
--------------
CONSUMER GOODS & SERVICES -- 0.1%
Cendant Corp., 6.875%, 2006 .............. $ 1,280,000 $ 1,293,138
--------------
DEFENSE ELECTRONICS -- 0.1%
BAE Systems Holdings, Inc.,
5.2%, 2015 (a) ......................... $ 977,000 $ 957,408
Raytheon Co., 6.15%, 2008 ................ 1,077,000 1,117,736
--------------
$ 2,075,144
--------------
EMERGING MARKET QUASI-SOVEREIGN -- 0%
Pemex Project Funding Master Trust,
8.625%, 2022 ........................... $ 316,000 $ 389,470
--------------
EMERGING MARKET SOVEREIGN -- 0.2%
State of Israel, 4.625%, 2013 ............ $ 981,000 $ 948,515
United Mexican States, 6.625%, 2015 (l) .. 1,335,000 1,461,825
United Mexican States, 7.5%, 2033 (l) .... 885,000 1,047,840
United Mexican States, 6.375%, 2013 ...... 845,000 897,813
--------------
$ 4,355,993
--------------
ENERGY -- INDEPENDENT -- 0.1%
Devon Financing Corp. U.L.C.,
6.875%, 2011 ........................... $ 1,456,000 $ 1,592,624
Ocean Energy, Inc., 7.25%, 2011 .......... 572,000 631,682
--------------
$ 2,224,306
--------------
ENERGY -- INTEGRATED -- 0%
Amerada Hess Corp., 7.3%, 2031 ........... $ 578,000 $ 668,910
--------------
ENTERTAINMENT -- 0.1%
Walt Disney Co., 6.75%, 2006 ............. $ 643,000 $ 646,066
Walt Disney Co., 6.375%, 2012 ............ 1,957,000 2,069,954
--------------
$ 2,716,020
--------------
FINANCIAL INSTITUTIONS -- 0.1%
General Electric Capital Corp.,
8.75%, 2007 ............................ $ 904,000 $ 951,262
General Electric Capital Corp.,
5.45%, 2013 ............................ 179,000 183,356
HSBC Finance Corp., 5.25%, 2011 .......... 1,510,000 1,510,773
--------------
$ 2,645,391
--------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 0.2%
Cadbury Schweppes PLC,
5.125%, 2013 (a) ....................... $ 2,689,000 $ 2,673,934
Kraft Foods, Inc., 6.25%, 2012 ........... 1,489,000 1,570,812
--------------
$ 4,244,746
--------------
FOREST & PAPER PRODUCTS -- 0.1%
MeadWestvaco Corp., 6.8%, 2032 ........... $ 724,000 $ 723,138
Weyerhaeuser Co., 6.75%, 2012 ............ 2,123,000 2,253,327
--------------
$ 2,976,465
--------------
INSURANCE -- 0.4%
AIG SunAmerica Institutional Funding II,
5.75%, 2009 ............................ $ 2,804,000 $ 2,870,059
American International Group, Inc.,
4.25%, 2013 ............................ 853,000 811,313
Genworth Financial, Inc., 5.75%, 2014 .... 775,000 808,879
ING Groep N.V., 5.775% to 2015,
FRN to 2049 ............................ 3,405,000 3,450,974
MetLife, Inc., 6.5%, 2032 ................ 578,000 638,799
--------------
$ 8,580,024
--------------
INSURANCE -- PROPERTY & CASUALTY -- 0.3%
ACE INA Holdings, Inc., 5.875%, 2014 ..... $ 1,615,000 $ 1,670,616
Allstate Corp., 6.125%, 2032 ............. 1,617,000 1,697,396
Fund American Cos., Inc., 5.875%, 2013 ... 1,110,000 1,120,059
St. Paul Travelers Cos., Inc., 5.5%, 2015 1,126,000 1,134,104
Travelers Property Casualty Corp.,
6.375%, 2033 ........................... 736,000 783,747
--------------
$ 6,405,922
--------------
INTERNATIONAL MARKET QUASI-SOVEREIGN -- 0 1%
Hydro-Quebec, 6.3%, 2011 ................. $ 2,256,000 $ 2,406,495
--------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES -- 0.1%
HCA, Inc., 8.75%, 2010 ................... $ 355,000 $ 392,629
HCA, Inc., 6.95%, 2012 ................... 1,390,000 1,441,769
--------------
$ 1,834,398
--------------
METALS & MINING -- 0.1%
Alcan, Inc., 5%, 2015 .................... $ 1,169,000 $ 1,133,970
--------------
MORTGAGE BACKED -- 13.7%
Fannie Mae, 5.722%, 2009 ................. $ 4,455,000 $ 4,517,806
Fannie Mae, 4.01%, 2013 .................. 195,589 184,193
Fannie Mae, 4.518%, 2014 ................. 1,745,525 1,692,593
Fannie Mae, 4.63%, 2014 .................. 487,064 474,011
Fannie Mae, 4.846%, 2014 ................. 975,698 965,371
Fannie Mae, 4.925%, 2015 ................. 2,862,110 2,844,595
Fannie Mae, 5.5%, 2016 - 2035 ............ 96,713,224 96,151,264
Fannie Mae, 6%, 2016 - 2035 .............. 36,008,682 36,505,872
Fannie Mae, 4.5%, 2018 - 2035 ............ 11,778,994 11,372,986
Fannie Mae, 5%, 2018 - 2035 .............. 23,902,648 23,505,661
Fannie Mae, 6.5%, 2028 - 2034 ............ 12,022,374 12,357,686
Fannie Mae, 7.5%, 2030 - 2031 ............ 538,320 564,108
Freddie Mac, 6%, 2016 - 2035 ............. 13,436,383 13,620,393
Freddie Mac, 5%, 2017 - 2035 ............. 23,636,167 23,046,199
Freddie Mac, 4.5%, 2018 - 2035 ........... 12,428,581 12,057,087
Freddie Mac, 5.5%, 2019 - 2035 ........... 26,257,504 26,136,941
Freddie Mac, 6.5%, 2034 .................. 3,525,912 3,613,679
Ginnie Mae, 6.5%, 2028 - 2034 ............ 1,390,899 1,454,416
Ginnie Mae, 4.5%, 2033 - 2034 ............ 2,003,285 1,911,049
Ginnie Mae, 5.5%, 2033 - 2035 ............ 10,633,298 10,713,578
Ginnie Mae, 6%, 2033 - 2035 .............. 7,155,466 7,330,411
Ginnie Mae, 5%, 2034 ..................... 1,932,754 1,909,665
--------------
$ 292,929,564
--------------
NATURAL GAS -- PIPELINE -- 0.2%
CenterPoint Energy Resources Corp.,
7.875%, 2013 ........................... $ 815,000 $ 932,027
Kinder Morgan Energy Partners LP,
6.75%, 2011 ............................ 740,000 788,163
Kinder Morgan Energy Partners LP,
7.4%, 2031 ............................. 1,373,000 1,581,493
Kinder Morgan Energy Partners LP,
7.75%, 2032 ............................ 980,000 1,169,585
--------------
$ 4,471,268
--------------
NETWORK & TELECOM -- 0.8%
BellSouth Corp., 6.55%, 2034 ............. $ 1,472,000 $ 1,567,918
Deutsche Telekom International Finance
B.V., 8.75%, 2030 ...................... 2,018,000 2,566,632
France Telecom S.A., 7.75%, 2011 ......... 564,000 629,954
PCCW-HKTC Capital II Ltd., 6%, 2013 (a) .. 1,321,000 1,349,329
SBC Communications, Inc., 5.1%, 2014 ..... 2,223,000 2,171,609
SBC Communications, Inc., 6.15%, 2034 .... 700,000 703,123
Telecom Italia Capital, 5.25%, 2013 ...... 752,000 737,918
Telecom Italia Capital, 6%, 2034 ......... 1,020,000 982,622
Telecomunicaciones de Puerto Rico, Inc.,
6.65%, 2006 ............................ 1,716,000 1,725,582
Verizon New York, Inc., 6.875%, 2012 ..... 4,213,000 4,391,758
--------------
$ 16,826,445
--------------
OIL SERVICES -- 0.1%
Halliburton Co., 5.5%, 2010 .............. $ 1,071,000 $ 1,093,877
--------------
OILS -- 0.1%
Valero Energy Corp., 6.875%, 2012 ........ $ 1,193,000 $ 1,299,933
--------------
PHARMACEUTICALS -- 0.1%
Wyeth, 5.5%, 2013 ........................ $ 1,683,000 $ 1,706,172
--------------
POLLUTION CONTROL -- 0.1%
USA Waste Services, Inc., 7%, 2028 ....... $ 972,000 $ 1,095,108
Waste Management, Inc., 7.375%, 2010 ..... 1,341,000 1,459,401
--------------
$ 2,554,509
--------------
RAILROAD & SHIPPING -- 0.1%
CSX Corp., 6.75%, 2011 ................... $ 450,000 $ 482,238
Union Pacific Corp., 6.125%, 2012 ........ 507,000 533,332
Union Pacific Corp., 5.375%, 2014 ........ 1,208,000 1,221,776
--------------
$ 2,237,346
--------------
REAL ESTATE -- 0.4%
Boston Properties, Inc., 5%, 2015 ........ $ 369,000 $ 355,372
EOP Operating LP, 6.8%, 2009 ............. 1,238,000 1,294,450
HRPT Properties Trust, 6.25%, 2016 ....... 1,169,000 1,191,254
Simon Property Group LP, 6.375%, 2007 .... 1,069,000 1,092,351
Simon Property Group LP, 5.1%, 2015 ...... 1,070,000 1,034,856
Vornado Realty Trust, 5.625%, 2007 ....... 3,304,000 3,327,111
Vornado Realty Trust, 4.75%, 2010 ........ 189,000 183,442
--------------
$ 8,478,836
--------------
RETAILERS -- 0.1%
Wal-Mart Stores, Inc., 5.25%, 2035 ....... $ 1,541,000 $ 1,495,812
--------------
TELECOMMUNICATIONS -- WIRELESS -- 0.1%
AT&T Wireless Services, Inc.,
7.35%, 2006 ............................ $ 903,000 $ 906,803
Cingular Wireless LLC, 6.5%, 2011 ........ 693,000 741,565
Sprint Capital Corp., 6.875%, 2028 ....... 1,471,000 1,607,347
--------------
$ 3,255,715
--------------
U.S. GOVERNMENT AGENCIES -- 4.0%
Aid-Egypt, 4.45%, 2015 ................... $ 1,662,000 $ 1,628,577
Fannie Mae, 3.25%, 2006 .................. 4,950,000 4,910,182
Fannie Mae, 3%, 2007 ..................... 3,350,000 3,283,208
Fannie Mae, 5.25%, 2007 .................. 12,269,000 12,340,786
Fannie Mae, 6.625%, 2009 - 2010 .......... 13,027,000 13,989,735
Fannie Mae, 6%, 2011 ..................... 1,539,000 1,627,703
Fannie Mae, 4.625%, 2014 ................. 2,516,000 2,486,349
Federal Home Loan Bank, 3.25%, 2006 ...... 3,270,000 3,245,831
Federal Home Loan Bank, 3.75%, 2006 ...... 10,025,000 9,957,181
Federal Home Loan Bank, 3.9%, 2008 ....... 1,240,000 1,219,356
Freddie Mac, 3.75%, 2006 ................. 2,198,000 2,179,724
Freddie Mac, 4.125%, 2009 ................ 4,750,000 4,650,003
Freddie Mac, 4.875%, 2013 ................ 10,686,000 10,736,545
Small Business Administration,
4.35%, 2023 ............................ 407,418 392,901
Small Business Administration,
4.77%, 2024 ............................ 1,083,733 1,068,358
Small Business Administration,
4.99%, 2024 ............................ 1,493,310 1,489,652
Small Business Administration,
5.18%, 2024 ............................ 1,773,455 1,786,801
Small Business Administration,
5.52%, 2024 ............................ 2,553,043 2,613,095
Small Business Administration,
4.95%, 2025 ............................ 1,202,885 1,197,970
Small Business Administration,
5.09%, 2025 ............................ 1,479,000 1,479,882
Small Business Administration,
5.11%, 2025 ............................ 3,138,000 3,144,657
Small Business Administration,
5.39%, 2025 ............................ 1,106,000 1,122,590
--------------
$ 86,551,086
--------------
U.S. TREASURY OBLIGATIONS -- 8.5%
U.S. Treasury Bonds, 10.375%, 2012 ....... $ 1,482,000 $ 1,637,841
U.S. Treasury Bonds, 9.875%, 2015 ........ 1,920,000 2,743,050
U.S. Treasury Bonds, 8%, 2021 ............ 320,000 440,862
U.S. Treasury Bonds, 6.25%, 2023 ......... 29,054,000 34,694,573
U.S. Treasury Bonds, 5.375%, 2031 ........ 10,131,000 11,379,960
U.S. Treasury Notes, 6.875%, 2006 ........ 6,270,000 6,326,574
U.S. Treasury Notes, 7%, 2006 ............ 19,379,000 19,635,617
U.S. Treasury Notes, 4.75%, 2008 ......... 29,887,000 30,174,184
U.S. Treasury Notes, 5.5%, 2008 .......... 7,085,000 7,243,584
U.S. Treasury Notes, 5.625%, 2008 ........ 22,095,000 22,697,442
U.S. Treasury Notes, 6.5%, 2010 .......... 5,903,000 6,367,631
U.S. Treasury Notes, 4%, 2012 ............ 1,910,000 1,868,891
U.S. Treasury Notes, 4.375%, 2012 ........ 1,778,000 1,777,792
U.S. Treasury Notes, 3.875%, 2013 ........ 2,121,000 2,055,796
U.S. Treasury Notes, 4.75%, 2014 ......... 1,596,000 1,634,840
U.S. Treasury Notes, 4.25%, 2015 ......... 12,113,000 11,956,379
U.S. Treasury Notes, TIPS, 4.25%, 2010 ... 7,487,725 8,117,158
U.S. Treasury Notes, TIPS, 3%, 2012 ...... 10,748,498 11,364,860
--------------
$ 182,117,034
--------------
UTILITIES -- ELECTRIC POWER -- 1.1%
Dominion Resources, Inc., 5.15%, 2015 .... $ 1,515,000 $ 1,467,765
DTE Energy Co., 7.05%, 2011 .............. 1,309,000 1,410,463
Duke Capital Corp., 8%, 2019 ............. 1,686,000 2,012,322
Exelon Generation Co. LLC, 6.95%, 2011 ... 1,500,000 1,617,355
FirstEnergy Corp., 6.45%, 2011 ........... 2,246,000 2,380,753
MidAmerican Energy Holdings Co.,
5.875%, 2012 ........................... 535,000 552,314
MidAmerican Energy Holdings Co.,
3.5%, 2008 ............................. 1,030,000 993,794
MidAmerican Funding LLC, 6.927%, 2029 .... 2,762,000 3,090,427
Niagara Mohawk Power Corp., 7.75%, 2006 .. 942,000 952,076
Northeast Utilities, 8.58%, 2006 ......... 349,680 354,289
Oncor Electric Delivery Co., 7%, 2022 .... 2,032,000 2,258,521
Pacific Gas & Electric Co., 4.8%, 2014 ... 1,145,000 1,115,833
PSEG Power LLC, 6.95%, 2012 .............. 697,000 755,351
PSEG Power LLC, 8.625%, 2031 ............. 918,000 1,207,965
System Energy Resources, Inc.,
5.129%, 2014 (a) ....................... 1,003,168 967,787
TXU Energy Co., 7%, 2013 ................. 575,000 612,757
Waterford 3 Funding Corp., 8.09%, 2017 ... 2,082,261 2,212,840
--------------
$ 23,962,612
--------------
Total Bonds (Identified Cost, $810,526,930) ........ $ 807,781,129
--------------
SHORT-TERM OBLIGATION -- 0.7%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) ..... $15,886,000 $ 15,882,293
--------------
COLLATERAL FOR SECURITIES LOANED -- 3.2%
Morgan Stanley Repurchase Agreement,
4.27%, dated 12/30/05, due 1/03/06,
total to be received $1,860,640
(secured by various U.S. Treasury and
Federal Agency obligations in a
individually traded account), at Cost .. $ 1,860,420 $ 1,860,420
Navigator Securities Lending Prime
Portfolio, at Cost and Net Asset Value . 65,727,583 65,727,583
--------------
Total Collateral for Securities Loaned ............. $ 67,588,003
--------------
Total Investments
(Identified Cost, $2,057,106,224) (k) ............ $2,199,588,083
--------------
OTHER ASSETS,
LESS LIABILITIES -- (2.7)% ........................... (58,353,062)
--------------
Net Assets -- 100.0% ............................... $2,141,235,021
==============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
UTILITIES SERIES
STOCKS -- 92.1%
Issuer Shares/Par($) Value ($)
BROADCAST & CABLE TV -- 6.4%
Cablevision Systems Corp., "A"(n) ........ 41,700 $ 978,699
Citadel Broadcasting Corp.(l) ............ 157,700 2,119,488
Comcast Corp., "Special A"(n) ............ 235,200 6,042,288
Grupo Televisa S.A., ADR(l) .............. 71,600 5,763,800
News Corp., "A" .......................... 160,100 2,489,555
TV Azteca S.A. de C.V .................... 4,320,300 2,828,180
Viacom, Inc., "B" ........................ 139,700 4,554,220
Walt Disney Co. .......................... 15,800 378,726
------------
$ 25,154,956
------------
ENERGY -- INDEPENDENT -- 0.9%
Occidental Petroleum Corp. ............... 2,400 $ 191,712
Rosetta Resources, Inc.(a)(n) ............ 195,350 3,516,300
------------
$ 3,708,012
------------
ENERGY -- INTEGRATED -- 3.0%
Amerada Hess Corp.(l) .................... 28,700 $ 3,639,734
Chevron Corp. ............................ 39,100 2,219,707
Petroleo Brasileiro S.A., ADR(l) ......... 41,300 2,943,451
TOTAL S.A ................................ 12,200 3,062,339
------------
$ 11,865,231
------------
NATURAL GAS -- DISTRIBUTION -- 6.7%
AGL Resources, Inc. ...................... 186,160 $ 6,480,230
Energen Corp. ............................ 90,000 3,268,800
MDU Resources Group, Inc.(l) ............. 151,750 4,968,295
Questar Corp. ............................ 74,100 5,609,370
Sempra Energy ............................ 76,600 3,434,744
Southern Union Co. ....................... 112,400 2,656,012
------------
$ 26,417,451
------------
NATURAL GAS -- PIPELINE -- 4.9%
El Paso Corp.(l) ......................... 364,000 $ 4,426,240
Enagas S.A.(l) ........................... 335,574 6,271,818
Williams Cos., Inc. ...................... 369,300 8,556,681
------------
$ 19,254,739
------------
OIL SERVICES -- 4.3%
ENSCO International, Inc. ................ 35,200 $ 1,561,120
GlobalSantaFe Corp. ...................... 118,700 5,715,405
Halliburton Co. .......................... 30,100 1,864,996
National Oilwell Varco, Inc.(l)(n) ....... 33,100 2,075,370
Noble Corp.(l) ........................... 29,300 2,066,822
Pride International, Inc.(n) ............. 54,900 1,688,175
Smith International, Inc. ................ 46,100 1,710,771
------------
$ 16,682,659
------------
TELECOMMUNICATIONS -- WIRELESS -- 3.4%
Alamosa Holdings, Inc.(l)(n) ............. 49,910 $ 928,825
America Movil S.A. de C.V., "L", ADR ..... 167,400 4,898,124
Hutchison Telecommunications International
Ltd.(n) ................................ 528,000 762,691
PT Indosat Tbk ........................... 663,000 374,329
Vodafone Group PLC ....................... 2,952,060 6,368,060
------------
$ 13,332,029
------------
TELEPHONE SERVICES -- 11.0%
AT&T, Inc. ............................... 39,300 $ 962,457
Cincinnati Bell, Inc.(n) ................. 52,800 185,328
Citizens Communications Co.(l) ........... 456,700 5,585,441
FastWeb S.p.A ............................ 88,429 4,037,663
France Telecom S.A ....................... 219,520 5,450,478
KT Freetel Co. Ltd.(n) ................... 99,240 2,415,036
NTL, Inc.(l)(n) .......................... 32,600 2,219,408
Philippine Long Distance Telephone Co. ... 6,600 226,192
Sprint Nextel Corp. ...................... 439,850 10,274,896
Telecom Corp. of New Zealand Ltd. ........ 559,021 2,292,334
Telenor A.S.A ............................ 499,700 4,902,502
Telus Corp. (Non Voting) ................. 110,280 4,425,043
------------
$ 42,976,778
------------
UTILITIES -- ELECTRIC POWER -- 51.5%
AES Corp.(n) ............................. 1,012,000 $ 16,019,960
AES Tiete S.A., IPS ...................... 133,628,500 2,909,192
Ameren Corp. ............................. 14,900 763,476
AWG PLC .................................. 142,000 2,672,641
CMS Energy Corp.(l)(n) ................... 436,600 6,335,066
Constellation Energy Group, Inc. ......... 192,700 11,099,520
CPFL Energia S.A., ADR(l) ................ 121,450 4,232,532
Dominion Resources, Inc. ................. 66,800 5,156,960
DPL, Inc. ................................ 140,900 3,664,809
DTE Energy Co.(l) ........................ 103,200 4,457,208
Duke Energy Corp. ........................ 89,900 2,467,755
E.ON AG .................................. 51,000 5,272,055
Edison International ..................... 168,300 7,339,563
Endesa S.A.(l) ........................... 131,900 3,466,865
Enel S.p.A ............................... 551,130 4,325,567
Enersis S.A., ADR ........................ 88,400 971,516
Entergy Corp. ............................ 69,000 4,736,850
Entergy Corp. ............................ 142,860 7,107,285
Exelon Corp. ............................. 228,200 12,126,548
FirstEnergy Corp. ........................ 179,600 8,798,604
Fortum Corp. ............................. 173,490 3,250,706
FPL Group, Inc. .......................... 220,200 9,151,512
International Power PLC .................. 1,545,800 6,363,515
NRG Energy, Inc.(n) ...................... 428,700 20,200,344
Oesterreichische Elektrizitaetswirtschafts
AG (Verbund), "A" ...................... 1,800 641,534
PPL Corp. ................................ 329,900 9,699,060
RWE AG ................................... 87,200 6,451,962
SCANA Corp. .............................. 55,800 2,197,404
Scottish & Southern Energy PLC ........... 67,000 1,167,753
SP Ausnet(n) ............................. 1,612,250 1,567,781
Suez S.A.(l) ............................. 145,588 4,529,282
Tractebel Energia S.A .................... 90,370 581,723
TXU Corp. ................................ 340,400 17,084,676
Veolia Environment ....................... 22,760 1,029,528
Xcel Energy, Inc.(l) ..................... 208,600 3,850,756
------------
$201,691,508
------------
Total Stocks (Identified Cost, $318,433,707) ......... $361,083,363
------------
BONDS -- 2.9%
ASSET BACKED & SECURITIZED -- 0%
Falcon Franchise Loan LLC, FRN,
3.0742%, 2023 (a)(i) ................... $ 983,466 $ 115,880
------------
NETWORK & TELECOM -- 0.2%
Citizens Communications Co., 9%, 2031 .... $ 805,000 $ 815,062
------------
TELECOMMUNICATIONS -- WIRELESS -- 0.3%
Rogers Wireless, Inc., 8%, 2012 .......... $ 1,165,000 $ 1,233,444
------------
UTILITIES -- ELECTRIC POWER -- 2.4%
Beaver Valley Funding Corp., 9%, 2017 .... $ 771,000 $ 884,391
CMS Energy Corp., 8.5%, 2011 ............. 1,415,000 1,540,581
Empresa Nacional de Electricidad S.A.,
8.35%, 2013 ............................ 927,000 1,055,776
Enersis S.A., 7.375%, 2014 ............... 2,204,000 2,370,680
Mirant North America LLC,
7.375%, 2013 (a) ....................... $ 25,000 $ 25,281
PSEG Energy Holdings LLC, 8.625%, 2008 ... 1,147,000 1,192,880
TXU Corp., 5.55%, 2014 ................... 1,622,000 1,540,634
TXU Corp., 6.5%, 2024 .................... 837,000 794,624
TXU Eastern Funding Co., 6.75%, 2009(d) .. 191,000 17,190
------------
$ 9,422,037
------------
Total Bonds (Identified Cost, $11,698,742) ........... $ 11,586,423
------------
CONVERTIBLE PREFERRED STOCKS -- 2.6%
NATURAL GAS -- DISTRIBUTION -- 0.2%
Southern Union Co., 5% ................... 19,500 $ 954,135
------------
NATURAL GAS -- PIPELINE -- 1.6%
El Paso Corp., 4.99% (a) ................. 3,900 $ 4,269,037
Williams Cos., Inc., 5.5% ................ 16,450 1,846,512
------------
$ 6,115,549
------------
UTILITIES -- ELECTRIC POWER -- 0.8%
PNM Resources, Inc., 6.75% ............... 63,100 $ 2,971,379
------------
Total Convertible Preferred Stocks
(Identified Cost, $9,613,319) ...................... $ 10,041,063
------------
SHORT-TERM OBLIGATION -- 1.8%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) ..... $ 7,026,000 $ 7,024,361
------------
COLLATERAL FOR SECURITIES LOANED -- 10.6%
Morgan Stanley Repurchase Agreement, 4.27%,
dated 12/30/05, due 1/03/06, total to be
received $12,974,503 (secured by various
U.S. Treasury and Federal Agency
obligations in an individually traded
account), at Cost ...................... $12,972,964 $ 12,972,964
Navigator Securities Lending Prime
Portfolio, at Cost and Net Asset Value .. 28,502,916 28,502,916
------------
Total Collateral for Securities Loaned ............... $ 41,475,880
------------
Total Investments
(Identified Cost, $388,246,009) (k) ................ $431,211,090
------------
OTHER ASSETS,
LESS LIABILITIES -- (10.0)% ............................ (39,254,084)
------------
Net Assets -- 100.0% ................................. $391,957,006
============
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Sales and Purchases in the table below are reported by currency.
Net
Unrealized
Appreciatio
n
Contracts to In Exchange Contracts (Depreciati
Deliver/Receive Settlement Date For at Value on)
SALES
EUR25,725,203 1/18/06 - 2/21/06 $30,263,999 $30,510,479 $(246,480)
GBP6,756,058 1/31/06 12,017,137 11,611,013 406,124
----------- ----------- ---------
$42,281,136 $42,121,492 $ 159,644
=========== =========== =========
PURCHASES
EUR3,200,040 1/18/06 - 2/13/06 $3,802,004 $3,791,949 $(10,055)
GBP1,166,836 1/30/06 - 1/31/06 2,039,625 2,005,332 (34,293)
---------- ---------- --------
$5,841,629 $5,797,281 $(44,348)
========== ========== ========
At December 31, 2005 the series had sufficient cash and/or securities to cover
any commitments under these derivative contracts.
PORTFOLIO FOOTNOTES:
(n) Non-income producing security.
(d) Non-income producing security - in default.
(l) All or a portion of this security is on loan.
(a) SEC Rule 144A restriction.
(y) The rate shown represents an annualized yield at time of purchase.
(k) As of December 31, 2005 the Global Growth Series had three securities
representing $5,571,438 and 3.4% of net assets that were fair valued in
accordance with the policies adopted by the Board of Trustees.
(k) As of December 31, 2005, the Mid Cap Growth Series had one security
representing $77,583 and 0.1% of net assets that was fair valued in
accordance with the policies adopted by the Board of Trustees.
(k) As of December 31, 2005, the Total Return Series had one security
representing $157,744 and less than 0.1% of net assets that was fair valued
in accordance with the policies adopted by the Board of Trustees.
(k) As of December 31, 2005, the Utilities Series had two securities
representing $2,641,228 and 0.7% of net assets that were fair valued in
accordance with the policies adopted by the Board of Trustees.
(i) Interest only security for which the series receives interest on notional
principal (Par amount). Par amount shown is the notional principal and does
not reflect the cost of the security.
The following abbreviations are used in the Portfolio of Investments and
are defined:
ADR American Depository Receipt
FRN Floating Rate Note. The interest rate is the rate in effect as
of period end.
GDR Global Depository Receipt
IPS International Preference Stock
TIPS Treasury Inflation Protected Security
Abbreviations indicate amounts shown in currencies other than the U.S. dollar.
All amounts are stated in U.S. dollars unless otherwise indicated. A list of
abbreviations is shown below:
EUR Euro
GBP British Pound
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES -- December 31, 2005
Capital Emerging Global Massachusetts
Appreciation Growth Growth Investors Trust
Series Series Series Series
-------------- ------------ ------------ --------------
Assets:
Investments --
Unaffiliated issuers, at identified cost ... $ 663,367,651 $339,947,536 $161,694,826 $1,005,863,509
Unrealized appreciation (depreciation) ..... 20,994,935 58,802,147 21,793,022 147,686,155
-------------- ------------ ------------ --------------
Total investments, at value (including
securities loaned of $--, $27,061,076,
$19,934,421, and $27,699,220,
respectively) .......................... $ 684,362,586 $398,749,683 $183,487,848 $1,153,549,664
Cash ......................................... 8,533,887 2,947 1,721 3,300,599
Foreign currency, at value (identified
cost, $--, $--, $18,905, and $--,
respectively) .............................. -- -- 18,916 --
Receivable for investments sold .............. 2,255,911 1,983,854 1,607,086 3,689,636
Receivable for series shares sold ............ 7,655 2,427 1,185 433,687
Interest and dividends receivable ............ 361,954 198,084 163,773 1,011,371
Other assets ................................. 2,237 3,005 1,657 7,596
-------------- ------------ ------------ --------------
Total assets ............................. $ 695,524,230 $400,940,000 $185,282,186 $1,161,992,553
============== ============ ============ ==============
Liabilities:
Payable for investments purchased ............ $ 9,926,241 $ 1,129,508 $ 1,246,154 $ 4,433,066
Payable for series shares reacquired ......... 342,276 319,589 113,106 608,006
Collateral for securities loaned, at value ... -- 27,722,508 20,841,693 28,321,677
Payable to affiliates --
Management fee ............................. 34,667 15,323 8,112 34,171
Distribution fee ........................... 524 298 105 2,726
Administrative services fee ................ 714 327 144 992
Accrued expenses and other liabilities ....... 261,129 71,863 98,851 93,686
-------------- ------------ ------------ --------------
Total liabilities ........................ $ 10,565,551 $ 29,259,416 $ 22,308,165 $ 33,494,324
-------------- ------------ ------------ --------------
Net assets ..................................... $ 684,958,679 $371,680,584 $162,974,021 $1,128,498,229
============== ============ ============ ==============
Net assets consist of:
Paid-in capital .............................. $1,514,266,087 $758,028,458 $220,467,511 $1,270,252,064
Unrealized appreciation (depreciation) on
investments and translation of assets
and liabilities in foreign currencies
(net of $--, $--, $22,501 and $--
deferred country tax) ...................... 20,992,258 58,799,963 21,769,745 147,686,124
Accumulated net realized gain (loss) on
investments and foreign currency
transactions ............................... (851,473,036) (445,147,837) (80,134,962) (298,007,673)
Undistributed net investment income .......... 1,173,370 -- 871,727 8,567,714
-------------- ------------ ------------ --------------
Total .................................... $ 684,958,679 $371,680,584 $162,974,021 $1,128,498,229
============== ============ ============ ==============
Net Assets:
Initial Class ................................ $ 649,587,638 $350,083,293 $155,375,051 $ 929,793,647
Service Class ................................ 35,371,041 21,597,291 7,598,970 198,704,582
-------------- ------------ ------------ --------------
Total .................................... $ 684,958,679 $371,680,584 $162,974,021 $1,128,498,229
============== ============ ============ ==============
Shares of beneficial interest outstanding:
Initial Class ................................ 33,638,148 20,490,715 11,527,852 30,843,755
Service Class ................................ 1,846,293 1,278,700 567,308 6,632,051
-------------- ------------ ------------ --------------
Total .................................... 35,484,441 21,769,415 12,095,160 37,475,806
========== ========== ========== ==========
Initial Class:
Net asset value per share
(net assets / shares of
beneficial interest
outstanding) .............. $19.31 $17.08 $13.48 $30.15
====== ====== ====== ======
Service Class:
Net asset value per share
(net assets / shares of
beneficial interest
outstanding) .............. $19.16 $16.89 $13.39 $29.96
====== ====== ====== ======
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES -- December 31, 2005 -- continued
Mid Cap Total
Growth Research Return Utilities
Series Series Series Series
------------ ------------ ------------ ------------
Assets:
Investments --
Unaffiliated issuers, at identified cost ..... $114,367,582 $397,615,956 $2,057,106,224 $388,246,009
Unrealized appreciation (depreciation) ....... 13,527,380 24,789,748 142,481,859 42,965,081
------------ ------------ -------------- ------------
Total investments, at value (including
securities loaned of $17,488,279,
$26,910,569, $66,063,541, and
$40,073,068, respectively) ............... $127,894,962 $422,405,704 $2,199,588,083 $431,211,090
Cash ........................................... 319 928 8,496 8,708
Foreign currency, at value (identified
cost, $--, $--, $--, and $975, respectively) . -- -- -- 974
Receivable for forward foreign currency
exchange contracts ........................... -- -- -- 420,120
Receivable for investments sold ................ 419,344 648,303 140,683 4,773,877
Receivable for series shares sold .............. 14,600 12,249 1,074,081 9,270
Interest and dividends receivable .............. 44,244 494,614 10,713,414 1,164,183
Other assets ................................... -- -- 11,136 806
------------ ------------ -------------- ------------
Total assets ............................... $128,373,469 $423,561,798 $2,211,535,893 $437,589,028
============ ============ ============== ============
Liabilities:
Payable for forward foreign currency
exchange contracts ........................... $ -- $ -- $ -- $ 304,824
Payable for investments purchased .............. 11,061 857,900 1,486,810 3,482,349
Payable for series shares reacquired ........... 46,723 203,014 1,063,089 284,265
Collateral for securities loaned, at value ..... 17,909,575 27,537,097 67,588,003 41,475,880
Payable to affiliates --
Management fee ............................... 4,566 15,913 77,318 15,774
Distribution fee ............................. 575 385 10,556 648
Administrative services fee .................. 97 347 1,845 344
Accrued expenses and other liabilities ......... 50,912 77,047 73,251 67,938
------------ ------------ -------------- ------------
Total liabilities .......................... $ 18,023,509 $ 28,691,703 $ 70,300,872 $ 45,632,022
------------ ------------ -------------- ------------
Net assets ....................................... $110,349,960 $394,870,095 $2,141,235,021 $391,957,006
============ ============ ============== ============
Net assets consist of:
Paid-in capital ................................ $131,078,916 $590,952,153 $1,884,143,194 $456,748,736
Unrealized appreciation (depreciation) on
investments and translation of assets and
liabilities in foreign currencies ............ 13,527,401 24,789,626 142,481,330 43,077,826
Accumulated net realized gain (loss) on
investments and foreign currency
transactions ................................. (34,256,357) (223,183,653) 58,109,636 (119,654,873)
Undistributed net investment income ............ -- 2,311,969 56,500,861 11,785,317
------------ ------------ -------------- ------------
Total ...................................... $110,349,960 $394,870,095 $2,141,235,021 $391,957,006
============ ============ ============== ============
Net Assets:
Initial Class .................................. $ 68,636,935 $366,831,300 $1,370,782,354 $344,716,759
Service Class .................................. 41,713,025 28,038,795 770,452,667 47,240,247
------------ ------------ -------------- ------------
Total ...................................... $110,349,960 $394,870,095 $2,141,235,021 $391,957,006
============ ============ ============== ============
Shares of beneficial interest outstanding:
Initial Class .................................. 11,482,591 21,521,541 71,769,273 19,029,605
Service Class .................................. 7,044,357 1,656,004 40,622,617 2,623,653
------------ ------------ -------------- ------------
Total ...................................... 18,526,948 23,177,545 112,391,890 21,653,258
========== ========== =========== ==========
Initial Class:
Net asset value per share (net assets / shares
of beneficial interest outstanding) .......... $5.98 $17.04 $19.10 $18.11
===== ====== ====== ======
Service Class:
Net asset value per share (net assets / shares
of beneficial interest outstanding) .......... $5.92 $16.93 $18.97 $18.01
===== ====== ====== ======
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF OPERATIONS -- Year Ended December 31, 2005
Capital Emerging Global Massachusetts
Appreciation Growth Growth Investors Trust
Series Series Series Series
------------ ------------ ------------ ------------
Net investment income (loss):
Income --
Dividends .................................... $ 6,517,227 $ 1,959,115 $ 2,822,526 $ 15,855,598
Interest ..................................... 810,079 252,033 42,303 338,931
Income on securities loaned .................. -- 53,651 88,305 81,582
Foreign taxes withheld ....................... (37,135) (49,896) (164,065) (246,315)
------------ ------------ ------------ ------------
Total investment income .................... $ 7,290,171 $ 2,214,903 $ 2,789,069 $ 16,029,796
------------ ------------ ------------ ------------
Expenses --
Management fee ............................... $ 5,305,494 $ 2,835,472 $ 1,498,962 $ 6,222,206
Distribution fee ............................. 89,166 51,582 18,576 374,924
Administrative services fee .................. 125,624 67,817 29,206 199,504
Independent trustees' compensation ........... 69,641 44,161 17,296 107,778
Custodian fee ................................ 248,962 153,982 165,656 348,418
Printing ..................................... 79,728 52,668 18,395 90,409
Auditing fees ................................ 47,436 44,316 53,707 43,998
Legal fees ................................... 42,273 8,593 6,749 7,800
Miscellaneous ................................ 101,714 48,816 13,577 108,874
------------ ------------ ------------ ------------
Total expenses ............................. $ 6,110,038 $ 3,307,407 $ 1,822,124 $ 7,503,911
Fees paid indirectly ......................... (22,386) (31,849) (4,387) (36,234)
------------ ------------ ------------ ------------
Net expenses ............................... $ 6,087,652 $ 3,275,558 $ 1,817,737 $ 7,467,677
------------ ------------ ------------ ------------
Net investment income
(loss) ......................................... $ 1,202,519 $ (1,060,655) $ 971,332 $ 8,562,119
============ ============ ============ ============
Realized and unrealized gain (loss) on
investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions (net of $--, $--,
$8,306 and $-- country tax, respectively) .. $ 96,449,046 $ 34,811,872 $ 18,520,244 $104,146,700
Foreign currency transactions ................ (19,536) 5,053 (81,956) 6,145
------------ ------------ ------------ ------------
Net realized gain (loss) on investments
and foreign currency transactions ........ $ 96,429,510 $ 34,816,925 $ 18,438,288 $104,152,845
------------ ------------ ------------ ------------
Change in unrealized appreciation (depreciation) --
Investments (net of $--, $--, $22,501, and
$-- deferred country tax) .................. $(75,206,732) $ (2,717,266) $ (4,448,896) $(30,676,715)
Translation of assets and liabilities in
foreign currencies ......................... (11,396) (5,260) (7,882) (6,763)
============ ============ ============ ============
Net unrealized gain (loss) on investments
and foreign currency translation $(75,218,128) $ (2,722,526) $ (4,456,778 $(30,683,478)
------------ ------------ ------------ ------------
Net realized and unrealized gain (loss)
on investments and foreign currency ...... $ 21,211,382 $ 32,094,399 $ 13,981,510 $ 73,469,367
------------ ------------ ------------ ------------
Change in net assets from operations ..... $ 22,413,901 $ 31,033,744 $ 14,952,842 $ 82,031,486
============ ============ ============ ============
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF OPERATIONS -- Year Ended December 31, 2005 -- continued
Mid Cap Total
Growth Research Return Utilities
Series Series Series Series
------------ ------------ ------------ ------------
Net investment income (loss):
Income --
Dividends .................................... $ 473,789 $ 5,746,958 $ 27,273,918 $ 8,639,521
Interest ..................................... 60,790 105,819 41,785,116 1,837,583
Income on securities loaned .................. 25,344 69,490 156,240 129,816
Foreign taxes withheld ....................... (2,293) (101,559) (241,657) (348,261)
------------ ------------ ------------ ------------
Total investment income .................... $ 557,630 $ 5,820,708 $ 68,973,617 $ 10,258,659
------------ ------------ ------------ ------------
Expenses --
Management fee ............................... $ 855,534 $ 3,040,822 $ 13,780,209 $ 2,773,567
Distribution fee ............................. 103,507 64,810 1,661,405 98,032
Administrative services fee .................. 20,001 73,246 370,799 66,995
Independent trustees' compensation ........... 15,988 42,868 197,451 37,331
Custodian fee ................................ 43,969 160,586 535,009 223,707
Printing ..................................... 9,913 46,078 70,326 28,524
Auditing fees ................................ 42,764 44,330 56,919 43,667
Legal fees ................................... 6,887 7,154 7,595 13,706
Miscellaneous ................................ 22,683 43,581 95,292 38,150
------------ ------------ ------------ ------------
Total expenses ............................. $ 1,121,246 $ 3,523,475 $ 16,775,005 $ 3,323,679
Fees paid indirectly ......................... (7,525) (25,426) (43,455) (25,645)
------------ ------------ ------------ ------------
Net expenses ............................... $ 1,113,721 $ 3,498,049 $ 16,731,550 $ 3,298,034
------------ ------------ ------------ ------------
Net investment income (loss) ..................... $ (556,091) $ 2,322,659 $ 52,242,067 $ 6,960,625
============ ============ ============ ============
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions (net of $--, $--,
$--, and $6,166 country tax, respectively) .. $ 8,794,919 $ 54,838,822 $ 83,616,195 $ 65,733,942
Foreign currency transactions ................ (926) (10,201) (21,680) 3,129,467
------------ ------------ ------------ ------------
Net realized gain (loss) on investments
and foreign currency transactions ........ $ 8,793,993 $ 54,828,621 $ 83,594,515 $ 68,863,409
------------ ------------ ------------ ------------
Change in unrealized appreciation (depreciation) --
Investments .................................. $ (5,801,000) $(26,532,489) $(73,280,376) $(17,574,209)
Translation of assets liabilities in
foreign currencies ......................... 21 (654) (6,612) 1,621,401
============ ============ ============ ============
Net unrealized gain (loss) on investments
and foreign currency translation $ (5,800,979) $(26,533,143) $(73,286,988) $(15,952,808)
------------ ------------ ------------ ------------
Net realized and unrealized gain (loss)
on investments and foreign currency .... $ 2,993,014 $ 28,295,478 $ 10,307,527 $ 52,910,601
------------ ------------ ------------ ------------
Change in net assets from operations ..... $ 2,436,923 $ 30,618,137 $ 62,549,594 $ 59,871,226
============ ============ ============ ============
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Year Ended December 31, 2005
Capital Emerging Global Massachusetts
Appreciation Growth Growth Investors Trust
Series Series Series Series
-------------- ------------ ------------ --------------
Changes in net assets:
From operations:
Net investment income (loss) ................. $ 1,202,519 $ (1,060,655) $ 971,332 $ 8,562,119
Net realized gain (loss) on investments and
foreign currency transactions .............. 96,429,510 34,816,925 18,438,288 104,152,845
Net unrealized gain (loss) on investments and
foreign currency translation ............... (75,218,128) (2,722,526) (4,456,778) (30,683,478)
-------------- ------------ ------------ --------------
Change in net assets from operations ....... $ 22,413,901 $ 31,033,744 $ 14,952,842 $ 82,031,486
-------------- ------------ ------------ --------------
Distributions declared to shareholders:
From net investment income (Initial Class) ... $ (4,220,755) $ -- $ (747,488) $ (9,459,588)
From net investment income (Service Class) ... (132,167) -- (16,861) (1,230,447)
-------------- ------------ ------------ --------------
Total distributions declared to
shareholders ............................. $ (4,352,922) $ -- $ (764,349) $ (10,690,035)
-------------- ------------ ------------ --------------
Change in net assets from series share
transactions ................................... $ (41,345,711) $(96,303,265) $(34,145,328) $ (98,483,063)
-------------- ------------ ------------ --------------
Total change in net assets ................. $ (23,284,732) $(65,269,521) $(19,956,835) $ (27,141,612)
Net assets:
At beginning of period ......................... 708,243,411 436,950,105 182,930,856 1,155,639,841
-------------- ------------ ------------ --------------
At end of period ............................... $ 684,958,679 $371,680,584 $162,974,021 $1,128,498,229
============== ============ ============ ==============
Undistributed net investment income
included in net assets at end of period ........ $ 1,173,370 $ -- $ 871,727 $ 8,567,714
============== ============ ============ ==============
Mid Cap Total
Growth Research Return Utilities
Series Series Series Series
-------------- ------------ ------------ --------------
Changes in net assets:
From operations:
Net investment income (loss) ................. $ (556,091) $ 2,322,659 $ 52,242,067 $ 6,960,625
Net realized gain (loss) on investments and
foreign currency transactions .............. 8,793,993 54,828,621 83,594,515 68,863,409
Net unrealized gain (loss) on investments and
foreign currency translation ............... (5,800,979) (26,533,143) (73,286,988) (15,952,808)
-------------- ------------ -------------- ------------
Change in net assets from operations ....... $ 2,436,923 $ 30,618,137 $ 62,549,594 $ 59,871,226
-------------- ------------ -------------- ------------
Distributions declared to shareholders:
From net investment income (Initial Class) ... $ -- $ (2,257,939) $ (38,855,607) $ (3,336,688)
From net investment income (Service Class) ... -- (96,245) (15,487,606) (304,599)
From net realized gain on investments
and foreign currency transactions
(Initial Class) ............................ -- -- (37,381,811) --
From net realized gain on investments
and foreign currency transactions
(Service Class) ............................ -- -- (15,897,759) --
-------------- ------------ -------------- ------------
Total distributions declared to
shareholders ............................. $ -- $ (2,354,184) $ (107,622,783) $ (3,641,287)
-------------- ------------ -------------- ------------
Change in net assets from series share
transactions ................................... $ (21,429,298) $(91,027,306) $ 66,689,130 $(25,412,312)
-------------- ------------ -------------- ------------
Total change in net assets ................. $ (18,992,375) $(62,763,353) $ 21,615,941 $ 30,817,627
Net assets:
At beginning of period ......................... 129,342,335 457,633,448 2,119,619,080 361,139,379
-------------- ------------ -------------- ------------
At end of period ............................... $ 110,349,960 $394,870,095 $2,141,235,021 $391,957,006
============== ============ ============== ============
Undistributed net investment income
included in net assets at end of period ........ $ -- $ 2,311,969 $ 56,500,861 $ 11,785,317
============== ============ ============== ============
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Year Ended December 31, 2004
Capital Emerging Global Massachusetts
Appreciation Growth Growth Investors Trust
Series Series Series Series
-------------- ------------ ------------ --------------
Changes in net assets:
From operations:
Net investment income (loss) ................. $ 4,378,139 $ (601,157) $ 843,685 $ 10,770,766
Net realized gain (loss) on investments and
foreign currency transactions .............. 38,781,772 39,394,860 17,391,274 56,918,227
Net unrealized gain (loss) on investments
and foreign currency translation ........... 29,715,052 13,895,879 7,404,641 59,167,320
-------------- ------------ ------------ --------------
Change in net assets from operations ....... $ 72,874,963 $ 52,689,582 $ 25,639,600 $ 126,856,313
-------------- ------------ ------------ --------------
Distributions declared to shareholders:
From net investment income (Initial Class) ... $ (433,984) $ -- $ (820,549) $ (11,046,879)
From net investment income (Service Class) ... -- -- (22,543) (650,218)
-------------- ------------ ------------ --------------
Total distributions declared to
shareholders ............................. $ (433,984) $ -- $ (843,092) $ (11,697,097)
-------------- ------------ ------------ --------------
Change in net assets from series share
transactions ................................... $ (119,354,287) $(84,594,002) $(34,157,477) $ (189,656,877)
-------------- ------------ ------------ --------------
Total change in net assets ................. $ (46,913,308) $(31,904,420) $ (9,360,969) $ (74,497,661)
Net assets:
At beginning of period ......................... 755,156,719 468,854,525 192,291,825 1,230,137,502
-------------- ------------ ------------ --------------
At end of period ............................... $ 708,243,411 $436,950,105 $182,930,856 $1,155,639,841
============== ============ ============ ==============
Undistributed net investment income included
in net assets at end of period ................. $ 4,352,013 $ -- $ 754,399 $ 10,688,878
============== ============ ============ ==============
Mid Cap Total
Growth Research Return Utilities
Series Series Series Series
-------------- ------------ ------------ --------------
Changes in net assets:
From operations:
Net investment income (loss) ................. $ (792,757) $ 2,381,180 $ 50,659,733 $ 7,151,113
Net realized gain (loss) on investments and
foreign currency transactions .............. 12,142,051 46,988,410 119,415,124 50,988,524
Net increase from gains (losses) realized
on the disposal of investments in
violation of restrictions .................. -- -- -- 70,344
Net unrealized gain (loss) on investments
and foreign currency translation ........... 4,683,678 16,667,113 47,131,276 28,826,942
-------------- ------------ -------------- ------------
Change in net assets from operations ....... $ 16,032,972 $ 66,036,703 $ 217,206,133 $ 87,036,923
-------------- ------------ -------------- ------------
Distributions declared to shareholders:
From net investment income (Initial Class) ... $ -- $ (4,047,067) $ (39,255,506) $ (5,749,208)
From net investment income (Service Class) ... -- (154,606) (9,174,349) (456,442)
-------------- ------------ -------------- ------------
Total distributions declared to
shareholders ............................. $ -- $ (4,201,673) $ (48,429,855) $ (6,205,650)
-------------- ------------ -------------- ------------
Change in net assets from series share
transactions ................................... $ 69,518 $(86,351,479) $ 31,639,454 $(29,894,493)
-------------- ------------ -------------- ------------
Total change in net assets ................. $ 16,102,490 $(24,516,449) $ 200,415,732 $ 50,936,780
Net assets:
At beginning of period ......................... 113,239,845 482,149,897 1,919,203,348 310,202,599
-------------- ------------ -------------- ------------
At end of period ............................... $ 129,342,335 $457,633,448 $2,119,619,080 $361,139,379
============== ============ ============== ============
Undistributed net investment income
included in net assets at end of period ........ $ -- $ 2,353,088 $ 54,327,368 $ 4,973,989
============== ============ ============== ============
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular class, if shorter). Certain information reflects financial results for a single series share. The total
returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series share
class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the
series' independent registered public accounting firm, whose report, together with the series' financial statements, are
included in this report.
Capital Appreciation Series
-------------------------------------------------------------------------------------------
Years Ended December 31,
-------------------------------------------------------------------------------------------
2005 2004 2003 2002 2001
-------- -------- -------- -------- ----------
INITIAL CLASS SHARES
Net asset value, beginning of
period .......................... $ 19.25 $ 17.35 $ 13.48 $ 19.97 $ 41.55
-------- -------- -------- -------- ----------
Income (loss) from investment operations
Net investment income (loss) (d) $ 0.03 $ 0.11 $ 0.01 $ (0.01) $ 0.03
Net realized and unrealized
gain (loss) on investments
and foreign currency .......... 0.14 1.80 3.86 (6.45) (8.84)
-------- -------- -------- -------- ----------
Total from investment
operations ................ $ 0.17 $ 1.91 $ 3.87 $ (6.46) $ (8.81)
-------- -------- -------- -------- ----------
Less distributions declared to shareholders
From net investment income ...... $ (0.11) $ (0.01) $ -- $ (0.03) $ (0.12)
From net realized gain on
investments and foreign
currency transactions ......... -- -- -- -- (12.65)
-------- -------- -------- -------- ----------
Total distributions
declared to shareholders .. $ (0.11) $ (0.01) $ -- $ (0.03) $ (12.77)
-------- -------- -------- -------- ----------
Net asset value, end of period .... $ 19.31 $ 19.25 $ 17.35 $ 13.48 $ 19.97
======== ======== ======== ======== ==========
Total return (%) (k)(s) ........... 0.92 11.02(b) 28.71(j) (32.39) (25.33)
Ratios (%) (to average net assets) and Supplemental data:
Expenses (f) .................... 0.85 0.82 0.82 0.81 0.78
Net investment income (loss) .... 0.18 0.62 0.07 (0.05) 0.12
Portfolio turnover (%) ............ 153 64 100 77 119
Net assets at end of period (000
Omitted) ........................ $649,588 $672,246 $722,980 $657,634 $1,239,047
Capital Appreciation Series
-------------------------------------------------------------------------------------------
Years Ended December 31,
-------------------------------------------------------------------------------------------
2005 2004 2003 2002 2001
-------- -------- -------- -------- ----------
SERVICE CLASS SHARES
Net asset value, beginning of
period .......................... $ 19.11 $ 17.25 $ 13.44 $ 19.95 $ 19.85
-------- -------- -------- -------- ----------
Income (loss) from investment operations
Net investment income (loss)(d) . $ (0.01) $ 0.07 $ (0.03) $ (0.04) $ (0.02)
Net realized and unrealized
gain (loss) on investments
and foreign currency .......... 0.13 1.79 3.84 (6.45) 0.12(g)
-------- -------- -------- -------- ----------
Total from investment
operations ................ $ 0.12 $ 1.86 $ 3.81 $ (6.49) $ 0.10
-------- -------- -------- -------- ----------
Less distributions declared to shareholders
From net investment income ...... $ (0.07) $ -- $ -- $ (0.02) $ --
-------- -------- -------- -------- ----------
Net asset value, end of period .... $ 19.16 $ 19.11 $ 17.25 $ 13.44 $ 19.95
======== ======== ======== ======== ==========
Total return (%) (k)(s) ........... 0.63 10.78(b) 28.35(j) (32.57) 0.55(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses (f) .................... 1.10 1.07 1.07 1.06 1.03(a)
Net investment income (loss) .... (0.07) 0.40 (0.18) (0.24) (0.35)(a)
Portfolio turnover (%) ............ 153 64 100 77 119
Net assets at end of period (000
Omitted) ........................ $ 35,371 $ 35,997 $ 32,177 $ 21,652 $ 12,183
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
(i) For the period from the class' inception, August 24, 2001 (Service Class) through the stated period end.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total
return figures for all periods shown.
(b) The series' net asset value and total return calculation include a non-recurring accrual recorded as a result of an
administrative proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The
non-recurring accrual resulted in an increase in the net asset value of $0.02 per share based on shares outstanding on the day
the proceeds were recorded. Excluding the effect of this accrual from the ending net asset value per share, the Initial Class
and Service Class total returns for the year ended December 31, 2004 would have been lower by approximately 0.11%.
(j) The series' net asset value and total return calculation include proceeds received on March 26, 2003 for the partial payment
of a non- recurring litigation settlement from Cendant Corporation, recorded as a realized gain on investment transactions.
The proceeds resulted in an increase in the net asset value of $0.28 per share based on shares outstanding on the day the
proceeds were received. Excluding the effect of this payment from the ending net asset value per share, the Initial Class and
Service Class total returns for the year ended December 31, 2003 would have been lower by approximately 2.08% and 2.09%,
respectively.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the timing
of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or life
of a particular share class, if shorter). Certain information reflects financial results for a single series share. The total
returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series share
class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the series'
independent registered public accounting firm, whose report, together with the series' financial statements, are included in this
report.
Emerging Growth Series
-------------------------------------------------------------------------------------------
Years Ended December 31,
-------------------------------------------------------------------------------------------
2005 2004 2003 2002 2001
-------- -------- -------- -------- ----------
INITIAL CLASS SHARES
Net asset value, beginning of
period .......................... $ 15.65 $ 13.82 $ 10.51 $ 15.96 $ 29.32
-------- -------- -------- -------- ----------
Income (loss) from investment operations
Net investment loss (d) ......... $ (0.04) $ (0.02) $ (0.02) $ (0.02) $ (0.01)
Net realized and unrealized
gain (loss) on investments
and foreign currency .......... 1.47 1.85 3.33 (5.43) (9.51)
-------- -------- -------- -------- ----------
Total from investment
operations ................ $ 1.43 $ 1.83 $ 3.31 $ (5.45) $ (9.52)
-------- -------- -------- -------- ----------
Less distributions declared to shareholders
From net realized gain on
investments and foreign
currency transactions ......... $ -- $ -- $ -- $ -- $ (3.84)
-------- -------- -------- -------- ----------
Net asset value, end of period .... $ 17.08 $ 15.65 $ 13.82 $ 10.51 $ 15.96
======== ======== ======== ======== ==========
Total return (%) (k)(s) ........... 9.14 13.24(b) 31.49(j) (34.15) (34.57)
Ratios (%) (to average net assets) and Supplemental data:
Expenses (f) .................... 0.84 0.80 0.81 0.78 0.76
Net investment loss ............. (0.26) (0.13) (0.17) (0.18) (0.07)
Portfolio turnover (%) ............ 88 94 100 105 230
Net assets at end of period (000
Omitted) ........................ $350,083 $414,811 $450,707 $409,015 $ 844,779
Emerging Growth Series
-------------------------------------------------------------------------------------------
Years Ended December 31,
-------------------------------------------------------------------------------------------
2005 2004 2003 2002 2001(i)
-------- -------- -------- -------- ----------
SERVICE CLASS SHARES
Net asset value, beginning of
period .......................... $ 15.51 $ 13.73 $ 10.47 $ 15.94 $ 15.81
-------- -------- -------- -------- ----------
Income (loss) from investment operations
Net investment loss (d) ......... $ (0.08) $ (0.05) $ (0.05) $ (0.05) $ (0.03)
Net realized and unrealized
gain (loss) on investments
and foreign currency .......... 1.46 1.83 3.31 (5.42) 0.16(g)
-------- -------- -------- -------- ----------
Total from investment
operations ................ $ 1.38 $ 1.78 $ 3.26 $ (5.47) $ 0.13
-------- -------- -------- -------- ----------
Net asset value, end of period .... $ 16.89 $ 15.51 $ 13.73 $ 10.47 $ 15.94
======== ======== ======== ======== ==========
Total return (%)(k)(s) ............ 8.90 12.96(b) 31.14(j) (34.32) 0.82(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses (f) .................... 1.09 1.06 1.06 1.03 1.01(a)
Net investment loss ............. (0.51) (0.36) (0.42) (0.39) (0.48)(a)
Portfolio turnover (%) ............ 88 94 100 105 230
Net assets at end of period (000
Omitted) .......................... $ 21,597 $ 22,139 $ 18,147 $ 11,009 $ 6,089
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
(i) For the period from the class' inception, August 24, 2001 (Service Class) through the stated period end.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total
return figures for all periods shown.
(b) The series' net asset value and total return calculation include a non-recurring accrual recorded as a result of an
administrative proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The
non-recurring accrual resulted in an increase in the net asset value of $0.01 per share based on shares outstanding on the day
the proceeds were recorded.
(j) The series' net asset value and total return calculation include proceeds received on March 26, 2003 for the partial payment
of a non- recurring litigation settlement from Cendant Corporation, recorded as a realized gain on investment transactions.
The proceeds resulted in an increase in the net asset value of $0.16 per share based on shares outstanding on the day the
proceeds were received. Excluding the effect of this payment from the ending net asset value per share, the Initial Class and
Service Class total returns for the year ended December 31, 2003 would have been lower by approximately 1.48% and 1.50%,
respectively.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the timing
of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or life
of a particular class, if shorter). Certain information reflects financial results for a single series share. The total returns in
the table represent the rate by which an investor would have earned (or lost) on an investment in the series share class (assuming
reinvestment of all distributions) held for the entire period. This information has been audited by the series' independent
registered public accounting firm, whose report, together with the series' financial statements, are included in this report.
Global Growth Series
-----------------------------------------------------------------------------------------
Years Ended December 31,
-----------------------------------------------------------------------------------------
2005 2004 2003 2002 2001
-------- -------- -------- -------- ----------
INITIAL CLASS SHARES
Net asset value, beginning of
period .......................... $ 12.31 $ 10.70 $ 7.94 $ 9.87 $ 18.47
-------- -------- -------- -------- --------
Income (loss) from investment operations
Net investment income (d) ....... $ 0.07 $ 0.05 $ 0.07 $ 0.04 $ 0.03
Net realized and unrealized gain
(loss) on investments and
foreign currency .............. 1.16 1.61 2.73 (1.95) (2.97)
-------- -------- -------- -------- --------
Total from investment
operations ................ $ 1.23 $ 1.66 $ 2.80 $ (1.91) $ (2.94)
-------- -------- -------- -------- --------
Less distributions declared to shareholders
From net investment income ...... $ (0.06) $ (0.05) $ (0.04) $ (0.02) $ (0.11)
From net realized gain on
investments and foreign
currency transactions ......... -- -- -- -- (5.55)
-------- -------- -------- -------- --------
Total distributions declared
to shareholders ........... $ (0.06) $ (0.05) $ (0.04) $ (0.02) $ (5.66)
-------- -------- -------- -------- --------
Net asset value, end of period .... $ 13.48 $ 12.31 $ 10.70 $ 7.94 $ 9.87
======== ======== ======== ======== ========
Total return (%) (k)(s) ........... 10.03 15.61(b) 35.44(j) (19.36) (19.64)
Ratios (%) (to average net assets) and Supplemental data:
Expenses (f) .................... 1.08 1.07 1.11 1.08 1.05
Net investment income ........... 0.59 0.48 0.76 0.49 0.28
Portfolio turnover (%) ............ 87 115 147 118 113
Net assets at end of period (000
Omitted) ........................ $155,375 $175,146 $185,500 $167,014 $276,769
Global Growth Series
-----------------------------------------------------------------------------------------
Years Ended December 31,
-----------------------------------------------------------------------------------------
2005 2004 2003 2002 2001(i)
-------- -------- -------- -------- ----------
SERVICE CLASS SHARES
Net asset value, beginning of
period .......................... $ 12.24 $ 10.64 $ 7.90 $ 9.85 $ 9.99
-------- -------- -------- -------- --------
Income (loss) from investment operations
Net investment income (loss) (d) $ 0.04 $ 0.02 $ 0.04 $ 0.02 $ (0.01)
Net realized and unrealized gain
(loss) on investments and
foreign currency .............. 1.14 1.61 2.73 (1.95) (0.13)(g)
-------- -------- -------- -------- --------
Total from investment
operations ................ $ 1.18 $ 1.63 $ 2.77 $ (1.93) $ (0.14)
-------- -------- -------- -------- --------
Less distributions declared to shareholders
From net investment income ...... $ (0.03) $ (0.03) $ (0.03) $ (0.02) $ --
-------- -------- -------- -------- --------
Net asset value, end of period .... $ 13.39 $ 12.24 $ 10.64 $ 7.90 $ 9.85
======== ======== ======== ======== ========
Total return (%) (k)(s) ........... 9.65 15.41(b) 35.13(j) (19.62) (1.40)(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses (f) .................... 1.33 1.32 1.36 1.33 1.30(a)
Net investment income (loss) .... 0.34 0.23 0.41 0.25 (0.39)(a)
Portfolio turnover (%) ............ 87 115 147 118 113
Net assets at end of period (000
Omitted) ........................ $ 7,599 $ 7,785 $ 6,792 $ 3,724 $ 1,360
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
(i) For the period from the class' inception, August 24, 2001 (Service Class) through the stated period end.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total
return figures for all periods shown.
(b) The series' net asset value and total return calculation include a non-recurring accrual recorded as a result of an
administrative proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The
non-recurring accrual did not have a material impact on the net asset value per share based on shares outstanding on the day
the proceeds were recorded.
(j) The series' net asset value and total return calculation include proceeds received on March 26, 2003 for the partial payment
of a non- recurring litigation settlement from Cendant Corporation, recorded as a realized gain on investment transactions.
The proceeds resulted in an increase in the net asset value of $0.06 per share based on shares outstanding on the day the
proceeds were received. Excluding the effect of this payment from the ending net asset value per share, total return for the
year ended December 31, 2003 would have been 0.79% and 0.80% lower for the Initial Class and the Service Class shares,
respectively.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the timing
of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or life
of a particular class, if shorter). Certain information reflects financial results for a single series share. The total returns in
the table represent the rate by which an investor would have earned (or lost) on an investment in the series share class (assuming
reinvestment of all distributions) held for the entire period. This information has been audited by the series' independent
registered public accounting firm, whose report, together with the series' financial statements, are included in this report.
Massachusetts Investors Trust Series
-------------------------------------------------------------------------------------------------
Years Ended December 31,
-------------------------------------------------------------------------------------------------
2005 2004 2003 2002 2001
-------- -------- -------- -------- ----------
INITIAL CLASS SHARES
Net asset value, beginning
of period ....................... $ 28.27 $ 25.51 $ 21.01 $ 26.92 $ 35.12
-------- ---------- ---------- ---------- ----------
Income (loss) from investment operations
Net investment income (d) ....... $ 0.23 $ 0.25 $ 0.23 $ 0.21 $ 0.25
Net realized and
unrealized gain (loss)
on investments and
foreign currency .............. 1.92 2.77 4.52 (5.88) (5.49)
-------- ---------- ---------- ---------- ----------
Total from investment
operations ................ $ 2.15 $ 3.02 $ 4.75 $ (5.67) $ (5.24)
-------- ---------- ---------- ---------- ----------
Less distributions declared to shareholders
From net investment
income ........................ $ (0.27) $ (0.26) $ (0.25) $ (0.24) $ (0.25)
From net realized gain on
investments and foreign
currency transactions ......... -- -- -- -- (2.55)
From paid-in capital ............ -- -- -- -- (0.16)
-------- ---------- ---------- ---------- ----------
Total distributions
declared to shareholders .. $ (0.27) $ (0.26) $ (0.25) $ (0.24) $ (2.96)
-------- ---------- ---------- ---------- ----------
Net asset value, end of
period .......................... $ 30.15 $ 28.27 $ 25.51 $ 21.01 $ 26.92
======== ========== ========== ========== ==========
Total return (%) (k)(s) ........... 7.70 11.99(b) 22.83(j) (21.22) (15.71)
Ratios (%) (to average net assets) and Supplemental data:
Expenses (f) .................... 0.63 0.61 0.61 0.60 0.60
Net investment income ........... 0.79 0.95 1.04 0.88 0.84
Portfolio turnover (%) ............ 49 78 78 57 83
Net assets at end of period
(000 Omitted) ................... $929,794 $1,073,587 $1,153,238 $1,107,698 $1,798,744
Massachusetts Investors Trust Series
-------------------------------------------------------------------------------------------------
Years Ended December 31,
-------------------------------------------------------------------------------------------------
2005 2004 2003 2002 2001(i)
-------- -------- -------- -------- ----------
SERVICE CLASS SHARES
Net asset value, beginning
of period ....................... $ 28.13 $ 25.39 $ 20.94 $ 26.89 $ 27.40
-------- ---------- ---------- ---------- ----------
Income (loss) from investment operations
Net investment income (d) ....... $ 0.16 $ 0.18 $ 0.18 $ 0.16 $ 0.05
Net realized and
unrealized gain (loss)
on investments and
foreign currency .............. 1.90 2.77 4.49 (5.88) (0.56)(g)
-------- ---------- ---------- ---------- ----------
Total from investment
operations ................ $ 2.06 $ 2.95 $ 4.67 $ (5.72) $ (0.51)
-------- ---------- ---------- ---------- ----------
Less distributions declared to shareholders
From net investment
income ........................ $ (0.23) $ (0.21) $ (0.22) $ (0.23) $ --
-------- ---------- ---------- ---------- ----------
Net asset value, end of
period .......................... $ 29.96 $ 28.13 $ 25.39 $ 20.94 $ 26.89
======== ========== ========== ========== ==========
Total return (%) (k)(s) ........... 7.42 11.74(b) 22.45(j) (21.40) (1.86)(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses (f) .................... 0.88 0.86 0.86 0.85 0.85(a)
Net investment income ........... 0.54 0.70 0.79 0.70 0.53(a)
Portfolio turnover (%) ............ 49 78 78 57 83
Net assets at end of period
(000 Omitted) .................. $198,705 $ 82,053 $ 76,899 $ 51,859 $ 21,616
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
(i) For the period from the class' inception, August 24, 2001 (Service Class) through the stated period end.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total
return figures for all periods shown.
(b) The series' net asset value and total return calculation include a non-recurring accrual recorded as a result of an
administrative proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The
non-recurring accrual resulted in an increase in the net asset value of $0.01 per share based on shares outstanding on the day
the proceeds were recorded.
(j) The series' net asset value and total return calculation include proceeds received on March 26, 2003 for the partial payment
of a non- recurring litigation settlement from Cendant Corporation, recorded as a realized gain on investment transactions.
The proceeds resulted in an increase in the net asset value of $0.002 per share based on shares outstanding on the day the
proceeds were received. Excluding the effect of this payment from the ending net asset value per share, the Initial Class and
Service Class total returns for the year ended December 31, 2003 would have each been lower by approximately 0.01%.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the timing
of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or life
of a particular class, if shorter). Certain information reflects financial results for a single series share. The total returns in
the table represent the rate by which an investor would have earned (or lost) on an investment in the series share class (assuming
reinvestment of all distributions) held for the entire period. This information has been audited by the series' independent
registered public accounting firm, whose report, together with the series' financial statements, are included in this report.
Mid Cap Growth Series
------------------------------------------------------------------------------------
Years Ended December 31,
------------------------------------------------------------------------------------
2005 2004 2003 2002 2001
-------- -------- -------- -------- ----------
INITIAL CLASS SHARES
Net asset value, beginning of period $ 5.80 $ 5.06 $ 3.67 $ 6.94 $ 9.08
-------- -------- -------- -------- --------
Income (loss) from investment operations
Net investment loss (d) ......... $ (0.02) $ (0.03) $ (0.02) $ (0.02) $ (0.01)
Net realized and unrealized gain
(loss) on investments and foreign
currency ...................... 0.20 0.77 1.41 (3.25) (2.09)
-------- -------- -------- -------- --------
Total from investment operations . $ 0.18 $ 0.74 $ 1.39 $ (3.27) $ (2.10)
-------- -------- -------- -------- --------
Less distributions declared to shareholders
From net investment income ...... $ -- $ -- $ -- $ -- $ (0.01)
From net realized gain on investments
and foreign currency transactions .. -- -- -- -- (0.03)
-------- -------- -------- -------- --------
Total distributions declared to
shareholders .............. $ -- $ -- $ -- $ -- $ (0.04)
-------- -------- -------- -------- --------
Net asset value, end of period .... $ 5.98 $ 5.80 $ 5.06 $ 3.67 $ 6.94
======== ======== ======== ======== ========
Total return (%) (k)(s) ........... 3.10 14.62 37.87 (47.12) (23.24)
Ratios (%) (to average net assets) and Supplemental data:
Expenses (f) .................... 0.89 0.85 0.90 0.85 0.84
Net investment loss ............. (0.40) (0.56) (0.46) (0.39) (0.16)
Portfolio turnover (%) ............ 81 84 90 160 85
Net assets at end of period (000
Omitted) ........................ $ 68,637 $ 83,899 $ 76,159 $ 39,941 $ 75,413
Mid Cap Growth Series
------------------------------------------------------------------------------------
Years Ended December 31,
------------------------------------------------------------------------------------
2005 2004 2003 2002 2001(i)
-------- -------- -------- -------- ----------
SERVICE CLASS SHARES
Net asset value, beginning of period $ 5.76 $ 5.04 $ 3.67 $ 6.94 $ 6.90
-------- -------- -------- -------- --------
Income (loss) from investment operations
Net investment loss (d) ......... $ (0.04) $ (0.04) $ (0.03) $ (0.03) $ (0.01)
Net realized and unrealized gain
(loss) on investments and foreign
currency ...................... 0.20 0.76 1.40 (3.24) 0.05(g)
-------- -------- -------- -------- --------
Total from investment operations . $ 0.16 $ 0.72 $ 1.37 $ (3.27) $ 0.04
-------- -------- -------- -------- --------
Net asset value, end of period .... $ 5.92 $ 5.76 $ 5.04 $ 3.67 $ 6.94
======== ======== ======== ======== ========
Total return (%) (k)(s) ........... 2.78 14.29 37.33 (47.12) 0.58(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses (f) .................... 1.15 1.10 1.15 1.10 1.09(a)
Net investment loss ............. (0.65) (0.81) (0.72) (0.60) (0.50)(a)
Portfolio turnover (%) ............ 81 84 90 160 85
Net assets at end of period (000
Omitted) ........................ $ 41,713 $ 45,443 $ 37,081 $ 14,028 $ 6,981
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
(i) For the period from the class' inception, August 24, 2001 (Service Class), through the stated period end.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total
return figures for all periods shown.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the timing
of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or life
of a particular share class, if shorter). Certain information reflects financial results for a single series share. The total
returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series share
class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the series'
independent registered public accounting firm, whose report, together with the series' financial statements, are included in this
report.
Research Series
-----------------------------------------------------------------------------------------
Years Ended December 31,
-----------------------------------------------------------------------------------------
2005 2004 2003 2002 2001
-------- -------- -------- -------- ----------
INITIAL CLASS SHARES
Net asset value, beginning of
period .......................... $ 15.88 $ 13.84 $ 11.14 $ 14.93 $ 23.65
-------- -------- -------- -------- --------
Income (loss) from investment operations
Net investment income (d) ....... $ 0.09 $ 0.08 $ 0.11 $ 0.08 $ 0.05
Net realized and unrealized gain
(loss) on investments and
foreign currency .............. 1.16 2.09 2.69 (3.82) (4.54)
-------- -------- -------- -------- --------
Total from investment
operations ................ $ 1.25 $ 2.17 $ 2.80 $ (3.74) $ (4.49)
-------- -------- -------- -------- --------
Less distributions declared to shareholders
From net investment income ...... $ (0.09) $ (0.13) $ (0.10) $ (0.05) $ (0.01)
From net realized gain on
investments and foreign
currency transactions ......... -- -- -- -- (4.22)
-------- -------- -------- -------- --------
Total distributions declared
to shareholders ........... $ (0.09) $ (0.13) $ (0.10) $ (0.05) $ (4.23)
-------- -------- -------- -------- --------
Net asset value, end of period .... $ 17.04 $ 15.88 $ 13.84 $ 11.14 $ 14.93
======== ======== ======== ======== ========
Total return (%) (k)(s) ........... 7.94 15.83(b) 25.32(j) (25.11) (21.40)
Ratios (%) (to average net assets) and Supplemental data:
Expenses (f) .................... 0.83 0.80 0.80 0.78 0.76
Net investment income ........... 0.57 0.53 0.93 0.61 0.28
Portfolio turnover (%) ............ 92 118 124 98 89
Net assets at end of period (000
Omitted) ........................ $366,831 $432,318 $466,139 $458,394 $826,315
Research Series
-----------------------------------------------------------------------------------------
Years Ended December 31,
-----------------------------------------------------------------------------------------
2005 2004 2003 2002 2001(i)
-------- -------- -------- -------- ----------
SERVICE CLASS SHARES
Net asset value, beginning of
period .......................... $ 15.78 $ 13.77 $ 11.09 $ 14.91 $ 15.10
-------- -------- -------- -------- --------
Income (loss) from investment operations
Net investment income (d) ....... $ 0.05 $ 0.04 $ 0.08 $ 0.06 $ 0.01
Net realized and unrealized gain
(loss) on investments and
foreign currency .............. 1.16 2.08 2.68 (3.83) (0.20)(g)
-------- -------- -------- -------- --------
Total from investment
operations ................ $ 1.21 $ 2.12 $ 2.76 $ (3.77) $ (0.19)
-------- -------- -------- -------- --------
Less distributions declared to shareholders
From net investment income ...... $ (0.06) $ (0.11) $ (0.08) $ (0.05) $ --
-------- -------- -------- -------- --------
Net asset value, end of period .... $ 16.93 $ 15.78 $ 13.77 $ 11.09 $ 14.91
======== ======== ======== ======== ========
Total return (%) (k)(s) ........... 7.71 15.54(b) 25.01(j) (25.36) (1.26)(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses (f) .................... 1.09 1.05 1.05 1.03 1.01(a)
Net investment income ........... 0.33 0.30 0.67 0.48 0.17(a)
Portfolio turnover (%) ............ 92 118 124 98 89
Net assets at end of period (000
Omitted) ........................ $ 28,039 $ 25,315 $ 16,010 $ 7,134 $ 3,109
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
(i) For the period from the class' inception, August 24, 2001 (Service Class) through the stated period end.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total
return figures for all periods shown.
(b) The series' net asset value and total return calculation include a non-recurring accrual recorded as a result of an
administrative proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The
non-recurring accrual resulted in an increase in the net asset value of $0.01 per share based on shares outstanding on the day
the proceeds were recorded.
(j) The series' net asset value and total return calculation include proceeds received on March 26, 2003 for the partial payment
of a non- recurring litigation settlement from Cendant Corporation, recorded as a realized gain on investment transactions.
The proceeds resulted in an increase in the net asset value of $0.06 per share based on shares outstanding on the day the
proceeds were received. Excluding the effect of this payment from the ending net asset value per share, the Initial Class and
Service Class total returns for the year ended December 31, 2003 would have each been lower by approximately 0.52%.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the timing
of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or life
of a particular class, if shorter). Certain information reflects financial results for a single series share. The total returns in
the table represent the rate by which an investor would have earned (or lost) on an investment in the series share class (assuming
reinvestment of all distributions) held for the entire period. This information has been audited by the series' independent
registered public accounting firm, whose report, together with the series' financial statements, are included in this report.
Total Return Series
---------------------------------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------------------------------
2005 2004 2003 2002 2001
-------- -------- -------- -------- ----------
INITIAL CLASS SHARES
Net asset value,
beginning of period ............... $ 19.55 $ 18.00 $ 15.90 $ 17.95 $ 19.69
---------- ---------- ---------- ---------- ----------
Income (loss) from investment operations
Net investment income(d) ........ $ 0.48 $ 0.48 $ 0.42 $ 0.50 $ 0.57
Net realized and
unrealized gain
(loss) on investments
and foreign currency .......... 0.07 1.53 2.24 (1.44) (0.46)
---------- ---------- ---------- ---------- ----------
Total from investment
operations ................ $ 0.55 $ 2.01 $ 2.66 $ (0.94) $ 0.11
---------- ---------- ---------- ---------- ----------
Less distributions declared to shareholders
From net investment
income ........................ $ (0.51) $ (0.46) $ (0.56) $ (0.55) $ (0.66)
From net realized gain
on investments and
foreign currency
transactions .................. (0.49) -- -- (0.56) (1.19)
---------- ---------- ---------- ---------- ----------
Total distributions
declared to shareholders .. $ (1.00) $ (0.46) $ (0.56) $ (1.11) $ (1.85)
---------- ---------- ---------- ---------- ----------
Net asset value, end of
period .......................... $ 19.10 $ 19.55 $ 18.00 $ 15.90 $ 17.95
========== ========== ========== ========== ==========
Total return (%) (k)(s) ........... 3.02 11.47(b) 17.15 (5.69) 0.52
Ratios (%) (to average net assets) and Supplemental data:
Expenses (f) .................... 0.71 0.70 0.71 0.70 0.70
Net investment income ........... 2.52 2.60 2.52 2.95 3.13
Portfolio turnover (%) ............ 42 67 65 82 101
Net assets at end of
period (000 Omitted) ............ $1,370,782 $1,571,550 $1,618,983 $1,571,494 $1,872,185
Total Return Series
---------------------------------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------------------------------
2005 2004 2003 2002 2001(i)
-------- -------- -------- -------- ----------
SERVICE CLASS SHARES
Net asset value,
beginning of period ............. $ 19.43 $ 17.92 $ 15.85 $ 17.93 $ 17.85
---------- ---------- ---------- ---------- ----------
Income (loss) from investment operations
Net investment income(d) ........ $ 0.43 $ 0.43 $ 0.36 $ 0.45 $ 0.33
Net realized and
unrealized gain
(loss) on investments
and foreign currency .......... 0.08 1.51 2.24 (1.43) (0.25)(g)
---------- ---------- ---------- ---------- ----------
Total from
investment operations ..... $ 0.51 $ 1.94 $ 2.60 $ (0.98) $ 0.08
---------- ---------- ---------- ---------- ----------
Less distributions declared to shareholders
From net investment
income ........................ $ (0.48) $ (0.43) $ (0.53) $ (0.54) $ --
From net realized gain
on investments and
foreign currency
transactions .................. (0.49) -- -- (0.56) --
---------- ---------- ---------- ---------- ----------
Total distributions
declared to shareholders ........ $ (0.97) $ (0.43) $ (0.53) $ (1.10) $ --
---------- ---------- ---------- ---------- ----------
Net asset value, end of
period .......................... $ 18.97 $ 19.43 $ 17.92 $ 15.85 $ 17.93
========== ========== ========== ========== ==========
Total return (%) (k)(s) ........... 2.81 11.14(b) 16.83 (5.88) 0.45(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses (f) .................... 0.96 0.95 0.95 0.95 0.97(a)
Net investment income ........... 2.28 2.39 2.20 2.77 2.35(a)
Portfolio turnover (%) ............ 42 67 65 82 101
Net assets at end of
period (000 Omitted) ............ $ 770,453 $ 548,069 $ 300,220 $ 152,768 $ 39,015
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
(i) For the period from the class' inception, August 24, 2001 (Service Class) through the stated period end.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total
return figures for all periods shown.
(b) The series' net asset value and total return calculation include a non-recurring accrual recorded as a result of an
administrative proceeding regarding the disclosure of brokerage allocation practices in connection with fund sales. The
non-recurring accrual did not have a material impact on the net asset value per share based on shares outstanding on the day
the proceeds were recorded.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the timing
of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or life
of a particular class, if shorter). Certain information reflects financial results for a single series share. The total returns in
the table represent the rate by which an investor would have earned (or lost) on an investment in the series share class (assuming
reinvestment of all distributions) held for the entire period. This information has been audited by the series' independent
registered public accounting firm, whose report, together with the series' financial statements, are included in this report.
Utilities Series
-----------------------------------------------------------------------------------------
Years Ended December 31,
-----------------------------------------------------------------------------------------
2005 2004 2003 2002 2001
-------- -------- -------- -------- ----------
INITIAL CLASS SHARES
Net asset value, beginning of
period ............................ $ 15.61 $ 12.23 $ 9.28 $ 12.61 $ 19.08
-------- -------- -------- -------- --------
Income (loss) from investment operations
Net investment income (d) ......... $ 0.31 $ 0.30 $ 0.24 $ 0.26 $ 0.35
Net realized and unrealized gain
(loss) on investments and
foreign currency ................ 2.35 3.34 3.05 (3.22) (4.46)
-------- -------- -------- -------- --------
Total from investment
operations .................. $ 2.66 $ 3.64 $ 3.29 $ (2.96) $ (4.11)
-------- -------- -------- -------- --------
Less distributions declared to shareholders
From net investment income ........ $ (0.16) $ (0.26) $ (0.34) $ (0.37) $ (0.63)
From net realized gain on
investments and foreign
currency transactions ........... -- -- -- -- (1.73)
-------- -------- -------- -------- --------
Total distributions declared
to shareholders ............. $ (0.16) $ (0.26) $ (0.34) $ (0.37) $ (2.36)
-------- -------- -------- -------- --------
Net asset value, end of period ...... $ 18.11 $ 15.61 $ 12.23 $ 9.28 $ 12.61
======== ======== ======== ======== ========
Total return (%) (k)(s) ............. 17.23 30.37(b)(v) 36.26 (23.87) (24.34)
Ratios (%) (to average net assets) and Supplemental data:
Expenses (f) ...................... 0.86 0.84 0.84 0.82 0.78
Net investment income ............. 1.87 2.25 2.28 2.55 2.25
Portfolio turnover (%) .............. 96 103 134 79 104
Net assets at end of period (000
Omitted) .......................... $344,717 $328,541 $287,648 $241,772 $467,632
Utilities Series
-----------------------------------------------------------------------------------------
Years Ended December 31,
-----------------------------------------------------------------------------------------
2005 2004 2003 2002 2001(i)
-------- -------- -------- -------- ----------
SERVICE CLASS SHARES
Net asset value, beginning of
period ............................ $ 15.53 $ 12.18 $ 9.24 $ 12.59 $ 13.87
-------- -------- -------- -------- --------
Income (loss) from investment operations
Net investment income (d) ......... $ 0.27 $ 0.26 $ 0.20 $ 0.24 $ 0.08
Net realized and unrealized gain
(loss) on investments and
foreign currency ................ 2.35 3.32 3.06 (3.22) (1.36)(g)
-------- -------- -------- -------- --------
Total from investment
operations ................. $ 2.62 $ 3.58 $ 3.26 $ (2.98) $ (1.28)
-------- -------- -------- -------- --------
Less distributions declared to shareholders
From net investment income ........ $ (0.14) $ (0.23) $ (0.32) $ (0.37) $ --
-------- -------- -------- -------- --------
Net asset value, end of period ...... $ 18.01 $ 15.53 $ 12.18 $ 9.24 $ 12.59
======== ======== ======== ======== ========
Total return (%) (k)(s) ............. 16.97 30.01(b)(v) 36.03 (24.09) (9.23)(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses (f) ...................... 1.11 1.09 1.09 1.07 1.05(a)
Net investment income ............. 1.62 2.01 1.95 2.41 1.60(a)
Portfolio turnover (%) .............. 96 103 134 79 104
Net assets at end of period (000
Omitted) .......................... $ 47,240 $ 32,599 $ 22,555 $ 12,763 $ 7,919
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
(i) For the period from the class' inception, August 24, 2001 (Service Class) through the stated period end.
(v) The series' total return calculation includes a net increase from gains realized on the disposal of investments in violation
of the series' investment restrictions. The gains resulted in an increase in net asset value of $0.00278 per share based on
shares outstanding on the day the gains were realized. Excluding the offset of these gains from the series' ending net asset
value per share, the total returns for the year ended December 31, 2004 would have been approximately 30.35% and 29.99% for
the Initial Class shares and the Service Class shares, respectively.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total
return figures for all periods shown.
(b) The series' net asset value and total return calculation include a non-recurring accrual recorded as a result of an
administrative proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The
non-recurring accrual did not have a material impact on the net asset value per share based on the shares outstanding on the
day the proceeds were recorded.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the timing
of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
(1) BUSINESS AND ORGANIZATION
The Trust is organized as a Massachusetts business trust and is registered
under the Investment Company Act of 1940, as amended (the "1940 Act"), as an
open-end management investment company consisting of twenty-eight separate
series (the series) of shares: Bond Series, Capital Appreciation Series*,
Capital Opportunities Series, Core Equity Series, Emerging Growth Series*,
Emerging Markets Equity Series, Global Governments Series, Global Growth
Series*, Global Total Return Series, Government Securities Series, High Yield
Series, International Growth Series, International Value Series, Massachusetts
Investors Growth Stock Series, Massachusetts Investors Trust Series*, Mid Cap
Growth Series*, Mid Cap Value Series, Money Market Series, New Discovery
Series, Research Series*, Research International Series, Strategic Growth
Series, Strategic Income Series, Strategic Value Series, Technology Series,
Total Return Series*, Utilities Series*, and Value Series. The shares of each
series are sold only to variable accounts established by Sun Life Assurance
Company of Canada (U.S.) and Sun Life Insurance and Annuity Company of New
York to fund benefits under variable contracts issued by such companies.
The series denoted with an asterisk above are included within these financial
statements.
(2) SIGNIFICANT ACCOUNTING POLICIES
General - The preparation of financial statements in conformity with U.S.
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities,
and disclosure of contingent assets and liabilities at the date of the
financial statements and the reported amounts of revenues and expenses during
the reporting period. Actual results could differ from those estimates.
Certain series can invest in foreign securities, including securities of
emerging market issuers. Investments in foreign securities are vulnerable to
the effects of changes in the relative values of the local currency and the
U.S. dollar and to the effects of changes in each country's legal, political,
and economic environment. The markets of emerging markets countries are
generally more volatile than the markets of developed countries with more
mature economies. All of the risks of investing in foreign securities
previously described are heightened when investing in emerging markets
countries.
Investment Valuations - Equity securities, including restricted equity
securities, are generally valued at the last sale or official closing price as
reported by an independent pricing service on the market or exchange on which
they are primarily traded. For securities for which there were no sales during
the day, equity securities are generally valued at the last quoted bid price
as reported by an independent pricing service on the market or exchange on
which they are primarily traded. Debt instruments (other than short-term
instruments), including restricted debt instruments, are generally valued at
an evaluated bid price as reported by an independent pricing service. Values
of debt instruments obtained from pricing services can utilize both dealer-
supplied valuations and electronic data processing techniques which take into
account factors such as institutional-size trading in similar groups of
securities, yield, quality, coupon rate, maturity, type of issue, trading
characteristics and other market data. Short-term instruments with a maturity
at issuance of 365 days or less are generally valued at amortized cost, which
approximates market value. Forward foreign currency contracts are generally
valued at the mean of bid and asked prices based on rates reported by an
independent pricing service. Open-end investment companies are generally
valued at their net asset value per share. Securities and other assets
generally valued on the basis of information from an independent pricing
service may also be valued on the basis of information from brokers and
dealers. The values of foreign securities and other assets and liabilities
expressed in foreign currencies are converted to U.S. dollars based upon
exchange rates provided by an independent source. When pricing-service
information or market quotations are not readily available, securities are
priced at fair value as determined under the direction of the Board of
Trustees. For example, in valuing securities that trade principally on foreign
markets, events reasonably determined to be significant (such as certain
movements in the U.S. securities market, or other regional and local
developments) may occur between the time that foreign markets close (where the
security is principally traded) and the series' valuation time that may impact
the value of securities traded in these foreign markets. In these cases, the
series may utilize information from an external vendor or other sources to
adjust closing market prices of foreign equity securities to reflect what it
believes to be the fair value of the securities as of the series' valuation
time. Fair valuation of foreign equity securities may occur frequently based
on an assessment that events which occur on a fairly regular basis (such as
U.S. market movements) are significant.
Repurchase Agreements - Each series may enter into repurchase agreements with
institutions that the series' investment adviser has determined are
creditworthy. Each repurchase agreement is recorded at cost. Each series
requires that the securities collateral in a repurchase transaction be
transferred to the custodian in a manner sufficient to enable the series to
obtain those securities in the event of a default under the repurchase
agreement. Each series monitors, on a daily basis, the value of the collateral
to ensure that its value, including accrued interest, is greater than amounts
owed to the series under each such repurchase agreement. Each series, along
with other affiliated entities of Massachusetts Financial Services Company
(MFS), may utilize a joint trading account for the purpose of entering into
one or more repurchase agreements.
Inflation-Adjusted Debt Securities - Certain series invest in inflation-
adjusted debt securities issued by the U.S. Treasury. Certain series may also
invest in inflation-adjusted debt securities issued by U.S. Government
agencies and instrumentalities other than the U.S. Treasury and by other
entities such as U.S. and foreign corporations and foreign governments. The
principal value of these debt securities is adjusted by references to changes
in the Consumer Price Index or another general price or wage index. These debt
securities typically pay a fixed rate of interest, but this fixed rate is
applied to the inflation-adjusted principal amount. The principal paid at
maturity of the debt security is typically equal to the inflation-adjusted
principal amount, or the security's original par value, whichever is greater.
Other types of inflation-adjusted securities may use other methods to adjust
for other measures of inflation.
Foreign Currency Translation - Purchases and sales of foreign investments,
income, and expenses are converted into U.S. dollars based upon currency
exchange rates prevailing on the respective dates of such transactions. Gains
and losses attributable to foreign currency exchange rates on sales of
securities are recorded for financial statement purposes as net realized gains
and losses on investments. Gains and losses attributable to foreign exchange
rate movements on income and expenses are recorded for financial statement
purposes as foreign currency transaction gains and losses. That portion of
both realized and unrealized gains and losses on investments that results from
fluctuations in foreign currency exchange rates is not separately disclosed.
Derivative Risk - Each series may invest in derivatives for hedging or non-
hedging purposes. While hedging can reduce or eliminate losses, it can also
reduce or eliminate gains. When each series uses derivatives as an investment
to gain market exposure, or for hedging purposes, gains and losses from
derivative instruments may be substantially greater than the derivative's
original cost. Derivative instruments include forward foreign currency
exchange contracts for the Utilities Series.
Forward Foreign Currency Exchange Contracts - Each series may enter into
forward foreign currency exchange contracts for the purchase or sale of a
specific foreign currency at a fixed price on a future date. Risks may arise
upon entering into these contracts from the potential inability of
counterparties to meet the terms of their contracts and from unanticipated
movements in the value of the contract. Each series may enter into forward
foreign currency exchange contracts for hedging purposes as well as for non-
hedging purposes. For hedging purposes, each series may enter into contracts
to deliver or receive foreign currency it will receive from or require for its
normal investment activities. Each series may also use contracts in a manner
intended to protect foreign currency denominated securities from declines in
value due to unfavorable exchange rate movements. For non-hedging purposes,
each series may enter into contracts with the intent of changing the relative
exposure of the series' portfolio of securities to different currencies to
take advantage of anticipated changes. The forward foreign currency exchange
contracts are adjusted by the daily exchange rate of the underlying currency
and any gains or losses are recorded as unrealized until the contract
settlement date. On contract settlement date, the gains or losses are recorded
as realized gains or losses on foreign currency transactions.
Security Loans - State Street Bank and Trust Company ("State Street") and J.P.
Morgan Chase and Co. ("Chase"), as lending agents, may loan the securities of
certain series to certain qualified institutions (the "Borrowers") approved by
the series. The loans are collateralized at all times by cash and/or U.S.
Treasury securities in an amount at least equal to the market value of the
securities loaned. State Street and Chase provide certain series with
indemnification against Borrower default. Each series bears the risk of loss
with respect to the investment of cash collateral. On loans collateralized by
cash, the cash collateral is invested in a money market fund or short-term
securities. A portion of the income generated upon investment of the
collateral is remitted to the Borrowers, and the remainder is allocated
between the series and the lending agents. On loans collateralized by U.S.
Treasury securities, a fee is received from the Borrower, and is allocated
between the series and the lending agents. The dividend and interest income
earned on the securities loaned is accounted for in the same manner as other
dividend and interest income.
Investment Transactions and Income - Investment transactions are recorded on
the trade date. Interest income is recorded on the accrual basis. All premium
and discount is amortized or accreted for financial statement purposes in
accordance with U.S. generally accepted accounting principles. All discount is
accreted for tax reporting purposes as required by federal income tax
regulations. Dividends received in cash are recorded on the ex-dividend date.
Certain dividends from foreign securities will be recorded as soon as each
series is informed of the dividend if such information is obtained subsequent
to the ex-dividend date. Dividend and interest payments received in additional
securities are recorded on the ex-dividend or ex-interest date in an amount
equal to the value of the security on such date.
Each series may receive proceeds from litigation settlements involving its
portfolio holdings. Any proceeds received are reflected in realized gain/loss
in the Statements of Operations, or in unrealized gain/loss if the security is
still held by the series.
Fees Paid Indirectly - Certain series' custody fees are reduced according to
an arrangement that measures the value of cash deposited with the custodian by
the series. During the year ended December 31, 2005, certain series' custodian
fees were reduced under this arrangement as noted below. Each series has
entered into a commission recapture agreement, under which certain brokers
will credit the series a portion of the commissions generated, to offset
certain expenses of the series. For the year ended December 31, 2005, each
series' custodian expenses were reduced under this agreement as noted below.
These amounts are shown as a reduction of total expenses on the Statements of
Operations.
Massachusetts
Capital Emerging Global Investors Mid Cap Total
Appreciation Growth Growth Trust Growth Research Return Utilities
Series Series Series Series Series Series Series Series
- ------------------------------------------------------------------------------------------------------------------------------------
Balance credits .. $11,532 $ 6,608 $ -- $21,694 $1,470 $ 4,716 $36,800 $ 6,125
Commission
recapture credits 10,854 25,241 4,387 14,540 6,055 20,710 6,655 19,520
------- ------- ------ ------- ------ ------- ------- -------
Total ............ $22,386 $31,849 $4,387 $36,234 $7,525 $25,426 $43,455 $25,645
======= ======= ====== ======= ====== ======= ======= =======
Tax Matters and Distributions - Each series intends to continue to qualify as
a regulated investment company, as defined under Subchapter M of the Internal
Revenue Code, and to distribute all of its taxable income, including realized
capital gains. Accordingly, no provision for federal income tax is required in
the financial statements. Foreign taxes, if any, have been accrued by the
series in the accompanying financial statements.
Distributions to shareholders are recorded on the ex-dividend date. Income and
capital gain distributions are determined in accordance with income tax
regulations, which may differ from generally accepted accounting principles.
Certain capital accounts in the financial statements are periodically adjusted
for permanent differences in order to reflect their tax character. These
adjustments have no impact on net assets or net asset value per share.
Temporary differences which arise from recognizing certain items of income,
expense, gain or loss in different periods for financial statements and tax
purposes will reverse at some time in the future. Distributions in excess of
net investment income or net realized gains are temporary overdistributions
for financial statement purposes resulting from differences in the recognition
or classification of income for financial statement and tax purposes.
Book/tax differences primarily relate to amortization and accretion of debt
securities, wash sale loss deferrals, foreign currency transactions,
derivative transactions, net operating losses and capital loss carryforwards,
which were assumed as a result of an acquisition.
The tax character of distributions declared to shareholders is as follows:
Capital Appreciation Massachusetts
Series Emerging Growth Series Global Growth Series Investors Trust Series
------------------------ ------------------------ ------------------------- -----------------------
December 31, December 31, December 31, December 31,
------------------------ ------------------------ ------------------------- -----------------------
2005 2004 2005 2004 2005 2004 2005 2004
- -----------------------------------------------------------------------------------------------------------------------------------
Ordinary income (including
any short-term capital
gains) .................. $4,352,922 $433,984 $ -- $ -- $764,349 $843,092 $10,690,035 $11,697,097
========== ======== ======== ======= ======== ======== =========== ===========
Mid Cap Growth Series Research Series Total Return Series Utilities Series
------------------------ ------------------------ ------------------------- -----------------------
December 31, December 31, December 31, December 31,
------------------------ ------------------------ ------------------------- -----------------------
2005 2004 2005 2004 2005 2004 2005 2004
- -----------------------------------------------------------------------------------------------------------------------------------
Ordinary income (including
any short-term capital
gains) .................. $ -- $ -- $2,354,184 $4,201,673 $ 54,343,213 $48,429,855 $3,641,287 $6,205,650
Long-term capital gain .... -- -- -- -- 53,279,570 -- -- --
----- ----- --------- --------- ----------- ---------- --------- ---------
Total distributions ....... $ -- $ -- $2,354,184 $4,201,673 $107,622,783 $48,429,855 $3,641,287 $6,205,650
======= ======= ========== ========== ============ =========== ========== ==========
As of December 31, 2005, the federal tax cost and the tax basis components of distributable earnings were as follows:
Capital Emerging Global Massachusetts
Appreciation Growth Growth Investors Trust
Series Series Series Series
- --------------------------------------------------------------------------------------------------------------------------------
Cost of investments ..................................... $ 674,052,256 $ 341,304,142 $ 162,016,678 $1,014,196,532
-------------- -------------- -------------- --------------
Gross appreciation ...................................... $ 24,428,107 $ 62,093,534 $ 24,022,593 $ 158,372,558
Gross depreciation ...................................... (14,117,777) (4,647,993) (2,551,423) (19,019,426)
-------------- -------------- -------------- --------------
Net unrealized appreciation (depreciation) .............. $ 10,310,330 $ 57,445,541 $ 21,471,170 $ 139,353,132
============== ============== ============== ==============
Undistributed ordinary income ........................... $ 1,173,370 $ -- $ 871,727 $ 8,567,714
Capital loss carryforwards .............................. (840,788,431) (443,791,231) (79,813,110) (289,674,650)
Other temporary differences ............................. (2,677) (2,184) (23,277) (31)
Mid Cap Total
Growth Research Return Utilities
Series Series Series Series
- ----------------------------------------------------------------------------------------------------------------------------------
Cost of investments ..................................... $ 114,442,847 $ 398,149,292 $2,074,014,026 $ 388,450,537
-------------- -------------- -------------- --------------
Gross appreciation ...................................... $ 17,635,959 $ 36,551,689 $ 186,522,418 $ 50,108,568
Gross depreciation ...................................... (4,183,844) (12,295,277) (60,948,361) (7,348,015)
-------------- -------------- -------------- --------------
Net unrealized appreciation (depreciation) .............. $ 13,452,115 $ 24,256,412 $ 125,574,057 $ 42,760,553
============== ============== ============== ==============
Undistributed ordinary income ........................... $ -- $ 2,311,969 $ 68,708,411 $ 11,983,879
Undistributed long-term capital gain .................... -- -- 69,823,935 --
Capital loss carryforwards .............................. (34,181,092) (222,650,317) -- (119,450,345)
Post-October capital loss deferral ...................... -- -- (7,014,047) --
Other temporary differences ............................. 21 (122) (529) (85,817)
As of December 31, 2005, the following series had available capital loss carryforwards to offset future realized gains. Such losses
expire as follows:
Capital Emerging Global Massachusetts
Appreciation Growth Growth Investors Trust
Series Series Series Series
- ----------------------------------------------------------------------------------------------------------------------------------
December 31, 2008 ....................................... $ (131,129,925) $ -- $ -- $ --
December 31, 2009 ....................................... (329,303,270) (214,563,364) (34,065,813) (65,316,395)
December 31, 2010 ....................................... (348,269,974) (229,227,867) (45,747,297) (207,883,555)
December 31, 2011 ....................................... (32,085,262) -- -- (16,474,700)
-------------- -------------- -------------- --------------
Total ................................................... $ (840,788,431) $ (443,791,231) $ (79,813,110) $ (289,674,650)
============== ============== ============== ==============
Mid Cap
Growth Research Utilities
Series Series Series
- -----------------------------------------------------------------------------------------------------------------
December 31, 2009 ....................................... $ -- $ (60,787,573) $ --
December 31, 2010 ....................................... (34,181,092) (161,862,744) (119,450,345)
-------------- -------------- --------------
Total ................................................... $ (34,181,092) $ (222,650,317) $ (119,450,345)
============== ============== ==============
* The availability of a portion of the capital loss carryforwards, which were acquired on April 25, 2005 in connection with the
Managed Sectors Series merger, may be limited in a given year.
Multiple Classes of Shares of Beneficial Interest - Each series offers
multiple classes of shares, which differ in their respective distribution
fees. All shareholders bear the common expenses of the series based on daily
net assets of each class, without distinction between share classes. Dividends
are declared separately for each class. Differences in per share dividend
rates are generally due to differences in separate class expenses.
(3) TRANSACTIONS WITH AFFILIATES
Investment Adviser - Each series has an investment advisory agreement with MFS
to provide overall investment advisory and administrative services, and
general office facilities. The management fee is computed daily and paid
monthly at an annual rate based on a percentage of each series' average daily
net assets as follows:
Capital Appreciation Series: The management fee is 0.75% of the first $1
billion of average daily net assets, 0.675% of the next $500 million of
average daily net assets and 0.65% of average daily net assets in excess of
$1.5 billion.
Emerging Growth Series: The management fee is 0.75% of the first $300 million
of average daily net assets and 0.675% of average daily net assets in excess
of $300 million.
Global Growth Series: The management fee is 0.90% of the first $1 billion of
average daily net assets, 0.75% of the next $1 billion of average daily net
assets and 0.65% of average daily net assets in excess of $2 billion.
Massachusetts Investors Trust Series: The management fee is 0.55% of average
daily net assets.
Mid Cap Growth Series: Prior to September 1, 2005, the management fee was 0.75%
of the series' average daily net assets. Effective September 1, 2005, the
management fee is 0.75% of the first $1 billion of average daily net assets and
0.70% of average daily net assets in excess of $1 billion. The investment
adviser has contractually agreed to reduce its fee to 0.70% in excess of $500
million for the period September 1, 2005 through April 30, 2007. This reduction
of the management fee may be rescinded by MFS only with the approval of the
series' Board of Trustees.
Research Series: The management fee is 0.75% of the first $300 million of
average daily net assets and 0.675% of average daily net assets in excess of
$300 million.
Total Return Series: The management fee is 0.75% of the first $300 million of
average daily net assets, 0.675% of the next $700 million of average daily net
assets and 0.60% of average daily net assets in excess of $1 billion.
Utilities Series: The management fee is 0.75% of the first $300 million of
average daily net assets and 0.675% of average daily net assets in excess of
$300 million.
The investment adviser has agreed to pay a portion of certain series'
operating expenses, exclusive of certain other fees and expenses, such that
the operating expenses of these series do not exceed the expense limitations
indicated below, based on the average daily net assets of such series. The
management fees and expense limitations incurred for the year ended December
31, 2005 were equivalent to an annual effective rate of each series' average
daily net assets as follows:
Effective Initial Class Service Class
Management Expense Expense
Fees Limitations Limitations
- --------------------------------------------------------------------------------
Capital Appreciation Series ......... 0.75% 1.00% 1.25%
Emerging Growth Series .............. 0.73% N/A N/A
Global Growth Series ................ 0.90% N/A N/A
Massachusetts Investors Trust Series 0.55% 1.00% 1.25%
Mid Cap Growth Series ............... 0.75% N/A N/A
Research Series ..................... 0.73% N/A N/A
Total Return Series ................. 0.65% 1.00% 1.25%
Utilities Series .................... 0.73% N/A N/A
Distributor - MFS Fund Distributors, Inc. (MFD), a wholly owned subsidiary of
MFS, is the distributor of shares of the series. The Trustees have adopted a
distribution plan for the Service Class shares pursuant to Rule 12b-1 under
the Investment Company Act of 1940.
The series' distribution plan provides that each series will pay MFD
distribution fees equal to 0.25% per annum of its average daily net assets
attributable to Service Class shares as partial consideration for services
performed and expenses incurred by MFD and financial intermediaries in
connection with the sale and distribution of the series' Service Class shares
and the sale and distribution of the variable annuity or variable life
insurance contracts investing indirectly in Service Class shares. MFD may
subsequently pay all, or a portion, of the distribution fees to financial
intermediaries.
Administrator - MFS provides certain financial, legal, shareholder
communications, compliance, and other administrative services to each series
and certain other MFS Funds (the funds) for which MFS acts as investment
adviser. Under an administrative services agreement, the funds may partially
reimburse MFS the costs incurred to provide these services, subject to review
and approval by the Board of Trustees. Each fund is allocated a
portion of these administrative costs based on its size and relative average
net assets. The administrative services fee incurred for the year ended
December 31, 2005 was equivalent to an annual effective rate of each series'
average daily net assets as follows:
Percent of
Average
Net Assets
- -------------------------------------------------------------------------------
Capital Appreciation Series ...................................... 0.0178%
Emerging Growth Series ........................................... 0.0175%
Global Growth Series ............................................. 0.0175%
Massachusetts Investors Trust Series ............................. 0.0176%
Mid Cap Growth Series ............................................ 0.0175%
Research Series .................................................. 0.0176%
Total Return Series .............................................. 0.0174%
Utilities Series ................................................. 0.0178%
Trustees' and Officers' Compensation - Each series pays compensation to
Independent Trustees in the form of a retainer, attendance fees, and
additional compensation to the Board chairperson. Each series does not pay
compensation directly to Trustees who are officers of the investment adviser,
or to officers of the series, all of whom receive remuneration for their
services to the series from MFS. Certain officers and Trustees of the series
are officers or directors of MFS, MFD, and MFS Service Center, Inc. (MFSC).
Other - The funds have entered into a services agreement (the Agreement) which
provides for payment of fees by the funds to Tarantino LLC in return for the
provision of services of an Independent Chief Compliance Officer (ICCO) for the
funds. The ICCO is an officer of the funds and the sole member of Tarantino
LLC. MFS has agreed to bear all expenses associated with office space, other
administrative support, and supplies provided to the ICCO. The funds can
terminate the Agreement with Tarantino LLC at any time under the terms of the
Agreement. For the year ended December 31, 2005, payments made by the series to
Tarantino LLC amounted to the following and are included in the miscellaneous
expense on the Statements of Operations:
ICCO Fee
- -------------------------------------------------------------------------------
Capital Appreciation Series ....................................... $ 3,402
Emerging Growth Series ............................................ 1,856
Global Growth Series .............................................. 799
Massachusetts Investors Trust Series .............................. 5,426
Mid Cap Growth Series ............................................. 546
Research Series ................................................... 2,002
Total Return Series ............................................... 10,238
Utilities Series .................................................. 1,812
During the year ended December 31, 2004, the Utilities Series realized a gain
on disposition of a security in violation of the series' investment
restrictions. The amount of the gain was $70,344. This amount is separately
disclosed in the Statements of Changes in Net Assets. The effect of this gain
on the series' total return is disclosed in the Financial Highlights.
The series' investment adviser, MFS, was the subject of an administrative
proceeding regarding disclosure of brokerage allocation practices in
connection with fund sales. As a result, proceeds were accrued on July 28,
2004 and paid to each series on February 16, 2005 in the following amounts:
Settlement
Amount
- --------------------------------------------------------------------------------
Capital Appreciation Series ....................................... $756,214
Emerging Growth Series ............................................ 374,251
Global Growth Series .............................................. 54,374
Massachusetts Investors Trust Series .............................. 565,413
Mid Cap Growth Series ............................................. 520
Research Series ................................................... 256,213
Total Return Series ............................................... 208,370
Utilities Series .................................................. 67,404
(4) PORTFOLIO SECURITIES
Purchases and sales of investments, other than purchased option transactions
and short-term obligations, were as follows:
Capital Emerging Global Massachusetts
Appreciation Growth Growth Investors Trust
Series Series Series Series
- ----------------------------------------------------------------------------------------------------------------------------------
Purchases
Investments (non-U.S. government securities) ........... $1,044,061,835 $335,079,244 $143,275,061 $541,692,642
Sales
Investments (non-U.S. government securities) ........... $1,079,797,966 $433,409,653 $176,120,255 $638,987,723
Mid Cap
Growth Research Total Return Utilities
Series Series Series Series
- -----------------------------------------------------------------------------------------------------------------------------------
Purchases
U.S. government securities ............................. $ -- $ -- $ 222,045,347 $ --
Investments (non-U.S. government securities) ........... $ 91,118,434 $382,133,895 $692,209,043 $353,382,878
Sales
U.S. government securities ............................. $ -- $ -- $ 210,199,831 $ --
Investments (non-U.S. government securities) ........... $ 113,273,801 $467,058,701 $669,361,188 $366,812,874
(5) SHARES OF BENEFICIAL INTEREST
Each series' Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial
interest. Transactions in series shares were as follows:
Capital Appreciation Series Emerging Growth Series
---------------------------------------------------------- ---------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
December 31, 2005 December 31, 2004 December 31, 2005 December 31, 2004
---------------------------- ---------------------------- --------------------------- ----------------------------
Initial
Class Shares Shares Amount Shares Amount Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold ....... 7,062,987 $ 127,942,582 29,855,744 $ 527,622,763 184,197 $ 2,775,827 14,662,402 $ 209,951,352
Shares issued to
shareholders
in reinvestment
of distributions 232,548 4,220,755 24,899 433,984 -- -- -- --
Shares reacquired . (8,570,724) (172,158,801) (36,638,282) (647,766,495) (6,197,009) (96,801,108)(20,768,397) (296,052,618)
---------- ------------- ---------- ------------- --------- ------------- ---------- -------------
Net change ........ (1,275,189) $ (39,995,464) (6,757,639) $(119,709,748) (6,012,812) $ (94,025,281) (6,105,995) $ (86,101,266)
========== ============= ========== ============= ========== ============= ========== =============
Year Ended Year Ended Year Ended Year Ended
December 31, 2005 December 31, 2004 December 31, 2005 December 31, 2004
---------------------------- ---------------------------- --------------------------- ----------------------------
Service
Class Shares Shares Amount Shares Amount Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold ....... 399,815 $ 7,276,725 3,311,227 $ 58,277,694 118,747 $ 1,829,128 2,269,316 $ 32,147,936
Shares issued to
shareholders in
reinvestment of
distributions ... 7,330 132,167 -- -- -- -- -- --
Shares reacquired . (444,870) (8,759,139) (3,292,724) (57,922,233) (267,326) (4,107,112) (2,163,522) (30,640,672)
----------- ------------- ----------- ------------- ----------- ------------- ----------- -------------
Net change ........ (37,725) $ (1,350,247) 18,503 $ 355,461 (148,579) $ (2,277,984) 105,794 $ 1,507,264
=========== ============= =========== ============= =========== ============= =========== =============
Global Growth Series Massachusetts Investors Trust Series
---------------------------------------------------------- ---------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
December 31, 2005 December 31, 2004 December 31, 2005 December 31, 2004
---------------------------- ---------------------------- --------------------------- ----------------------------
Initial
Class Shares Shares Amount Shares Amount Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold ....... 100,446 $ 1,244,843 2,933,259 $ 33,026,863 129,267 $ 3,675,270 15,931,068 $ 413,328,761
Shares issued to
shareholders in
reinvestment of
distributions ... 63,779 747,488 79,127 820,549 348,163 9,459,588 447,605 11,046,879
Shares reacquired . (2,858,693) (35,289,088) (6,130,268) (67,996,829) (7,612,038) (217,170,081)(23,613,999) (611,327,874)
----------- ------------- ----------- ------------- ----------- ------------- ----------- -------------
Net change ........ (2,694,468) $ (33,296,757) (3,117,882) $ (34,149,417) (7,134,608) $(204,035,223) (7,235,326) $(186,952,234)
=========== ============= =========== ============= =========== ============= =========== =============
Year Ended Year Ended Year Ended Year Ended
December 31, 2005 December 31, 2004 December 31, 2005 December 31, 2004
---------------------------- ---------------------------- --------------------------- ----------------------------
Service
Class Shares Shares Amount Shares Amount Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold ....... 49,811 $ 619,162 572,855 $ 6,392,765 3,883,822 $ 110,370,644 3,878,532 $ 100,002,868
Shares issued to
shareholders in
reinvestment of
distributions ... 1,445 16,861 2,184 22,543 45,488 1,230,447 26,442 650,218
Shares reacquired . (120,002) (1,484,594) (577,264) (6,423,368) (214,347) (6,048,931) (4,016,175) (103,357,729)
----------- ------------- ----------- ------------- ----------- ------------- ----------- -------------
Net change ........ (68,746) $ (848,571) (2,225) $ (8,060) 3,714,963 $ 105,552,160 (111,201) $ (2,704,643)
=========== ============= =========== ============= =========== ============= =========== =============
Mid Cap Growth Series Research Series
---------------------------------------------------------- ---------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
December 31, 2005 December 31, 2004 December 31, 2005 December 31, 2004
---------------------------- ---------------------------- --------------------------- ----------------------------
Initial
Class Shares Shares Amount Shares Amount Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold ....... 403,157 $ 2,238,219 8,438,139 $ 45,399,824 45,582 $ 723,056 4,615,570 $ 67,842,460
Shares issued to
shareholders in
reinvestment of
distributions ... -- -- -- -- 148,549 2,257,939 295,191 4,047,067
Shares reacquired . (3,375,371) (18,911,060) (9,031,635) (48,195,215) (5,892,243) (94,851,276)(11,365,545) (164,521,821)
----------- ------------- ----------- ------------- ----------- ------------- ----------- -------------
Net change ........ (2,972,214) $ (16,672,841) (593,496) $ (2,795,391) (5,698,112) $ (91,870,281) (6,454,784) $ (92,632,294)
=========== ============= =========== ============= =========== ============= =========== =============
Year Ended Year Ended Year Ended Year Ended
December 31, 2005 December 31, 2004 December 31, 2005 December 31, 2004
---------------------------- ---------------------------- --------------------------- ----------------------------
Service
Class Shares Shares Amount Shares Amount Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold ....... 440,751 $ 2,380,931 13,933,712 $ 73,709,460 265,500 $ 4,267,442 3,465,271 $ 49,297,955
Shares issued to
shareholders in
reinvestment of
distributions ... -- -- -- -- 6,365 96,245 11,335 154,606
Shares reacquired . (1,280,195) (7,137,388) (13,409,067) (70,844,551) (219,630) (3,520,712) (3,035,209) (43,171,746)
----------- ------------- ----------- ------------- ----------- ------------- ----------- -------------
Net change ........ (839,444) $ (4,756,457) 524,645 $ 2,864,909 52,235 $ 842,975 441,397 $ 6,280,815
=========== ============= =========== ============= =========== ============= =========== =============
Total Return Series Utilities Series
---------------------------------------------------------- ---------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
December 31, 2005 December 31, 2004 December 31, 2005 December 31, 2004
---------------------------- ---------------------------- --------------------------- ----------------------------
Initial
Class Shares Shares Amount Shares Amount Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold ....... 598,000 $ 11,438,416 13,093,000 $ 242,061,403 658,138 $ 10,943,158 5,382,059 $ 73,371,201
Shares issued to
shareholders in
reinvestment of
distributions ... 4,168,257 76,237,418 2,259,960 39,255,506 212,393 3,336,688 480,703 5,749,208
Shares reacquired . (13,389,796) (254,798,238) (24,886,578) (457,889,210) (2,881,281) (48,487,965) (8,334,628) (112,180,633)
----------- ------------- ----------- ------------- ----------- ------------- ----------- -------------
Net change ........ (8,623,539) $(167,122,404) (9,533,618) $(176,572,301) (2,010,750) $ (34,208,119) (2,471,866) $ (33,060,224)
=========== ============= =========== ============= =========== ============= =========== =============
Year Ended Year Ended Year Ended Year Ended
December 31, 2005 December 31, 2004 December 31, 2005 December 31, 2004
---------------------------- ---------------------------- --------------------------- ----------------------------
Service
Class Shares Shares Amount Shares Amount Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold ....... 12,264,006 $ 232,119,108 21,445,623 $ 392,791,148 741,812 $ 12,447,695 1,375,213 $ 18,510,218
Shares issued to
shareholders in
reinvestment of
distributions ... 1,725,419 31,385,365 530,616 9,174,349 19,476 304,599 38,292 456,442
Shares reacquired . (1,569,709) (29,692,939) (10,526,829) (193,753,742) (236,489) (3,956,487) (1,166,654) (15,800,929)
----------- ------------- ----------- ------------- ----------- ------------- ----------- -------------
Net change ........ 12,419,716 $ 233,811,534 11,449,410 $ 208,211,755 524,799 $ 8,795,807 246,851 $ 3,165,731
=========== ============= =========== ============= =========== ============= =========== =============
(6) LINE OF CREDIT
Each series and other affiliated funds participate in a $1 billion unsecured
line of credit provided by a syndication of banks under a credit agreement.
Borrowings may be made for temporary financing needs. Interest is charged to
each series, based on its borrowings, at a rate equal to the Federal Reserve
funds rate plus 0.35%. In addition, a commitment fee, based on the average
daily, unused portion of the line of credit, is allocated among the
participating funds at the end of each calendar quarter. The commitment fee
allocated to each series for the year ended December 31, 2005 is included in
the miscellaneous expense on the Statements of Operations and is as follows
for each series:
Commitment Fee
- -------------------------------------------------------------------------------
Capital Appreciation Series ................................ $ 4,124
Emerging Growth Series ..................................... 2,423
Global Growth Series ....................................... 1,062
Massachusetts Investors Trust Series ....................... 7,308
Mid Cap Growth Series ...................................... 723
Research Series ............................................ 2,660
Total Return Series ........................................ 13,993
Utilities Series ........................................... 2,472
None of the series had any significant borrowings during the year ended
December 31, 2005.
(7) ACQUISITIONS
On April 25, 2005, the Capital Appreciation Series acquired all of the assets
and liabilities of Managed Sectors Series. The acquisition was accomplished by
a tax-free exchange of 6,727,116 shares of the Capital Appreciation Series for
all of the assets and liabilities of Managed Sectors Series. The Managed
Sectors Series net assets on that date were $121,536,218, including
$10,518,687 of unrealized appreciation, $155,623 of accumulated net investment
loss, and $199,387,276 of accumulated net realized loss on investments and
foreign currency transactions. These assets were combined with those of the
series. The aggregate net assets of the Capital Appreciation Series after the
acquisition were $743,705,558.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and the Shareholders of MFS/Sun Life Series Trust:
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments, of MFS/Sun Life Series Trust (the
"Trust"), comprising Capital Appreciation Series, Emerging Growth Series,
Global Growth Series, Massachusetts Investors Trust Series, Mid Cap Growth
Series, Research Series, Total Return Series and Utilities Series as of
December 31, 2005, and the related statements of operations for the year then
ended, the statements of changes in net assets for each of the two years in
the period then ended, and the financial highlights for each of the five years
in the period then ended. These financial statements and financial highlights
are the responsibility of the Trust's management. Our responsibility is to
express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. The Trust is not required to have, nor were we engaged to
perform, an audit of its internal control over financial reporting. Our audits
included consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the
Trust's internal control over financial reporting. Accordingly, we express no
such opinion. An audit also includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. Our procedures
included confirmation of securities owned as of December 31, 2005, by
correspondence with the custodian and brokers; where replies were not received
from brokers, we performed other auditing procedures. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial positions of Capital
Appreciation Series, Emerging Growth Series, Global Growth Series,
Massachusetts Investors Trust Series, Mid Cap Growth Series, Research Series,
Total Return Series and Utilities Series as of December 31, 2005, the results
of their operations for the year then ended, the changes in their net assets
for each of the two years in the period then ended, and their financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 23, 2006
MFS/SUN LIFE SERIES TRUST
TRUSTEES AND OFFICERS -- IDENTIFICATION AND BACKGROUND
The Trustees and officers of the Trust, as of February 1, 2006, are listed below, together with their principal occupations
during the past five years. (Their titles may have varied during that period.) The address of each Trustee and officer is
500 Boylston Street, Boston, Massachusetts 02116.
- -------------------------------------------------------------------------------------------------------------------------------
POSITION(s) HELD TRUSTEE/OFFICER PRINCIPAL OCCUPATIONS DURING THE PAST
NAME, DATE OF BIRTH WITH FUND SINCE(1) FIVE YEARS AND OTHER DIRECTORSHIPS(2)
- -------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES
- -------------------------------------------------------------------------------------------------------------------------------
C. James Prieur(3) Trustee July 1999 Sun Life Assurance President and Chief
(born 04/21/51) Operating Officer
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
David D. Horn(3) Trustee April 1986 Private investor; Retired; Sun Life
(born 06/07/41) Assurance Company of Canada, Former Senior
Vice President and General Manager for the
United States (until 1997)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
- -------------------------------------------------------------------------------------------------------------------------------
J. Kermit Birchfield Chairman May 1997 Consultant; Century Partners, Inc.
(born 01/08/40) (investments), Managing Director;
Displaytech, Inc. (manufacturer of liquid
crystal display technology), Director
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Robert C. Bishop Trustee May 2001 AutoImmune Inc. (pharmaceutical product
(born 01/13/43) development), Chairman, President and
Chief Executive Officer; Caliper Life
Sciences Corp. (laboratory analytical
instruments), Director; Millipore
Corporation (purification/ filtration
products), Director; Quintiles
Transnational Corp. (contract services to
the medical industry), Director
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Frederick H. Dulles Trustee May 2001 Ten State Street LLP (law firm), Partner;
(born 03/12/42) McFadden, Pilkington & Ward LLP
(solicitors and registered foreign
lawyers), Partner (until June 2003);
Jackson & Nash, LLP (law firm), Of Counsel
(January 2000 to November 2000)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Marcia A. Kean Trustee April 2005 Feinstein Kean Healthcare (consulting),
(born 06/30/48) Chief Executive Officer (since December
2002), Managing Director (January 1991
until May 2001); Ardais Corporation
(biotech products), Senior Vice President
- Commercialization (February 2002 until
November 2002)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Ronald G. Steinhart Trustee May 2001 Private investor; Bank One, Texas N.A.,
(born 06/15/40) Vice Chairman and Director (January 2000
to January 2001); Bank One Corporation,
Officer (until January 2000); Carreker
Corporation (consultant and technology
provider to financial institutions),
Director; Prentiss Properties Trust (real
estate investment trust), Director (until
January 2006); United Auto Group, Inc.
(automotive retailer), Director
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Haviland Wright Trustee May 2001 Hawaii Small Business Development Center,
(born 07/21/48) Kaua'l Center, Center Director (since
March 2002); Displaytech, Inc.
(manufacturer of liquid crystal display
technology), Chairman and Chief Executive
Officer (until March 2002)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
TRUSTEE EMERITUS
- -------------------------------------------------------------------------------------------------------------------------------
Samuel Adams Trustee Emeritus Retired
(born 10/19/25)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
OFFICERS
- -------------------------------------------------------------------------------------------------------------------------------
Maria F. Dwyer (4) President November 2005 Massachusetts Financial Services Company,
(born 12/01/58) Executive Vice President and Chief
Regulatory Officer (since March 2004);
Fidelity Management & Research Company,
Vice President (prior to March 2004);
Fidelity Group of Funds, President and
Treasurer (prior to March 2004)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Tracy Atkinson (4) Treasurer September 2005 Massachusetts Financial Services Company,
(born 12/30/64) Senior Vice President (since September
2004); PricewaterhouseCoope rs LLP,
Partner (prior to September 2004)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Christopher R. Bohane(4) Assistant Secretary July 2005 Massachusetts Financial Services Company,
(born 01/18/74) and Assistant Clerk Vice President and Senior Counsel (since
April 2003); Kirkpatrick & Lockhart LLP
(law firm), Associate (prior to April
2003); Nvest Services Company, Assistant
Vice President and Associate Counsel
(prior to January 2001)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Ethan D. Corey(4) Assistant Secretary July 2005 Massachusetts Financial Services Company,
(born 11/21/63) and Assistant Clerk Special Counsel (since December 2004);
Dechert LLP (law firm), Counsel (prior to
December 2004)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
David L. DiLorenzo(4) Assistant Treasurer July 2005 Massachusetts Financial Services Company,
(born 08/10/68) Vice President (since June 2005); JP
Morgan Investor Services, Vice President
(January 2001 to June 2005); State Street
Bank, Vice President and Corporate Audit
Manager (prior to January 2001)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Timothy M. Fagan(4) Assistant Secretary September 2005 Massachusetts Financial Services Company,
(born 07/10/68) and Assistant Clerk Vice President and Senior Counsel (since
September 2005); John Hancock Advisers,
LLC, Vice President and Chief Compliance
Officer (September 2004 to August 2005)
Senior Attorney (prior to September 2004);
John Hancock Group of Funds, Vice
President and Chief Compliance Officer
(September 2004 to December 2004)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Mark D. Fischer(4) Assistant Treasurer July 2005 Massachusetts Financial Services Company,
(born 10/27/70) Vice President (since May 2005); JP Morgan
Investment Management Company, Vice
President (prior to May 2005)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Brian T. Hourihan(4) Assistant Secretary September 2004 Massachusetts Financial Services Company,
(born 11/11/64) and Assistant Clerk Vice President, Senior Counsel and
Assistant Secretary (since June 2004);
Affiliated Managers Group, Inc., Chief
Legal Officer/ Centralized Compliance
Program (January to April 2004); Fidelity
Research & Management Company, Assistant
General Counsel (prior to January 2004)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Ellen Moynihan(4) Assistant Treasurer May 1997 Massachusetts Financial Services Company,
(born 11/13/57) Vice President
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Susan S. Newton(4) Assistant Secretary May 2005 Massachusetts Financial Services Company,
(born 03/07/50) and Assistant Clerk Senior Vice President and Assistant
General Counsel (since April 2005); John
Hancock Advisers, LLC, Senior Vice
President, Secretary and Chief Legal
Officer (prior to April 2005); John
Hancock Group of Funds, Senior Vice
President, Secretary and Chief Legal
Officer (prior to April 2005)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Susan A. Pereira(4) Assistant Secretary July 2005 Massachusetts Financial Services Company,
(born 11/05/70) and Assistant Clerk Vice President and Senior Counsel (since
June 2004); Bingham McCutchen LLP (law
firm), Associate (January 2001 to June
2004); Preti, Flaherty, Beliveau, Pachios
& Haley, LLC, Associate (prior to January
2001)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Frank L. Tarantino Independent Chief September 2004 Tarantino LLC (provider of compliance
(born 03/07/44) Compliance Officer services), Principal (since June 2004);
CRA Business Strategies Group (consulting
services), Executive Vice President (April
2003 to June 2004); David L. Babson & Co.
(investment adviser), Managing Director,
Chief Administrative Officer and Director
(February 1997 to March 2003)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
James O. Yost(4) Assistant Treasurer April 1992 Massachusetts Financial Services Company,
(born 06/12/60) Senior Vice President
- -------------------------------------------------------------------------------------------------------------------------------
(1) Date first appointed to serve as Trustee/Officer of a MFS/Sun Life Product. Each Trustee has served continuously since
appointment.
(2) Directorships or trusteeships of companies required to report to the Securities and Exchange Commission (i.e., "public
companies").
(3) "Interested person" of the Sun Life of Canada (U.S.), within the meaning of the Investment Company Act of 1940 (referred
to as the 1940 Act), which is the principal federal law governing investment companies like the Series. The address of
Sun Life of Canada (U.S.) is One Sun Life Executive Park, Wellesley Hills, Massachusetts 02481.
(4) "Interested person" of MFS within the meaning of the 1940 Act. The address of MFS is 500 Boylston Street, Boston,
Massachusetts 02116.
The Series do not hold annual meetings for the purpose of electing Trustees, and Trustees are not elected for fixed terms.
Each Trustee and officer holds office until his or her successor is chosen and qualified, or until his or her earlier death,
resignation, retirement or removal.
All Trustees currently serve as Trustees of the Series and have served in that capacity since originally elected or
appointed. All of the Trustees are also Managers of the Compass Variable Accounts. The executive officers of the MFS Sun
Life Series Trust hold similar offices for the Compass Variable Accounts and other funds in the MFS fund complex. Each
Trustee serves as a Trustee or Manager of 34 Accounts/Series.
The Statement of Additional Information contains further information about the Trustees and is available without charge upon
request by calling 1-800-752-7215.
BOARD REVIEW OF INVESTMENT ADVISORY AGREEMENTS
The Investment Company Act of 1940 requires that both the full Board of
Trustees and a majority of the non-interested ("independent") Trustees, voting
separately, annually approve the continuation of the Trust's investment
advisory agreements with Massachusetts Financial Services Company (MFS) on
behalf of the Series. The Trustees consider matters bearing on the Series and
their advisory arrangements at their meetings throughout the year, including a
review of performance data at each regular meeting. In addition, the
independent Trustees met several times over the course of three months
beginning in May and ending in July 2005 ("contract review meetings") for the
specific purpose of considering whether to approve the continuation of the
investment advisory agreements for the Series. The independent Trustees were
assisted in their evaluation of the investment advisory agreements by
independent legal counsel, from whom they received separate legal advice and
with whom they met separately from MFS management during various contract
review meetings. The independent Trustees were also assisted in this process
by the Series' Independent Chief Compliance Officer, a full-time senior
officer appointed by and reporting to the independent Trustees.
In connection with their deliberations, the Trustees, including the
independent Trustees, considered such information and factors as they
believed, in light of the legal advice furnished to them and their own
business judgment, to be relevant. The investment advisory agreements were
considered separately for each Series, although the Trustees also took into
account the common interests of all Series in their review. As described
below, the Trustees considered the nature, quality, and extent of the various
investment advisory, administrative, and shareholder services performed by MFS
under the existing investment advisory agreements and other arrangements with
the Trust.
In connection with their contract review meetings, the Trustees received and
relied upon materials which included, among other items: (i) information
provided by Lipper Inc. on the investment performance of each Series for
various time periods ended December 31, 2004, compared to the investment
performance of a group of funds with substantially similar investment
classifications/objectives (the "Lipper performance universe"), as well as the
investment performance of a group of funds identified by objective criteria
suggested by MFS ("peer funds"), (ii) information provided by Lipper Inc. on
each Series' advisory fees and other expenses compared to the advisory fees
and other expenses of comparable funds identified by Lipper (the "Lipper
expense group"), as well as the advisory fees and other expenses of peer funds
identified by objective criteria suggested by MFS, (iii) information provided
by MFS on the advisory fees of comparable portfolios of its other clients,
including institutional separate account and other clients, (iv) information
as to whether, and to what extent applicable, expense waivers, reimbursements
or fee "breakpoints" are observed for a Series, (v) information regarding MFS'
financial results and financial condition, including MFS' and certain of its
affiliates' estimated profitability from services performed for the Series,
(vi) MFS' views regarding the outlook for the mutual fund industry and its
strategic business plans, (vii) descriptions of various functions performed by
MFS for the Trust, such as compliance monitoring and portfolio trading
practices, and (viii) information regarding the overall organization of MFS,
including information about MFS' senior management and other personnel
providing investment advisory, administrative and other services to the
Series. The comparative performance, fee and expense information prepared and
provided by Lipper Inc. was not independently verified, and the independent
Trustees did not independently verify any information provided to them by MFS.
The Trustees' conclusion as to the continuation of the investment advisory
agreements was based on comprehensive consideration of all information
provided to the Trustees and not the result of any single factor. Some of the
factors that figured particularly in the Trustees' deliberations are described
below for each Series, while individual Trustees may have given different
weight to various factors and evaluated the information presented as a whole
differently than another Trustee. The Trustees recognized that the fee
arrangements for the Series reflect years of review and discussion between the
independent Trustees and MFS, that certain aspects of such arrangements may
receive greater scrutiny in some years than others, and that the Trustees'
conclusions may be based, in part, on their consideration of these same
arrangements during the course of the year and in prior years.
Based on information provided by Lipper Inc. and MFS, the Trustees compared
each Series' total return investment performance to the performance of peer
groups of funds over various time periods. The Trustees placed particular
emphasis on the total return performance of each Series' Initial Class shares
in comparison to the performance of funds in its Lipper performance universe
over the one-, three- and five-year periods. The Trustees did not rely on
performance results for more recent periods, including those shown elsewhere
in this report.
In the course of their deliberations, the Trustees took into account
information provided by MFS during contract review meetings, as well as during
investment review meetings conducted with portfolio management personnel during
the course of the year. For Series whose performance lagged their peer groups,
they discussed MFS' efforts to improve such Series' performance. After
reviewing this information, the Trustees concluded, within the context of their
overall conclusions regarding the investment advisory agreements, that they
were satisfied with MFS' responses and efforts relating to investment
performance.
In assessing the reasonableness of each Series' advisory fee, the Trustees
considered, among other information, each Series' advisory fee and the total
expense ratio of the Series' Initial Class shares as a percentage of average
net assets, compared to the advisory fee and total expense ratios of peer
groups of funds based on information provided by Lipper Inc. and MFS. The
Trustees also considered the advisory fees charged by MFS to institutional
accounts. In comparing these fees, the Trustees considered the generally
broader scope of services provided by MFS to the Trust than those provided to
institutional accounts. The Trustees also considered the higher demands placed
on MFS' investment personnel and trading infrastructure as a result of the
daily cash in-flows and out-flows of the Series, and the impact on MFS and
related expenses due to the more extensive regulatory regime to which the
Series are subject, compared to institutional accounts.
The Trustees also considered whether a Series is likely to benefit from any
economies of scale due to future asset growth. In this regard, the Trustees
reviewed the adequacy of breakpoints, and considered if breakpoints should be
implemented for any Series that did not have them.
The Trustees also considered information prepared by MFS relating to its costs
and profits with respect to the Series and other investment companies and
accounts advised by MFS, as well as MFS' methodologies used to determine and
allocate its costs to the Series and other accounts and products for purposes
of estimating profitability.
After reviewing these and other factors described below, the Trustees
concluded that the advisory fees charged to the Series represent reasonable
compensation in light of the nature and quality of the services being provided
by MFS.
In addition, the Trustees considered MFS' resources and related efforts to
continue to retain, attract and motivate capable personnel to serve the
Series. The Trustees also considered the financial resources of MFS and its
affiliation with Sun Life Financial Inc. The Trustees further considered any
advantages and possible disadvantages of having an adviser which also serves
other investment companies as well as institutional accounts.
The Trustees also considered the nature, quality, cost, and extent of
administrative, transfer agency, and distribution services provided to the
Series by MFS and its affiliates under agreements and plans other than the
investment advisory agreements, including the 12b-1 fees the Series pay to MFS
Fund Distributors, Inc., an affiliate of MFS. The Trustees also considered the
nature, extent and quality of certain other services MFS performs or arranges
on the Series' behalf, including securities lending programs, directed expense
payment programs, class action recovery programs, and MFS' interaction with
third-party service providers, principally custodians and sub-custodians. The
Trustees concluded that the various non-advisory services provided by MFS and
its affiliates on behalf of the Series were satisfactory. The Trustees also
considered the benefits to MFS from the use of the Series' portfolio brokerage
commissions to pay for research and other similar services (including MFS'
current policy not to use "soft dollars" generated by Series portfolio
transactions to pay for third-party research), and various other factors.
Additionally, the Trustees considered so-called "fall-out benefits" to MFS
such as reputational value derived from serving as investment manager to the
Trust, and determined that any such benefits derived by MFS were reasonable
and fair.
Based on their evaluation of factors that they deemed to be material,
including those factors described above, and the individual Series factors
noted below, the Board of Trustees, including a majority of the independent
Trustees, concluded that the investment advisory agreements should be
continued for an additional one-year period, commencing September 1, 2005.
CAPITAL APPRECIATION SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 19th percentile relative to the other funds in the
Lipper Classification Index for the one-year period (the 1st percentile
being the best performers and the 100th percentile being the worst
performers). The total return performance of the Series was in the 59th
percentile for the three-year period and the 62nd percentile for the five-
year period ended December 31, 2004, relative to the Lipper performance
universe. Based on the nature and quality of services provided by MFS and the
Series' improving performance, the Board of Trustees concluded that the
Series' performance was adequate.
In considering the fees, the Trustees noted that MFS currently observes a
voluntary expense limitation for the Series, which may not be changed without
the Trustees' approval. The Trustees noted from the Lipper data that the
Series' effective advisory fee rate and total expense ratio were each
approximately at the median of such fees and expenses of funds in the Lipper
expense group. The Trustees concluded that the existing breakpoints were
sufficient to allow the Series to benefit from economies of scale as its
assets grow. The Trustees concluded that the fees were reasonable in light of
the nature and quality of services provided.
EMERGING GROWTH SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 25th percentile relative to the other funds in the
Lipper Classification Index for the one-year period (the 1st percentile
being the best performers and the 100th percentile being the worst
performers). The total return performance of the Series was in the 75th
percentile for the three-year period and the 89th percentile for the five-
year period ended December 31, 2004, relative to the Lipper performance
universe. Based on the nature and quality of services provided by MFS and the
Series' improving performance, the Board of Trustees concluded that the
Series' performance was adequate.
In considering the fees, the Trustees noted that MFS currently observes a
voluntary expense limitation for the Series, which may not be changed without
the Trustees' approval. The Trustees noted from the Lipper data that the
Series' effective advisory fee rate and total expense ratio were each
approximately at the median of such fees and expenses of funds in the Lipper
expense group. The Trustees further concluded that the existing breakpoints
were sufficient to allow the Series to benefit from economies of scale as its
assets grow. The Trustees concluded that the fees were reasonable in light of
the nature and quality of services provided.
GLOBAL GROWTH SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 56th percentile relative to the other funds in the peer
universe for the one-year period (the 1st percentile being the best
performers and the 100th percentile being the worst performers). The total
return performance of the Series was in the 58th percentile for the three-
year period and the 63rd percentile for the five-year period ended
December 31, 2004, relative to the Lipper performance universe. The Trustees
noted the improved relative performance to the index since October 2003 when
the current portfolio management team was put fully in place. Based on the
nature and quality of services provided by MFS, and MFS' efforts to improve
performance, the Trustees concluded that the Series' performance was adequate.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate and total expense ratio were each higher
than the median of such fees and expenses of funds in the Lipper expense
group. The Trustees also concluded that the existing breakpoints were
sufficient to allow the Series to benefit from economies of scale as its
assets grow. The Trustees concluded that the fees were reasonable in light of
the nature and quality of services provided.
MASSACHUSETTS INVESTORS TRUST SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 11th percentile relative to the other funds in the
Lipper Classification Index for the one-year period (the 1st percentile
being the best performers and the 100th percentile being the worst
performers). The total return performance of the Series was in the 37th
percentile for the three-year period and the 32nd percentile for the five-
year period ended December 31, 2004, relative to the Lipper performance
universe. Based on the nature and quality of services provided by MFS, the
Board of Trustees concluded that the Series' performance was satisfactory.
In considering the fees, the Trustees noted that MFS currently observes a
voluntary expense limitation for the Series, which may not be changed without
the Trustees' approval. The Trustees noted from the Lipper data that the
Series' effective advisory fee rate was lower than, and total expense ratio
was approximately at, the median of such fees and expenses of funds in the
Lipper expense group. They further noted that the Series' advisory fee rate
schedule is not currently subject to any breakpoints, but that the overall
advisory fee adequately reflected economies of scale. Accordingly, the
Trustees concluded that the fees were reasonable in light of the nature and
quality of services provided.
MID CAP GROWTH SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 50th percentile relative to the other funds in the
Lipper Classification Index for the one-year period (the 1st percentile
being the best performers and the 100th percentile being the worst
performers). The total return performance of the Series was in the 95th
percentile for the three-year period ended December 31, 2004, relative to the
Lipper performance universe. (The Series had been in existence for less than
five years.) Based on the nature and quality of services provided by MFS and
the Series' improving performance, the Board of Trustees concluded that the
Series' performance was adequate.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate and total expense ratio were each lower
than the median of such fees and expenses of funds in the Lipper expense
group. They also noted that the Series' advisory fee rate schedule is not
currently subject to any breakpoints. Based on these considerations, at the
request of the Trustees, MFS agreed to implement an advisory fee contractual
breakpoint to reduce the Series' annual advisory fee rate by 0.05% on net
assets over $1 billion, which took effect on September 1, 2005, and MFS
further agreed to voluntarily reduce the breakpoint to $500 million through
April 30, 2007. The Trustees concluded that the fees were reasonable in light
of the nature and quality of services provided.
RESEARCH SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 18th percentile relative to the other funds in the
Lipper Classification Index for the one-year period (the 1st percentile
being the best performers and the 100th percentile being the worst
performers). The total return performance of the Series was in the 73rd
percentile for the three-year period and the 74th percentile for the five-
year period ended December 31, 2004, relative to the Lipper performance
universe. Based on the nature and quality of services provided by MFS and the
Series' improving performance, the Board of Trustees concluded that the
Series' performance was adequate.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate was at, and the total expense ratio was
approximately at, the median of such fees and expenses of funds in the Lipper
expense group. The Trustees further concluded that the existing breakpoints
were sufficient to allow the Series to benefit from economies of scale as its
assets grow. The Trustees concluded that the fees were reasonable in light of
the nature and quality of services provided.
TOTAL RETURN SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 4th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the
best performers and the 100th percentile being the worst performers). The
total return performance of the Series was in the 18th percentile for the
three-year period and the 7th percentile for the five-year period ended
December 31, 2004, relative to the Lipper performance universe. Based on the
nature and quality of services provided by MFS, the Board of Trustees
concluded that the Series' performance was satisfactory.
In considering the fees, the Trustees noted that MFS currently observes a
voluntary expense limitation for the Series, which may not be changed without
the Trustees' approval. The Trustees noted from the Lipper data that the
Series' effective advisory fee rate and total expense ratio were each higher
than the median of such fees and expenses of funds in the Lipper expense
group. The Trustees also concluded that the existing breakpoints were
sufficient to allow the Series to benefit from economies of scale as its
assets grow. The Trustees concluded that the fees were reasonable in light of
the nature and quality of services provided.
UTILITIES SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 4th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the
best performers and the 100th percentile being the worst performers). The
total return performance of the Series was in the 14th percentile for the
three-year period and the 16th percentile for the five-year period ended
December 31, 2004, relative to the Lipper performance universe. Based on the
nature and quality of services provided by MFS, the Board of Trustees
concluded that the Series' performance was satisfactory.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate and total expense ratio were each
approximately at the median of such fees and expenses of funds in the Lipper
expense group. The Trustees further concluded that the existing breakpoints
were sufficient to allow the Series to benefit from economies of scale as its
assets grow. The Trustees concluded that the fees were reasonable in light of
the nature and quality of services provided.
A discussion regarding the Board's most recent review and renewal of the
series' Investment Advisory Agreement with MFS is available by clicking on
"Sun Life Annuities" in the "Products and Performance" section of the MFS
website (mfs.com).
MFS/SUN LIFE SERIES TRUST
INVESTMENT ADVISER
Massachusetts Financial Services Company
500 Boylston Street, Boston, MA 02116-3741
CUSTODIAN AND DIVIDEND DISBURSING AGENT
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110-2875
PROXY VOTING POLICIES AND INFORMATION
A general description of the series' proxy voting policies and procedures is
available without charge, upon request, by calling 1-800-225-2606, by visiting
the Proxy Voting section of mfs.com or by visiting the SEC's website at http:/
/www.sec.gov.
Information regarding how each series voted proxies relating to portfolio
securities during the most recent twelve month period ended June 30 is
available without charge by visiting the Proxy Voting section of mfs.com or by
visiting the SEC's website at http://www.sec.gov.
QUARTERLY PORTFOLIO DISCLOSURE
Each series will file a complete schedule of portfolio holdings with the
Securities and Exchange Commission (the Commission) for the first and third
quarters of each fiscal year on Form N-Q. Each series' Form N-Q may be
reviewed and copied at the:
Public Reference Room
Securities and Exchange Commission
Washington, D.C. 20549-0102
Information on the operation of the Public Reference Room may be obtained by
calling the Commission at 1-800-SEC-0330. Each series' Form N-Q is available
on the EDGAR database on the Commission's Internet website at http://
www.sec.gov, and copies of this information may be obtained, upon payment of a
duplicating fee, by electronic request at the following e-mail address:
publicinfor@sec.gov or by writing the Public Reference Section at the above
address.
FEDERAL TAX INFORMATION (UNAUDITED)
The following information is provided pursuant to provisions of the Internal
Revenue Code.
The Total Return Series designates $53,279,570 as capital gain dividends paid
during the fiscal year.
For corporate shareholders, the percentages of the ordinary income dividends
paid during the fiscal year that qualify for the corporate dividends received
deduction are as follows:
DIVIDENDS RECEIVED
DEDUCTIONS
- ------------------------------------------------------------------------------
Capital Appreciation Series 100.00%
Global Growth Series 46.03%
Massachusetts Investors Trust Series 100.00%
Research Series 100.00%
Total Return Series 35.55%
Utilities Series 100.00%
Sun Life Financial Distributors Inc.
SUN-B-ANN-2/06 130M
MFS(R)/SUN LIFE SERIES TRUST [graphic omitted]
ANNUAL REPORT o DECEMBER 31, 2005
Capital Opportunities Series
Core Equity Series
International Growth Series
Massachusetts Investors Growth Stock Series
Mid Cap Value Series
New Discovery Series
Research International Series
Strategic Growth Series
Strategic Value Series
Technology Series
Value Series
TABLE OF CONTENTS
Letter from the CEO of MFS ........................................ 1
Management Reviews ................................................ 1
Portfolio Composition ............................................. 7
Performance Summary ............................................... 18
Expense Tables .................................................... 26
Portfolio of Investments .......................................... 28
Financial Statements .............................................. 47
Notes to Financial Statements ..................................... 64
Report of Independent Registered Public Accounting Firm ........... 73
Trustees and Officers ............................................. 74
Board Review of Investment Advisory Agreements .................... 78
Proxy Voting Policies and Information ............................. Back Cover
Quarterly Portfolio Disclosure .................................... Back Cover
Federal Tax Information ........................................... Back Cover
- -------------------------------------------------------------------------------
THE REPORT IS PREPARED FOR THE GENERAL INFORMATION OF CONTRACT OWNERS. IT IS
AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS ONLY WHEN PRECEDED OR
ACCOMPANIED BY A CURRENT PROSPECTUS.
- -------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------
NOT FDIC INSURED MAY LOSE VALUE NO BANK OR CREDIT UNION GUARANTEE NOT A DEPOSIT
NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY OR NCUA/NCUSIF
- --------------------------------------------------------------------------------------------------
LETTER FROM THE CEO OF MFS
DEAR CONTRACT OWNERS,
Most investors are familiar with the basic principles of investing - focus on
the long term and keep your assets diversified across different investment
categories. Still, it is surprising how often we forget these basic lessons.
Certainly, the dot-com euphoria that overtook Wall Street in the late 1990s
had many people hoping they could become millionaires overnight. But the
market decline that started in the spring of 2000 taught everyone how
misguided those hopes had been.
Now, less than six years after the market taught a harsh lesson in the follies
of speculative investing, we are seeing a number of trends that suggest many
investors, including professionals, are hoping for overnight miracles again.
We see a steady stream of market "gurus" on television news shows, promising
to teach amateur investors the strategies that will allow them to get rich
quick. Hedge funds - which by their nature move in and out of investments
rapidly - have soared in popularity in recent years. We are reminded every day
that we live in a "what have you done for me lately?" world, but this mindset
should not influence how we invest and manage our money. In fact, investors
often fall short of their goals because they traded in and out of investments
too frequently and at inopportune times.
Throughout our more than 80-year history, MFS' money management process has
focused on long-term investment opportunities. We firmly believe that the best
way to realize long-term financial goals - be it a college education, a
comfortable retirement, or a secure family legacy - is to follow a three-
pronged approach that focuses on longer time horizons. Allocate holdings across
the major asset classes - including stocks, bonds, and cash. Diversify within
each class to take advantage of different market segments and investing styles.
And rebalance assets regularly to maintain a desired asset allocation.* This
long-term approach requires diligence and patience, two traits that in our
experience are essential to capitalizing on the many opportunities the financial
markets can offer.
Respectfully,
/s/ Robert J. Manning
Robert J. Manning
Chief Executive Officer and Chief Investment Officer
MFS Investment Management(R)
February 15, 2006
* Asset allocation, diversification, and rebalancing do not guarantee a profit
or protect against a loss. The opinions expressed in this letter are those of
MFS, and no forecasts can be guaranteed.
MANAGEMENT REVIEWS
CAPITAL OPPORTUNITIES SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 1.64%, while Service Class shares provided a
total return of 1.31%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 4.91% for the series'
benchmark, the Standard & Poor's 500 Stock Index (the S&P 500 Stock Index).
DETRACTORS FROM PERFORMANCE
Relative to the portfolio's benchmark, utilities and communications,
technology, and leisure were the portfolio's weakest-contributing sectors over
the period. In the utilities and communications sector, stock selection
detracted from relative returns. The portfolio's overweighted positions in
independent power producer Calpine* and telecom services provider Verizon*
were among the portfolio's top detractors for the period.
In the technology sector, stock selection was the principal detractor as well.
Holdings in network security software company Symantec and global telecom
equipment maker Nortel Networks, which is not a constituent of the benchmark,
held back relative returns.
Stock selection and an overweighted position in the leisure sector also dampened
investment results. Holdings in advertising and marketing services company
Interpublic Group* and media giant Viacom detracted from the portfolio's
relative returns.
Stocks in other sectors that had a negative impact on performance included
overweighted positions in poor-performing health services provider Tenet
Healthcare and manufacturing conglomerate Tyco International. The portfolio's
holdings in newsprint maker Bowater*, which is not a benchmark constituent, and
not holding strong-performing Apple Computer also hurt results.
During the reporting period, the portfolio's currency exposure detracted from
relative performance. All of MFS' investment decisions are driven by the
fundamentals of each individual opportunity and, as such, it is common for our
portfolios to have different currency exposure than the benchmark.
CONTRIBUTORS TO PERFORMANCE
Health care, retailing, and financial services were the portfolio's top
contributing sectors over the period. Stock selection and an overweighted
position in the health care sector boosted relative results. Holdings in biotech
firm Gilead Sciences aided returns as the stock delivered strong performance.
Not holding poor-performing pharmaceutical company Pfizer, a constituent of the
benchmark, also helped.
Although retailing was a top contributing sector overall, no individual stocks
within the sector were among the portfolio's top contributors.
In financial services, our avoidance of mortgage financier Fannie Mae, whose
stock declined over the period, contributed to relative results.
Several stocks in the energy sector also helped performance. Overweighted
positions in drilling rig operator GlobalSantaFe and oil and gas equipment
manufacturer Cooper Cameron* (neither of which are benchmark constituents),
oil and gas producer Devon Energy, and offshore drilling company Noble Corp.
were among the portfolio's top contributors.
Holdings in strong-performing software developer Compuware*, diversified
technology company Corning*, and cell phone manufacturer Nokia, which is not a
benchmark constituent, also aided returns.
* Security was not held in the portfolio at period-end.
CORE EQUITY SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 6.56%, while Service Class shares provided a
total return of 6.39%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 4.91% for the series'
benchmark, the Standard & Poor's 500 Stock Index (the S&P 500 Stock Index).
CONTRIBUTORS TO PERFORMANCE
Over the reporting period, the health care, consumer staples, basic materials,
and utilities and communications sectors contributed to relative performance. In
each case, strong stock selection was the primary driver. In health care,
hospital operator HCA* and medical device maker Cyberonics* (not an index
constituent) boosted relative results. Not holding poor-performing
pharmaceutical giant Pfizer also proved favorable.
Despite positive contribution to relative return from the consumer staples
sector, no individual stocks within the sector were among the portfolio's top
contributors.
In basic materials, agrichemical products company Monsanto and Brazilian iron
ore miner Companhia Vale do Rio Doce (not an index constituent) were among the
portfolio's top contributors. Although strong stock selection also helped
relative returns in the utilities and communications sector, no individual
stocks within this sector were among the portfolio's top contributors.
Despite being a relative detractor, the technology sector included some of the
portfolio's top contributors. These included maker of flash memory storage
products SanDisk and business intelligence software firm MicroStrategy, neither
of which are benchmark constituents. Avoiding computer products and services
provider International Business Machines (IBM) for most of the reporting period,
during which the stock's price underperformed the index, also benefited the
portfolio.
Stocks in other sectors that contributed to relative results included investment
management firm Legg Mason and French integrated oil company TOTAL*, neither of
which are held in the index.
DETRACTORS FROM PERFORMANCE
Stock selection in the technology and leisure sectors held back relative
performance over the period. In technology, procurement software and consulting
services provider Ariba* (not an index constituent), direct-sale computer vendor
Dell, and security software firm Symantec detracted from relative results. In
leisure, advertising and marketing services conglomerate Interpublic Group* was
among the portfolio's top detractors.
Other individual detractors included home mortgage financier Freddie Mac*,
regional bank North Fork Bancorp*, insurance firm American International Group
(AIG)*, moving and relocation services company SIRVA* (not an index
constituent), and discount retailer Family Dollar Stores*. Avoiding integrated
oil company Chevron for most of the first three quarters of the reporting
period, during which the price of the stock rose, and owning its shares during
the fourth quarter when the stock underperformed the index, negatively affected
relative performance.
* Security was not held in the portfolio at period-end.
INTERNATIONAL GROWTH SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 14.91% while Service Class shares provided a
total return of 14.62%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 13.64% for the series' benchmark,
the MSCI EAFE Growth Index.
CONTRIBUTORS TO PERFORMANCE
Stock selection in the technology, utilities and communications, and energy
sectors contributed to the portfolio's relative performance over the period.
Within the technology sector, strong-performing South Korean microchip and
electronics manufacturer Samsung Electronics was the greatest contributor to
relative results. Performance was also bolstered by our holdings in UK radio
chip designer CSR, which gained substantially over the period.
A combination of security selection and an underweighted position in the
utilities and communication sector boosted relative results. The portfolio
benefited from not holding some of the poor-performers in this sector, including
communications companies France Telecom (France) and Deutsche Telekom (Germany).
In the energy sector, global seamless steel pipe manufacturer Tenaris* and
Canadian oil and gas companies Talisman Energy and EnCana were among the
portfolio's top relative contributors.
Securities in other sectors that aided performance included Indian real estate
finance firm Housing Development Finance, global cement producer Cemex, and
Mexican television broadcaster Grupo Televisa.
During the reporting period, the portfolio's currency exposure was a contributor
to relative performance. All of MFS' investment decisions are driven by the
fundamentals of each individual opportunity and, as such, it is common for our
portfolios to have different currency exposure than the benchmark.
DETRACTORS FROM PERFORMANCE
Security selection in the basic materials, special products and services, and
financial services sectors held back performance relative to the benchmark. In
basic materials, not owning strong-performing index constituent Rio Tinto, a
global mining company, hindered results.
Some special products and services holdings were among the portfolio's top
detractors over the period including Singaporean after-market services provider
Accord Customer Care Solutions*. Additionally, holdings in Japanese technology
investment firm Softbank* had a negative impact on relative results as we
eliminated the stock from the portfolio prior to a significant run-up in share
price.
In the financial services sector, holdings in UK banking firm Royal Bank of
Scotland Group*, and not owing benchmark constituent Mitsubishi UFJ Financial
Group (Japan), hurt performance. Elsewhere, German pay-television operator
Premiere*, UK-based apparel retailer NEXT, and Italian Internet services
provider FastWeb dampened results.
The portfolio's cash position was also a detractor from relative performance.
The portfolio holds cash to buy new holdings and to provide liquidity. In a
period when equity markets rose, as measured by the portfolio's benchmark,
holding cash hurt performance versus the benchmark, which has no cash position.
* Security was not held in the portfolio at period-end.
MASSACHUSETTS INVESTORS GROWTH STOCK SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 4.37%, while Service Class shares provided a
total return of 4.15%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 5.26% for the series' benchmark,
the Russell 1000 Growth Index.
DETRACTORS FROM PERFORMANCE
The technology and industrial goods and services sectors were the largest
detractors from relative performance. In both cases, stock selection was the
main reason.
Several technology holdings hurt relative returns including network security
software company Symantec, which was the greatest individual detractor within
the portfolio. Our holdings in semiconductor giant Intel hampered performance as
we added the stock subsequent to a run-up in share price. Other technology
positions that negatively impacted results included software provider Mercury
Interactive* and computer company Dell.
In industrial goods and services, holdings in manufacturing conglomerate Tyco
International, which is not a benchmark constituent, dampened relative results.
The portfolio's virtual avoidance of benchmark constituent Boeing* also
detracted from performance as we missed out on a significant run-up in that
stock's price.
Stock selection and, to a lesser extent, an overweighted position in the weak-
performing leisure sector hindered performance. No individual stocks within this
sector were among the portfolio's top relative detractors.
Although stock selection in health care significantly aided results for the
period, several individual stocks detracted from performance. Specifically,
underweighted positions in pharmaceutical giant Pfizer* and health insurer
UnitedHealth Group, and our holdings in poor-performing biotech firm ImClone*,
negatively affected results.
During the reporting period, the portfolio's currency exposure was also a
detractor from relative performance. All of MFS' investment decisions are driven
by the fundamentals of each individual opportunity and, as such, it is common
for our portfolios to have different currency exposure than the benchmark.
CONTRIBUTORS TO PERFORMANCE
Security selection in the health care sector was the greatest contributor to
relative performance. Within this sector, biotech firms Amgen and Gilead
Sciences were among the portfolio's top contributing stocks as both
significantly outperformed the benchmark over the period. Other health care
holdings that aided results included generic drug manufacturer Teva
Pharmaceutical Industries and pharmaceutical and diagnostic company Roche
Holding, neither of which are benchmark constituents.
Security selection in the basic materials sector, and a combination of
security selection and an overall underweighted position in the financial
services sector, also helped relative performance. No individual holdings in
either sector were among the portfolio's top contributors.
Several individual technology positions boosted results during the period
including diversified technology company Corning and flash memory storage
products maker SanDisk. Additionally, the portfolio's underweighted position in
poor-performing computer giant International Business Machines (IBM)* benefited
relative returns.
In other sectors, drugstore chain CVS and Latin American wireless communications
company America Movil, which is not a benchmark constituent, contributed to
relative results.
* Security was not held in the portfolio at period-end.
MID CAP VALUE SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 7.63%, while Service Class shares provided a
total return of 7.40%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 12.65% for the series' benchmark,
the Russell Midcap Value Index.
DETRACTORS FROM PERFORMANCE
During the reporting period, weak stock selection in the basic materials sector
hurt relative performance. Within this sector, holdings in newsprint maker
Bowater and paper product manufacturer Smurfit-Stone Container were among the
portfolio's top detractors.
A combination of stock selection and an overweighted position in the lagging
leisure sector held back relative results. Within this sector, holdings in radio
stations operator Radio One* proved disappointing to investment results.
Stock selection in the technology and utilities and communications sectors also
hindered relative performance over the period. In technology, communication
equipment manufacturer Avaya* and electronics manufacturing services company
Solectron* detracted from relative results. In utilities and communications,
leading independent power producer Calpine* (not an index constituent)
negatively impacted relative performance.
Stocks in other sectors that detracted from performance included hospital
operator Tenet Healthcare, investment banking and management firm Friedman,
Billings, Ramsey Group*, and sleep products maker Tempur-Pedic International
(not an index constituent). Not holding independent oil refiner Valero Energy
also dampened results.
CONTRIBUTORS TO PERFORMANCE
The portfolio's overweighted position in the strong-performing energy sector
contributed to relative performance. Several individual stocks within the sector
were among the portfolio's top contributors. These included drilling rig
operator GlobalSantaFe, oil and gas producers Devon Energy and Range Resources*,
and oil field services provider BJ Services, none of which are index
constituents. Additionally, oil and gas exploration company Newfield
Exploration, drilling rig operator Pride International, and energy exploration
company EOG Resources* all benefited the portfolio.
Stocks in other sectors that contributed to relative results included online
brokerage services firm AmeriTrade Holding*, drug maker Endo Pharmaceuticals
Holdings* (not an index constituent), and non-urban hospital operator Community
Health Systems*.
* Security was not held in the portfolio at period-end.
NEW DISCOVERY SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 5.21%, while Service Class shares provided a
total return of 4.96%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 4.15% for the series' benchmark,
the Russell 2000 Growth Index.
CONTRIBUTORS TO PERFORMANCE
Stock selection in the health care sector was the greatest contributor to
relative performance. Within this sector, ventricular assist device maker
Thoratec, medical devices manufacturer FoxHollow Technologies*, and
pharmaceutical firm Adams Respiratory Therapeutics* were among the portfolio's
top contributing stocks as they significantly outperformed the benchmark over
the period. Other strong performers in the health care sector that aided results
included brain monitoring company Aspect Medical Systems, diagnostic instruments
firm Ventana Medical Systems, and medical devices maker Conceptus.
Security selection in the technology sector also helped relative performance.
Holdings in this area included flash memory storage products maker SanDisk,
which is not a benchmark constituent, and multimedia software firm Nuance
Communications.
Although the portfolio benefited from strong stock selection in the industrial
goods and services sector, no individual stocks within this sector were among
the portfolio's top contributors.
Individual stocks in other sectors that contributed to relative results included
discount apparel and variety retailer Citi Trends and interactive entertainment
software company THQ.
DETRACTORS FROM PERFORMANCE
An underweighted position and, to a lesser extent, stock selection in the
strong-performing energy sector hindered relative performance. No individual
holdings in this sector were among the portfolio's top detractors.
The special products and services and the retailing sectors also detracted from
relative performance. In both cases, stock selection held back results. Holdings
in moving and relocation services company SIRVA* and hobby and craft retailer
A.C. Moore Arts & Crafts were significant detractors in these sectors.
Although stock selection in technology aided results for the period, several
individual stocks within this sector detracted from performance. The portfolio's
holdings in procurement software and consulting services provider Ariba*,
integrated circuits maker Silicon Laboratories*, voice network products company
AudioCodes*, which is not a benchmark constituent, and networking semiconductor
firm PMC-Sierra negatively affected results.
Stocks in other sectors that hurt relative results included market research and
opinion polling firm Harris Interactive, frozen dessert maker CoolBrands
International*, which is not a benchmark constituent, and sleep products
manufacturer Tempur-Pedic International*. Not holding strong-performing medical
equipment and supplies firm Intuitive Surgical also dampened relative returns.
During the reporting period, the portfolio's currency exposure was a detractor
from relative performance. All of MFS' investment decisions are driven by the
fundamentals of each individual opportunity and, as such, it is common for our
portfolios to have different currency exposure than the benchmark.
* Security was not held in the portfolio at period-end.
RESEARCH INTERNATIONAL SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 16.56%, while Service Class shares provided a
total return of 16.19%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 14.02% for the series' benchmark,
the MSCI EAFE Index.
CONTRIBUTORS TO PERFORMANCE
Security selection in the energy, financial services, and health care sectors
was the primary contributor to the portfolio's relative performance over the
period. In energy, global seamless steel pipe manufacturer Tenaris*, Russian oil
company LUKOIL, neither of which are benchmark constituents, and Norwegian oil
and gas company Statoil boosted results as the stocks significantly outperformed
the overall benchmark.
Within the financial services sector, several strong-performing stocks that are
not benchmark constituents benefited portfolio performance, including Brazilian
banking firm Unibanco-Uniao de Bancos Brasileiros, and South Korean banking
firms Kookmin Bank and Hana Financial Holdings*. Performance in this sector was
also bolstered by Japanese real estate firm Leopalace21 and Japanese financial
services company ORIX.
Although security selection in the health care sector aided relative results
over the period, no individual stocks within this sector were among the
portfolio's greatest contributors.
Securities in other sectors which aided performance included Korean microchip
and electronics manufacturer Samsung Electronics and Brazilian iron ore miner
Companhia Vale do Rio Doce.
During the reporting period, the portfolio's currency exposure was a contributor
to relative performance. All of MFS' investment decisions are driven by the
fundamentals of each individual opportunity and, as such, it is common for our
portfolios to have different currency exposure than the benchmark.
DETRACTORS FROM PERFORMANCE
Security selection in the special products and services sector held back
performance relative to the benchmark. Within this sector, index constituent
Softbank*, a Japanese technology investment firm, was among the portfolio's
greatest detractors as the stock was sold prior to a strong run-up in share
price.
Stock selection in the retailing and basic materials sectors also hurt benchmark
relative performance. Within retailing, UK-based home improvement store operator
Kingfisher* was among the portfolio's greatest detractors. No individual
holdings within basic materials were among the top detractors for the period.
Several stocks in the utilities and communications sector were a drag on
performance, including telecommunications companies Telefonica (Spain) and
Deutsche Telekom* (Germany), and Italian Internet service provider FastWeb,
which is not a benchmark constituent. Elsewhere, holdings in Japanese electronic
devices manufacturer Seiko Epson*, Japanese video game console maker Nintendo,
UK-based pharmaceutical company GlaxoSmithKline, and UK banking firm Royal Bank
of Scotland Group hurt relative results.
* Security was not held in the portfolio at period-end.
STRATEGIC GROWTH SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 1.40%, while Service Class shares provided a
total return of 1.17%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 5.26% for the series' benchmark,
the Russell 1000 Growth Index.
DETRACTORS FROM PERFORMANCE
Over the period, the energy and leisure sectors were the largest detractors from
relative performance. No individual securities within these sectors were among
the top detractors.
Security selection within the technology sector was another major detractor
during the period. Within technology, holdings in software firm Mercury
Interactive* and computer maker Dell, and underweighting Apple Computer, held
back relative results.
Positions within other sectors that detracted from performance included
underweighting pharmaceutical giant Pfizer* and overweighting industrial goods
and services firm Tyco International*.
CONTRIBUTORS TO PERFORMANCE
Security selection within the health care sector contributed to relative
performance. The portfolio's holdings in biotechnology companies Gilead Sciences
and Amgen, generic drug maker Teva Pharmaceutical and hospital operator HCA Inc*
added to results during the period.
Other stocks that contributed to performance during the year included
diversified technology company Corning, microchip and electronics manufacturer
Samsung Electronics, publishing software firm Adobe Systems, and
telecommunications equipment company QUALCOMM.
* Security was not held in the portfolio at period-end.
STRATEGIC VALUE SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of -0.39%, while Service Class shares provided a
total return of -0.72%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 7.05% for the series' benchmark,
the Russell 1000 Value Index.
DETRACTORS FROM PERFORMANCE
Relative to the portfolio's benchmark, utilities and communications, technology,
and basic materials were the portfolio's largest detracting sectors over the
period. In all three sectors, stock selection held back relative returns. In the
utilities and communications sector, independent power producer Calpine*, which
is not a benchmark constituent, and telecommunications services provider Verizon
were among the portfolio's top detractors for the period.
Stock selection within the technology sector also hurt relative results.
Holdings in network security software company Symantec and global
telecommunications equipment maker Nortel Networks, which is not a constituent
of the benchmark, dampened relative results.
In basic materials, the portfolio's holdings in newsprint maker Bowater and
package manufacturer Owens-Illinois detracted from relative returns as both
stocks underperformed the benchmark.
Stocks in other sectors that hindered investment results included overweighted
positions in poor-performing health services provider Tenet Healthcare,
manufacturing conglomerate Tyco International, which is not a benchmark
constituent, advertising and marketing services company Interpublic Group*, and
media giant Viacom.
During the reporting period, the portfolio's currency exposure was a detractor
from relative performance. All of MFS' investment decisions are driven by the
fundamentals of each individual opportunity and, as such, it is common for our
portfolios to have different currency exposure than the benchmark.
CONTRIBUTORS TO PERFORMANCE
Energy, financial services, and autos and housing were the portfolio's top
contributing sectors over the period. Stock selection in the energy sector
helped boost relative results with strong-performing drilling rig operator
GlobalSantaFe, offshore drilling company Noble Corp, and oil field services
provider BJ Services, none of which are benchmark constituents, among the
portfolio's top contributors. Holdings in oil and gas producer Devon Energy and
oil and gas equipment manufacturer Cooper Cameron also contributed to relative
returns.
In financial services, overweighting PNC Financial Services Group aided relative
performance as the stock outperformed the benchmark over the period.
Although autos and housing was a top-contributing sector, no individual stocks
within the sector were among the portfolio's top contributors.
Stocks in other sectors that aided relative results included overweighted
positions in software developer Compuware, consumer electronics retailer Circuit
City, and cell phone manufacturer Nokia, which is not a benchmark constituent.
The portfolio's avoidance of poor-performing pharmaceutical giant Pfizer also
helped relative results.
* Security was not held in the portfolio at period-end.
TECHNOLOGY SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 6.19%, while Service Class shares provided a
total return of 6.02%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 2.03% for the series' benchmark,
the Goldman Sachs Technology Index.
CONTRIBUTORS TO PERFORMANCE
Security selection within the computer software industry contributed to relative
performance. During the period, the portfolio's holdings in business software
providers MicroStrategy and Opsware, publishing software company Adobe Systems,
and network security firm Blue Coat Systems* added to returns.
A combination of security selection and an underweighting in the electronics
industry boosted relative performance. Holdings in flash memory storage products
company SanDisk, networking chip maker Marvell Technology, and electronics
manufacturer Samsung Electronics were among the portfolio's top contributors. In
the Internet industry, strong-performing Google contributed to relative
performance.
An underweighted position in International Business Machines (IBM)* and holdings
in strong-performing Apple Computer also helped relative results.
DETRACTORS FROM PERFORMANCE
Athough the business services and broadcast and cable television industries held
back relative performance, no individual securities from either industry were
among the portfolio's top detractors for the period.
Within the leisure and toys industry, holdings in video game company Electronic
Arts* hurt performance as the stock underperformed the benchmark over the
period.
Although the computer software industry contributed to relative performance,
several stocks within this group dampened investment results. Holdings in
testing software company Mercury Interactive* and network security software firm
Symantec held back returns. Avoiding strong-performing computer maker
Hewlett-Packard (an index constituent) detracted from relative returns. The
portfolio's exposure to liquid crystal display (LCD) maker LG. Philips LCD also
negatively impacted results.
Elsewhere, holdings in telecommunications equipment company Motorola*,
diversified technology company Corning, e-commerce software vendor Ariba*,
network storage company Network Appliance*, and LCD flat panel display maker AU
Optronics* held back relative returns.
During the reporting period, the portfolio's currency exposure detracted from
relative performance. All of MFS' investment decisions are driven by the
fundamentals of each individual opportunity and, as such, it is common for our
portfolios to have different currency exposure than the benchmark.
* Security was not held in the portfolio at period-end.
VALUE SERIES
SUMMARY OF RESULTS
For the twelve months ended December 31, 2005, Initial Class shares of the
series provided a total return of 6.60%, while Service Class shares provided a
total return of 6.34%. These returns do not reflect any applicable contract or
surrender charges and compare with a return of 7.05% for the series' benchmark,
the Russell 1000 Value Index.
DETRACTORS FROM PERFORMANCE
Security selection and, to a lesser extent, an overweighted position in the
basic materials sector held back relative performance. Within the basic
materials sector, overweighting manufacturing firm PPG Industries and paper and
packaging company International Paper detracted from results as both stocks
lagged the benchmark.
Poor stock selection within the retailing and utilities and communications
sectors also detracted from relative performance. Within these sectors, holdings
in retailer Gap and mobile telecommunications firm Vodafone Group (not index
constituents) dampened investment results.
Elsewhere, within the financial services sector, holdings of mortgage giant
Fannie Mae negatively impacted performance. Underweighting technology firm
Hewlett-Packard* was a drag on results as the stock performed strongly during
the period. Health care company Johnson & Johnson (not an index constituent)
also held back relative returns. Overweighting leisure firm Viacom weighed on
results. Not participating in the substantial run-up in the shares of energy
firms Burlington Resources and Valero Energy was also detrimental to
performance.
During the reporting period, the portfolio's currency exposure was a detractor
from relative performance. All of MFS' investment decisions are driven by the
fundamentals of each individual opportunity and, as such, it is common for our
portfolios to have different currency exposure than the benchmark.
CONTRIBUTORS TO PERFORMANCE
Security selection within the industrial goods and services sector added to
relative performance over the period. Avoiding index constituent General
Electric aided results as the stock lagged the return of the benchmark.
A combination of stock selection and, to a lesser extent, underweighting the
leisure sector boosted relative returns over the period. Although the leisure
sector was a top contributing sector on a relative basis, no individual
securities within the sector were among the top portfolio's contributors.
Security selection drove positive results in the energy sector. Overweighting
energy firms Unocal*, ConocoPhillips, EOG Resources, and Noble Corp (not an
index constituent) benefited the portfolio.
Elsewhere, underweighting weak-performing pharmaceutical giant Pfizer* bolstered
performance. Our holdings in strong-performing investment bank Goldman Sachs and
insurer MetLife were also among the portfolio's top contributors. Finally, in
the transportation sector the portfolio's holdings in Burlington Northern Santa
Fe and our holdings in consumer staples firm Altria Corp positively affected
performance.
* Security was not held in the portfolio at period-end.
The views expressed in this report are those of the portfolio managers only
through the end of the period of the report as stated on the cover and do not
necessarily reflect the views of MFS or any other person in the MFS
organization. These views are subject to change at any time based on market and
other conditions, and MFS disclaims any responsibility to update such views.
These views may not be relied upon as investment advice or an indication of
trading intent on behalf of any MFS/Sun Life series. References to specific
securities are not recommendations of such securities, and may not be
representative of any MFS/Sun Life series' current or future investments.
The portfolios are actively managed, and current holdings may be different.
Variable annuities are designed for long-term retirement investing; please see
your investment professional for more information.
PORTFOLIO COMPOSITION -- CAPITAL OPPORTUNITIES SERIES
PORTFOLIO STRUCTURE
Stocks 95.3%
Cash & Other Net Assets 4.7%
TOP TEN HOLDINGS
Wyeth 3.8%
------------------------------------------------
Johnson & Johnson 2.5%
------------------------------------------------
Cisco Systems, Inc. 2.5%
------------------------------------------------
J.P. Morgan Chase & Co. 2.1%
------------------------------------------------
Owens-Illinois, Inc. 2.1%
------------------------------------------------
Tyco International Ltd. 2.0%
------------------------------------------------
Symantec Corp. 2.0%
------------------------------------------------
Nortel Networks Corp. 2.0%
------------------------------------------------
PNC Financial Services Group, Inc. 2.0%
------------------------------------------------
Oracle Corp. 2.0%
------------------------------------------------
EQUITY SECTORS
Technology 21.4%
------------------------------------------------
Health Care 18.1%
------------------------------------------------
Financial Services 15.0%
------------------------------------------------
Retailing 9.1%
------------------------------------------------
Energy 6.4%
------------------------------------------------
Industrial Goods & Services 5.7%
------------------------------------------------
Basic Materials 5.6%
------------------------------------------------
Leisure 4.4%
------------------------------------------------
Utilities & Communications 2.4%
------------------------------------------------
Consumer Staples 2.3%
------------------------------------------------
Special Products & Services 2.2%
------------------------------------------------
Autos & Housing 1.6%
------------------------------------------------
Transportation 1.1%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- CORE EQUITY SERIES
PORTFOLIO STRUCTURE
Stocks 99.1%
Cash & Other Net Assets 0.9%
TOP TEN HOLDINGS
General Electric Co. 3.1%
------------------------------------------------
Bank of America Corp. 2.5%
------------------------------------------------
Procter & Gamble Co. 2.5%
------------------------------------------------
Wyeth 2.3%
------------------------------------------------
Altria Group, Inc. 2.2%
------------------------------------------------
Exxon Mobil Corp. 2.2%
------------------------------------------------
Amerada Hess Corp. 2.1%
------------------------------------------------
Intel Corp. 1.8%
------------------------------------------------
Walt Disney Co. 1.8%
------------------------------------------------
SanDisk Corp. 1.7%
------------------------------------------------
EQUITY SECTORS
Financial Services 20.4%
------------------------------------------------
Technology 14.9%
------------------------------------------------
Health Care 12.2%
------------------------------------------------
Energy 8.9%
------------------------------------------------
Industrial Goods & Services 7.6%
------------------------------------------------
Consumer Staples 7.2%
------------------------------------------------
Utilities & Communications 6.6%
------------------------------------------------
Retailing 5.7%
------------------------------------------------
Leisure 5.4%
------------------------------------------------
Basic Materials 4.9%
------------------------------------------------
Special Products & Services 2.4%
------------------------------------------------
Transportation 1.7%
------------------------------------------------
Autos & Housing 1.2%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- INTERNATIONAL GROWTH SERIES
PORTFOLIO STRUCTURE
Stocks 98.4%
Cash & Other Net Assets 1.6%
TOP TEN HOLDINGS
Samsung Electronics Co. Ltd. 3.5%
------------------------------------------------
Vodafone Group PLC 2.9%
------------------------------------------------
GlaxoSmithKline PLC 2.4%
------------------------------------------------
Roche Holding AG 2.3%
------------------------------------------------
Housing Development Finance Corp. Ltd. 1.9%
------------------------------------------------
Reckitt Benckiser PLC 1.9%
------------------------------------------------
TOTAL S.A. 1.9%
------------------------------------------------
Nestle S.A. 1.9%
------------------------------------------------
AEON Credit Service Co. Ltd. 1.8%
------------------------------------------------
UBS AG 1.8%
------------------------------------------------
EQUITY SECTORS
Financial Services 22.0%
------------------------------------------------
Health Care 11.2%
------------------------------------------------
Technology 10.8%
------------------------------------------------
Utilities & Communications 8.6%
------------------------------------------------
Consumer Staples 8.2%
------------------------------------------------
Energy 8.0%
------------------------------------------------
Leisure 7.3%
------------------------------------------------
Retailing 6.2%
------------------------------------------------
Basic Materials 5.8%
------------------------------------------------
Autos & Housing 5.1%
------------------------------------------------
Industrial Goods & Services 3.7%
------------------------------------------------
Special Products & Services 1.1%
------------------------------------------------
Transportation 0.4%
------------------------------------------------
COUNTRY WEIGHTINGS
Great Britain 20.4%
------------------------------------------------
Japan 14.4%
------------------------------------------------
France 11.6%
------------------------------------------------
Switzerland 8.8%
------------------------------------------------
South Korea 4.2%
------------------------------------------------
India 4.1%
------------------------------------------------
Mexico 3.8%
------------------------------------------------
Canada 3.1%
------------------------------------------------
Brazil 2.5%
------------------------------------------------
All Others 27.1%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- MASSACHUSETTS INVESTORS GROWTH STOCK SERIES
PORTFOLIO STRUCTURE
Stocks 95.0%
Cash & Other Net Assets 5.0%
TOP TEN HOLDINGS
Cisco Systems, Inc. 2.9%
------------------------------------------------
Wyeth 2.7%
------------------------------------------------
Intel Corp. 2.3%
------------------------------------------------
Johnson & Johnson 2.3%
------------------------------------------------
EMC Corp. 2.2%
------------------------------------------------
Wal-Mart Stores, Inc. 2.1%
------------------------------------------------
Microsoft Corp. 2.1%
------------------------------------------------
Google, Inc., "A" 2.1%
------------------------------------------------
QUALCOMM, Inc. 2.1%
------------------------------------------------
American International Group, Inc. 2.0%
------------------------------------------------
EQUITY SECTORS
Technology 32.2%
------------------------------------------------
Health Care 22.6%
------------------------------------------------
Retailing 10.4%
------------------------------------------------
Financial Services 7.9%
------------------------------------------------
Leisure 5.7%
------------------------------------------------
Industrial Goods & Services 3.8%
------------------------------------------------
Consumer Staples 3.3%
------------------------------------------------
Basic Materials 2.5%
------------------------------------------------
Energy 2.3%
------------------------------------------------
Transportation 1.9%
------------------------------------------------
Special Products & Services 0.9%
------------------------------------------------
Autos & Housing 0.8%
------------------------------------------------
Utilities & Communications 0.7%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- MID CAP VALUE SERIES
PORTFOLIO STRUCTURE
Stocks 97.6%
Cash & Other Net Assets 1.3%
Convertible Bonds 0.6%
Preferred Stocks 0.5%
TOP TEN HOLDINGS
Owens-Illinois, Inc. 2.6%
------------------------------------------------
Bowater, Inc. 2.3%
------------------------------------------------
GlobalSantaFe Corp. 2.3%
------------------------------------------------
PNC Financial Services Group, Inc. 1.9%
------------------------------------------------
Investors Financial Services Corp. 1.9%
------------------------------------------------
PETsMART, Inc. 1.7%
------------------------------------------------
Amerada Hess Corp. 1.7%
------------------------------------------------
BJ Services Co. 1.7%
------------------------------------------------
Smurfit-Stone Container Corp. 1.7%
------------------------------------------------
Devon Energy Corp. 1.7%
------------------------------------------------
EQUITY SECTORS
Financial Services 26.2%
------------------------------------------------
Energy 13.8%
------------------------------------------------
Basic Materials 9.7%
------------------------------------------------
Technology 7.6%
------------------------------------------------
Retailing 7.3%
------------------------------------------------
Utilities & Communications 7.1%
------------------------------------------------
Health Care 6.7%
------------------------------------------------
Autos & Housing 6.0%
------------------------------------------------
Leisure 4.7%
------------------------------------------------
Transportation 4.0%
------------------------------------------------
Industrial Goods & Services 2.7%
------------------------------------------------
Consumer Staples 1.8%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- NEW DISCOVERY SERIES
PORTFOLIO STRUCTURE
Stocks 98.5%
Cash & Other Net Assets 1.5%
TOP TEN HOLDINGS
Aspect Medical Systems, Inc. 2.7%
------------------------------------------------
Medicis Pharmaceutical Corp., "A" 2.3%
------------------------------------------------
MSC Industrial Direct Co., Inc., "A" 2.2%
------------------------------------------------
TIBCO Software, Inc. 2.2%
------------------------------------------------
Advanced Medical Optics, Inc. 2.0%
------------------------------------------------
Cognex Corp. 2.0%
------------------------------------------------
Cytyc Corp. 1.8%
------------------------------------------------
THQ, Inc. 1.8%
------------------------------------------------
Activision, Inc. 1.8%
------------------------------------------------
Strayer Education, Inc. 1.8%
------------------------------------------------
EQUITY SECTORS
Health Care 29.6%
------------------------------------------------
Technology 19.8%
------------------------------------------------
Leisure 12.1%
------------------------------------------------
Retailing 10.3%
------------------------------------------------
Special Products & Services 9.2%
------------------------------------------------
Financial Services 7.2%
------------------------------------------------
Industrial Goods & Services 6.7%
------------------------------------------------
Consumer Staples 2.5%
------------------------------------------------
Basic Materials 0.9%
------------------------------------------------
Utilities & Communications 0.2%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- RESEARCH INTERNATIONAL SERIES
PORTFOLIO STRUCTURE
Stocks 98.8%
Cash & Other Net Assets 1.2%
TOP TEN HOLDINGS
Samsung Electronics Co., Ltd. 3.6%
------------------------------------------------
TOTAL S.A. 3.3%
------------------------------------------------
Nestle S.A. 2.4%
------------------------------------------------
Roche Holding AG 2.4%
------------------------------------------------
GlaxoSmithKline PLC 2.4%
------------------------------------------------
Schneider Electric S.A. 1.9%
------------------------------------------------
UBS AG 1.9%
------------------------------------------------
Royal Bank of Scotland Group PLC 1.8%
------------------------------------------------
BHP Billiton PLC 1.7%
------------------------------------------------
BNP Paribas 1.7%
------------------------------------------------
EQUITY SECTORS
Financial Services 29.0%
------------------------------------------------
Utilities & Communications 10.4%
------------------------------------------------
Basic Materials 10.3%
------------------------------------------------
Technology 8.8%
------------------------------------------------
Energy 8.6%
------------------------------------------------
Health Care 7.6%
------------------------------------------------
Autos & Housing 6.7%
------------------------------------------------
Consumer Staples 6.1%
------------------------------------------------
Retailing 4.3%
------------------------------------------------
Leisure 3.4%
------------------------------------------------
Industrial Goods & Services 2.4%
------------------------------------------------
Transportation 1.2%
------------------------------------------------
COUNTRY WEIGHTINGS
Great Britain 18.4%
------------------------------------------------
Japan 16.6%
------------------------------------------------
France 14.2%
------------------------------------------------
Switzerland 7.8%
------------------------------------------------
South Korea 7.8%
------------------------------------------------
Italy 4.5%
------------------------------------------------
Germany 3.6%
------------------------------------------------
Spain 3.5%
------------------------------------------------
Brazil 3.4%
------------------------------------------------
All Others 20.2%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- STRATEGIC GROWTH SERIES
PORTFOLIO STRUCTURE
Stocks 98.4%
Cash & Other Net Assets 1.6%
TOP TEN HOLDINGS
Adobe Systems, Inc. 3.9%
------------------------------------------------
Samsung Electronics Co. Ltd., GDR 3.9%
------------------------------------------------
National Oilwell Varco, Inc. 3.4%
------------------------------------------------
Allergan, Inc. 3.4%
------------------------------------------------
Noble Corp. 3.3%
------------------------------------------------
Gilead Sciences, Inc. 3.2%
------------------------------------------------
Electronic Arts, Inc. 3.1%
------------------------------------------------
Nokia Corp., ADR 3.1%
------------------------------------------------
QUALCOMM, Inc. 3.0%
------------------------------------------------
Google, Inc., "A" 2.7%
------------------------------------------------
EQUITY SECTORS
Technology 30.9%
------------------------------------------------
Health Care 28.6%
------------------------------------------------
Leisure 10.0%
------------------------------------------------
Financial Services 9.0%
------------------------------------------------
Energy 6.7%
------------------------------------------------
Retailing 3.7%
------------------------------------------------
Utilities & Communications 3.1%
------------------------------------------------
Special Products & Services 1.9%
------------------------------------------------
Autos & Housing 1.8%
------------------------------------------------
Consumer Staples 1.6%
------------------------------------------------
Industrial Goods & Services 1.1%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- STRATEGIC VALUE SERIES
PORTFOLIO STRUCTURE
Stocks 99.4%
Cash & Other Net Assets 0.6%
TOP TEN HOLDINGS
J.P. Morgan Chase & Co. 4.5%
------------------------------------------------
Verizon Communications, Inc. 4.4%
------------------------------------------------
Symantec Corp. 4.4%
------------------------------------------------
PNC Financial Services Group, Inc. 4.3%
------------------------------------------------
Nortel Networks Corp. 4.1%
------------------------------------------------
Bank of America Corp. 4.1%
------------------------------------------------
Merck & Co., Inc. 4.0%
------------------------------------------------
Owens-Illinois, Inc. 4.0%
------------------------------------------------
Sprint Nextel Corp. 4.0%
------------------------------------------------
Wyeth 4.0%
------------------------------------------------
EQUITY SECTORS
Financial Services 22.9%
------------------------------------------------
Technology 17.2%
------------------------------------------------
Health Care 10.0%
------------------------------------------------
Leisure 9.4%
------------------------------------------------
Energy 9.2%
------------------------------------------------
Retailing 8.6%
------------------------------------------------
Utilities & Communications 8.4%
------------------------------------------------
Basic Materials 5.8%
------------------------------------------------
Industrial Goods & Services 3.4%
------------------------------------------------
Autos & Housing 3.0%
------------------------------------------------
Consumer Staples 1.5%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- TECHNOLOGY SERIES
PORTFOLIO STRUCTURE
Stocks 98.5%
Cash & Other Net Assets 1.5%
TOP TEN HOLDINGS
Juniper Networks, Inc. 4.7%
------------------------------------------------
Nokia Corp., ADR 4.6%
------------------------------------------------
Intel Corp. 4.4%
------------------------------------------------
Samsung Electronics Co., Ltd, GDR 4.1%
------------------------------------------------
MicroStrategy, Inc., "A" 4.1%
------------------------------------------------
Oracle Corp. 4.0%
------------------------------------------------
Google, Inc., "A" 3.7%
------------------------------------------------
Cisco Systems, Inc. 3.3%
------------------------------------------------
Sun Microsystems, Inc. 3.2%
------------------------------------------------
Equinix, Inc. 3.0%
------------------------------------------------
TOP 5 EQUITY INDUSTRIES
Network & Telecom 23.7%
------------------------------------------------
Electronics 23.3%
------------------------------------------------
Computer Software 19.8%
------------------------------------------------
Computer Software Systems 11.2%
------------------------------------------------
Internet 6.7%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PORTFOLIO COMPOSITION -- VALUE SERIES
PORTFOLIO STRUCTURE
Stocks 99.4%
Cash & Other Net Assets 0.6%
TOP TEN HOLDINGS
Bank of America Corp. 4.2%
------------------------------------------------
Altria Group, Inc. 3.5%
------------------------------------------------
Citigroup, Inc. 3.4%
------------------------------------------------
Goldman Sachs Group, Inc. 3.0%
------------------------------------------------
Lockheed Martin Corp. 2.8%
------------------------------------------------
Johnson & Johnson 2.8%
------------------------------------------------
Dominion Resources, Inc. 2.6%
------------------------------------------------
MetLife, Inc. 2.6%
------------------------------------------------
TOTAL S.A., ADR 2.3%
------------------------------------------------
Sprint Nextel Corp. 2.2%
------------------------------------------------
EQUITY SECTORS
Financial Services 29.1%
------------------------------------------------
Energy 11.5%
------------------------------------------------
Industrial Goods & Services 11.1%
------------------------------------------------
Utilities & Communications 10.5%
------------------------------------------------
Consumer Staples 9.6%
------------------------------------------------
Basic Materials 7.5%
------------------------------------------------
Health Care 7.2%
------------------------------------------------
Leisure 3.3%
------------------------------------------------
Autos & Housing 2.4%
------------------------------------------------
Retailing 2.0%
------------------------------------------------
Technology 1.8%
------------------------------------------------
Transportation 1.8%
------------------------------------------------
Special Products & Services 1.6%
------------------------------------------------
Percentages are based on net assets as of 12/31/05.
The portfolio is actively managed, and current holdings may be different.
PERFORMANCE SUMMARY
The information below and on the following pages illustrates the historical
performance of each series in comparison to its benchmark(s). Benchmark
comparisons are unmanaged and do not reflect any fees or expenses. The
performance of other share classes will be more than or less than the line
shown. It is not possible to invest directly in an index. (See Notes to
Performance Summary.)
PERFORMANCE DATA SHOWN REPRESENTS PAST PERFORMANCE AND IS NO GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE FLUCTUATE SO YOUR UNITS, WHEN
SOLD, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST; CURRENT PERFORMANCE MAY
BE LOWER OR HIGHER THAN QUOTED. FOR MOST RECENT MONTH-END PERFORMANCE, PLEASE
VISIT SUNLIFE-USA.COM. THE PERFORMANCE SHOWN DOES NOT REFLECT THE DEDUCTION OF
TAXES, IF ANY, THAT A CONTRACT HOLDER WOULD PAY ON DISTRIBUTIONS OR REDEMPTION
OF CONTRACT UNITS.
CAPITAL OPPORTUNITIES SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
For the period from the commencement of the series' investment operations,
June 3, 1996, through December 31, 2005. Index information is from June 1,
1996.
Capital
Opportunities
Series - Initial Standard & Poor's
Class 500 Stock Index
5/96 $10,000 $10,000
12/96 11,010 11,210
12/97 14,046 14,949
12/98 17,834 19,221
12/99 26,333 23,265
12/00 25,047 21,149
12/01 18,803 18,637
12/02 13,086 14,520
12/03 16,789 18,682
12/04 18,938 20,714
12/05 19,248 21,730
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 6/03/96 1.64% -5.13% 7.08%
Service Class 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 1.31% -5.35% 6.95%
COMPARATIVE BENCHMARK
1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Standard & Poor's 500 Stock Index (s) 4.91% 0.54% 8.44%
(t) For the period from the commencement of the series' investment operations,
June 3, 1996, through December 31, 2005. Index information is from June 1,
1996.
(s) Source: Standard & Poor's Micropal, Inc.
CORE EQUITY SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
For the period from the commencement of the series' investment operations, May
12, 1997, through December 31, 2005. Index information is from May 1, 1997.
Core Equity
Series - Initial Standard & Poor's
Class 500 Stock Index
5/97 $10,000 $10,000
12/97 11,020 12,255
12/98 13,459 15,757
12/99 14,564 19,073
12/00 15,015 17,338
12/01 13,376 15,279
12/02 10,514 11,903
12/03 13,443 15,316
12/04 15,410 16,981
12/05 16,420 17,814
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 5/12/97 6.56% 1.81% 5.91%
Service Class 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 6.39% 1.59% 5.78%
COMPARATIVE BENCHMARK
1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Standard & Poor's 500 Stock Index (s) 4.91% 0.54% 6.89%
(t) For the period from the commencement of the series' investment operations,
May 12, 1997, through December 31, 2005. Index information is from May 1,
1997.
(s) Source: Standard & Poor's Micropal, Inc.
PERFORMANCE SUMMARY -- continued
INTERNATIONAL GROWTH SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
For the period from the commencement of the series' investment operations,
June 3, 1996, through December 31, 2005. Index information is from June 1,
1996.
International MSCI EAFE
Growth Series Growth
- Initial Class Index
6/96 $10,000 $10,000
12/96 9,830 10,048
12/97 9,668 10,282
12/98 9,856 12,591
12/99 13,329 16,332
12/00 12,290 12,348
12/01 10,335 9,334
12/02 9,107 7,863
12/03 12,628 10,417
12/04 15,019 12,133
12/05 17,259 13,788
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 6/03/96 14.91% 7.03% 5.86%
Service Class 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 14.62% 6.81% 5.75%
COMPARATIVE BENCHMARK
1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
MSCI EAFE Growth Index (s) 13.64% 2.23% 3.41%
(t) For the period from the commencement of the series' investment operations,
June 3, 1996, through December 31, 2005. Index information is from June 1,
1996.
(s) Source: Standard & Poor's Micropal, Inc.
MASSACHUSETTS INVESTORS GROWTH STOCK SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
For the period from the commencement of the series' investment operations, May
6, 1998, through December 31, 2005. Index information is from May 1, 1998.
Massachusetts
Investors Growth Russell
Stock Series 1000 Growth
- Initial Class Index
5/98 $10,000 $10,000
12/98 12,070 11,881
12/99 16,391 15,821
12/00 15,393 12,273
12/01 11,559 9,766
12/02 8,317 7,043
12/03 10,262 9,138
12/04 11,248 9,714
12/05 11,739 10,225
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 5/06/98 4.37% -5.28% 2.12%
Service Class 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 4.15% -5.47% 1.98%
COMPARATIVE BENCHMARK
1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Russell 1000 Growth Index (s) 5.26% -3.58% 0.29%
(t) For the period from the commencement of the series' investment operations,
May 6, 1998, through December 31, 2005. Index information is from May 1,
1998.
(s) Source: Standard & Poor's Micropal, Inc.
PERFORMANCE SUMMARY -- continued
MID CAP VALUE SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
For the period from the commencement of the series' investment operations, May
1, 2002, through December 31, 2005. Index information is from May 1, 2002.
Mid Cap Value
Series Russell Midcap
- Initial Class Value Index
5/02 $10,000 $10,000
12/02 7,920 8,380
12/03 10,474 11,570
12/04 12,789 14,312
12/05 13,765 16,122
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 5/01/02 7.63% 9.09%
Service Class 1-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 5/01/02 7.40% 8.90%
COMPARATIVE BENCHMARK
1-yr Life (t)
- --------------------------------------------------------------------------------
Russell Mid Cap Value Index (s) 12.65% 13.91%
(t) For the period from the commencement of the series' investment operations,
May 1, 2002, through December 31, 2005. Index information is from May 1,
2002.
(s) Source: Standard & Poor's Micropal, Inc.
NEW DISCOVERY SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
For the period from the commencement of the series' investment operations, May
6, 1998, through December 31, 2005. Index information is from May 1, 1998.
New Discovery
Series Russell 2000
- Initial Class Growth Index
5/98 $10,000 $10,000
12/98 10,620 8,993
12/99 17,019 12,868
12/00 17,077 9,982
12/01 16,203 9,061
12/02 10,786 6,319
12/03 14,593 9,386
12/04 15,685 10,729
12/05 16,502 11,174
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 5/06/98 5.21% -0.68% 6.76%
Service Class 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 4.96% -0.91% 6.61%
COMPARATIVE BENCHMARK
1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Russell 2000 Growth Index (s) 4.15% 2.28% 1.46%
(t) For the period from the commencement of the series' investment operations,
May 6, 1998, through December 31, 2005. Index information is from May 1,
1998.
(s) Source: Standard & Poor's Micropal, Inc.
PERFORMANCE SUMMARY -- continued
RESEARCH INTERNATIONAL SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
For the period from the commencement of the series' investment operations, May
6, 1998, through December 31, 2005. Index information is from May 1, 1998.
Research
International MSCI EAFE
Series - Initial Class Index
5/98 $10,000 $10,000
12/98 9,420 10,399
12/99 14,595 13,237
12/00 13,434 11,390
12/01 11,049 8,974
12/02 9,785 7,569
12/03 13,098 10,534
12/04 15,874 12,714
12/05 18,503 14,496
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 5/06/98 16.56% 6.61% 8.37%
Service Class 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 16.19% 6.36% 8.20%
COMPARATIVE BENCHMARK
1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
MSCI EAFE Index (s) 14.02% 4.94% 4.96%
(t) For the period from the commencement of the series' investment operations,
May 6, 1998, through December 31, 2005. Index information is from May 1,
1998.
(s) Source: Standard & Poor's Micropal, Inc.
STRATEGIC GROWTH SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
For the period from the commencement of the series' investment operations,
October 29, 1999, through December 31, 2005. Index information is from
November 1, 1999.
Strategic Growth
Series Russell 1000
- Initial Class Growth Index
10/99 $10,000 $10,000
12/99 12,130 11,636
12/00 10,918 9,027
12/01 8,227 7,183
12/02 5,754 5,180
12/03 7,338 6,721
12/04 7,839 7,145
12/05 7,948 7,521
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 10/29/99 1.40% -6.15% -3.65%
Service Class 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 1.17% -6.34% -3.81%
COMPARATIVE BENCHMARK
1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Russell 1000 Growth Index (s) 5.26% -3.58% -4.52%
(t) For the period from the commencement of the series' investment operations,
October 29, 1999, through December 31, 2005. Index information is from
November 1, 1999.
(s) Source: Standard & Poor's Micropal, Inc.
PERFORMANCE SUMMARY -- continued
STRATEGIC VALUE SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
For the period from the commencement of the series' investment operations, May
1, 2002, through December 31, 2005. Index information is from May 1, 2002.
Strategic Value
Series Russell 1000
- Initial Class Value Index
5/02 $10,000 $10,000
12/02 7,900 8,404
12/03 10,068 10,928
12/04 11,884 12,730
12/05 11,839 13,628
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 5/01/02 -0.39% 4.70%
Service Class 1-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 5/01/02 -0.72% 4.45%
COMPARATIVE BENCHMARK
1-yr Life (t)
- --------------------------------------------------------------------------------
Russell 1000 Value Index (s) 7.05% 8.81%
(t) For the period from the commencement of the series' investment operations,
May 1, 2002, through December 31, 2005. Index information is from May 1,
2002.
(s) Source: Standard & Poor's Micropal, Inc.
TECHNOLOGY SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
For the period from the commencement of the series' investment operations,
June 16, 2000, through December 31, 2005. Index information is from July 1,
2000.
Technology
Series Goldman Sachs
- Initial Class Technology Index
6/00 $10,000 $10,000
12/00 8,540 5,884
12/01 5,221 4,204
12/02 2,820 2,511
12/03 4,101 3,872
12/04 4,201 3,985
12/05 4,461 4,065
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 6/16/00 6.19% -12.18% -13.55%
Service Class 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 6.02% -12.42% -13.76%
COMPARATIVE BENCHMARK
1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Goldman Sachs Technology Index (b) 2.03% -7.13% -15.10%
(t) For the period from the commencement of the series' investment operations,
June 16, 2000, through December 31, 2005. Index information is from July 1,
2000.
(b) Source: Bloomberg, L.P.
PERFORMANCE SUMMARY -- continued
VALUE SERIES
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
For the period from the commencement of the series' investment operations, May
6, 1998, through December 31, 2005. Index information is from May 1, 1998.
Value
Series Russell 1000
- Initial Class Value Index
5/98 $10,000 $10,000
12/98 10,500 10,287
12/99 11,240 11,043
12/00 14,640 11,817
12/01 13,548 11,157
12/02 11,707 9,425
12/03 14,671 12,255
12/04 16,948 14,277
12/05 18,066 15,284
TOTAL RETURNS THROUGH 12/31/05
Class
Inception
Initial Class Date 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 5/06/98 6.60% 4.30% 8.03%
Service Class 1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Average Annual Total Return 8/24/01 6.34% 4.07% 7.88%
COMPARATIVE BENCHMARK
1-yr 5-yr Life (t)
- --------------------------------------------------------------------------------
Russell 1000 Value Index (s) 7.05% 5.28% 5.69%
(t) For the period from the commencement of the series' investment operations,
May 6, 1998, through December 31, 2005. Index information is from May 1,
1998.
(s) Source: Standard & Poor's Micropal, Inc.
PERFORMANCE SUMMARY -- continued
INDEX DEFINITIONS
STANDARD & POOR'S 500 STOCK INDEX - a capitalization-weighted index of 500
widely held equity securities, designed to measure broad U.S. equity
performance.
MSCI EAFE (EUROPE, AUSTRALASIA, FAR EAST) GROWTH INDEX - a market capitalization
index that is designed to measure developed market growth equity performance,
excluding the U.S. and Canada.
RUSSELL 1000 GROWTH INDEX - constructed to provide a comprehensive barometer for
growth securities in the large-cap segment of the U.S. equity universe.
Companies in this index generally have higher price-to-book ratios and higher
forecasted growth values.
RUSSELL MIDCAP VALUE INDEX - constructed to provide a comprehensive barometer
for the value securities in the mid-cap segment of the U.S. equity universe.
Companies in this index generally have lower price-to-book ratios and lower
forecasted growth values.
RUSSELL 2000 GROWTH INDEX - constructed to provide a comprehensive barometer
for growth securities in the small-cap segment of the U.S. equity universe.
Companies in this index generally have higher price-to-book ratios and higher
forecasted growth values.
MSCI EAFE (EUROPE, AUSTRALASIA, FAR EAST) INDEX - a market capitalization
index that is designed to measure developed market equity performance,
excluding the U.S. & Canada.
RUSSELL 1000 VALUE INDEX - constructed to provide a comprehensive barometer
for the value securities in the large-cap segment of the U.S. equity universe.
Companies in this index generally have lower price-to-book ratios and lower
forecasted growth values.
GOLDMAN SACHS TECHNOLOGY INDEX - a modified capitalization-weighted index of
selected technology stocks.
It is not possible to invest directly in an index.
NOTES TO PERFORMANCE SUMMARY
Initial Class shares have no sales charge. Service Class shares have no sales
charge and carry a 0.25% annual 12b-1 fee.
Service Class share performance includes the performance of Initial Class
shares for periods prior to the inception of Service Class shares (blended
performance). These blended performance figures have not been adjusted to take
into account differences in the class-specific operating expenses (such as
Rule 12b-1 fees). Because operating expenses of Service Class shares are
generally higher than those of Initial Class shares, the blended Service Class
shares performance shown is higher than it would have been had Service Class
shares been offered for the entire period.
Performance results reflect any applicable expense subsidies and waivers in
effect during the periods shown; without these the results would have been
less favorable. See the prospectus for details. All results are historical and
assume the reinvestment of any dividends and capital gains distributions.
The returns for the series shown do not reflect the deduction of expenses
associated with variable products, such as mortality and expense risk charges,
separate account charges, and sales charges imposed by insurance company
separate accounts. Such expenses would reduce the overall returns shown.
From time to time the series may receive proceeds from litigation settlements,
without which performance would be lower.
KEY RISK CONSIDERATIONS
CAPITAL OPPORTUNITIES SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments.
CORE EQUITY SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments.
INTERNATIONAL GROWTH SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. Because MFS may invest a relatively
large percentage of the portfolio's assets in issuers located in a single
country or a small number of countries, the portfolio's performance could be
closely tied to the market, economic, political or regulatory conditions and
developments in those countries and could be more volatile than the
performance of more geographically diversified portfolios. Investing in
emerging markets can involve risks in addition to those generally associated
with investing in more developed foreign markets. Growth stocks may perform
differently from the general stock market and can be more volatile than other
types of stocks.
MASSACHUSETTS INVESTORS GROWTH STOCK SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. Growth stocks may perform differently
from the general stock market and can be more volatile than other types of
stocks.
MID CAP VALUE SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. The securities of medium size
companies may be more volatile than those of larger companies. Value stocks
may perform differently from the general stock market and can continue to be
undervalued for long periods of time and not realize their full value.
NEW DISCOVERY SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. The securities of small size companies
may be more volatile than those of larger companies. Growth stocks may perform
differently from the general stock market and can be more volatile than other
types of stocks.
RESEARCH INTERNATIONAL SERIES
Stock markets are volatile and can decline due to adverse issuer, political.
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. Investing in emerging markets can
involve risks in addition to those generally associated with investing in more
developed foreign markets. Changes in currency exchange rates may affect the
portfolio's net asset value, the value of dividends and interest earned, and
gains and losses realized on the sale of securities.
STRATEGIC GROWTH SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. Growth stocks may perform differently
from the general stock market and can be more volatile than other types of
stocks.
STRATEGIC VALUE SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. Value stocks may perform differently
from the general stock market and can continue to be undervalued for long
periods of time and not realize their full value.
TECHNOLOGY SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. Because the portfolio's investments
are focused in a particular industry or sector, the portfolio's performance
may depend more heavily on the performance of that industry or sector and
therefore may be more volatile than the market as a whole.
VALUE SERIES
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory or economic conditions. The value of the portfolio's equity
investments will fluctuate in response to many factors including company
specific factors as well as general market conditions. Foreign investments can
be more volatile than U.S. investments. Value stocks may perform differently
from the general stock market and can continue to be undervalued for long
periods of time and not realize their full value.
When you sell shares, they may be worth more or less than the amount you paid
for them.
Please see the prospectus for further information regarding these and other
risks considerations.
EXPENSE TABLES
SERIES EXPENSES BORNE BY THE SHAREHOLDERS DURING THE PERIOD,
JULY 1, 2005 THROUGH DECEMBER 31, 2005
As a shareholder of the series, you incur ongoing costs, including management
fees; distribution (12b-1) fees; and other series expenses. This example is
intended to help you understand your ongoing costs (in dollars) of investing
in the series and to compare these costs with the ongoing costs of investing
in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of
the period and held for the entire period, July 1, 2005 through December 31,
2005.
ACTUAL EXPENSES
The first line for each share class in the following tables provides
information about actual account values and actual expenses. You may use the
information in this line, together with the amount you invested, to estimate
the expenses that you paid over the period. Simply divide your account value
by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then
multiply the result by the number in the first line under the heading entitled
"Expenses Paid During Period" to estimate the expenses you paid on your
account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each share class in the following tables provides
information about hypothetical account values and hypothetical expenses based
on the series' actual expense ratio and an assumed rate of return of 5% per
year before expenses, which is not the series' actual return. The hypothetical
account values and expenses may not be used to estimate the actual ending
account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in the series and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight the
series' ongoing costs only and do not take into account the fees and expenses
imposed under the variable contracts through which your investment in the
series is made. Therefore, the second line for each share class in the tables
is useful in comparing ongoing costs associated with an investment in vehicles
(such as the series) which fund benefits under variable annuity and variable
life insurance contracts and to qualified pension and retirement plans only,
and will not help you determine the relative total costs of investing in the
series through variable annuity and variable life insurance contracts. If the
fees and expenses imposed under the variable contracts were included, your
costs would have been higher.
Beginning Ending
Annualized Account Account Expenses Paid
CAPITAL Expense Value Value During Period (p)
OPPORTUNITIES SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.88% $1,000.00 $1,042.00 $4.53
Hypothetical (h) 0.88% $1,000.00 $1,020.77 $4.48
Service Class
Actual 1.14% $1,000.00 $1,039.80 $5.86
Hypothetical (h) 1.14% $1,000.00 $1,019.46 $5.80
Beginning Ending
Annualized Account Account Expenses Paid
CORE Expense Value Value During Period (p)
EQUITY SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.91% $1,000.00 $1,060.90 $4.73
Hypothetical (h) 0.91% $1,000.00 $1,020.62 $4.63
Service Class
Actual 1.16% $1,000.00 $1,060.40 $6.02
Hypothetical (h) 1.16% $1,000.00 $1,019.36 $5.90
Beginning Ending
Annualized Account Account Expenses Paid
Expense Value Value During Period (p)
INTERNATIONAL GROWTH SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 1.15% $1,000.00 $1,174.40 $6.30
Hypothetical (h) 1.15% $1,000.00 $1,019.41 $5.85
Service Class
Actual 1.40% $1,000.00 $1,172.50 $7.67
Hypothetical (h) 1.40% $1,000.00 $1,018.15 $7.12
Beginning Ending
Annualized Account Account Expenses Paid
MASSACHUSETTS Expense Value Value During Period (p)
INVESTORS GROWTH STOCK SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.86% $1,000.00 $1,068.90 $4.48
Hypothetical (h) 0.86% $1,000.00 $1,020.87 $4.38
Service Class
Actual 1.11% $1,000.00 $1,067.00 $5.78
Hypothetical (h) 1.11% $1,000.00 $1,019.61 $5.65
Beginning Ending
Annualized Account Account Expenses Paid
Expense Value Value During Period (p)
MID CAP VALUE SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 1.00% $1,000.00 $1,069.30 $5.22
Hypothetical (h) 1.00% $1,000.00 $1,020.16 $5.09
Service Class
Actual 1.25% $1,000.00 $1,067.80 $6.51
Hypothetical (h) 1.25% $1,000.00 $1,018.90 $6.36
Beginning Ending
Annualized Account Account Expenses Paid
Expense Value Value During Period (p)
NEW DISCOVERY SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 1.00% $1,000.00 $1,100.50 $5.29
Hypothetical (h) 1.00% $1,000.00 $1,020.16 $5.09
Service Class
Actual 1.26% $1,000.00 $1,098.30 $6.66
Hypothetical (h) 1.26% $1,000.00 $1,018.35 $6.41
Beginning Ending
Annualized Account Account Expenses Paid
RESEARCH INTERNATIONAL Expense Value Value During Period (p)
SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 1.10% $1,000.00 $1,195.70 $6.09
Hypothetical (h) 1.10% $1,000.00 $1,019.66 $5.60
Service Class
Actual 1.35% $1,000.00 $1,194.10 $7.47
Hypothetical (h) 1.35% $1,000.00 $1,018.40 $6.87
Beginning Ending
Annualized Account Account Expenses Paid
STRATEGIC Expense Value Value During Period (p)
GROWTH SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.92% $1,000.00 $1,051.60 $4.76
Hypothetical (h) 0.92% $1,000.00 $1,020.57 $4.69
Service Class
Actual 1.17% $1,000.00 $1,049.10 $6.04
Hypothetical (h) 1.17% $1,000.00 $1,019.31 $5.96
Beginning Ending
Annualized Account Account Expenses Paid
STRATEGIC Expense Value Value During Period (p)
VALUE SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.98% $1,000.00 $1,009.90 $4.96
Hypothetical (h) 0.98% $1,000.00 $1,020.27 $4.99
Service Class
Actual 1.24% $1,000.00 $1,007.90 $6.28
Hypothetical (h) 1.24% $1,000.00 $1,018.95 $6.31
Beginning Ending
Annualized Account Account Expenses Paid
Expense Value Value During Period (p)
TECHNOLOGY SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 1.00% $1,000.00 $1,137.80 $5.39
Hypothetical (h) 1.00% $1,000.00 $1,020.16 $5.09
Service Class
Actual 1.25% $1,000.00 $1,137.00 $6.73
Hypothetical (h) 1.25% $1,000.00 $1,018.90 $6.36
Beginning Ending
Annualized Account Account Expenses Paid
Expense Value Value During Period (p)
VALUE SERIES Ratio 7/1/2005 12/31/2005 7/1/05-12/31/05
- ------------------------------------------------------------------------------------------------------------
Initial Class
Actual 0.85% $1,000.00 $1,053.00 $4.40
Hypothetical (h) 0.85% $1,000.00 $1,020.92 $4.33
Service Class
Actual 1.10% $1,000.00 $1,051.90 $5.69
Hypothetical (h) 1.10% $1,000.00 $1,019.66 $5.60
(h) 5% class return per year before expenses.
(p) Expenses paid is equal to each class' annualized expense ratio, as shown above, multiplied by the average account
value over the period, multiplied by the number of days in the period, divided by the number of days in the year.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
CAPITAL OPPORTUNITIES SERIES
STOCKS -- 95.3%
Issuer Shares/Par ($) Value ($)
AEROSPACE -- 2.7%
Lockheed Martin Corp. ........................................... 35,300 $ 2,246,139
Northrop Grumman Corp. .......................................... 18,920 1,137,281
United Technologies Corp. ....................................... 40,300 2,253,173
---------------
$ 5,636,593
---------------
APPAREL MANUFACTURERS -- 1.5%
Nike, Inc., "B" ................................................. 36,180 $ 3,140,062
---------------
AUTOMOTIVE -- 0.6%
Harman International Industries, Inc. ........................... 12,710 $ 1,243,674
BANKS & CREDIT COMPANIES -- 7.8%
American Express Co. ............................................ 41,960 $ 2,159,262
Bank of America Corp. ........................................... 71,418 3,295,941
J.P. Morgan Chase & Co. ......................................... 113,260 4,495,289
PNC Financial Services Group, Inc. .............................. 68,010 4,205,058
SLM Corp. ....................................................... 41,250 2,272,463
---------------
$ 16,428,013
---------------
BIOTECHNOLOGY -- 3.0%
Amgen, Inc.(n) .................................................. 22,540 $ 1,777,504
Gen-Probe, Inc.(n) .............................................. 22,210 1,083,626
Genzyme Corp.(n) ................................................ 18,961 1,342,060
Gilead Sciences, Inc.(n) ........................................ 41,230 2,169,935
---------------
$ 6,373,125
---------------
BROADCAST & CABLE TV -- 2.9%
Grupo Televisa S.A., ADR ........................................ 11,140 $ 896,770
Viacom, Inc., "B" ............................................... 64,710 2,109,546
Walt Disney Co. ................................................. 131,290 3,147,021
---------------
$ 6,153,337
---------------
BROKERAGE & ASSET MANAGERS -- 2.6%
Affiliated Managers Group, Inc.(l)(n) ........................... 13,220 $ 1,060,905
Franklin Resources, Inc. ........................................ 11,140 1,047,271
Mellon Financial Corp. .......................................... 95,791 3,280,842
---------------
$ 5,389,018
---------------
CHEMICALS -- 1.0%
3M Co. .......................................................... 27,560 $ 2,135,900
---------------
COMPUTER SOFTWARE -- 5.0%
Microsoft Corp. ................................................. 80,418 $ 2,102,931
Oracle Corp.(n) ................................................. 339,816 4,149,153
Symantec Corp.(n) ............................................... 245,241 4,291,718
---------------
$ 10,543,802
---------------
COMPUTER SOFTWARE -- SYSTEMS -- 4.9%
Amdocs Ltd.(n) .................................................. 82,390 $ 2,265,725
CDW Corp. ....................................................... 54,450 3,134,687
Dell, Inc.(n) ................................................... 82,330 2,469,077
Sun Microsystems, Inc.(n) ....................................... 603,110 2,527,031
---------------
$ 10,396,520
---------------
CONSTRUCTION -- 1.0%
Masco Corp. ..................................................... 72,100 $ 2,176,699
---------------
CONSUMER GOODS & SERVICES -- 3.2%
Apollo Group, Inc., "A"(n) ...................................... 34,940 $ 2,112,472
Estee Lauder Cos., Inc., "A" .................................... 63,340 2,120,623
ITT Educational Services, Inc.(n) ............................... 26,940 1,592,423
Strayer Education, Inc. ......................................... 10,940 1,025,078
---------------
$ 6,850,596
---------------
CONTAINERS -- 2.1%
Owens-Illinois, Inc.(n) ......................................... 211,170 $ 4,443,017
---------------
ELECTRICAL EQUIPMENT -- 2.0%
Tyco International Ltd. ......................................... 149,075 $ 4,302,305
---------------
ELECTRONICS -- 3.9%
Intel Corp. ..................................................... 120,980 $ 3,019,661
Samsung Electronics Co. Ltd., GDR ............................... 8,120 2,675,540
SanDisk Corp.(n) ................................................ 22,210 1,395,232
Xilinx, Inc. .................................................... 48,920 1,233,273
---------------
$ 8,323,706
---------------
ENERGY -- INDEPENDENT -- 1.8%
Arch Coal, Inc.(l) .............................................. 13,770 $ 1,094,715
Devon Energy Corp. .............................................. 43,730 2,734,874
---------------
$ 3,829,589
---------------
ENERGY -- INTEGRATED -- 0.8%
Amerada Hess Corp. .............................................. 12,970 $ 1,644,855
---------------
FOOD & DRUG STORES -- 0.5%
CVS Corp. ....................................................... 36,300 $ 959,046
---------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 1.3%
Nestle S.A ...................................................... 3,628 $ 1,083,891
PepsiCo, Inc. ................................................... 28,560 1,687,325
---------------
$ 2,771,216
---------------
GAMING & LODGING -- 0.6%
Carnival Corp. .................................................. 24,070 $ 1,287,023
---------------
GENERAL MERCHANDISE -- 3.9%
Family Dollar Stores, Inc. ...................................... 88,310 $ 2,189,205
Kohl's Corp.(n) ................................................. 46,940 2,281,284
Wal-Mart Stores, Inc. ........................................... 79,640 3,727,152
---------------
$ 8,197,641
---------------
INSURANCE -- 4.6%
Ace Ltd. ........................................................ 19,680 $ 1,051,699
American International Group, Inc. .............................. 32,200 2,197,006
Berkshire Hathaway, Inc., "B"(n) ................................ 710 2,084,205
Conseco, Inc.(n) ................................................ 103,450 2,396,937
St. Paul Travelers Cos., Inc. ................................... 46,900 2,095,023
---------------
$ 9,824,870
---------------
INTERNET -- 0.5%
Yahoo!, Inc.(n) ................................................. 27,560 $ 1,079,801
---------------
LEISURE & TOYS -- 0.9%
Electronic Arts, Inc.(n) ........................................ 38,020 $ 1,988,826
---------------
MACHINERY & TOOLS -- 1.0%
Caterpillar, Inc. ............................................... 37,030 $ 2,139,223
---------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES -- 1.0%
Tenet Healthcare Corp.(l)(n) .................................... 279,340 $ 2,139,744
---------------
MEDICAL EQUIPMENT -- 4.0%
Advanced Medical Optics, Inc.(n) ................................ 50,260 $ 2,100,868
Medtronic, Inc. ................................................. 38,870 2,237,746
Millipore Corp.(n) .............................................. 25,190 1,663,548
St. Jude Medical, Inc.(n) ....................................... 26,190 1,314,738
Zimmer Holdings, Inc.(n) ........................................ 17,000 1,146,480
---------------
$ 8,463,380
---------------
METALS & MINING -- 1.5%
BHP Billiton Ltd., ADR .......................................... 66,820 $ 2,233,124
Companhia Vale do Rio Doce, ADR ................................. 24,300 999,702
---------------
$ 3,232,826
---------------
NETWORK & TELECOM -- 5.6%
Cisco Systems, Inc.(n) .......................................... 308,700 $ 5,284,944
Nokia Corp., ADR ................................................ 124,100 2,271,030
Nortel Networks Corp.(l)(n) ..................................... 1,397,080 4,275,065
---------------
$ 11,831,039
---------------
OIL SERVICES -- 3.8%
BJ Services Co. ................................................. 31,600 $ 1,158,772
GlobalSantaFe Corp. ............................................. 55,438 2,669,340
National Oilwell Varco, Inc.(n) ................................. 17,510 1,097,877
Noble Corp. ..................................................... 45,020 3,175,711
---------------
$ 8,101,700
---------------
PERSONAL COMPUTERS & PERIPHERALS -- 1.5%
EMC Corp.(n) .................................................... 155,260 $ 2,114,641
M-Systems Flash Disk Pioneers Ltd.(n) ........................... 34,200 1,132,704
---------------
$ 3,247,345
---------------
PHARMACEUTICALS -- 10.1%
Abbott Laboratories ............................................. 58,050 $ 2,288,911
Eli Lilly & Co. ................................................. 63,580 3,597,992
Johnson & Johnson ............................................... 89,110 5,355,511
Roche Holding AG ................................................ 14,300 2,144,810
Wyeth ........................................................... 173,421 7,989,505
---------------
$ 21,376,729
---------------
SPECIALTY CHEMICALS -- 1.0%
Praxair, Inc. ................................................... 41,020 $ 2,172,419
---------------
SPECIALTY STORES -- 3.2%
Aeropostale, Inc.(n) ............................................ 43,670 $ 1,148,521
CarMax, Inc.(l)(n) .............................................. 79,980 2,213,846
PETsMART, Inc. .................................................. 90,260 2,316,072
Staples, Inc. ................................................... 44,655 1,014,115
---------------
$ 6,692,554
---------------
TELECOMMUNICATIONS -- WIRELESS -- 0.2%
America Movil S.A. de C.V., "L", ADR ............................ 13,000 $ 380,380
---------------
TRUCKING -- 1.1%
FedEx Corp. ..................................................... 22,170 $ 2,292,156
---------------
UTILITIES -- ELECTRIC POWER -- 2.2%
Allegheny Energy, Inc.(n) ....................................... 38,360 $ 1,214,094
Dominion Resources, Inc. ........................................ 14,320 1,105,504
Exelon Corp. .................................................... 20,760 1,103,186
NRG Energy, Inc.(n) ............................................. 24,780 1,167,634
---------------
$ 4,590,418
---------------
Total Stocks (Identified Cost, $190,554,450) .................................. $ 201,779,147
---------------
COLLATERAL FOR SECURITIES LOANED -- 4.0%
Navigator Securities Lending Prime Portfolio, at
Cost and Net Asset Value ........................................ 8,483,649 $ 8,483,649
---------------
REPURCHASE AGREEMENT -- 4.2%
Morgan Stanley, 4.23%, dated 12/30/05, due
01/03/06, total to be received $8,886,175
(secured by various U.S. Treasury and Federal
Agency obligations in a jointly traded
account), at Cost ............................................... $ 8,882,000 $ 8,882,000
---------------
Total Investments
(Identified Cost, $207,920,099) ............................................... $ 219,144,796
---------------
OTHER ASSETS,
LESS LIABILITIES -- (3.5)% .................................................... (7,335,064)
---------------
Net Assets -- 100.0% .......................................................... $ 211,809,732
===============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
CORE EQUITY SERIES
STOCKS -- 99.1%
Issuer Shares/Par ($) Value ($)
AEROSPACE -- 2.7%
KVH Industries, Inc.(l)(n) ...................................... 19,310 $ 188,852
Lockheed Martin Corp. ........................................... 8,810 560,580
Northrop Grumman Corp. .......................................... 8,710 523,558
United Technologies Corp. ....................................... 21,020 1,175,228
---------------
$ 2,448,218
---------------
APPAREL MANUFACTURERS -- 0.2%
Columbia Sportswear Co.(l)(n) ................................... 3,590 $ 171,351
---------------
AUTOMOTIVE -- 0.7%
Harley-Davidson, Inc. ........................................... 5,790 $ 298,127
Johnson Controls, Inc. .......................................... 4,460 325,179
---------------
$ 623,306
---------------
BANKS & CREDIT COMPANIES -- 11.5%
American Express Co. ............................................ 26,370 $ 1,357,000
Bank of America Corp. ........................................... 49,958 2,305,562
Capital One Financial Corp. ..................................... 10,800 933,120
Countrywide Financial Corp. ..................................... 37,430 1,279,732
Golden West Financial Corp. ..................................... 20,240 1,335,840
PNC Financial Services Group, Inc. .............................. 12,500 772,875
SLM Corp. ....................................................... 22,190 1,222,447
SunTrust Banks, Inc. ............................................ 8,520 619,915
Zions Bancorporation ............................................ 7,420 560,655
---------------
$ 10,387,146
---------------
BIOTECHNOLOGY -- 1.5%
Amgen, Inc.(n) .................................................. 6,370 $ 502,338
Gilead Sciences, Inc.(n) ........................................ 9,320 490,512
Neurochem, Inc.(n) .............................................. 27,450 391,711
---------------
$ 1,384,561
---------------
BROADCAST & CABLE TV -- 3.1%
ADVO, Inc.(l) ................................................... 12,710 $ 358,168
Comcast Corp., "A"(n) ........................................... 6,360 165,106
Viacom, Inc., "B" ............................................... 19,230 626,898
Walt Disney Co. ................................................. 67,700 1,622,769
---------------
$ 2,772,941
---------------
BROKERAGE & ASSET MANAGERS -- 2.5%
Affiliated Managers Group, Inc.(l)(n) ........................... 2,590 $ 207,847
Franklin Resources, Inc. ........................................ 1,950 183,319
Goldman Sachs Group, Inc. ....................................... 6,470 826,284
Legg Mason, Inc. ................................................ 5,700 682,233
MarketAxess Holdings, Inc.(l)(n) ................................ 34,060 389,306
---------------
$ 2,288,989
---------------
BUSINESS SERVICES -- 2.2%
Accenture Ltd., "A" ............................................. 35,940 $ 1,037,588
Getty Images, Inc.(l)(n) ........................................ 2,510 224,068
Hewitt Associates, Inc., "A"(l)(n) .............................. 5,220 146,212
Monster Worldwide, Inc.(n) ...................................... 3,080 125,726
UAP Holding Corp. ............................................... 23,820 486,404
---------------
$ 2,019,998
---------------
CHEMICALS -- 2.4%
E.I. du Pont de Nemours & Co. ................................... 12,760 $ 542,300
Monsanto Co. .................................................... 16,720 1,296,302
Rohm & Haas Co. ................................................. 6,280 304,078
---------------
$ 2,142,680
---------------
COMPUTER SOFTWARE -- 3.3%
Adobe Systems, Inc. ............................................. 4,470 $ 165,211
MicroStrategy, Inc., "A"(n) ..................................... 11,930 987,088
Opsware, Inc.(l)(n) ............................................. 38,270 259,853
Oracle Corp.(n) ................................................. 56,270 687,057
Symantec Corp.(n) ............................................... 26,910 470,925
TIBCO Software, Inc.(n) ......................................... 57,110 426,612
---------------
$ 2,996,746
---------------
COMPUTER SOFTWARE -- SYSTEMS -- 2.5%
Apple Computer, Inc.(n) ......................................... 11,230 $ 807,325
Dell, Inc.(n) ................................................... 32,570 976,774
International Business Machines Corp. ........................... 5,460 448,812
---------------
$ 2,232,911
---------------
CONSTRUCTION -- 0.4%
Masco Corp. ..................................................... 12,380 $ 373,752
---------------
CONSUMER GOODS & SERVICES -- 2.7%
ITT Educational Services, Inc.(n) ............................... 3,500 $ 206,885
Procter & Gamble Co. ............................................ 39,443 2,282,961
---------------
$ 2,489,846
---------------
ELECTRICAL EQUIPMENT -- 4.0%
General Electric Co. ............................................ 79,470 $ 2,785,423
Rockwell Automation, Inc. ....................................... 8,810 521,200
Tyco International Ltd. ......................................... 12,500 360,750
---------------
$ 3,667,373
---------------
ELECTRONICS -- 4.5%
Analog Devices, Inc. ............................................ 950 $ 34,076
Intel Corp. ..................................................... 66,150 1,651,104
KLA-Tencor Corp. ................................................ 6,390 315,219
SanDisk Corp.(n) ................................................ 25,020 1,571,756
Varian Semiconductor Equipment
Associates, Inc.(n) ............................................. 5,160 226,679
Xilinx, Inc. .................................................... 11,070 279,075
---------------
$ 4,077,909
---------------
ENERGY -- INDEPENDENT -- 1.2%
Apache Corp. .................................................... 4,160 $ 285,043
Devon Energy Corp. .............................................. 7,470 467,174
EOG Resources, Inc. ............................................. 4,390 322,094
---------------
$ 1,074,311
---------------
ENERGY -- INTEGRATED -- 6.0%
Amerada Hess Corp. .............................................. 14,820 $ 1,879,472
Chevron Corp. ................................................... 27,340 1,552,092
Exxon Mobil Corp. ............................................... 35,146 1,974,151
---------------
$ 5,405,715
---------------
FOOD & DRUG STORES -- 0.9%
CVS Corp. ....................................................... 21,660 $ 572,257
Kroger Co.(n) ................................................... 11,260 212,589
---------------
$ 784,846
---------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 2.5%
Coca-Cola Co. ................................................... 16,360 $ 659,472
Diamond Foods, Inc. ............................................. 12,900 255,033
General Mills, Inc. ............................................. 4,570 225,392
PepsiCo, Inc. ................................................... 18,787 1,109,936
---------------
$ 2,249,833
---------------
FOREST & PAPER PRODUCTS -- 0.6%
Abitibi-Consolidated, Inc. ...................................... 124,550 $ 504,427
---------------
FURNITURE & APPLIANCES -- 0.1%
Tempur-Pedic International, Inc.(l)(n) .......................... 10,800 $ 124,200
---------------
GAMING & LODGING -- 0.8%
Carnival Corp. .................................................. 6,840 $ 365,735
Harrah's Entertainment, Inc. .................................... 1,600 114,064
WMS Industries, Inc.(l)(n) ...................................... 10,980 275,488
---------------
$ 755,287
---------------
GENERAL MERCHANDISE -- 3.6%
Kohl's Corp.(n) ................................................. 18,920 $ 919,512
Target Corp. .................................................... 20,860 1,146,674
Wal-Mart Stores, Inc. ........................................... 26,070 1,220,076
---------------
$ 3,286,262
---------------
HEALTH MAINTENANCE ORGANIZATIONS -- 1.6%
Health Net, Inc.(n) ............................................. 13,880 $ 715,514
WellPoint, Inc.(n) .............................................. 9,500 758,005
---------------
$ 1,473,519
---------------
INSURANCE -- 5.8%
Ace Ltd. ........................................................ 29,100 $ 1,555,104
Chubb Corp. ..................................................... 10,090 985,288
Conseco, Inc.(n) ................................................ 10,880 252,090
Genworth Financial, Inc., "A" ................................... 16,920 585,094
MetLife, Inc. ................................................... 6,220 304,780
St. Paul Travelers Cos., Inc. ................................... 20,940 935,390
XL Capital Ltd., "A" ............................................ 9,520 641,458
---------------
$ 5,259,204
---------------
INTERNET -- 0.9%
Yahoo!, Inc.(n) ................................................. 19,780 $ 774,980
---------------
LEISURE & TOYS -- 0.3%
Electronic Arts, Inc.(n) ........................................ 3,380 $ 176,808
Hasbro, Inc. .................................................... 3,130 63,163
Mattel, Inc. .................................................... 3,670 58,059
---------------
$ 298,030
---------------
MACHINERY & TOOLS -- 0.7%
Caterpillar, Inc. ............................................... 5,700 $ 329,289
Illinois Tool Works, Inc. ....................................... 3,970 349,320
---------------
$ 678,609
---------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES -- 0.6%
Allion Healthcare, Inc.(l)(n) ................................... 9,300 $ 108,345
Emageon, Inc.(l)(n) ............................................. 9,850 156,615
HealthSouth Corp.(l)(n) ......................................... 64,870 317,863
---------------
$ 582,823
---------------
MEDICAL EQUIPMENT -- 2.0%
Aspect Medical Systems, Inc.(l)(n) .............................. 3,430 $ 117,820
C.R. Bard, Inc. ................................................. 7,860 518,131
Millipore Corp.(n) .............................................. 3,540 233,782
NeuroMetrix, Inc.(l)(n) ......................................... 3,200 87,296
St. Jude Medical, Inc.(n) ....................................... 8,700 436,740
Zimmer Holdings, Inc.(n) ........................................ 6,810 459,266
---------------
$ 1,853,035
---------------
METALS & MINING -- 0.8%
Aber Diamond Corp. .............................................. 4,210 $ 155,536
Companhia Vale do Rio Doce, ADR ................................. 13,970 574,726
---------------
$ 730,262
---------------
NATURAL GAS -- DISTRIBUTION -- 0.5%
Sempra Energy ................................................... 10,770 $ 482,927
---------------
NETWORK & TELECOM -- 2.0%
Cisco Systems, Inc.(n) .......................................... 31,230 $ 534,658
Corning, Inc.(n) ................................................ 32,310 635,215
Juniper Networks, Inc.(n) ....................................... 13,160 293,468
Research In Motion Ltd.(n) ...................................... 5,390 355,794
---------------
$ 1,819,135
---------------
OIL SERVICES -- 1.7%
GlobalSantaFe Corp. ............................................. 10,280 $ 494,982
Hercules Offshore, Inc.(n) ...................................... 6,390 181,540
National Oilwell Varco, Inc.(n) ................................. 5,270 330,429
Noble Corp. ..................................................... 5,190 366,103
Schlumberger Ltd. ............................................... 2,050 199,157
---------------
$ 1,572,211
---------------
PERSONAL COMPUTERS & PERIPHERALS -- 1.7%
EMC Corp.(n) .................................................... 65,680 $ 894,562
M-Systems Flash Disk Pioneers Ltd.(l)(n) ........................ 7,460 247,075
Network Appliance, Inc.(n) ...................................... 15,300 413,100
---------------
$ 1,554,737
---------------
PHARMACEUTICALS -- 6.5%
Abbott Laboratories ............................................. 21,020 $ 828,818
Allergan, Inc. .................................................. 5,540 598,098
Eli Lilly & Co. ................................................. 22,420 1,268,748
Johnson & Johnson ............................................... 18,300 1,099,830
Wyeth ........................................................... 45,290 2,086,510
---------------
$ 5,882,004
---------------
POLLUTION CONTROL -- 0.2%
Waste Management, Inc. .......................................... 4,840 $ 146,894
---------------
PRINTING & PUBLISHING -- 0.3%
Washington Post Co., "B" ........................................ 360 $ 275,400
---------------
RAILROAD & SHIPPING -- 1.1%
Norfolk Southern Corp. .......................................... 21,620 $ 969,225
---------------
REAL ESTATE -- 0.6%
Boston Properties, Inc. ......................................... 6,950 $ 515,203
---------------
RESTAURANTS -- 0.9%
Outback Steakhouse, Inc.(l) ..................................... 10,430 $ 433,992
Rare Hospitality International, Inc.(n) ......................... 11,150 338,848
---------------
$ 772,840
---------------
SPECIALTY CHEMICALS -- 1.1%
Praxair, Inc. ................................................... 18,470 $ 978,171
---------------
SPECIALTY STORES -- 1.0%
PETsMART, Inc. .................................................. 29,250 $ 750,555
Restoration Hardware, Inc.(l)(n) ................................ 33,140 199,503
---------------
$ 950,058
---------------
TELECOMMUNICATIONS -- WIRELESS -- 0.7%
America Movil S.A. de C.V., "L", ADR ............................ 4,610 $ 134,889
Vodafone Group PLC, ADR ......................................... 23,876 512,618
---------------
$ 647,507
---------------
TELEPHONE SERVICES -- 2.2%
CenturyTel, Inc.(l) ............................................. 8,510 $ 282,192
Sprint Nextel Corp. ............................................. 57,580 1,345,069
Syniverse Holdings, Inc.(l)(n) .................................. 16,360 341,924
---------------
$ 1,969,185
---------------
TOBACCO -- 2.2%
Altria Group, Inc. .............................................. 26,520 $ 1,981,574
---------------
TRUCKING -- 0.6%
CNF, Inc. ....................................................... 10,390 $ 580,697
---------------
UTILITIES -- ELECTRIC POWER -- 3.2%
AES Corp.(n) .................................................... 29,660 $ 469,518
CMS Energy Corp.(l)(n) .......................................... 32,260 468,093
Constellation Energy Group, Inc. ................................ 4,370 251,712
Exelon Corp. .................................................... 9,040 480,386
NRG Energy, Inc.(l)(n) .......................................... 9,690 456,593
PPL Corp. ....................................................... 8,830 259,602
TXU Corp. ....................................................... 10,780 541,048
---------------
$ 2,926,952
---------------
Total Stocks (Identified Cost, $78,858,245) ................................... $ 89,937,790
---------------
COLLATERAL FOR SECURITIES LOANED -- 5.6%
Navigator Securities Lending Prime Portfolio, at
Cost and Net Asset Value ........................................ 5,053,618 $ 5,053,618
---------------
Total Investments (Identified Cost, $83,911,863) .............................. $ 94,991,408
---------------
OTHER ASSETS,
LESS LIABILITIES -- (4.7)% ...................................... (4,291,291)
---------------
Net Assets -- 100.0% ............................................ $ 90,700,117
===============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
INTERNATIONAL GROWTH SERIES
STOCKS -- 98.4%
Issuer Shares/Par ($) Value ($)
AIRLINES -- 0.4%
Grupo Aeroportuario del Sureste,
S.A. de C.V., ADR ............................................... 15,580 $ 503,857
---------------
ALCOHOLIC BEVERAGES -- 1.0%
Pernod Ricard S.A.(l) ........................................... 8,030 $ 1,400,106
---------------
APPAREL MANUFACTURERS -- 1.8%
Burberry Group PLC .............................................. 109,960 $ 812,248
LVMH Moet Hennessy Louis Vuitton S.A ............................ 19,830 1,760,441
---------------
$ 2,572,689
---------------
AUTOMOTIVE -- 2.6%
Autoliv, Inc.(l) ................................................ 23,950 $ 1,081,291
Kongsberg Automotive A.S.A.(n) .................................. 87,120 621,853
Toyota Motor Corp. .............................................. 37,100 1,923,925
---------------
$ 3,627,069
---------------
BANKS & CREDIT COMPANIES -- 18.8%
AEON Credit Service Co. Ltd. .................................... 27,200 $ 2,572,148
Aiful Corp. ..................................................... 20,150 1,681,799
Akbank T.A.S .................................................... 100,330 817,958
Anglo Irish Bank Corp. PLC ...................................... 96,310 1,460,520
Banco Nossa Caixa S.A ........................................... 8,380 125,091
Bancolombia S.A., ADR ........................................... 15,310 441,387
Bank Rakyat Indonesia ........................................... 4,243,000 1,305,704
China Construction Bank(n) ...................................... 2,249,000 775,907
Close Brothers Group PLC ........................................ 56,130 875,548
DEPFA Bank PLC .................................................. 55,710 823,083
Erste Bank der Oesterreichischen Sparkassen AG .................. 25,750 1,427,762
Housing Development Finance Corp. Ltd. .......................... 100,960 2,710,516
OTP Bank Ltd., GDR .............................................. 18,710 1,227,376
Powszechna Kasa Oszczednosci Bank Polski S.A .................... 123,010 1,097,459
Raiffeisen International Bank Holding AG(n) ..................... 6,500 425,723
Shinsei Bank Ltd. ............................................... 115,000 664,577
St. George Bank Ltd. ............................................ 35,390 770,351
Standard Chartered PLC .......................................... 64,470 1,435,045
Takefuji Corp. .................................................. 10,550 716,057
Turkiye Vakiflar Bankasi T.A.O .................................. 155,250 822,707
UBS AG .......................................................... 26,648 2,534,239
UniCredito Italiano S.p.A ....................................... 234,360 1,613,446
---------------
$ 26,324,403
---------------
BROADCAST & CABLE TV -- 4.8%
Astro All Asia Networks PLC ..................................... 447,000 $ 620,915
Grupo Televisa S.A., ADR ........................................ 31,200 2,511,600
Nippon Television Network Corp.(l) .............................. 4,630 711,282
Pages Jaunes S.A ................................................ 53,700 1,396,843
WPP Group PLC ................................................... 142,980 1,545,839
---------------
$ 6,786,479
---------------
BROKERAGE & ASSET MANAGERS -- 2.7%
Jafco Co. Ltd. .................................................. 14,100 $ 1,258,086
Julius Baer Holding Ltd. ........................................ 16,030 1,134,511
Schroders PLC ................................................... 41,150 671,942
Van Lanschot N.V ................................................ 10,170 780,753
---------------
$ 3,845,292
---------------
BUSINESS SERVICES -- 1.1%
Infosys Technologies Ltd. ....................................... 23,130 $ 1,539,601
---------------
CONSTRUCTION -- 2.5%
CEMEX S.A. de C.V., ADR ......................................... 26,512 $ 1,572,957
Cyrela Brazil Realty S.A Empreendimentos e Participacoes ........ 31,500 431,138
Geberit AG ...................................................... 1,150 909,195
Wienerberger AG ................................................. 15,810 629,023
---------------
$ 3,542,313
---------------
CONSUMER GOODS & SERVICES -- 3.7%
AmorePacific Corp. .............................................. 3,200 $ 1,003,672
L'Oreal S.A.(l) ................................................. 15,030 1,116,520
Natura Cosmeticos S.A ........................................... 7,840 345,322
Reckitt Benckiser PLC ........................................... 81,960 2,704,839
---------------
$ 5,170,353
---------------
ELECTRICAL EQUIPMENT -- 2.8%
Keyence Corp. ................................................... 3,600 $ 1,023,429
Nitto Denko Corp. ............................................... 20,200 1,573,003
Schneider Electric S.A.(l) ...................................... 14,790 1,318,255
---------------
$ 3,914,687
---------------
ELECTRONICS -- 9.7%
Canon, Inc.(l) .................................................. 25,000 $ 1,461,679
Murata Manufacturing Co. Ltd. ................................... 12,500 800,746
Nippon Electric Glass Co. Ltd. .................................. 51,000 1,112,782
Ricoh Co. Ltd. .................................................. 76,000 1,329,831
Royal Philips Electronics N.V ................................... 56,890 1,766,499
Samsung Electronics Co. Ltd. .................................... 7,640 4,937,728
Taiwan Semiconductor Manufacturing Co. Ltd., ADR ................ 143,800 1,425,058
USHIO America, Inc.(l) .......................................... 31,000 723,679
---------------
$ 13,558,002
---------------
ENERGY -- INDEPENDENT -- 4.8%
Canadian Natural Resources Ltd. ................................. 13,820 $ 684,762
CNOOC Ltd. ...................................................... 2,042,000 1,356,312
EnCana Corp. .................................................... 24,360 1,100,818
Norsk Hydro A.S.A ............................................... 6,110 627,043
Reliance Industries Ltd. ........................................ 73,900 1,459,277
Talisman Energy, Inc. ........................................... 28,430 1,505,707
---------------
$ 6,733,919
---------------
ENERGY -- INTEGRATED -- 3.2%
BP PLC .......................................................... 171,737 $ 1,827,228
TOTAL S.A.(l) ................................................... 10,720 2,690,842
---------------
$ 4,518,070
---------------
FOOD & DRUG STORES -- 1.4%
Tesco PLC ....................................................... 335,620 $ 1,912,360
---------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 3.5%
Coca-Cola Hellenic Bottling Co. S.A ............................. 30,800 $ 906,461
Groupe Danone(l) ................................................ 13,110 1,368,565
Nestle S.A ...................................................... 8,989 2,685,527
---------------
$ 4,960,553
---------------
GAMING & LODGING -- 1.4%
Hilton Group PLC ................................................ 179,630 $ 1,122,332
William Hill Organization Ltd. .................................. 96,700 890,070
---------------
$ 2,012,402
---------------
INSURANCE -- 0.5%
Ace Ltd. ........................................................ 13,410 $ 716,630
---------------
INTERNET -- 0.1%
Universo Online S.A., IPS(n) .................................... 22,300 $ 187,900
---------------
MACHINERY & TOOLS -- 0.9%
Sandvik AB ...................................................... 27,200 $ 1,265,649
---------------
MEDICAL EQUIPMENT -- 2.2%
Smith & Nephew PLC .............................................. 132,680 $ 1,221,246
Straumann Holding AG(l) ......................................... 3,730 863,419
Synthes, Inc. ................................................... 9,430 1,058,093
---------------
$ 3,142,758
---------------
METALS & MINING -- 3.3%
Aber Diamond Corp.(a) ........................................... 20,830 $ 769,551
Aber Diamond Corp. .............................................. 9,570 353,558
BHP Billiton Ltd. ............................................... 103,510 1,728,227
Companhia Vale do Rio Doce, ADR ................................. 44,060 1,812,628
---------------
$ 4,663,964
---------------
NETWORK & TELECOM -- 1.0%
CSR PLC(n) ...................................................... 84,040 $ 1,352,073
---------------
PHARMACEUTICALS -- 9.0%
AstraZeneca PLC ................................................. 48,630 $ 2,364,697
GlaxoSmithKline PLC ............................................. 135,320 3,416,819
Roche Holding AG ................................................ 21,260 3,188,717
Sanofi-Aventis .................................................. 24,880 2,177,861
Teva Pharmaceutical Industries Ltd., ADR(l) ..................... 33,260 1,430,513
---------------
$ 12,578,607
---------------
PRINTING & PUBLISHING -- 1.1%
Yell Group PLC .................................................. 164,510 $ 1,517,051
---------------
SPECIALTY CHEMICALS -- 2.5%
Asahi Glass Co. Ltd.(l) ......................................... 67,000 $ 864,644
Kaneka Corp. .................................................... 79,000 953,904
L'Air Liquide S.A., Bearer Shares(l) ............................ 8,773 1,686,357
---------------
$ 3,504,905
---------------
SPECIALTY STORES -- 3.0%
Esprit Holdings Ltd. ............................................ 113,500 $ 806,574
Industria de Diseno Textil S.A.(l) .............................. 28,840 939,864
NEXT PLC ........................................................ 35,740 942,977
Nishimatsuya Chain Co. Ltd. ..................................... 19,600 901,818
Submarino S.A.(n) ............................................... 35,020 621,612
---------------
$ 4,212,845
---------------
TELECOMMUNICATIONS -- WIRELESS -- 5.3%
America Movil S.A. de C.V., "L", ADR ............................ 23,290 $ 681,465
Mobile TeleSystems OJSC, ADR .................................... 19,000 665,000
MTN Group Ltd. .................................................. 93,380 915,562
Turkcell Iletisim Hizmetleri A.S., ADR .......................... 78,000 1,198,080
Vodafone Group PLC .............................................. 1,868,700 4,031,081
---------------
$ 7,491,188
---------------
TELEPHONE SERVICES -- 1.5%
FastWeb S.p.A ................................................... 20,960 $ 957,032
Telenor A.S.A ................................................... 117,340 1,151,210
---------------
$ 2,108,242
---------------
UTILITIES -- ELECTRIC POWER -- 1.8%
Iberdrola S.A.(l) ............................................... 39,610 $ 1,081,874
Suez S.A.(l) .................................................... 44,697 1,390,539
---------------
$ 2,472,413
---------------
Total Stocks (Identified Cost, $110,503,218) .................................. $ 138,136,380
---------------
SHORT-TERM OBLIGATION -- 2.7%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) .............................. $ 3,783,000 $ 3,782,117
---------------
COLLATERAL FOR SECURITIES LOANED -- 12.2%
Navigator Securities Lending Prime Portfolio, at
Cost and Net Asset Value ........................................ 17,133,606 $ 17,133,606
---------------
Total Investments
(Identified Cost, $131,418,941) (k) ........................................... $ 159,052,103
---------------
OTHER ASSETS,
LESS LIABILITIES -- (13.3)% ................................................... (18,616,067)
---------------
Net Assets -- 100.0% .......................................................... $ 140,436,036
===============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
MASSACHUSETTS INVESTORS GROWTH STOCK SERIES
STOCKS -- 95.0%
Issuer Shares/Par ($) Value ($)
AEROSPACE -- 1.2%
Northrop Grumman Corp. .......................................... 21,450 $ 1,289,357
United Technologies Corp. ....................................... 79,870 4,465,530
---------------
$ 5,754,887
---------------
APPAREL MANUFACTURERS -- 1.7%
Cintas Corp.(l) ................................................. 54,320 $ 2,236,898
Nike, Inc., "B" ................................................. 70,860 6,149,939
---------------
$ 8,386,837
---------------
AUTOMOTIVE -- 0.8%
Harman International Industries, Inc.(l) ........................ 42,500 $ 4,158,625
---------------
BANKS & CREDIT COMPANIES -- 3.5%
American Express Co. ............................................ 103,610 $ 5,331,771
SLM Corp. ....................................................... 148,420 8,176,458
UBS AG .......................................................... 33,925 3,226,286
UBS AG .......................................................... 1,780 169,367
---------------
$ 16,903,882
---------------
BIOTECHNOLOGY -- 5.0%
Amgen, Inc.(n) .................................................. 98,530 $ 7,770,076
Genzyme Corp.(n) ................................................ 99,890 7,070,214
Gilead Sciences, Inc.(n) ........................................ 181,770 9,566,555
---------------
$ 24,406,845
---------------
BROADCAST & CABLE TV -- 1.6%
Grupo Televisa S.A., ADR ........................................ 42,520 $ 3,422,860
Univision Communications, Inc., "A"(n) .......................... 93,220 2,739,736
Walt Disney Co. ................................................. 70,900 1,699,473
---------------
$ 7,862,069
---------------
BROKERAGE & ASSET MANAGERS -- 1.7%
Chicago Mercantile Exchange Holdings, Inc. ...................... 6,460 $ 2,373,985
Franklin Resources, Inc. ........................................ 13,150 1,236,232
Merrill Lynch & Co., Inc. ....................................... 20,730 1,404,043
Morgan Stanley .................................................. 54,600 3,098,004
---------------
$ 8,112,264
---------------
BUSINESS SERVICES -- 0.9%
Accenture Ltd., "A"(l) .......................................... 42,250 $ 1,219,758
Getty Images, Inc.(l)(n) ........................................ 16,290 1,454,208
Infosys Technologies Ltd., ADR(l) ............................... 23,960 1,937,406
---------------
$ 4,611,372
---------------
CHEMICALS -- 1.3%
3M Co. .......................................................... 39,990 $ 3,099,225
Monsanto Co. .................................................... 40,800 3,163,224
---------------
$ 6,262,449
---------------
COMPUTER SOFTWARE -- 5.9%
Adobe Systems, Inc. ............................................. 189,726 $ 7,012,273
Microsoft Corp. ................................................. 389,024 10,172,978
Oracle Corp.(n) ................................................. 757,950 9,254,570
Symantec Corp.(n) ............................................... 123,933 2,168,828
---------------
$ 28,608,649
---------------
COMPUTER SOFTWARE -- SYSTEMS -- 4.4%
Amdocs Ltd.(n) .................................................. 265,990 $ 7,314,725
Apple Computer, Inc.(n) ......................................... 36,940 2,655,617
Dell, Inc.(n) ................................................... 304,114 9,120,379
LG Philips LCD Co. Ltd., ADR(n) ................................. 98,340 2,110,376
---------------
$ 21,201,097
---------------
CONSUMER GOODS & SERVICES -- 1.3%
Colgate-Palmolive Co. ........................................... 69,800 $ 3,828,530
Procter & Gamble Co. ............................................ 44,581 2,580,348
---------------
$ 6,408,878
---------------
ELECTRICAL EQUIPMENT -- 1.9%
Cooper Industries Ltd., "A" ..................................... 16,470 $ 1,202,310
Danaher Corp.(l) ................................................ 2,600 145,028
General Electric Co. ............................................ 164,496 5,765,585
Tyco International Ltd. ......................................... 71,160 2,053,678
---------------
$ 9,166,601
---------------
ELECTRONICS -- 8.8%
Analog Devices, Inc. ............................................ 102,510 $ 3,677,034
Applied Materials, Inc. ......................................... 157,330 2,822,500
Intel Corp. ..................................................... 449,600 11,222,016
Marvell Technology Group Ltd.(n) ................................ 56,400 3,163,476
Samsung Electronics Co. Ltd. .................................... 2,440 1,576,971
Samsung Electronics Co. Ltd., GDR ............................... 19,930 6,566,935
SanDisk Corp.(n) ................................................ 90,750 5,700,915
Taiwan Semiconductor Manufacturing Co. Ltd.,
ADR(l) .......................................................... 207,364 2,054,977
Texas Instruments, Inc. ......................................... 30,380 974,287
Xilinx, Inc. .................................................... 190,770 4,809,312
---------------
$ 42,568,423
---------------
ENERGY -- INDEPENDENT -- 0.1%
Newfield Exploration Co.(n) ..................................... 9,900 $ 495,693
---------------
ENERGY -- INTEGRATED -- 0.1%
Amerada Hess Corp. .............................................. 5,200 $ 659,464
---------------
FOOD & DRUG STORES -- 0.5%
CVS Corp. ....................................................... 85,570 $ 2,260,759
---------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 2.0%
Kellogg Co. ..................................................... 22,600 $ 976,772
Nestle S.A ...................................................... 6,037 1,803,596
PepsiCo, Inc. ................................................... 119,260 7,045,881
---------------
$ 9,826,249
---------------
GAMING & LODGING -- 2.8%
Carnival Corp. .................................................. 108,860 $ 5,820,744
Harrah's Entertainment, Inc. .................................... 44,300 3,158,147
Las Vegas Sands Corp.(l)(n) ..................................... 22,190 875,839
Starwood Hotels & Resorts Worldwide, Inc. ....................... 62,600 3,997,636
---------------
$ 13,852,366
---------------
GENERAL MERCHANDISE -- 4.6%
Kohl's Corp.(n) ................................................. 136,380 $ 6,628,068
Target Corp. .................................................... 94,980 5,221,051
Wal-Mart Stores, Inc. ........................................... 219,800 10,286,640
---------------
$ 22,135,759
---------------
HEALTH MAINTENANCE ORGANIZATIONS -- 1.9%
UnitedHealth Group, Inc. ........................................ 116,690 $ 7,251,117
WellPoint, Inc.(n) .............................................. 25,500 2,034,645
---------------
$ 9,285,762
---------------
INSURANCE -- 2.7%
Ace Ltd. ........................................................ 63,820 $ 3,410,541
American International Group, Inc. .............................. 144,060 9,829,214
---------------
$ 13,239,755
---------------
INTERNET -- 2.7%
Google, Inc., "A"(n) ............................................ 24,220 $ 10,047,909
Yahoo!, Inc.(n) ................................................. 73,030 2,861,315
---------------
$ 12,909,224
---------------
LEISURE & TOYS -- 1.1%
Electronic Arts, Inc.(n) ........................................ 102,710 $ 5,372,760
---------------
MACHINERY & TOOLS -- 0.7%
Caterpillar, Inc. ............................................... 43,500 $ 2,512,995
Illinois Tool Works, Inc. ....................................... 11,670 1,026,843
---------------
$ 3,539,838
---------------
MEDICAL EQUIPMENT -- 4.9%
Advanced Medical Optics, Inc.(n) ................................ 129,070 $ 5,395,126
Alcon, Inc. ..................................................... 19,600 2,540,160
DENTSPLY International, Inc. .................................... 41,300 2,217,397
Medtronic, Inc. ................................................. 93,620 5,389,703
St. Jude Medical, Inc.(n) ....................................... 136,130 6,833,726
Zimmer Holdings, Inc.(n) ........................................ 17,950 1,210,548
---------------
$ 23,586,660
---------------
METALS & MINING -- 0.4%
BHP Billiton Ltd., ADR(l) ....................................... 53,040 $ 1,772,597
---------------
NETWORK & TELECOM -- 7.7%
Cisco Systems, Inc.(n) .......................................... 822,607 $ 14,083,032
Corning, Inc.(n) ................................................ 332,100 6,529,086
Juniper Networks, Inc.(n) ....................................... 156,200 3,483,260
Nokia Corp., ADR ................................................ 173,270 3,170,841
QUALCOMM, Inc. .................................................. 232,310 10,007,915
---------------
$ 37,274,134
---------------
OIL SERVICES -- 2.1%
GlobalSantaFe Corp. ............................................. 58,930 $ 2,837,480
Noble Corp. ..................................................... 28,750 2,028,025
Smith International, Inc. ....................................... 53,100 1,970,541
Weatherford International Ltd.(n) ............................... 92,200 3,337,640
---------------
$ 10,173,686
---------------
PERSONAL COMPUTERS & PERIPHERALS -- 2.7%
EMC Corp.(n) .................................................... 789,290 $ 10,750,130
Network Appliance, Inc.(l)(n) ................................... 79,350 2,142,450
---------------
$ 12,892,580
---------------
PHARMACEUTICALS -- 10.8%
Abbott Laboratories ............................................. 82,410 $ 3,249,426
Allergan, Inc. .................................................. 29,830 3,220,447
Eli Lilly & Co. ................................................. 130,360 7,377,072
Johnson & Johnson ............................................... 183,490 11,027,749
Roche Holding AG ................................................ 54,990 8,247,768
Teva Pharmaceutical Industries Ltd., ADR(l) ..................... 147,930 6,362,469
Wyeth ........................................................... 283,270 13,050,249
---------------
$ 52,535,180
---------------
RAILROAD & SHIPPING -- 0.6%
Norfolk Southern Corp. .......................................... 60,800 $ 2,725,664
---------------
RESTAURANTS -- 0.2%
P.F. Chang's China Bistro, Inc.(l)(n) ........................... 20,200 $ 1,002,526
---------------
SPECIALTY CHEMICALS -- 0.8%
Praxair, Inc. ................................................... 69,670 $ 3,689,723
---------------
SPECIALTY STORES -- 3.6%
Home Depot, Inc. ................................................ 126,520 $ 5,121,530
Lowe's Cos., Inc. ............................................... 43,200 2,879,712
PETsMART, Inc. .................................................. 80,540 2,066,656
Staples, Inc. ................................................... 132,800 3,015,888
Williams-Sonoma, Inc.(n) ........................................ 97,800 4,220,070
---------------
$ 17,303,856
---------------
TELECOMMUNICATIONS -- WIRELESS -- 0.7%
America Movil S.A. de C.V., "L", ADR(l) ......................... 109,460 $ 3,202,800
---------------
TRUCKING -- 1.3%
FedEx Corp. ..................................................... 63,330 $ 6,547,689
---------------
Total Stocks (Identified Cost, $446,285,060) .................................. $ 460,697,602
---------------
REPURCHASE AGREEMENT -- 4.9%
Morgan Stanley Repurchase Agreement, 4.23%,
dated 12/30/05, due 01/03/06, total to be
received $23,631,101 (secured by various U.S.
Treasury and Federal Agency obligations in a
jointly traded account), at Cost ................................ $ 23,620,000 $ 23,620,000
---------------
COLLATERAL FOR SECURITIES LOANED -- 4.0%
Navigator Securities Lending Prime Portfolio, at
Cost and Net Asset Value ........................................ 19,662,902 $ 19,662,902
---------------
Total Investments
(Identified Cost, $489,567,962) (k) ........................................... $ 503,980,504
---------------
OTHER ASSETS,
LESS LIABILITIES -- (3.9)% .................................................... (18,884,273)
---------------
Net Assets -- 100.0% .......................................................... $ 485,096,231
===============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
MID CAP VALUE SERIES
STOCKS -- 97.6%
Issuer Shares/Par ($) Value ($)
APPAREL MANUFACTURERS -- 0.8%
Columbia Sportswear Co.(n) ...................................... 4,360 $ 208,103
---------------
AUTOMOTIVE -- 1.0%
Johnson Controls, Inc. .......................................... 3,500 $ 255,185
---------------
BANKS & CREDIT COMPANIES -- 13.6%
Assured Guaranty Ltd. ........................................... 8,820 $ 223,940
Compass Bancshares, Inc. ........................................ 6,100 294,569
First Horizon National Corp. .................................... 7,460 286,762
Investors Financial Services Corp. .............................. 13,470 496,100
Mercantile Bankshares Corp. ..................................... 5,260 296,874
North Fork Bancorporation, Inc. ................................. 15,730 430,373
PNC Financial Services Group, Inc. .............................. 8,160 504,533
Sovereign Bancorp, Inc. ......................................... 19,230 415,753
TCF Financial Corp. ............................................. 9,630 261,358
Zions Bancorporation ............................................ 4,360 329,442
---------------
$ 3,539,704
---------------
BROADCAST & CABLE TV -- 0.9%
ADVO, Inc. ...................................................... 8,760 $ 246,857
---------------
BROKERAGE & ASSET MANAGERS -- 3.2%
Bear Stearns Cos., Inc. ......................................... 1,800 $ 207,954
Mellon Financial Corp. .......................................... 10,620 363,735
Waddell & Reed Financial, Inc., "A" ............................. 12,200 255,834
---------------
$ 827,523
---------------
CHEMICALS -- 2.3%
Nalco Holding Co.(n) ............................................ 22,980 $ 406,976
Scotts Miracle-Gro Co. .......................................... 4,500 203,580
---------------
$ 610,556
---------------
COMPUTER SOFTWARE -- 3.0%
Check Point Software Technologies Ltd.(n) ....................... 8,730 $ 175,473
Compuware Corp.(n) .............................................. 35,120 315,026
TIBCO Software, Inc.(n) ......................................... 38,640 288,641
---------------
$ 779,140
---------------
COMPUTER SOFTWARE -- SYSTEMS -- 1.4%
Sun Microsystems, Inc.(n) ....................................... 86,820 $ 363,776
---------------
CONSTRUCTION -- 2.9%
D.R. Horton, Inc. ............................................... 10,500 $ 375,165
Headwaters, Inc.(n) ............................................. 5,690 201,654
Pulte Homes, Inc. ............................................... 4,340 170,822
---------------
$ 747,641
---------------
CONSUMER GOODS & SERVICES -- 1.6%
Estee Lauder Cos., Inc., "A" .................................... 12,400 $ 415,152
---------------
CONTAINERS -- 4.3%
Owens-Illinois, Inc.(n) ......................................... 32,420 $ 682,117
Smurfit-Stone Container Corp.(n) ................................ 31,270 443,096
---------------
$ 1,125,213
---------------
ELECTRICAL EQUIPMENT -- 2.7%
Hubbell, Inc., "B" .............................................. 5,300 $ 239,136
MSC Industrial Direct Co., Inc., "A" ............................ 3,520 141,574
W.W. Grainger, Inc. ............................................. 4,640 329,904
---------------
$ 710,614
---------------
ELECTRONICS -- 3.2%
Cypress Semiconductor Corp.(n) .................................. 13,800 $ 196,650
Novellus Systems, Inc.(n) ....................................... 14,000 337,680
SanDisk Corp.(n) ................................................ 4,600 288,972
---------------
$ 823,302
---------------
ENERGY -- INDEPENDENT -- 6.4%
Devon Energy Corp. .............................................. 7,000 $ 437,780
Newfield Exploration Co.(n) ..................................... 6,300 315,441
Noble Energy, Inc. .............................................. 10,520 423,956
Riata Energy, Inc.(a)(n) ........................................ 17,600 268,400
Rosetta Resources, Inc.(a)(n) ................................... 11,600 208,800
---------------
$ 1,654,377
---------------
ENERGY -- INTEGRATED -- 1.7%
Amerada Hess Corp. .............................................. 3,500 $ 443,870
---------------
FOOD & DRUG STORES -- 0.8%
Kroger Co.(n) ................................................... 10,380 $ 195,974
---------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 0.2%
Diamond Foods, Inc. ............................................. 2,800 $ 55,356
---------------
FOREST & PAPER PRODUCTS -- 2.3%
Bowater, Inc. ................................................... 19,390 $ 595,661
---------------
FURNITURE & APPLIANCES -- 2.1%
Tempur-Pedic International, Inc.(n) ............................. 17,810 $ 204,815
Tupperware Brands Corp. ......................................... 15,800 353,920
---------------
$ 558,735
---------------
GENERAL MERCHANDISE -- 1.0%
Family Dollar Stores, Inc. ...................................... 10,560 $ 261,782
---------------
HEALTH MAINTENANCE ORGANIZATIONS -- 2.6%
CIGNA Corp. ..................................................... 3,520 $ 393,184
Health Net, Inc.(n) ............................................. 5,300 273,215
---------------
$ 666,399
---------------
INSURANCE -- 7.4%
Conseco, Inc.(n) ................................................ 12,320 $ 285,454
Endurance Specialty Holdings Ltd. ............................... 10,690 383,237
Genworth Financial, Inc., "A" ................................... 11,300 390,754
MGIC Investment Corp. ........................................... 6,100 401,502
PartnerRe Ltd. .................................................. 3,500 229,845
XL Capital Ltd., "A" ............................................ 3,500 235,830
---------------
$ 1,926,622
---------------
LEISURE & TOYS -- 0.9%
Hasbro, Inc. .................................................... 12,170 $ 245,591
---------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES -- 2.8%
HealthSouth Corp.(n) ............................................ 67,000 $ 328,300
Tenet Healthcare Corp.(n) ....................................... 53,240 407,818
---------------
$ 736,118
---------------
MEDICAL EQUIPMENT -- 1.3%
Advanced Medical Optics, Inc.(n) ................................ 7,900 $ 330,220
---------------
NATURAL GAS -- DISTRIBUTION -- 0.9%
Energen Corp. ................................................... 1,500 $ 54,480
Sempra Energy ................................................... 4,270 191,467
---------------
$ 245,947
---------------
OIL SERVICES -- 5.7%
BJ Services Co. ................................................. 12,100 $ 443,707
GlobalSantaFe Corp. ............................................. 12,260 590,319
Pride International, Inc.(n) .................................... 8,750 269,063
Smith International, Inc. ....................................... 5,200 192,972
---------------
$ 1,496,061
---------------
PRINTING & PUBLISHING -- 2.0%
Lee Enterprises, Inc. ........................................... 6,650 $ 245,452
Washington Post Co., "B" ........................................ 350 267,750
---------------
$ 513,202
---------------
RAILROAD & SHIPPING -- 2.5%
Aries Maritime Transport Ltd. ................................... 7,810 $ 101,764
Norfolk Southern Corp. .......................................... 7,000 313,810
Overseas Shipholding Group, Inc. ................................ 4,400 221,716
---------------
$ 637,290
---------------
REAL ESTATE -- 2.0%
Mills Corp. ..................................................... 6,700 $ 280,998
Republic Property Trust(n) ...................................... 16,400 196,800
Trustreet Properties, Inc. ...................................... 3,540 51,755
---------------
$ 529,553
---------------
RESTAURANTS -- 0.9%
Outback Steakhouse, Inc. ........................................ 5,330 $ 221,781
---------------
SPECIALTY CHEMICALS -- 0.8%
Lyondell Chemical Co. ........................................... 8,720 $ 207,710
---------------
SPECIALTY STORES -- 4.7%
Aeropostale, Inc.(n) ............................................ 10,500 $ 276,150
OfficeMax, Inc. ................................................. 5,270 133,647
PETsMART, Inc. .................................................. 17,600 451,616
Regis Corp. ..................................................... 5,200 200,564
TJX Cos., Inc. .................................................. 7,000 162,610
---------------
$ 1,224,587
---------------
TELEPHONE SERVICES -- 1.2%
CenturyTel, Inc. ................................................ 5,270 $ 174,753
IDT Corp., "B"(n) ............................................... 12,720 148,824
---------------
$ 323,577
---------------
TRUCKING -- 1.5%
CNF, Inc. ....................................................... 6,960 $ 388,994
---------------
UTILITIES -- ELECTRIC POWER -- 5.0%
AES Corp.(n) .................................................... 16,400 $ 259,612
Allegheny Energy, Inc.(n) ....................................... 3,600 113,940
Constellation Energy Group, Inc. ................................ 1,800 103,680
Entergy Corp. ................................................... 1,400 69,650
FPL Group, Inc. ................................................. 4,080 169,565
Northeast Utilities ............................................. 14,310 281,764
NRG Energy, Inc.(n) ............................................. 6,200 292,144
---------------
$ 1,290,355
---------------
Total Stocks (Identified Cost, $23,907,855) ................................... $ 25,402,528
---------------
CONVERTIBLE PREFERRED STOCK -- 0.5%
INSURANCE -- 0.5%
XL Capital Ltd., 7%
(Identified Cost, $123,500) ..................................... 4,940 $ 126,217
---------------
CONVERTIBLE BOND -- 0.6%
ELECTRONICS -- 0.6%
PMC-Sierra, Inc., 2.25%, 2025 (a)
(Identified Cost, $141,000) ..................................... $ 141,000 $ 154,571
---------------
SHORT-TERM OBLIGATION -- 1.6%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) .............................. $ 418,000 $ 417,902
---------------
Total Investments
(Identified Cost, $24,590,257) (k) ............................................ $ 26,101,218
---------------
OTHER ASSETS,
LESS LIABILITIES -- (0.3)% .................................................... (77,469)
---------------
Net Assets -- 100.0% .......................................................... $ 26,023,749
===============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
NEW DISCOVERY SERIES
STOCKS -- 98.5%
Issuer Shares/Par ($) Value ($)
APPAREL MANUFACTURERS -- 0.5%
Maidenform Brands, Inc.(l)(n) ................................... 111,140 $ 1,407,032
---------------
BANKS & CREDIT COMPANIES -- 6.6%
BankUnited Financial Corp., "A" ................................. 77,410 $ 2,056,784
Commerce Bancorp, Inc.(l) ....................................... 89,080 3,065,243
Euronet Worldwide, Inc.(l)(n) ................................... 101,130 2,811,414
Intervest Bancshares Corp.(n) ................................... 22,450 555,637
Investors Financial Services Corp.(l) ........................... 100,050 3,684,841
MetroCorp Bancshares, Inc. ...................................... 19,860 590,636
Nelnet, Inc., "A"(n) ............................................ 22,980 934,826
Signature Bank(n) ............................................... 144,490 4,055,834
Sterling Bancshares, Inc. ....................................... 165,570 2,556,401
---------------
$ 20,311,616
---------------
BIOTECHNOLOGY -- 3.0%
Advanced Life Sciences Holdings(l)(n) ........................... 100,910 $ 395,567
Affymetrix, Inc.(l)(n) .......................................... 36,600 1,747,650
CV Therapeutics, Inc.(l)(n) ..................................... 32,340 799,768
DUSA Pharmaceuticals, Inc.(l)(n) ................................ 82,600 889,602
Encysive Pharmaceuticals, Inc.(l)(n) ............................ 134,850 1,063,966
Gen-Probe, Inc.(l)(n) ........................................... 64,810 3,162,080
Keryx Biopharmaceuticals, Inc.(l)(n) ............................ 70,740 1,035,634
---------------
$ 9,094,267
---------------
BROADCAST & CABLE TV -- 1.3%
ADVO, Inc. ...................................................... 58,460 $ 1,647,403
Harris Interactive, Inc.(l)(n) .................................. 539,720 2,326,193
---------------
$ 3,973,596
---------------
BROKERAGE & ASSET MANAGERS -- 0.6%
IntercontinentalExchange, Inc.(n) ............................... 21,200 $ 770,620
MarketAxess Holdings, Inc.(l)(n) ................................ 84,470 965,492
---------------
$ 1,736,112
---------------
BUSINESS SERVICES -- 6.1%
Bright Horizons Family Solutions, Inc.(l)(n) .................... 64,140 $ 2,376,387
Corporate Executive Board Co.(l) ................................ 33,920 3,042,624
CoStar Group, Inc.(l)(n) ........................................ 60,790 2,624,304
Stamps.com, Inc.(l)(n) .......................................... 37,800 867,888
TALX Corp. ...................................................... 21,000 959,910
UAP Holding Corp. ............................................... 63,670 1,300,141
Ultimate Software Group, Inc.(l)(n) ............................. 201,990 3,851,949
Universal Technical Institute, Inc.(n) .......................... 118,510 3,666,699
---------------
$ 18,689,902
---------------
CHEMICALS -- 0.9%
Nalco Holding Co.(n) ............................................ 159,290 $ 2,821,026
---------------
COMPUTER SOFTWARE -- 8.4%
Blackbaud, Inc.(l) .............................................. 132,100 $ 2,256,268
MicroStrategy, Inc., "A"(l)(n) .................................. 64,300 5,320,182
NAVTEQ Corp.(l)(n) .............................................. 53,840 2,361,961
Open Solutions, Inc.(l)(n) ...................................... 182,070 4,173,044
Opsware, Inc.(l)(n) ............................................. 767,110 5,208,677
TIBCO Software, Inc.(l)(n) ...................................... 893,280 6,672,802
---------------
$ 25,992,934
---------------
COMPUTER SOFTWARE -- SYSTEMS -- 0.3%
PAR Technology Corp.(l)(n) ...................................... 34,500 $ 957,720
---------------
CONSUMER GOODS & SERVICES -- 3.9%
Central Garden & Pet Co.(n) ..................................... 52,600 $ 2,416,444
ITT Educational Services, Inc.(n) ............................... 58,400 3,452,024
PlanetOut, Inc.(n) .............................................. 83,950 729,526
Strayer Education, Inc.(l) ...................................... 58,690 5,499,253
---------------
$ 12,097,247
---------------
ELECTRICAL EQUIPMENT -- 2.2%
MSC Industrial Direct Co., Inc., "A" ............................ 167,080 $ 6,719,958
---------------
ELECTRONICS -- 6.2%
ARM Holdings PLC ................................................ 2,288,480 $ 4,759,603
Entegris, Inc.(l)(n) ............................................ 218,737 2,060,503
Kronos, Inc.(n) ................................................. 53,780 2,251,231
PMC-Sierra, Inc.(l)(n) .......................................... 532,220 4,103,416
SanDisk Corp.(n) ................................................ 64,380 4,044,352
Tessera Technologies, Inc.(n) ................................... 71,800 1,856,030
---------------
$ 19,075,135
---------------
ENGINEERING -- CONSTRUCTION -- 2.0%
InfraSource Services, Inc.(l)(n) ................................ 256,870 $ 3,359,860
Quanta Services, Inc.(l)(n) ..................................... 212,830 2,802,971
---------------
$ 6,162,831
---------------
ENTERTAINMENT -- 0.3%
International Speedway Corp. .................................... 18,800 $ 900,520
---------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 1.7%
Diamond Foods, Inc.(l) .......................................... 117,720 $ 2,327,324
Reddy Ice Holdings, Inc. ........................................ 70,140 1,529,753
United Natural Foods, Inc.(l)(n) ................................ 58,300 1,539,120
---------------
$ 5,396,197
---------------
GAMING & LODGING -- 0.5%
Four Seasons Hotels, Inc.(l) .................................... 30,800 $ 1,532,300
---------------
GENERAL MERCHANDISE -- 0.4%
99 Cents Only Stores(l)(n) ...................................... 107,150 $ 1,120,789
---------------
INTERNET -- 0.8%
Equinix, Inc.(n) ................................................ 57,500 $ 2,343,700
---------------
LEISURE & TOYS -- 4.9%
Activision, Inc.(n) ............................................. 408,661 $ 5,615,002
Take-Two Interactive Software, Inc.(l)(n) ....................... 126,680 2,242,236
THQ, Inc.(l)(n) ................................................. 236,689 5,645,033
Ubisoft Entertainment S.A.(n) ................................... 31,500 1,496,416
---------------
$ 14,998,687
---------------
MACHINERY & TOOLS -- 2.0%
Cognex Corp. .................................................... 200,960 $ 6,046,886
---------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES -- 1.8%
Allion Healthcare, Inc.(l)(n) ................................... 129,290 $ 1,506,228
Healthcare Services Group, Inc.(l) .............................. 121,760 2,521,650
VCA Antech, Inc.(n) ............................................. 55,500 1,565,100
---------------
$ 5,592,978
---------------
MEDICAL EQUIPMENT -- 20.7%
Advanced Medical Optics, Inc.(n) ................................ 148,280 $ 6,198,104
Align Technology, Inc.(l)(n) .................................... 215,180 1,392,215
Aspect Medical Systems, Inc.(l)(n) .............................. 242,420 8,327,127
Atricure, Inc.(n) ............................................... 147,100 1,566,615
Conceptus, Inc.(l)(n) ........................................... 338,520 4,272,122
Cyberonics, Inc.(l)(n) .......................................... 148,520 4,797,196
Cytyc Corp.(l)(n) ............................................... 199,966 5,645,040
Fisher Scientific International, Inc.(l)(n) ..................... 39,600 2,449,656
IDEXX Laboratories, Inc.(l)(n) .................................. 58,103 4,182,254
Immucor, Inc.(l)(n) ............................................. 82,980 1,938,413
Merit Medical Systems, Inc.(l)(n) ............................... 188,900 2,293,246
Millipore Corp.(n) .............................................. 63,970 4,224,579
MWI Veterinary Supply, Inc.(l)(n) ............................... 120,230 3,103,136
Nektar Therapeutics(l)(n) ....................................... 60,200 990,892
NeuroMetrix, Inc.(l)(n) ......................................... 87,820 2,395,730
NxStage Medical, Inc.(n) ........................................ 47,120 563,555
ResMed, Inc.(n) ................................................. 49,800 1,907,838
Thoratec Corp.(l)(n) ............................................ 243,610 5,040,291
Ventana Medical Systems, Inc.(l)(n) ............................. 61,970 2,624,430
---------------
$ 63,912,439
---------------
NETWORK & TELECOM -- 1.8%
Foundry Networks, Inc.(n) ....................................... 177,050 $ 2,445,060
NeuStar, Inc., "A"(l)(n) ........................................ 49,820 1,519,012
NICE Systems Ltd., ADR(n) ....................................... 31,500 1,517,040
---------------
$ 5,481,112
---------------
PERSONAL COMPUTERS & PERIPHERALS -- 2.3%
M-Systems Flash Disk Pioneers Ltd.(n) ........................... 105,490 $ 3,493,829
Nuance Communications, Inc.(l)(n) ............................... 490,935 3,745,834
---------------
$ 7,239,663
---------------
PHARMACEUTICALS -- 4.1%
Auxilium Pharmaceuticals, Inc.(n) ............................... 232,110 $ 1,290,532
Inspire Pharmaceuticals, Inc.(l)(n) ............................. 107,910 548,183
Medicis Pharmaceutical Corp., "A"(l) ............................ 225,080 7,213,814
NUCRYST Pharmaceuticals Corp.(n) ................................ 78,230 786,212
PRA International(l)(n) ......................................... 45,170 1,271,536
Shire PLC, ADR(l) ............................................... 41,600 1,613,664
---------------
$ 12,723,941
---------------
POLLUTION CONTROL -- 0.5%
Clean Harbors, Inc.(n) .......................................... 55,600 $ 1,601,836
---------------
PRINTING & PUBLISHING -- 1.1%
American Reprographics Co.(n) ................................... 42,800 $ 1,087,548
Morningstar, Inc.(n) ............................................ 42,800 1,482,592
Playboy Enterprises, Inc.,"B"(n) ................................ 58,400 811,176
---------------
$ 3,381,316
---------------
RESTAURANTS -- 4.0%
Cheesecake Factory, Inc.(n) ..................................... 83,340 $ 3,116,083
P.F. Chang's China Bistro, Inc.(l)(n) ........................... 102,430 5,083,601
Red Robin Gourmet Burgers, Inc.(l)(n) ........................... 83,570 4,258,727
---------------
$ 12,458,411
---------------
SPECIALTY STORES -- 9.4%
A.C. Moore Arts & Crafts, Inc.(l)(n) ............................ 325,610 $ 4,737,625
Aeropostale, Inc.(l)(n) ......................................... 164,110 4,316,093
Audible, Inc.(l)(n) ............................................. 81,380 1,044,919
CarMax, Inc.(l)(n) .............................................. 59,270 1,640,594
Celebrate Express, Inc.(n) ...................................... 33,430 451,305
Citi Trends, Inc.(n) ............................................ 42,270 1,804,506
Dick's Sporting Goods, Inc.(l)(n) ............................... 60,480 2,010,355
Hibbett Sporting Goods, Inc.(n) ................................. 59,660 1,699,117
Hot Topic, Inc.(l)(n) ........................................... 158,300 2,255,775
Monro Muffler Brake, Inc. ....................................... 52,790 1,600,593
Restoration Hardware, Inc.(l)(n) ................................ 148,310 892,826
Tuesday Morning Corp.(l) ........................................ 116,680 2,440,946
Urban Outfitters, Inc.(n) ....................................... 89,700 2,270,307
Zumiez, Inc.(n) ................................................. 42,200 1,823,884
---------------
$ 28,988,845
---------------
TELEPHONE SERVICES -- 0.2%
Terremark Worldwide, Inc.(l)(n) ................................. 151,900 $ 706,335
---------------
Total Stocks (Identified Cost, $273,714,160) .................................. $ 303,465,331
---------------
SHORT-TERM OBLIGATION -- 1.2%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) .............................. $ 3,854,000 $ 3,853,101
---------------
COLLATERAL FOR SECURITIES LOANED -- 23.5%
Navigator Securities Lending Prime Portfolio, at
Cost and Net Asset Value ........................................ 72,360,641 $ 72,360,641
---------------
Total Investments
(Identified Cost, $349,927,902) ............................................... $ 379,679,073
---------------
OTHER ASSETS,
LESS LIABILITIES -- (23.2)% ................................................... (71,541,231)
---------------
Net Assets -- 100.0% .......................................................... $ 308,137,842
===============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
RESEARCH INTERNATIONAL SERIES
STOCKS -- 98.8%
Issuer Shares/Par ($) Value ($)
AIRLINES -- 0.6%
Grupo Aeroportuario del Sureste, S.A. de C.V.,
ADR ............................................................. 20,560 $ 664,910
Thai Airways International Public Co. Ltd. ...................... 409,900 439,625
---------------
$ 1,104,535
---------------
ALCOHOLIC BEVERAGES -- 1.2%
Diageo PLC ...................................................... 150,200 $ 2,175,094
---------------
APPAREL MANUFACTURERS -- 1.1%
Burberry Group PLC .............................................. 187,710 $ 1,386,569
LVMH Moet Hennessy Louis Vuitton S.A ............................ 6,770 601,018
---------------
$ 1,987,587
---------------
AUTOMOTIVE -- 4.3%
Bayerische Motoren Werke AG ..................................... 42,700 $ 1,871,389
Compagnie Generale des Etablissements Michelin .................. 3,200 179,725
Continental AG .................................................. 11,783 1,045,080
Hyundai Mobis ................................................... 18,700 1,704,053
Nissan Motor Co. Ltd.(l) ........................................ 177,100 1,793,285
Toyota Motor Corp. .............................................. 28,600 1,483,134
---------------
$ 8,076,666
---------------
BANKS & CREDIT COMPANIES -- 23.2%
AEON Credit Service Co. Ltd. .................................... 13,700 $ 1,295,530
Aiful Corp. ..................................................... 24,900 2,078,253
Akbank T.A.S .................................................... 119,410 973,511
Banco Bilbao Vizcaya Argentaria S.A.(l) ......................... 158,820 2,833,052
Banco Nossa Caixa S.A ........................................... 16,630 248,241
BNP Paribas(l) .................................................. 38,680 3,127,325
China Construction Bank(n) ...................................... 2,050,000 707,252
Credit Agricole S.A.(l) ......................................... 65,637 2,066,054
DEPFA Bank PLC .................................................. 51,170 756,007
Erste Bank der Oesterreichischen Sparkassen AG .................. 28,930 1,604,084
HSBC Holdings PLC ............................................... 156,295 2,506,484
Kookmin Bank(n) ................................................. 28,720 2,155,241
Mitsubishi Tokyo Financial Group, Inc. .......................... 167 2,264,119
ORIX Corp.(l) ................................................... 10,990 2,798,369
OTP Bank Ltd., GDR .............................................. 24,560 1,611,136
Royal Bank of Scotland Group PLC ................................ 109,850 3,313,717
Shinhan Financial Group Co. Ltd.(n) ............................. 49,140 1,983,146
Shinsei Bank Ltd. ............................................... 292,000 1,687,447
Takefuji Corp. .................................................. 26,480 1,797,270
Turkiye Vakiflar Bankasi T.A.O .................................. 178,720 947,080
UBS AG .......................................................... 37,018 3,520,432
Unibanco -- Uniao de Bancos
Brasileiros S.A., ADR ........................................... 11,580 736,141
UniCredito Italiano S.p.A.(l) ................................... 318,320 2,191,467
---------------
$ 43,201,358
---------------
BROADCAST & CABLE TV -- 2.1%
Grupo Televisa S.A., ADR ........................................ 23,740 $ 1,911,070
Nippon Television Network Corp. ................................. 6,050 929,428
WPP Group PLC ................................................... 91,800 992,502
---------------
$ 3,833,000
---------------
CHEMICALS -- 1.6%
Hanwha Chemical Corp.(n) ........................................ 64,040 $ 729,893
Syngenta AG ..................................................... 17,282 2,148,016
---------------
$ 2,877,909
---------------
COMPUTER SOFTWARE -- SYSTEMS -- 0.6%
Capgemini S.A.(n) ............................................... 26,480 $ 1,062,169
---------------
CONSTRUCTION -- 2.4%
CEMEX S.A. de C.V., ADR ......................................... 28,150 $ 1,670,140
Consorcio ARA S.A. de C.V ....................................... 129,350 566,536
Cyrela Brazil Realty S.A Empreendimentos e Participacoes ........ 31,630 432,917
Cyrela Brazil Realty S.A Empreendimentos e Participacoes, GDR(a) 20 2,737
Italcementi S.p.A ............................................... 68,880 871,816
Italcementi S.p.A. -- Ordinary(l) ............................... 33,390 622,868
Urbi Desarrollos Urbanos S.A. de C.V.(n) ........................ 36,340 251,583
---------------
$ 4,418,597
---------------
CONSUMER GOODS & SERVICES -- 1.7%
Natura Cosmeticos S.A ........................................... 4,600 $ 202,612
Reckitt Benckiser PLC ........................................... 60,750 2,004,868
Unicharm Corp. .................................................. 20,800 934,119
---------------
$ 3,141,599
---------------
ELECTRICAL EQUIPMENT -- 1.9%
Schneider Electric S.A.(l) ...................................... 40,494 $ 3,609,292
---------------
ELECTRONICS -- 7.6%
Nippon Electric Glass Co. Ltd.(l) ............................... 34,000 $ 741,855
Ricoh Co. Ltd. .................................................. 93,000 1,627,293
Royal Philips Electronics N.V ................................... 84,590 2,626,615
Samsung Electronics Co. Ltd. .................................... 10,340 6,682,736
Taiwan Semiconductor Manufacturing Co. Ltd. ..................... 1,323,000 2,519,117
---------------
$ 14,197,616
---------------
ENERGY -- INDEPENDENT -- 1.9%
Canadian Natural Resources Ltd. ................................. 9,100 $ 450,892
CNOOC Ltd. ...................................................... 2,567,000 1,705,021
Norsk Hydro A.S.A ............................................... 13,410 1,376,210
---------------
$ 3,532,123
---------------
ENERGY -- INTEGRATED -- 6.5%
BG Group PLC .................................................... 110,630 $ 1,092,449
LUKOIL, ADR ..................................................... 30,740 1,813,660
Petroleo Brasileiro S.A., ADR ................................... 12,080 860,942
Statoil A.S.A.(l) ............................................... 96,190 2,207,924
TOTAL S.A.(l) ................................................... 24,360 6,114,637
---------------
$ 12,089,612
---------------
FOOD & DRUG STORES -- 1.8%
Carrefour S.A.(l) ............................................... 28,870 $ 1,351,670
Tesco PLC ....................................................... 336,270 1,916,063
---------------
$ 3,267,733
---------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 2.7%
China Mengniu Dairy Co. Ltd. .................................... 253,000 $ 218,621
Nestle S.A ...................................................... 14,912 4,455,066
Nong Shim Co. Ltd.(n) ........................................... 1,430 396,541
---------------
$ 5,070,228
---------------
GAMING & LODGING -- 0.7%
Hilton Group PLC ................................................ 203,760 $ 1,273,097
---------------
INSURANCE -- 4.7%
Assicurazioni Generali S.p.A .................................... 85,170 $ 2,974,069
Aviva PLC ....................................................... 227,609 2,758,143
AXA(l) .......................................................... 94,060 3,033,045
---------------
$ 8,765,257
---------------
INTERNET -- 0.1%
Universo Online S.A., IPS(n) .................................... 20,400 $ 171,891
---------------
LEISURE & TOYS -- 0.6%
Nintendo Co. Ltd. ............................................... 9,300 $ 1,122,950
---------------
MACHINERY & TOOLS -- 0.5%
Fanuc Ltd. ...................................................... 11,500 $ 975,427
---------------
METALS & MINING -- 6.7%
Aber Diamond Corp. .............................................. 51,740 $ 1,911,502
Arcelor S.A ..................................................... 76,170 1,887,626
BHP Billiton PLC ................................................ 191,910 3,132,065
Companhia Siderurgica Nacional S.A., ADR(l) ..................... 47,260 1,011,364
Companhia Vale do Rio Doce, ADR ................................. 63,480 2,611,567
POSCO ........................................................... 4,350 867,092
Umicore ......................................................... 8,290 976,702
---------------
$ 12,397,918
---------------
NATURAL GAS -- DISTRIBUTION -- 0.5%
Tokyo Gas Co. Ltd.(l) ........................................... 225,000 $ 999,026
---------------
NETWORK & TELECOM -- 0.5%
TomTom N.V.(n) .................................................. 15,750 $ 540,290
ZTE Corp. ....................................................... 141,800 476,410
---------------
$ 1,016,700
---------------
OIL SERVICES -- 0.2%
Vallourec S.A ................................................... 710 $ 390,534
---------------
PHARMACEUTICALS -- 7.6%
Astellas Pharma, Inc. ........................................... 65,300 $ 2,545,270
AstraZeneca PLC ................................................. 54,790 2,664,235
GlaxoSmithKline PLC ............................................. 175,020 4,419,241
Roche Holding AG ................................................ 29,540 4,430,607
---------------
$ 14,059,353
---------------
REAL ESTATE -- 1.1%
K.K. Davinci Advisors(n) ........................................ 138 $ 1,039,546
Leopalace21 Corp. ............................................... 26,300 953,811
---------------
$ 1,993,357
---------------
SPECIALTY CHEMICALS -- 2.0%
Asahi Glass Co. Ltd.(l) ......................................... 152,000 $ 1,961,581
Kaneka Corp. .................................................... 151,000 1,823,285
---------------
$ 3,784,866
---------------
SPECIALTY STORES -- 1.4%
Grupo Elektra S.A. de C.V ....................................... 66,330 $ 587,281
NEXT PLC ........................................................ 78,950 2,083,045
---------------
$ 2,670,326
---------------
TELECOMMUNICATIONS -- WIRELESS -- 1.9%
America Movil S.A. de C.V., "L", ADR ............................ 12,320 $ 360,483
PT Indosat Tbk .................................................. 951,000 536,933
Vodafone Group PLC .............................................. 1,203,740 2,596,657
---------------
$ 3,494,073
---------------
TELEPHONE SERVICES -- 4.0%
FastWeb S.p.A.(l) ............................................... 37,663 $ 1,719,690
Singapore Telecommunications Ltd. ............................... 1,074,000 1,685,542
Telefonica S.A .................................................. 163,189 2,453,491
Telenor A.S.A ................................................... 153,930 1,510,190
---------------
$ 7,368,913
---------------
TOBACCO -- 0.5%
Swedish Match AB(l) ............................................. 81,770 $ 961,498
---------------
TRUCKING -- 0.6%
TNT N.V ......................................................... 36,250 $ 1,132,035
---------------
UTILITIES -- ELECTRIC POWER -- 4.0%
E.ON AG ......................................................... 29,790 $ 3,079,500
Endesa S.A.(l) .................................................. 50,030 1,314,990
Suez S.A.(l) .................................................... 95,831 2,981,328
---------------
$ 7,375,818
---------------
Total Stocks (Identified Cost, $155,046,008) .................................. $ 183,598,157
---------------
SHORT-TERM OBLIGATION -- 0.7%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) .............................. $ 1,406,000 $ 1,405,672
---------------
COLLATERAL FOR SECURITIES LOANED -- 17.5%
Navigator Securities Lending Prime Portfolio, at
Cost and Net Asset Value ........................................ 32,452,387 $ 32,452,387
---------------
Total Investments
(Identified Cost, $188,904,067) (k) ........................................... $ 217,456,216
---------------
OTHER ASSETS,
LESS LIABILITIES -- (17.0)% ................................................... (31,628,815)
---------------
Net Assets -- 100.0% .......................................................... $ 185,827,401
===============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
STRATEGIC GROWTH SERIES
STOCKS -- 98.4%
Issuer Shares/Par ($) Value ($)
AEROSPACE -- 1.1%
ITT Industries, Inc. ............................................ 8,200 $ 843,124
---------------
AUTOMOTIVE -- 1.8%
Harman International Industries, Inc. ........................... 14,530 $ 1,421,761
---------------
BANKS & CREDIT COMPANIES -- 1.3%
SLM Corp. ....................................................... 18,510 $ 1,019,716
---------------
BIOTECHNOLOGY -- 9.9%
Amgen, Inc.(n) .................................................. 17,490 $ 1,379,262
Celgene Corp.(n) ................................................ 16,600 1,075,680
Genentech, Inc.(n) .............................................. 10,400 962,000
Genzyme Corp.(n) ................................................ 24,490 1,733,402
Gilead Sciences, Inc.(n) ........................................ 47,880 2,519,924
---------------
$ 7,670,268
---------------
BROADCAST & CABLE TV -- 2.3%
Grupo Televisa S.A., ADR(l) ..................................... 22,080 $ 1,777,440
---------------
BROKERAGE & ASSET MANAGERS -- 6.4%
Chicago Mercantile Exchange Holdings, Inc. ...................... 3,380 $ 1,242,116
Franklin Resources, Inc. ........................................ 12,800 1,203,328
Goldman Sachs Group, Inc. ....................................... 6,200 791,802
Legg Mason, Inc. ................................................ 14,700 1,759,443
---------------
$ 4,996,689
---------------
BUSINESS SERVICES -- 1.9%
Getty Images, Inc.(l)(n) ........................................ 16,590 $ 1,480,989
---------------
COMPUTER SOFTWARE -- 4.9%
Adobe Systems, Inc. ............................................. 81,520 $ 3,012,979
Oracle Corp.(n) ................................................. 62,150 758,852
---------------
$ 3,771,831
---------------
COMPUTER SOFTWARE -- SYSTEMS -- 2.6%
Amdocs Ltd.(n) .................................................. 36,020 $ 990,550
Apple Computer, Inc.(n) ......................................... 14,100 1,013,649
---------------
$ 2,004,199
---------------
ELECTRONICS -- 6.5%
Samsung Electronics Co. Ltd., GDR ............................... 9,140 $ 3,011,630
SanDisk Corp.(n) ................................................ 19,800 1,243,836
Xilinx, Inc. .................................................... 30,610 771,678
---------------
$ 5,027,144
---------------
ENTERTAINMENT -- 1.0%
Pixar Animation Studios(l)(n) ................................... 15,100 $ 796,072
---------------
FOOD & DRUG STORES -- 1.0%
Walgreen Co. .................................................... 17,700 $ 783,402
---------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 1.6%
PepsiCo, Inc. ................................................... 20,490 $ 1,210,549
---------------
GAMING & LODGING -- 1.0%
Las Vegas Sands Corp.(l)(n) ..................................... 19,500 $ 769,665
---------------
HEALTH MAINTENANCE ORGANIZATIONS -- 2.7%
UnitedHealth Group, Inc. ........................................ 14,200 $ 882,388
WellPoint, Inc.(n) .............................................. 15,600 1,244,724
---------------
$ 2,127,112
---------------
INSURANCE -- 1.3%
Ace Ltd. ........................................................ 18,230 $ 974,211
---------------
INTERNET -- 4.2%
Google, Inc., "A"(n) ............................................ 5,000 $ 2,074,300
Yahoo!, Inc.(n) ................................................. 30,210 1,183,628
---------------
$ 3,257,928
---------------
LEISURE & TOYS -- 3.7%
Activision, Inc.(n) ............................................. 34,500 $ 474,030
Electronic Arts, Inc.(n) ........................................ 46,570 2,436,077
---------------
$ 2,910,107
---------------
MEDICAL EQUIPMENT -- 8.9%
Advanced Medical Optics, Inc.(n) ................................ 23,240 $ 971,432
Alcon, Inc. ..................................................... 11,560 1,498,176
Cytyc Corp.(l)(n) ............................................... 58,400 1,648,632
Millipore Corp.(n) .............................................. 16,500 1,089,660
St. Jude Medical, Inc.(n) ....................................... 33,850 1,699,270
---------------
$ 6,907,170
---------------
NETWORK & TELECOM -- 11.1%
Corning, Inc.(n) ................................................ 48,670 $ 956,852
F5 Networks, Inc.(n) ............................................ 17,300 989,387
Juniper Networks, Inc.(n) ....................................... 89,900 2,004,770
Nokia Corp., ADR ................................................ 129,600 2,371,680
QUALCOMM, Inc. .................................................. 53,350 2,298,318
---------------
$ 8,621,007
---------------
OIL SERVICES -- 6.7%
National Oilwell Varco, Inc.(n) ................................. 42,100 $ 2,639,670
Noble Corp. ..................................................... 36,500 2,574,710
---------------
$ 5,214,380
---------------
PERSONAL COMPUTERS & PERIPHERALS -- 1.6%
EMC Corp.(n) .................................................... 88,710 $ 1,208,230
---------------
PHARMACEUTICALS -- 7.1%
Allergan, Inc. .................................................. 24,300 $ 2,623,428
Roche Holding AG ................................................ 13,460 2,018,821
Teva Pharmaceutical Industries Ltd., ADR(l) ..................... 19,780 850,738
---------------
$ 5,492,987
---------------
RESTAURANTS -- 2.0%
Starbucks Corp.(n) .............................................. 51,900 $ 1,557,519
---------------
SPECIALTY STORES -- 2.7%
Best Buy Co., Inc. .............................................. 24,900 $ 1,082,652
Urban Outfitters, Inc.(n) ....................................... 39,000 987,090
---------------
$ 2,069,742
---------------
TELECOMMUNICATIONS -- WIRELESS -- 1.3%
America Movil S.A. de C.V., "L", ADR(l) ......................... 34,400 $ 1,006,544
---------------
TELEPHONE SERVICES -- 1.8%
American Tower Corp., "A"(n) .................................... 50,500 $ 1,368,550
---------------
Total Stocks (Identified Cost, $71,927,257) ................................... $ 76,288,336
---------------
SHORT-TERM OBLIGATION -- 1.1%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) .............................. $ 860,000 $ 859,799
---------------
COLLATERAL FOR SECURITIES LOANED -- 8.7%
Navigator Securities Lending Prime Portfolio, at
Cost and Net Asset Value ........................................ 6,783,375 $ 6,783,375
---------------
Total Investments
(Identified Cost, $79,570,431) ................................................ $ 83,931,510
---------------
OTHER ASSETS,
LESS LIABILITIES -- (8.2)% .................................................... (6,363,847)
---------------
Net Assets -- 100.0% .......................................................... $ 77,567,663
===============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
STRATEGIC VALUE SERIES
STOCKS -- 99.4%
Issuer Shares/Par ($) Value ($)
ALCOHOLIC BEVERAGES -- 0.5%
Molson Coors Brewing Co. ........................................ 860 $ 57,611
---------------
BANKS & CREDIT COMPANIES -- 12.9%
Bank of America Corp. ........................................... 9,396 $ 433,625
J.P. Morgan Chase & Co. ......................................... 12,130 481,440
PNC Financial Services Group, Inc. .............................. 7,390 456,924
---------------
$ 1,371,989
---------------
BROADCAST & CABLE TV -- 6.3%
Viacom, Inc., "B" ............................................... 11,110 $ 362,186
Walt Disney Co. ................................................. 12,800 306,816
---------------
$ 669,002
---------------
BROKERAGE & ASSET MANAGERS -- 5.4%
Mellon Financial Corp. .......................................... 10,535 $ 360,824
Merrill Lynch & Co., Inc. ....................................... 3,195 216,397
---------------
$ 577,221
---------------
COMPUTER SOFTWARE -- 8.7%
Compuware Corp.(n) .............................................. 26,160 $ 234,655
Oracle Corp.(n) ................................................. 17,670 215,751
Symantec Corp.(n) ............................................... 26,970 471,975
---------------
$ 922,381
---------------
COMPUTER SOFTWARE -- SYSTEMS -- 2.3%
Sun Microsystems, Inc.(n) ....................................... 58,390 $ 244,654
---------------
CONSTRUCTION -- 3.0%
Masco Corp. ..................................................... 10,420 $ 314,580
---------------
CONSUMER GOODS & SERVICES -- 1.0%
Estee Lauder Cos., Inc., "A" .................................... 3,260 $ 109,145
---------------
CONTAINERS -- 4.0%
Owens-Illinois, Inc.(n) ......................................... 20,220 $ 425,429
---------------
ELECTRICAL EQUIPMENT -- 3.4%
Tyco International Ltd. ......................................... 12,620 $ 364,213
---------------
ENERGY -- INDEPENDENT -- 2.4%
Devon Energy Corp. .............................................. 4,130 $ 258,290
---------------
FOREST & PAPER PRODUCTS -- 1.8%
Bowater, Inc. ................................................... 6,102 $ 187,453
---------------
GAMING & LODGING -- 0.6%
International Game Technology ................................... 1,910 $ 58,790
---------------
GENERAL MERCHANDISE -- 3.5%
Family Dollar Stores, Inc. ...................................... 8,240 $ 204,270
Wal-Mart Stores, Inc. ........................................... 3,640 170,352
---------------
$ 374,622
---------------
INSURANCE -- 4.6%
Allstate Corp. .................................................. 4,640 $ 250,885
Conseco, Inc.(n) ................................................ 10,530 243,980
---------------
$ 494,865
---------------
LEISURE & TOYS -- 1.2%
Mattel, Inc. .................................................... 8,310 $ 131,464
---------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES -- 2.0%
Tenet Healthcare Corp.(n) ....................................... 28,440 $ 217,850
---------------
NETWORK & TELECOM -- 6.2%
Nokia Corp., ADR ................................................ 11,830 $ 216,489
Nortel Networks Corp.(n) ........................................ 144,420 441,925
---------------
$ 658,414
---------------
OIL SERVICES -- 6.8%
BJ Services Co. ................................................. 3,440 $ 126,145
Cooper Cameron Corp.(n) ......................................... 3,060 126,684
GlobalSantaFe Corp. ............................................. 5,235 252,065
Noble Corp. ..................................................... 3,100 218,674
---------------
$ 723,568
---------------
PHARMACEUTICALS -- 8.0%
Merck & Co., Inc. ............................................... 13,505 $ 429,594
Wyeth ........................................................... 9,160 422,001
---------------
$ 851,595
---------------
PRINTING & PUBLISHING -- 1.3%
Knight-Ridder, Inc. ............................................. 2,260 $ 143,058
---------------
SPECIALTY STORES -- 5.1%
Circuit City Stores, Inc. ....................................... 5,260 $ 118,823
Gap, Inc. ....................................................... 14,920 263,189
OfficeMax, Inc. ................................................. 6,380 161,797
---------------
$ 543,809
---------------
TELEPHONE SERVICES -- 8.4%
Sprint Nextel Corp. ............................................. 18,110 $ 423,050
Verizon Communications, Inc. .................................... 15,745 474,240
---------------
$ 897,290
---------------
Total Stocks (Identified Cost, $9,925,610) .................................... $ 10,597,293
---------------
SHORT-TERM OBLIGATION -- 0.9%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) .............................. $ 90,000 $ 89,979
---------------
Total Investments
(Identified Cost, $10,015,589) ................................................ $ 10,687,272
---------------
OTHER ASSETS,
LESS LIABILITIES -- (0.3)% .................................................... (26,951)
---------------
Net Assets -- 100.0% ......................................................... $ 10,660,321
===============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
TECHNOLOGY SERIES
STOCKS -- 98.5%
Issuer Shares/Par ($) Value ($)
BUSINESS SERVICES -- 5.0%
Cognizant Technology Solutions Corp., "A"(n) .................... 9,300 $ 468,255
Corporate Executive Board Co. ................................... 2,600 233,220
Ultimate Software Group, Inc.(n) ................................ 21,500 410,005
---------------
$ 1,111,480
---------------
COMPUTER SOFTWARE -- 19.8%
Adobe Systems, Inc. ............................................. 16,070 $ 593,947
Compuware Corp.(n) .............................................. 40,120 359,876
MicroStrategy, Inc., "A"(l)(n) .................................. 10,970 907,658
Opsware, Inc.(l)(n) ............................................. 75,900 515,361
Oracle Corp.(n) ................................................. 72,570 886,080
Symantec Corp.(n) ............................................... 37,451 655,393
TIBCO Software, Inc.(n) ......................................... 67,550 504,599
---------------
$ 4,422,914
---------------
COMPUTER SOFTWARE -- SYSTEMS -- 11.2%
Amdocs Ltd.(n) .................................................. 22,580 $ 620,950
Apple Computer, Inc.(n) ......................................... 4,780 343,633
Dell, Inc.(n) ................................................... 8,540 256,115
LG.Philips LCD Co. Ltd.(n) ...................................... 13,450 576,432
Sun Microsystems, Inc.(n) ....................................... 171,400 718,166
---------------
$ 2,515,296
---------------
ELECTRONICS -- 23.3%
ARM Holdings PLC ................................................ 183,600 $ 381,853
Chartered Semiconductor
Manufacturing Ltd., ADR(n) ...................................... 36,290 276,893
Cypress Semiconductor Corp.(n) .................................. 19,700 280,725
Delta Electronics ............................................... 155,000 317,801
Intel Corp. ..................................................... 39,200 978,432
Marvell Technology Group Ltd.(n) ................................ 4,300 241,187
Nippon Electric Glass Co. Ltd. .................................. 16,000 349,108
PMC-Sierra, Inc.(l)(n) .......................................... 41,000 316,110
Samsung Electronics Co. Ltd., GDR ............................... 2,760 909,420
SanDisk Corp.(n) ................................................ 10,300 647,046
Spansion, Inc., "A"(n) .......................................... 14,200 197,664
Tessera Technologies, Inc.(n) ................................... 12,500 323,125
---------------
$ 5,219,364
---------------
INTERNET -- 6.7%
Equinix, Inc.(n) ................................................ 16,500 $ 672,540
Google, Inc., "A"(n) ............................................ 1,970 817,274
Versata, Inc.(n) ................................................ 2 1
---------------
$ 1,489,815
---------------
MACHINERY & TOOLS -- 2.2%
Cognex Corp. .................................................... 16,120 $ 485,051
---------------
NETWORK & TELECOM -- 23.7%
Cisco Systems, Inc.(n) .......................................... 42,830 $ 733,249
Corning, Inc.(n) ................................................ 27,200 534,752
Extreme Networks, Inc.(n) ....................................... 118,900 564,775
F5 Networks, Inc.(n) ............................................ 7,500 428,925
Juniper Networks, Inc.(n) ....................................... 46,820 1,044,086
Nokia Corp., ADR ................................................ 56,290 1,030,107
QUALCOMM, Inc. .................................................. 12,860 554,009
Research In Motion Ltd.(n) ...................................... 6,200 409,262
---------------
$ 5,299,165
---------------
PERSONAL COMPUTERS & PERIPHERALS -- 4.4%
EMC Corp.(n) .................................................... 48,920 $ 666,290
M-Systems Flash Disk Pioneers Ltd.(n) ........................... 9,300 308,016
---------------
$ 974,306
---------------
SPECIALTY STORES -- 2.2%
Circuit City Stores, Inc. ....................................... 22,050 $ 498,110
---------------
Total Stocks (Identified Cost, $19,950,025) ................................... $ 22,015,501
---------------
SHORT-TERM OBLIGATION -- 0.5%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) .............................. $ 105,000 $ 104,976
---------------
COLLATERAL FOR SECURITIES LOANED -- 6.1%
Navigator Securities Lending Prime Portfolio, at
Cost and Net Asset Value ........................................ 1,364,866 $ 1,364,866
---------------
Total Investments
(Identified Cost, $21,419,867) (k) ............................................ $ 23,485,343
---------------
OTHER ASSETS,
LESS LIABILITIES -- (5.1)% .................................................... (1,132,644)
---------------
Net Assets -- 100.0% .......................................................... $ 22,352,699
===============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS -- December 31, 2005
VALUE SERIES
STOCKS -- 99.4%
Issuer Shares/Par ($) Value ($)
AEROSPACE -- 6.4%
Lockheed Martin Corp. ........................................... 196,550 $ 12,506,477
Northrop Grumman Corp. .......................................... 166,200 9,990,282
United Technologies Corp. ....................................... 106,580 5,958,888
---------------
$ 28,455,647
---------------
ALCOHOLIC BEVERAGES -- 0.7%
Diageo PLC ...................................................... 216,969 $ 3,141,997
---------------
AUTOMOTIVE -- 0%
Johnson Controls, Inc. .......................................... 3,000 $ 218,730
---------------
BANKS & CREDIT COMPANIES -- 16.4%
American Express Co. ............................................ 87,140 $ 4,484,224
Bank of America Corp. ........................................... 404,176 18,652,722
Citigroup, Inc. ................................................. 314,340 15,254,920
Fannie Mae ...................................................... 138,670 6,768,483
Freddie Mac ..................................................... 36,780 2,403,573
MBNA Corp. ...................................................... 87,600 2,378,340
PNC Financial Services Group, Inc. .............................. 96,980 5,996,273
SunTrust Banks, Inc. ............................................ 129,590 9,428,968
UBS AG .......................................................... 43,772 4,162,741
Wells Fargo & Co. ............................................... 57,300 3,600,159
---------------
$ 73,130,403
---------------
BROADCAST & CABLE TV -- 1.7%
Viacom, Inc., "B" ............................................... 171,008 $ 5,574,861
Walt Disney Co. ................................................. 77,320 1,853,360
---------------
$ 7,428,221
---------------
BROKERAGE & ASSET MANAGERS -- 6.0%
Ameriprise Financial, Inc. ...................................... 10,516 $ 431,156
Franklin Resources, Inc. ........................................ 23,890 2,245,899
Goldman Sachs Group, Inc. ....................................... 105,170 13,431,261
Lehman Brothers Holdings, Inc. .................................. 25,430 3,259,363
Mellon Financial Corp. .......................................... 144,300 4,942,275
Merrill Lynch & Co., Inc. ....................................... 37,910 2,567,644
---------------
$ 26,877,598
---------------
BUSINESS SERVICES -- 1.6%
Accenture Ltd., "A" ............................................. 254,480 $ 7,346,837
---------------
CHEMICALS -- 4.6%
Dow Chemical Co. ................................................ 89,290 $ 3,912,688
E.I. du Pont de Nemours & Co. ................................... 119,960 5,098,300
Nalco Holding Co.(n) ............................................ 58,090 1,028,774
PPG Industries, Inc. ............................................ 103,120 5,970,648
Syngenta AG ..................................................... 35,320 4,389,996
---------------
$ 20,400,406
---------------
COMPUTER SOFTWARE -- 0.9%
Oracle Corp.(n) ................................................. 212,700 $ 2,597,067
Symantec Corp.(n) ............................................... 92,150 1,612,625
---------------
$ 4,209,692
---------------
CONSTRUCTION -- 2.4%
Masco Corp. ..................................................... 306,790 $ 9,261,990
Sherwin-Williams Co. ............................................ 31,600 1,435,272
---------------
$ 10,697,262
---------------
CONSUMER GOODS & SERVICES -- 0.7%
Kimberly-Clark Corp. ............................................ 53,330 $ 3,181,135
---------------
CONTAINERS -- 0.3%
Smurfit-Stone Container Corp.(l)(n) ............................. 91,200 $ 1,292,304
---------------
ELECTRICAL EQUIPMENT -- 1.7%
Cooper Industries Ltd., "A" ..................................... 49,380 $ 3,604,740
Emerson Electric Co. ............................................ 5,950 444,465
Tyco International Ltd. ......................................... 39,640 1,144,010
W.W. Grainger, Inc. ............................................. 35,360 2,514,096
---------------
$ 7,707,311
---------------
ELECTRONICS -- 0.4%
Analog Devices, Inc. ............................................ 53,840 $ 1,931,241
---------------
ENERGY -- INDEPENDENT -- 1.6%
Devon Energy Corp. .............................................. 55,660 $ 3,480,976
EOG Resources, Inc. ............................................. 51,630 3,788,093
---------------
$ 7,269,069
---------------
ENERGY -- INTEGRATED -- 9.2%
Amerada Hess Corp. .............................................. 29,020 $ 3,680,316
BP PLC, ADR ..................................................... 88,510 5,684,112
Chevron Corp. ................................................... 66,945 3,800,468
ConocoPhillips .................................................. 171,610 9,984,270
Exxon Mobil Corp. ............................................... 139,462 7,833,581
TOTAL S.A., ADR(l) .............................................. 80,570 10,184,048
---------------
$ 41,166,795
---------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 4.7%
Archer Daniels Midland Co. ...................................... 119,505 $ 2,946,993
Coca-Cola Co. ................................................... 25,640 1,033,548
H.J. Heinz Co. .................................................. 90,410 3,048,625
Kellogg Co. ..................................................... 143,680 6,209,850
Nestle S.A ...................................................... 8,899 2,658,639
PepsiCo, Inc. ................................................... 37,408 2,210,065
Sara Lee Corp. .................................................. 150,050 2,835,945
---------------
$ 20,943,665
---------------
FOREST & PAPER PRODUCTS -- 1.2%
Bowater, Inc.(l) ................................................ 34,270 $ 1,052,774
International Paper Co. ......................................... 134,230 4,511,470
---------------
$ 5,564,244
---------------
HEALTH MAINTENANCE ORGANIZATIONS -- 0.4%
CIGNA Corp. ..................................................... 16,370 $ 1,828,529
---------------
INSURANCE -- 6.7%
AFLAC, Inc. ..................................................... 9,470 $ 439,597
Allstate Corp. .................................................. 168,510 9,111,336
Chubb Corp.(l) .................................................. 26,530 2,590,655
Hartford Financial Services Group, Inc. ......................... 53,210 4,570,207
Lincoln National Corp. .......................................... 26,900 1,426,507
MetLife, Inc. ................................................... 237,120 11,618,880
---------------
$ 29,757,182
---------------
LEISURE & TOYS -- 0.4%
Hasbro, Inc. .................................................... 83,370 $ 1,682,407
---------------
MACHINERY & TOOLS -- 3.0%
Deere & Co. ..................................................... 127,200 $ 8,663,592
Finning International, Inc. ..................................... 16,000 510,911
Illinois Tool Works, Inc. ....................................... 46,350 4,078,337
---------------
$ 13,252,840
---------------
MEDICAL EQUIPMENT -- 0.2%
Baxter International, Inc. ...................................... 22,440 $ 844,866
---------------
NETWORK & TELECOM -- 0.5%
Cisco Systems, Inc.(n) .......................................... 123,620 $ 2,116,374
---------------
OIL SERVICES -- 0.7%
Noble Corp. ..................................................... 41,580 $ 2,933,053
---------------
PHARMACEUTICALS -- 6.6%
Abbott Laboratories ............................................. 106,450 $ 4,197,324
Eli Lilly & Co. ................................................. 18,370 1,039,558
Johnson & Johnson ............................................... 205,010 12,321,101
Merck & Co., Inc. ............................................... 206,230 6,560,176
Wyeth ........................................................... 120,540 5,553,278
---------------
$ 29,671,437
---------------
PRINTING & PUBLISHING -- 1.2%
Reed Elsevier PLC ............................................... 343,910 $ 3,227,570
Tribune Co. ..................................................... 68,057 2,059,405
---------------
$ 5,286,975
---------------
RAILROAD & SHIPPING -- 1.6%
Burlington Northern Santa Fe Corp. .............................. 80,860 $ 5,726,505
Norfolk Southern Corp. .......................................... 30,120 1,350,280
---------------
$ 7,076,785
---------------
SPECIALTY CHEMICALS -- 1.4%
Air Products & Chemicals, Inc. .................................. 74,407 $ 4,404,150
L'Air Liquide S.A., Bearer Shares ............................... 2,390 459,409
Praxair, Inc. ................................................... 28,710 1,520,482
---------------
$ 6,384,041
---------------
SPECIALTY STORES -- 2.0%
Gap, Inc. ....................................................... 256,690 $ 4,528,012
Lowe's Cos., Inc. ............................................... 36,330 2,421,758
TJX Cos., Inc. .................................................. 78,590 1,825,646
---------------
$ 8,775,416
---------------
TELECOMMUNICATIONS -- WIRELESS -- 1.3%
Vodafone Group PLC .............................................. 2,607,050 $ 5,623,819
---------------
TELEPHONE SERVICES -- 3.6%
Sprint Nextel Corp. ............................................. 429,790 $ 10,039,894
Verizon Communications, Inc. .................................... 206,970 6,233,936
---------------
$ 16,273,830
---------------
TOBACCO -- 3.5%
Altria Group, Inc. .............................................. 206,900 $ 15,459,568
---------------
TRUCKING -- 0.2%
CNF, Inc. ....................................................... 19,390 $ 1,083,707
---------------
UTILITIES -- ELECTRIC POWER -- 5.6%
Allegheny Energy, Inc.(n) ....................................... 20,700 $ 655,155
Dominion Resources, Inc. ........................................ 153,030 11,813,916
Entergy Corp. ................................................... 24,560 1,686,044
Exelon Corp. .................................................... 28,930 1,537,340
FPL Group, Inc. ................................................. 70,620 2,934,967
PPL Corp. ....................................................... 75,980 2,233,812
Public Service Enterprise Group, Inc. ........................... 31,450 2,043,307
TXU Corp. ....................................................... 46,500 2,333,835
---------------
$ 25,238,376
---------------
Total Stocks (Identified Cost, $371,289,185) .................................. $ 444,251,762
---------------
SHORT-TERM OBLIGATION -- 0.5%
General Electric Capital Corp., 4.2%,
due 1/03/06, at Amortized Cost (y) .............................. $ 2,323,000 $ 2,322,458
---------------
COLLATERAL FOR SECURITIES LOANED -- 3.0%
Navigator Securities Lending Prime Portfolio, at
Cost and Net Asset Value ........................................ 13,279,135 $ 13,279,135
---------------
Total Investments
(Identified Cost, $386,890,778) ............................................... $ 459,853,355
---------------
OTHER ASSETS,
LESS LIABILITIES -- (2.9)% .................................................... (13,092,363)
---------------
Net Assets -- 100.0% .......................................................... $ 446,760,992
===============
PORTFOLIO FOOTNOTES:
(n) Non-income producing security.
(l) All or a portion of this security is on loan.
(y) The rate shown represents an annualized yield at time of purchase.
(a) SEC Rule 144A restriction.
(k) As of December 31, 2005, the International Growth Series had five securites representing $8,189,787
and 5.8% of net assets that were fair valued in accordance with the policies adopted by the Board of
Trustees.
(k) As of December 31, 2005, the Massachusetts Investors Growth Stock Series had one security
representing $1,576,971 and 0.3% of net assets that was fair valued in accordance with the policies
adopted by the Board of Trustees.
(k) As of December 31, 2005, the Mid Cap Value Series had one security representing $268,400 and 1.0% of
net assets that was fair valued in accordance with the policies adopted by the Board of Trustees.
(k) As of December 31, 2005, the Research International Series had nine securities representing
$16,125,523 and 8.7% of net assets that were fair valued in accordance with the policies adopted by
the Board of Trustees.
(k) As of December 31, 2005, the Technology Series had one security representing $576,432 and 2.6% of net
assets that was fair valued in accordance with the policies adopted by the Board of Trustees.
The following abbreviations are used in the Portfolio of Investments and are defined:
ADR American Depository Receipt
GDR Global Depository Receipt
IPS International Preference Stock
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES -- December 31, 2005
Capital Core International
Opportunities Equity Growth
Series Series Series
------------- ------------- -------------
Assets:
Investments --
Unaffiliated issuers, at identified cost ........... $ 207,920,099 $ 83,911,863 $ 131,418,941
Unrealized appreciation (depreciation) ............. 11,224,697 11,079,545 27,633,162
------------- ------------- -------------
Total investments, at value (including securities
loaned of $8,173,935, $4,926,451, $16,337,640,
$19,209,012, $--, and $70,540,496, respectively) $ 219,144,796 $ 94,991,408 $ 159,052,103
Cash ................................................. 1,765 -- 345
Foreign currency, at value (identified cost, $--, $--,
$1,435,367, $--, $-- and, $--, respectively) ....... -- -- 1,382,629
Receivable for investments sold ...................... 2,290,008 1,271,472 156,563
Receivable for series shares sold .................... 1,955 -- 2,443
Interest and dividends receivable .................... 221,487 124,049 158,505
Receivable from investment adviser ................... -- -- --
Other assets ......................................... 574 42 154
------------- ------------- -------------
Total assets ..................................... $ 221,660,585 $ 96,386,971 $ 160,752,742
============= ============= =============
Liabilities:
Payable to custodian ................................. $-- $ 37,927 $--
Payable for investments purchased .................... 1,119,825 470,647 2,914,779
Payable for series shares reacquired ................. 172,925 71,153 146,117
Collateral for securities loaned, at value ........... 8,483,649 5,053,618 17,133,606
Payable to affiliates --
Management fee ..................................... 8,738 3,751 6,990
Distribution fee ................................... 209 138 266
Administrative services fee ........................ 186 80 124
Accrued expenses and other liabilities ............... 65,321 49,540 114,824
------------- ------------- -------------
Total liabilities ................................ $ 9,850,853 $ 5,686,854 $ 20,316,706
------------- ------------- -------------
Net assets ............................................. $ 211,809,732 $ 90,700,117 $ 140,436,036
============= ============= =============
Net assets consist of:
Paid-in capital ...................................... $ 497,297,249 $ 81,868,927 $ 100,490,471
Unrealized appreciation (depreciation) on investments
and translation of assets and liabilities in foreign
currencies (net of deferred country tax of $--, $--,
$32,341, $--, $--, and $--, respectively) .......... 11,224,697 11,079,546 27,544,778
Accumulated net realized gain (loss) on investments
and foreign currency transactions .................. (297,690,347) (2,771,098) 11,458,215
Undistributed net investment income .................. 978,133 522,742 942,572
------------- ------------- -------------
Total ............................................ $ 211,809,732 $ 90,700,117 $ 140,436,036
============= ============= =============
Net Assets:
Initial Class ........................................ $ 196,612,016 $ 80,710,096 $ 121,147,174
Service Class ........................................ 15,197,716 9,990,021 19,288,862
------------- ------------- -------------
Total ............................................ $ 211,809,732 $ 90,700,117 $ 140,436,036
============= ============= =============
Shares of beneficial interest outstanding:
Initial Class ........................................ 14,684,799 5,326,856 7,856,058
Service Class ........................................ 1,139,811 662,240 1,255,696
------------- ------------- -------------
Total ............................................ 15,824,610 5,989,096 9,111,754
============= ============= =============
Initial Class
Net asset value per share
(net assets / shares of beneficial interest
outstanding) ....................................... $ 13.39 $ 15.15 $ 15.42
============= ============= =============
Service Class
Net asset value per share
(net assets / shares of beneficial interest
outstanding) ....................................... $ 13.33 $ 15.09 $ 15.36
============= ============= =============
Massachusetts Mid Cap New
Investors Growth Value Discovery
Stock Series Series Series
------------- ------------- -------------
Assets:
Investments --
Unaffiliated issuers, at identified cost ........... $ 489,567,962 $ 24,590,257 $ 349,927,902
Unrealized appreciation (depreciation) ............. 14,412,542 1,510,961 29,751,171
------------- ------------- -------------
Total investments, at value (including securities
loaned of $8,173,935, $4,926,451, $16,337,640,
$19,209,012, $--, and $70,540,496, respectively) $ 503,980,504 $ 26,101,218 $ 379,679,073
Cash ................................................. 239,477 2,891 381
Foreign currency, at value (identified cost, $--, $--,
$1,435,367, $--, $-- and, $--, respectively) ....... -- -- --
Receivable for investments sold ...................... 7,246,825 297,178 1,191,417
Receivable for series shares sold .................... 24,466 32,590 191,755
Interest and dividends receivable .................... 353,874 25,354 56,765
Receivable from investment adviser ................... -- 13,052 --
Other assets ......................................... 7,420 -- --
------------- ------------- -------------
Total assets ..................................... $ 511,852,566 $ 26,472,283 $ 381,119,391
============= ============= =============
Liabilities:
Payable to custodian ................................. $-- $-- $--
Payable for investments purchased .................... 6,691,026 400,125 436,930
Payable for series shares reacquired ................. 297,620 -- 105,643
Collateral for securities loaned, at value ........... 19,662,902 -- 72,360,641
Payable to affiliates --
Management fee ..................................... 20,067 1,088 15,512
Distribution fee ................................... 1,229 432 2,046
Administrative services fee ........................ 427 23 272
Accrued expenses and other liabilities ............... 83,064 46,866 60,505
------------- ------------- -------------
Total liabilities ................................ $ 26,756,335 $ 448,534 $ 72,981,549
------------- ------------- -------------
Net assets ............................................. $ 485,096,231 $ 26,023,749 $ 308,137,842
============= ============= =============
Net assets consist of:
Paid-in capital ...................................... $ 879,663,925 $ 21,480,609 $ 318,986,351
Unrealized appreciation (depreciation) on investments
and translation of assets and liabilities in foreign
currencies (net of deferred country tax of $--, $--,
$32,341, $--, $--, and $--, respectively) .......... 14,415,047 1,510,952 29,751,174
Accumulated net realized gain (loss) on investments
and foreign currency transactions .................. (409,327,207) 3,032,188 (40,599,683)
Undistributed net investment income .................. 344,466 -- --
------------- ------------- -------------
Total ............................................ $ 485,096,231 $ 26,023,749 $ 308,137,842
============= ============= =============
Net Assets:
Initial Class ........................................ $ 395,782,301 $ 30,977 $ 176,957,992
Service Class ........................................ 89,313,930 25,992,772 131,179,850
------------- ------------- -------------
Total ............................................ $ 485,096,231 $ 26,023,749 $ 308,137,842
============= ============= =============
Shares of beneficial interest outstanding:
Initial Class ........................................ 40,470,968 2,641 12,335,699
Service Class ........................................ 9,197,915 2,229,819 9,246,695
------------- ------------- -------------
Total ............................................ 49,668,883 2,232,460 21,582,394
============= ============= =============
Initial Class
Net asset value per share
(net assets / shares of beneficial interest
outstanding) ....................................... $ 9.78 $ 11.73 $ 14.35
============= ============= =============
Service Class
Net asset value per share
(net assets / shares of beneficial interest
outstanding) ....................................... $ 9.71 $ 11.66 $ 14.19
============= ============= =============
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES -- December 31, 2005 -- continued
Research Strategic Strategic
International Growth Value
Series Series Series
------------- ------------- -------------
Assets:
Investments --
Unaffiliated issuers, at identified cost ........... $ 188,904,067 $ 79,570,431 $ 10,015,589
Unrealized appreciation (depreciation) ............. 28,552,149 4,361,079 671,683
------------- ------------- -------------
Total investments, at value (including securities
loaned of $30,899,328, $6,619,742, $--,
$1,330,581, and $13,002,652, respectively) ..... $ 217,456,216 $ 83,931,510 $ 10,687,272
Cash ................................................. 2,345 904,597 145
Foreign currency, at value (identified cost,
$128,851, $--, $--, $6,422, and $--, respectively) . 131,124 -- --
Receivable for investments sold ...................... 494,350 841,838 --
Receivable for series shares sold .................... 173,253 43,593 --
Interest and dividends receivable .................... 169,334 46,681 17,699
Receivable from investment adviser ................... -- -- 17,331
------------- ------------- -------------
Total assets ..................................... $ 218,426,622 $ 85,768,219 $ 10,722,447
============= ============= =============
Liabilities:
Payable for investments purchased .................... $ 4,178 $ 1,265,403 $ 10,170
Payable for series shares reacquired ................. 57,825 100,468 5,770
Collateral for securities loaned, at value ........... 32,452,387 6,783,375 --
Payable to affiliates --
Management fee ..................................... 9,200 3,201 462
Distribution fee ................................... 1,239 564 254
Administrative services fee ........................ 164 68 9
Accrued expenses and other liabilities ............... 74,228 47,477 45,461
------------- ------------- -------------
Total liabilities ................................ $ 32,599,221 $ 8,200,556 $ 62,126
------------- ------------- -------------
Net assets ............................................. $ 185,827,401 $ 77,567,663 $ 10,660,321
============= ============= =============
Net assets consist of:
Paid-in capital ...................................... $ 142,833,234 $ 119,964,836 $ 9,430,433
Unrealized appreciation (depreciation) on investments
and translation of assets and liabilities in
foreign currencies (net of deferred country tax of
$10,258, $--, $--, $--, and $--, respectively) ..... 28,543,762 4,361,079 671,683
Accumulated net realized gain (loss) on investments
and foreign currency transactions .................. 13,110,547 (46,758,252) 506,213
Undistributed net investment income .................. 1,339,858 -- 51,992
------------- ------------- -------------
Total ............................................ $ 185,827,401 $ 77,567,663 $ 10,660,321
============= ============= =============
Net Assets:
Initial Class ........................................ $ 95,751,663 $ 36,491,795 $ 8,888
Service Class ........................................ 90,075,738 41,075,868 10,651,433
------------- ------------- -------------
Total ............................................ $ 185,827,401 $ 77,567,663 $ 10,660,321
============= ============= =============
Shares of beneficial interest outstanding:
Initial Class ........................................ 5,720,821 4,708,633 869
Service Class ........................................ 5,421,757 5,342,578 1,047,088
------------- ------------- -------------
Total ............................................ 11,142,578 10,051,211 1,047,957
============= ============= =============
Initial Class
Net asset value per share
(net assets / shares of beneficial
interest outstanding) ............................ $ 16.74 $ 7.75 $ 10.23
============= ============= =============
Service Class
Net asset value per share
(net assets / shares of beneficial
interest outstanding) ............................ $ 16.61 $ 7.69 $ 10.17
============= ============= =============
Technology Value
Series Series
------------- -------------
Assets:
Investments --
Unaffiliated issuers, at identified cost ........... $ 21,419,867 $ 386,890,778
Unrealized appreciation (depreciation) ............. 2,065,476 72,962,577
------------- -------------
Total investments, at value (including
securities loaned of $30,899,328,
$6,619,742, $--, $1,330,581, and
$13,002,652, respectively) ..................... $ 23,485,343 $ 459,853,355
Cash ................................................. 916 114
Foreign currency, at value (identified cost,
$128,851, $--, $--, $6,422, and $--, respectively) . 6,580 --
Receivable for investments sold ...................... 357,658 27,724
Receivable for series shares sold .................... -- 71
Interest and dividends receivable .................... 2,384 804,817
Receivable from investment adviser ................... 12,322 --
------------- -------------
Total assets ..................................... $ 23,865,203 $ 460,686,081
============= =============
Liabilities:
Payable for investments purchased .................... $ 94,851 $ 315,119
Payable for series shares reacquired ................. 4,711 238,194
Collateral for securities loaned, at value ........... 1,364,866 13,279,135
Payable to affiliates --
Management fee ..................................... 926 18,497
Distribution fee ................................... 47 1,747
Administrative services fee ........................ 20 393
Accrued expenses and other liabilities ............... 47,083 72,004
------------- -------------
Total liabilities ................................ $ 1,512,504 $ 13,925,089
------------- -------------
Net assets ............................................. $ 22,352,699 $ 446,760,992
============= =============
Net assets consist of:
Paid-in capital ...................................... $ 57,236,767 $ 351,112,467
Unrealized appreciation (depreciation) on investments
and translation of assets and liabilities in
foreign currencies (net of deferred country tax of
$10,258, $--, $--, $--, and $--, respectively) ..... 2,065,839 72,962,302
Accumulated net realized gain (loss) on investments
and foreign currency transactions .................. (36,949,907) 16,151,153
Undistributed net investment income .................. -- 6,535,070
------------- -------------
Total ............................................ $ 22,352,699 $ 446,760,992
============= =============
Net Assets:
Initial Class ........................................ $ 18,978,024 $ 319,952,437
Service Class ........................................ 3,374,675 126,808,555
------------- -------------
Total ............................................ $ 22,352,699 $ 446,760,992
============= =============
Shares of beneficial interest outstanding:
Initial Class ........................................ 4,258,008 19,632,430
Service Class ........................................ 767,536 7,824,500
------------- -------------
Total ............................................ 5,025,544 27,456,930
============= =============
Initial Class
Net asset value per share
(net assets / shares of beneficial
interest outstanding) .............................. $ 4.46 $ 16.30
============= =============
Service Class
Net asset value per share
(net assets / shares of beneficial
interest outstanding) .............................. $ 4.40 $ 16.21
============= =============
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF OPERATIONS -- Year Ended December 31, 2005
Capital Core International
Opportunities Equity Growth
Series Series Series
------------- ------------- -------------
Net investment income (loss):
Income --
Dividends .......................................... $ 2,960,447 $ 1,349,906 $ 2,744,181
Interest ........................................... 65,181 31,780 44,728
Income on securities loaned ........................ 28,569 14,113 89,892
Foreign taxes withheld ............................. (27,567) (10,964) (200,400)
------------- ------------- -------------
Total investment income ................................ $ 3,026,630 $ 1,384,835 $ 2,678,401
------------- ------------- -------------
Expenses --
Management fee ..................................... $ 1,744,759 $ 674,889 $ 1,213,606
Distribution fee ................................... 38,744 23,713 45,107
Administrative services fee ........................ 40,765 15,868 23,759
Independent trustees' compensation ................. 25,028 12,413 13,430
Custodian fee ...................................... 88,366 37,117 188,310
Printing ........................................... 46,201 11,928 23,020
Auditing fees ...................................... 43,618 42,151 45,467
Legal fees ......................................... 6,601 6,849 7,025
Miscellaneous ...................................... 23,856 12,635 25,469
------------- ------------- -------------
Total expenses ......................................... $ 2,057,938 $ 837,563 $ 1,585,193
Fees paid indirectly ................................... (10,754) (3,784) --
Reduction of expenses by investment adviser ............ -- -- --
------------- ------------- -------------
Net expenses ........................................... $ 2,047,184 $ 833,779 $ 1,585,193
------------- ------------- -------------
Net investment income (loss) ........................... $ 979,446 $ 551,056 $ 1,093,208
============= ============= =============
Realized and unrealized gain (loss) on investments
and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions (net of country tax of $--,
$--, $18,712, $--, $--, and $--, respectively) ....... $ 23,159,725 $ 8,781,404 $ 20,514,097
Foreign currency transactions .......................... (988) (88) (128,521)
------------- ------------- -------------
Net realized gain (loss) on investments and
foreign currency transactions ........................ $ 23,158,737 $ 8,781,316 $ 20,385,576
------------- ------------- -------------
Change in unrealized appreciation (depreciation) --
Investments (net of $--, $--, $41,685, $--, $--,
and $-- decrease in deferred country tax,
respectively) ........................................ $ (21,764,776) $ (3,678,574) $ (2,714,208)
Translation of assets and liabilities in foreign
currencies ............................................. -- 1 (60,806)
------------- ------------- -------------
Net unrealized gain (loss) on investments and
foreign currency translation ......................... $ (21,764,776) $ (3,678,573) $ (2,775,014)
------------- ------------- -------------
Net realized and unrealized gain (loss) on
investments and foreign currency ..................... $ 1,393,961 $ 5,102,743 $ 17,610,562
------------- ------------- -------------
Change in net assets from operations ................... $ 2,373,407 $ 5,653,799 $ 18,703,770
============= ============= =============
Massachusetts Mid Cap New
Investors Growth Value Discovery
Stock Series Series Series
------------- ------------- -------------
Net investment income (loss):
Income --
Dividends ............................................ $ 4,400,788 $ 302,594 $ 993,418
Interest ............................................. 452,139 10,192 149,002
Income on securities loaned .......................... 31,542 -- 148,168
Foreign taxes withheld ............................... (42,753) (657) (11,769)
------------- ------------- -------------
Total investment income ................................ $ 4,841,716 $ 312,129 $ 1,278,819
------------- ------------- -------------
Expenses --
Management fee ....................................... $ 3,788,097 $ 180,692 $ 2,653,023
Distribution fee ..................................... 214,092 60,158 280,100
Administrative services fee .......................... 88,701 4,259 52,011
Independent trustees' compensation ................... 55,417 2,566 32,942
Custodian fee ........................................ 189,803 16,804 119,016
Printing ............................................. 62,270 39 36,309
Auditing fees ........................................ 43,736 41,941 43,637
Legal fees ........................................... 12,645 6,417 7,148
Miscellaneous ........................................ 44,757 14,367 26,315
------------- ------------- -------------
Total expenses ......................................... $ 4,499,518 $ 327,243 $ 3,250,501
Fees paid indirectly ................................... (47,823) (2,647) (35,579)
Reduction of expenses by investment adviser ............ -- (26,160) --
------------- ------------- -------------
Net expenses ........................................... $ 4,451,695 $ 298,436 $ 3,214,922
------------- ------------- -------------
Net investment income (loss) ........................... $ 390,021 $ 13,693 $ (1,936,103)
============= ============= =============
Realized and unrealized gain (loss) on investments
and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions (net of country tax of $--,
$--, $18,712, $--, $--, and $--, respectively) ....... $ 43,343,935 $ 3,053,582 $ 31,398,073
Foreign currency transactions .......................... (34,369) (18) (23,047)
------------- ------------- -------------
Net realized gain (loss) on investments and
foreign currency transactions ........................ $ 43,309,566 $ 3,053,564 $ 31,375,026
------------- ------------- -------------
Change in unrealized appreciation (depreciation) --
Investments (net of $--, $--, $41,685, $--, $--,
and $-- decrease in deferred country tax,
respectively) ........................................ $ (24,206,162) $ (1,269,867) $ (14,541,677)
Translation of assets and liabilities in foreign
currencies ........................................... 717 (95) (114)
------------- ------------- -------------
Net unrealized gain (loss) on investments and
foreign currency translation ......................... $ (24,205,445) $ (1,269,962) $ (14,541,791)
------------- ------------- -------------
Net realized and unrealized gain (loss) on
investments and foreign currency ....................... $ 19,104,121 $ 1,783,602 $ 16,833,235
------------- ------------- -------------
Change in net assets from operations ................... $ 19,494,142 $ 1,797,295 $ 14,897,132
============= ============= =============
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF OPERATIONS -- Year Ended December 31, 2005 -- continued
Research Strategic Strategic
International Growth Value
Series Series Series
------------- ------------- -------------
Net investment income (loss):
Income --
Dividends ............................................ $ 3,618,479 $ 648,478 $ 186,458
Interest ............................................. 66,719 44,802 3,270
Income on securities loaned .......................... 126,067 5,961 --
Foreign taxes withheld ............................... (318,884) (7,230) (1,474)
------------- ------------- -------------
Total investment income ................................ $ 3,492,381 $ 692,011 $ 188,254
------------- ------------- -------------
Expenses --
Management fee ....................................... $ 1,430,747 $ 604,363 $ 82,187
Distribution fee ..................................... 175,670 101,198 27,374
Administrative services fee .......................... 28,153 14,171 1,933
Independent trustees' compensation ................... 17,459 7,484 1,250
Custodian fee ........................................ 218,203 33,101 7,381
Printing ............................................. 12,177 10,161 261
Auditing fees ........................................ 43,577 43,548 46,047
Legal fees ........................................... 6,952 6,444 7,019
Miscellaneous ........................................ 27,110 19,083 11,518
------------- ------------- -------------
Total expenses ......................................... $ 1,960,048 $ 839,553 $ 184,970
Fees paid indirectly ................................... (2,992) (4,153) (559)
Reduction of expenses by investment adviser ............ -- -- (48,545)
------------- ------------- -------------
Net expenses ........................................... $ 1,957,056 $ 835,400 $ 135,866
------------- ------------- -------------
Net investment income (loss) ........................... $ 1,535,325 $ (143,389) $ 52,388
============= ============= =============
Realized and unrealized gain (loss) on investments and
foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions (net of country tax of
$98,597, $--, $--, $--, and $--, respectively) ... $ 20,473,982 $ 5,454,401 $ 555,994
Foreign currency transactions ...................... (137,631) 984 --
------------- ------------- -------------
Net realized gain (loss) on investments and
foreign currency transactions .................. $ 20,336,351 $ 5,455,385 $ 555,994
------------- ------------- -------------
Change in unrealized appreciation (depreciation) --
Investments (net of $74,004, $--, $--, $--, and $--
decrease in deferred country tax, respectively) .. $ 4,060,989 $ (4,494,996) $ (705,533)
Translation of assets and liabilities in foreign
currencies ...................................... 401 (136) --
============= ============= =============
Net unrealized gain (loss) on investments and
foreign currency translation ................... $ 4,061,390 $ (4,495,132) $ (705,533)
------------- ------------- -------------
Net realized and unrealized gain (loss) on
investments and foreign currency ............... $ 24,397,741 $ 960,253 $ (149,539)
------------- ------------- -------------
Change in net assets from operations ................... $ 25,933,066 $ 816,864 $ (97,151)
============= ============= =============
Technology Value
Series Series
---------------- ----------------
Net investment income (loss):
Income --
Dividends .......................................... $ 67,138 $ 10,607,261
Interest ........................................... 9,171 141,186
Income on securities loaned ........................ 3,100 36,987
Foreign taxes withheld ............................. (6,634) (83,154)
------------- -------------
Total investment income .......................... $ 72,775 $ 10,702,280
------------- -------------
Expenses --
Management fee ..................................... $ 169,804 $ 3,404,408
Distribution fee ................................... 8,026 306,752
Administrative services fee ........................ 3,974 80,076
Independent trustees' compensation ................. 6,242 46,442
Custodian fee ...................................... 14,977 183,139
Printing ........................................... 6,295 35,558
Auditing fees ...................................... 42,518 42,308
Legal fees ......................................... 6,367 6,800
Miscellaneous ...................................... 16,168 47,704
------------- -------------
Total expenses ................................... $ 274,371 $ 4,153,187
Fees paid indirectly ............................... (3,488) (8,493)
Reduction of expenses by investment adviser ........ (39,644) --
------------- -------------
Net expenses ..................................... $ 231,239 $ 4,144,694
------------- -------------
Net investment income (loss) ........................... $ (158,464) $ 6,557,586
============= =============
Realized and unrealized gain (loss) on investments and
foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions (net of country tax of $98,597,
$--, $--, $--, and $--, respectively) ............ $ 2,314,342 $ 28,460,372
Foreign currency transactions ...................... (6,383) (22,163)
------------- -------------
Net realized gain (loss) on investments and
foreign currency transactions .................. $ 2,307,959 $ 28,438,209
------------- -------------
Change in unrealized appreciation (depreciation) --
Investments (net of $74,004, $--, $--, $--, and $--
decrease in deferred country tax, respectively) . $ (1,128,287) $ (6,465,841)
Translation of assets and liabilities in foreign
currencies ....................................... 363 (2,042)
------------- -------------
Net unrealized gain (loss) on investments and
foreign currency translation ................... $ (1,127,924) $ (6,467,883)
------------- -------------
Net realized and unrealized gain (loss) on
investments and foreign currency ............... $ 1,180,035 $ 21,970,326
------------- -------------
Change in net assets from operations ................... $ 1,021,571 $ 28,527,912
============= =============
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Year Ended December 31, 2005
Capital Core International
Opportunities Equity Growth
Series Series Series
---------------- ---------------- ----------------
Change in net assets:
From operations --
Net investment income (loss) ....................... $ 979,446 $ 551,056 $ 1,093,208
Net realized gain (loss) on investments
and foreign currency transactions ................ 23,158,737 8,781,316 20,385,576
Net unrealized gain (loss) on investments
and foreign currency translation ................. (21,764,776) (3,678,573) (2,775,014)
------------- ------------- -------------
Change in net assets from operations ............. $ 2,373,407 $ 5,653,799 $ 18,703,770
------------- ------------- -------------
Distributions declared to shareholders --
From net investment income (Initial Class) ......... $ (2,050,777) $ (555,472) $ (1,088,407)
From net investment income (Service Class) ......... (106,607) (42,210) (126,541)
From net realized gain on investments and foreign
currency transactions (Initial Class) ............ -- -- --
From net realized gain on investments and foreign
currency transactions (Service Class) ............ -- -- --
------------- ------------- -------------
Total distributions declared to shareholders ........... $ (2,157,384) $ (597,682) $ (1,214,948)
------------- ------------- -------------
Change in net assets from series share
transactions ....................................... $ (54,253,530) $ (7,490,675) $ (16,247,611)
------------- ------------- -------------
Total change in net assets ......................... $ (54,037,507) $ (2,434,558) $ 1,241,211
Net assets --
At beginning of period ............................... 265,847,239 93,134,675 139,194,825
------------- ------------- -------------
At end of period ..................................... $ 211,809,732 $ 90,700,117 $ 140,436,036
============= ============= =============
Undistributed net investment income included
in net assets at end of period ..................... $ 978,133 $ 522,742 $ 942,572
============= ============= =============
Massachusetts Mid Cap New
Investors Growth Value Discovery
Stock Series Series Series
---------------- ---------------- ----------------
Change in net assets:
From operations --
Net investment income (loss) ....................... $ 390,021 $ 13,693 $ (1,936,103)
Net realized gain (loss) on investments
and foreign currency transactions ................ 43,309,566 3,053,564 31,375,026
Net unrealized gain (loss) on investments
and foreign currency translation ................. (24,205,445) (1,269,962) (14,541,791)
------------- ------------- -------------
Change in net assets from operations ............. $ 19,494,142 $ 1,797,295 $ 14,897,132
------------- ------------- -------------
Distributions declared to shareholders --
From net investment income (Initial Class) ......... $ (2,166,960) $-- $--
From net investment income (Service Class) ......... (241,775) -- --
From net realized gain on investments and foreign
currency transactions (Initial Class) ............ -- (3,404) --
From net realized gain on investments and foreign
currency transactions (Service Class) ............ -- (2,858,933) --
------------- ------------- -------------
Total distributions declared to shareholders ........... $ (2,408,735) $ (2,862,337) $--
------------- ------------- -------------
Change in net assets from series share
transactions ........................................ $ (87,413,420) $ 2,581,108 $ (20,517,837)
------------- ------------- -------------
Total change in net assets ......................... $ (70,328,013) $ 1,516,066 $ (5,620,705)
Net assets --
At beginning of period ............................... 555,424,244 24,507,683 313,758,547
------------- ------------- -------------
At end of period ..................................... $ 485,096,231 $ 26,023,749 $ 308,137,842
============= ============= =============
Undistributed net investment income included
in net assets at end of period ..................... $ 344,466 $-- $--
============= ============= =============
Research Strategic Strategic
International Growth Value
Series Series Series
------------- ------------- -------------
Change in net assets:
From operations --
Net investment income (loss) ....................... $ 1,535,325 $ (143,389) $ 52,388
Net realized gain (loss) on investments
and foreign currency transactions ................ 20,336,351 5,455,385 555,994
Net unrealized gain (loss) on investments
and foreign currency translation ................. 4,061,390 (4,495,132) (705,533)
------------- ------------- -------------
Change in net assets from operations ............. $ 25,933,066 $ 816,864 $ (97,151)
------------- ------------- -------------
Distributions declared to shareholders --
From net investment income (Initial Class) ......... $ (701,713) $ (137,497) $ (83)
From net investment income (Service Class) ......... (413,921) (46,942) (81,898)
From net realized gain on investments and foreign
currency transactions (Initial Class) ............ -- -- (872)
From net realized gain on investments and foreign
currency transactions (Service Class) ........... -- -- (1,117,721)
------------- ------------- -------------
Total distributions declared to shareholders ........... $ (1,115,634) $ (184,439) $ (1,200,574)
------------- ------------- -------------
Change in net assets from series share transactions .... $ 13,397,162 $ (10,938,732) $ 352,507
------------- ------------- -------------
Total change in net assets ......................... $ 38,214,594 $ (10,306,307) $ (945,218)
Net assets --
At beginning of period ............................... 147,612,807 87,873,970 11,605,539
------------- ------------- -------------
At end of period ..................................... $ 185,827,401 $ 77,567,663 $ 10,660,321
============= ============= =============
Undistributed net investment income included in
net assets at end of period ....................... $ 1,339,858 $-- $ 51,992
============= ============= =============
Technology Value
Series Series
------------- -------------
Change in net assets:
From operations --
Net investment income (loss) ....................... $ (158,464) $ 6,557,586
Net realized gain (loss) on investments
and foreign currency transactions ................ 2,307,959 28,438,209
Net unrealized gain (loss) on investments
and foreign currency translation ................. (1,127,924) (6,467,883)
------------- -------------
Change in net assets from operations ............. $ 1,021,571 $ 28,527,912
------------- -------------
Distributions declared to shareholders --
From net investment income (Initial Class) ......... $-- $ (4,634,835)
From net investment income (Service Class) ......... -- (1,454,306)
From net realized gain on investments and foreign
currency transactions (Initial Class) ............ -- --
From net realized gain on investments and foreign
currency transactions (Service Class) ........... -- --
------------- -------------
Total distributions declared to shareholders ........... $-- $ (6,089,141)
------------- -------------
Change in net assets from series share transactions .... $ (5,373,369) $ (34,878,038)
------------- -------------
Total change in net assets ......................... $ (4,351,798) $ (12,439,267)
Net assets --
At beginning of period ............................... 26,704,497 459,200,259
------------- -------------
At end of period ..................................... $ 22,352,699 $ 446,760,992
============= =============
Undistributed net investment income included in
net assets at end of period ....................... $-- $ 6,535,070
============= =============
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Year Ended December 31, 2004
Capital Core International
Opportunities Equity Growth
Series Series Series
---------------- ---------------- ----------------
Change in net assets:
From operations --
Net investment income (loss) ...................... $2,166,554 $594,776 $1,335,041
Net realized gain (loss) on investments
and foreign currency transactions ............... 30,618,682 6,749,292 18,216,418
Net unrealized gain (loss) on investments
and foreign currency translation ................ (1,410,542) 4,644,824 2,786,774
------------ ------------ ------------
Change in net assets from operations ............ $ 31,374,694 $ 11,988,892 $ 22,338,233
------------ ------------ ------------
Distributions declared to shareholders --
From net investment income (Initial Class) ........ $(1,240,566) $(526,207) $(610,662)
From net investment income (Service Class) ........ (44,137) (43,091) (60,666)
From net realized gain on investments and foreign
currency transactions (Initial Class) ........... -- -- --
From net realized gain on investments and foreign
currency transactions (Service Class) ........... -- -- --
------------ ------------ ------------
Total distributions declared to shareholders .......... $(1,284,703) $(569,298) $(671,328)
------------ ------------ ------------
Change in net assets from series share transactions ... $(48,988,200) $(7,263,742) $(5,757,292)
------------ ------------ ------------
Total change in net assets ........................ $(18,898,209) $4,155,852 $15,909,613
Net assets:
At beginning of period .............................. 284,745,448 88,978,823 123,285,212
------------ ------------ ------------
At end of period .................................... $265,847,239 $93,134,675 $139,194,825
============ =========== ============
Undistributed net investment income included
in net assets at end of period ...................... $2,156,452 $599,139 $1,210,938
========== ======== ==========
Massachusetts Mid Cap New
Investors Growth Value Discovery
Stock Series Series Series
---------------- ---------------- ----------------
Change in net assets:
From operations --
Net investment income (loss) ....................... $ 2,410,498 $ (29,554) $ (2,115,080)
Net realized gain (loss) on investments
and foreign currency transactions ................ 34,431,854 2,864,896 29,524,810
Net unrealized gain (loss) on investments
and foreign currency translation ................. 11,792,792 1,321,014 (6,158,658)
------------- ------------- -------------
Change in net assets from operations ............. $ 48,635,144 $ 4,156,356 $ 21,251,072
------------- ------------- -------------
Distributions declared to shareholders --
From net investment income (Initial Class) ......... $ (320,560) $ (16) $--
From net investment income (Service Class) ......... -- (785) --
From net realized gain on investments and foreign
currency transactions (Initial Class) ............ -- (565) --
From net realized gain on investments and foreign
currency transactions (Service Class) ............ -- (457,174) --
------------- ------------- -------------
Total distributions declared to shareholders ........... $ (320,560) $ (458,540) $--
------------- ------------- -------------
Change in net assets from series share transactions .... $ (70,710,128) $ 4,832,063 $ 1,180,343
------------- ------------- -------------
Total change in net assets ......................... $ (22,395,544) $ 8,529,879 $ 22,431,415
Net assets:
At beginning of period ............................... 577,819,788 15,977,804 291,327,132
------------- ------------- -------------
At end of period ..................................... $ 555,424,244 $ 24,507,683 $ 313,758,547
============= ============= =============
Undistributed net investment income included
in net assets at end of period ..................... $ 2,407,630 $-- $--
============= ============= =============
Research Strategic Strategic
International Growth Value
Series Series Series
------------- ------------- -------------
Change in net assets:
From operations --
Net investment income (loss) ....................... $ 1,175,974 $ 183,723 $ 81,274
Net realized gain (loss) on investments
and foreign currency transactions ................ 16,405,951 3,034,075 1,111,025
Net unrealized gain (loss) on investments
and foreign currency translation ................. 6,809,103 2,082,510 499,217
------------- ------------- -------------
Change in net assets from operations ............. $ 24,391,028 $ 5,300,308 $ 1,691,516
------------- ------------- -------------
Distributions declared to shareholders:
From net investment income (Initial Class) ......... $ (370,243) $-- $ (26)
From net investment income (Service Class) ......... (159,924) -- (22,948)
From net realized gain on investments and foreign
currency transactions (Initial Class) ............ -- -- (160)
From net realized gain on investments and foreign
currency transactions (Service Class) ........... -- -- (200,516)
------------- ------------- -------------
Total distributions declared to shareholders ........... $ (530,167) $-- $ (223,650)
------------- ------------- -------------
Change in net assets from series share transactions .... $ 22,207,541 $ 4,260,454 $ 1,931,598
------------- ------------- -------------
Total change in net assets ......................... $ 46,068,402 $ 9,560,762 $ 3,399,464
Net assets --
At beginning of period ............................... 101,544,405 78,313,208 8,206,075
------------- ------------- -------------
At end of period ..................................... $ 147,612,807 $ 87,873,970 $ 11,605,539
============= ============= =============
Undistributed net investment income included in net
assets at end of period ............................ $ 1,112,033 $ 183,456 $ 80,978
============= ============= =============
Technology Value
Series Series
------------- -------------
Change in net assets:
From operations --
Net investment income (loss) ....................... $ (70,097) $ 6,095,063
Net realized gain (loss) on investments
and foreign currency transactions ................ 1,045,101 17,471,224
Net unrealized gain (loss) on investments
and foreign currency translation ................. (833,046) 37,767,529
------------- -------------
Change in net assets from operations ............. $ 141,958 $ 61,333,816
------------- -------------
Distributions declared to shareholders:
From net investment income (Initial Class) ......... $-- $ (4,095,008)
From net investment income (Service Class) ......... -- (1,140,200)
From net realized gain on investments and foreign
currency transactions (Initial Class) ............ -- --
From net realized gain on investments and foreign
currency transactions (Service Class) ........... -- --
------------- -------------
Total distributions declared to shareholders ........... $-- $ (5,235,208)
------------- -------------
Change in net assets from series share transactions .... $ (5,907,098) $ 8,503,289
------------- -------------
Total change in net assets ......................... $ (5,765,140) $ 64,601,897
Net assets --
At beginning of period ............................... 32,469,637 394,598,362
------------- -------------
At end of period ..................................... $ 26,704,497 $ 459,200,259
============= =============
Undistributed net investment income included in net
assets at end of period ............................ $ 2,048 $ 6,088,181
============= =============
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular share class, if shorter). Certain information reflects financial results for a single series share. The
total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series
share class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the
series' independent registered public accounting firm, whose report, together with the series' financial statements, are
included in this report.
Capital Opportunities Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
INITIAL CLASS SHARES 2005 2004 2003 2002 2001
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 13.30 $ 11.85 $ 9.27 $ 13.33 $ 20.71
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.06 $ 0.10 $ 0.05 $ 0.03 $ 0.01
Net realized and unrealized gain (loss) on
investments and foreign currency ............ 0.15 1.41 2.57 (4.08) (4.66)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.21 $ 1.51 $ 2.62 $ (4.05) $ (4.65)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.12) $ (0.06) $ (0.04) $ (0.01) $--
From net realized gain on investments and
foreign currency transactions .............. -- -- -- -- (2.73)
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................ $ (0.12) $ (0.06) $ (0.04) $ (0.01) $ (2.73)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 13.39 $ 13.30 $ 11.85 $ 9.27 $ 13.33
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 1.64 12.80(b) 28.30 (30.41) (24.93)
Ratios (%) (to average net assets) and
supplemental data:
Expenses (f) .................................. 0.86 0.84 0.84 0.82 0.79
Net investment income ......................... 0.44 0.82 0.50 0.26 0.05
Portfolio turnover (%) .......................... 91 73 64 93 109
Net assets at end of period (000 Omitted) ....... $ 196,612 $ 248,925 $ 269,630 $ 251,974 $ 501,269
Capital Opportunities Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
SERVICE CLASS SHARES 2005 2004 2003 2002 2001(i)
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 13.25 $ 11.81 $ 9.24 $ 13.31 $ 13.60
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (loss) (d) .............. $ 0.02 $ 0.07 $ 0.03 $ 0.01 $ (0.01)
Net realized and unrealized gain (loss) on
investments and foreign currency ............. 0.15 1.40 2.55 (4.07) (0.28)(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.17 $ 1.47 $ 2.58 $ (4.06) $ (0.29)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.09) $ (0.03) $ (0.01) $ (0.01) $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 13.33 $ 13.25 $ 11.81 $ 9.24 $ 13.31
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 1.31 12.52(b) 28.00 (30.54) (2.13)(n)
Ratios (%) (to average net assets) and
supplemental data:
Expenses (f) .................................. 1.11 1.09 1.09 1.07 1.04(a)
Net investment income (loss) .................. 0.19 0.60 0.26 0.09 (0.24)(a)
Portfolio turnover (%) .......................... 91 73 64 93 109
Net assets at end of period (000 Omitted) ....... $ 15,198 $ 16,922 $ 15,116 $ 10,913 $ 6,732
(i) For the period from the class' inception, August 24, 2001 (Service Class), through the stated period end.
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
(b) The series net asset value and total return calculation include a non-recurring accrual recorded as a result of an
administrat ive proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The
non-recurring accrual did not have a material impact on the net asset value per share based on the shares outstanding on
the day the proceeds were recorded.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular share class, if shorter). Certain information reflects financial results for a single series share. The
total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series
(assuming reinvestment of all distributions) held for the entire period. This information has been audited by the series'
independent registered public accounting firm, whose report, together with the series' financial statements, are included in
this report.
Core Equity Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
INITIAL CLASS SHARES 2005 2004 2003 2002 2001
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 14.32 $ 12.58 $ 9.92 $ 12.70 $ 14.62
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.09 $ 0.09 $ 0.08 $ 0.08 $ 0.09
Net realized and unrealized gain (loss) on
investments and foreign currency ............ 0.84 1.74 2.67 (2.78) (1.67)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.93 $ 1.83 $ 2.75 $ (2.70) $ (1.58)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.10) $ (0.09) $ (0.09) $ (0.08) $ (0.06)
From net realized gain on investments and
foreign currency transactions .............. -- -- -- -- (0.28)
------------ ------------ ------------ ------------ ------------
Total distributions declared to shareholders $ (0.10) $ (0.09) $ (0.09) $ (0.08) $ (0.34)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 15.15 $ 14.32 $ 12.58 $ 9.92 $ 12.70
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 6.56 14.63(b) 27.86 (21.40) (10.91)
Ratios (%) (to average net assets) and
supplemental data:
Expenses (f) .................................. 0.90 0.88 0.90 0.86 0.87
Net investment income ......................... 0.64 0.70 0.78 0.67 0.66
Portfolio turnover (%) .......................... 92 97 147 96 84
Net assets at end of period (000 Omitted) ....... $ 80,710 $ 83,219 $ 80,059 $ 64,126 $ 95,414
Core Equity Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
SERVICE CLASS SHARES 2005 2004 2003 2002 2001(i)
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 14.25 $ 12.53 $ 9.89 $ 12.69 $ 12.59
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.06 $ 0.06 $ 0.06 $ 0.05 $ 0.01
Net realized and unrealized gain (loss) on
investments and foreign currency ............ 0.84 1.72 2.65 (2.78) 0.09(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.90 $ 1.78 $ 2.71 $ (2.73) $ 0.10
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.06) $ (0.06) $ (0.07) $ (0.07) $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 15.09 $ 14.25 $ 12.53 $ 9.89 $ 12.69
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 6.39 14.29(b) 27.49 (21.59) 0.79(n)
Ratios (%) (to average net assets) and
supplemental data:
Expenses (f) .................................. 1.15 1.13 1.15 1.11 1.12(a)
Net investment income ......................... 0.39 0.45 0.53 0.49 0.19(a)
Portfolio turnover (%) .......................... 92 97 147 96 84
Net assets at end of period (000 Omitted) ....... $ 9,990 $ 9,916 $ 8,920 $ 6,428 $ 3,155
(i) For the period from the class' inception, August 24, 2001 (Service Class), through the stated period end.
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
(b) The series' net asset value and total return calculation include a non-recurring accrual recorded as a result of an
administra tive proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The
non-recurring accrual did not have a material impact on the net asset value per share based on the shares outstanding on
the day the proceeds were recorded.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular share class, if shorter). Certain information reflects financial results for a single series share. The
total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series
(assuming reinvestment of all distributions) held for the entire period. This information has been audited by the series'
independent registered public accounting firm, whose report, together with the series' financial statements, are included in
this report.
International Growth Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
INITIAL CLASS SHARES 2005 2004 2003 2002 2001
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 13.55 $ 11.46 $ 8.33 $ 9.50 $ 11.84
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.12 $ 0.13 $ 0.06 $ 0.06 $ 0.06
Net realized and unrealized gain (loss)
on investments and foreign currency ......... 1.88 2.03 3.14 (1.18) (1.89)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 2.00 $ 2.16 $ 3.20 $ (1.12) $ (1.83)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.13) $ (0.07) $ (0.07) $ (0.05) $ (0.07)
From net realized gain on investments and
foreign currency transactions .............. -- -- -- -- (0.44)
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................. $ (0.13) $ (0.07) $ (0.07) $ (0.05) $ (0.51)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 15.42 $ 13.55 $ 11.46 $ 8.33 $ 9.50
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 14.91 18.94 38.67 (11.88) (15.91)
Ratios (%) (to average net assets) and
supplemental data:
Expenses (f) .................................. 1.14 1.11 1.24 1.23 1.23
Net investment income ......................... 0.85 1.09 0.67 0.70 0.58
Portfolio turnover (%) .......................... 80 93 89 119 108
Net assets at end of period (000 Omitted) ....... $ 121,147 $ 120,913 $ 108,114 $ 88,537 $ 118,286
International Growth Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
SERVICE CLASS SHARES 2005 2004 2003 2002 2001(i)
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 13.50 $ 11.43 $ 8.31 $ 9.49 $ 9.87
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (loss) (d) .............. $ 0.08 $ 0.10 $ 0.04 $ 0.04 $ (0.02)
Net realized and unrealized gain (loss)
on investments and foreign currency ......... 1.88 2.01 3.13 (1.17) (0.36)(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 1.96 $ 2.11 $ 3.17 $ (1.13) $ (0.38)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.10) $ (0.04) $ (0.05) $ (0.05) $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 15.36 $ 13.50 $ 11.43 $ 8.31 $ 9.49
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 14.62 18.58 38.35 (12.01) (3.85)(n)
Ratios (%) (to average net assets) and
supplemental data:
Expenses (f) .................................. 1.39 1.36 1.49 1.48 1.49(a)
Net investment income (loss) .................. 0.59 0.86 0.39 0.46 (0.59)(a)
Portfolio turnover (%) .......................... 80 93 89 119 108
Net assets at end of period (000 Omitted) ....... $ 19,289 $ 18,282 $ 15,171 $ 10,449 $ 3,107
(i) For the period from the class' inception, August 24, 2001 (Service Class), through the stated period end.
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular share class, if shorter). Certain information reflects financial results for a single series share. The
total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series
share class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the
series' independent registered public accounting firm, whose report, together with the series' financial statements, are
included in this report.
Massachusetts Investors Growth Stock Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
INITIAL CLASS SHARES 2005 2004 2003 2002 2001
------------ ------------ ------------ ------------ ----------
Net asset value, beginning of period ............ $ 9.42 $ 8.60 $ 6.97 $ 9.70 $ 14.51
------------ ------------ ------------ ------------ ----------
Income (loss) from investment operations
Net investment income (loss) (d) .............. $ 0.01 $ 0.04 $ 0.01 $ (0.00)(w) $ 0.01
Net realized and unrealized gain (loss) on
investments and foreign currency ............ 0.40 0.79 1.62 (2.72) (3.46)
------------ ------------ ------------ ------------ ----------
Total from investment operations .......... $ 0.41 $ 0.83 $ 1.63 $ (2.72) $ (3.45)
------------ ------------ ------------ ------------ ----------
Less distributions declared to shareholders
From net investment income .................... $ (0.05) $ (0.01) $-- $ (0.01) $ (0.01)
From net realized gain on investments and
foreign currency transactions ............... -- -- -- -- (1.35)
------------ ------------ ------------ ------------ ----------
Total distributions declared to
shareholders ............................ $ (0.05) $ (0.01) $-- $ (0.01) $ (1.36)
------------ ------------ ------------ ------------ ----------
Net asset value, end of period .................. $ 9.78 $ 9.42 $ 8.60 $ 6.97 $ 9.70
============ ============ ============ ============ ==========
Total return (%) (k)(s) ......................... 4.37 9.61(b) 23.39 (28.05) (24.91)
Ratios (%) (to average net assets) and
supplemental data:
Expenses (f) .................................. 0.85 0.83 0.83 0.82 0.82
Net investment income (loss) .................. 0.12 0.47 0.09 (0.01) 0.12
Portfolio turnover (%) .......................... 136 139 265 207 289
Net assets at end of period (000 Omitted) ....... $ 395,782 $ 468,181 $ 504,123 $ 448,235 $ 797,118
Massachusetts Investors Growth Stock Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
SERVICE CLASS SHARES 2005 2004 2003 2002 2001(i)
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 9.35 $ 8.55 $ 6.96 $ 9.70 $ 9.65
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (loss) (d) .............. $ (0.01) $ 0.02 $ (0.01) $ (0.02) $ (0.01)
Net realized and unrealized gain (loss) on
investments and foreign currency ............ 0.40 0.78 1.60 (2.71) 0.06(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.39 $ 0.80 $ 1.59 $ (2.73) $ 0.05
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.03) $-- $-- $ (0.01) $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 9.71 $ 9.35 $ 8.55 $ 6.96 $ 9.70
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 4.15 9.36(b) 22.84 (28.17) 0.52(n)
Ratios (%) (to average net assets) and
supplemental data:
Expenses (f) .................................. 1.10 1.08 1.08 1.07 1.07(a)
Net investment income (loss) .................. (0.13) 0.25 (0.16) (0.21) (0.24)(a)
Portfolio turnover (%) .......................... 136 139 265 207 289
Net assets at end of period (000 Omitted) ....... $ 89,314 $ 87,243 $ 73,697 $ 37,109 $ 17,312
(a) Annualized.
(n) Not annualized.
(w) Per share amount was less than $0.01.
(i) For the period from the class' inception, April 24, 2001 (Service Class), through the stated period end.
(f) Ratios do not reflect reductions from fees paid indirectly.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
(d) Per share data are based on average shares outstanding.
(b) The series' net asset value and total return calculation include a non-recurring accrual recorded as a result of an
administra tive proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The
non-recurring accrual resulted in an increase in the net asset value of $0.01 per share based on shares outstanding on the
day the proceeds were recorded. Excluding the effect of this accrual from the ending net asset value per share, the Initial
Class and Service Class total returns for the year ended December 31, 2004 would have each been lower by approximately
0.13%.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular share class, if shorter). Certain information reflects financial results for a single series share. The
total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series
share class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the
series' independent registered public accounting firm, whose report, together with the series' financial statements, are
included in this report.
Mid Cap Value Series
----------------------------------------------------------------
Years Ended December 31,
----------------------------------------------------------------
2005 2004 2003 2002(c)
INITIAL CLASS SHARES ----------- ------------ ------------ ------------
Net asset value, beginning of period ......... $ 12.46 $ 10.46 $ 7.92 $ 10.00
----------- ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) .................. $ 0.04 $ 0.01 $ 0.02 $ 0.04
Net realized and unrealized gain (loss) on
investments and foreign currency ......... 0.70 2.25 2.53 (2.12)
----------- ------------ ------------ ------------
Total from investment operations ....... $ 0.74 $ 2.26 $ 2.55 $ (2.08)
----------- ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income ................. $-- $ (0.01) $ (0.01) $--
From net realized gain on investments and
foreign currency transactions ............ (1.47) (0.25) -- --
----------- ------------ ------------ ------------
Total distributions declared to
shareholders ......................... $ (1.47) $ (0.26) $ (0.01) $--
----------- ------------ ------------ ------------
Net asset value, end of period ............... $ 11.73 $ 12.46 $ 10.46 $ 7.92
=========== ============ ============ ============
Total return (%) (k)(s)(r) ................... 7.63 22.10 32.24 (20.80)(n)
Ratios (%) (to average net assets) and
supplemental data:
Expenses before expense reductions (f) ..... 1.11 1.10 1.81 8.05(a)
Expenses after expense reductions (f) ...... 1.00 1.00 0.99 1.02(a)
Net investment income ...................... 0.31 0.10 0.26 0.54(a)
Portfolio turnover (%) ....................... 142 147 109 82
Net assets at end of period (000 Omitted) .... $ 31 $ 29 $ 24 $ 18
Mid Cap Value Series
----------------------------------------------------------------
Years Ended December 31,
----------------------------------------------------------------
2005 2004 2003 2002(c)
SERVICE CLASS SHARES ----------- ------------ ------------ ------------
Net asset value, beginning of period ......... $ 12.42 $ 10.44 $ 7.93 $ 10.00
----------- ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (loss) (d) ........... $ 0.01 $ (0.02) $ 0.00(w) $ 0.04
Net realized and unrealized gain (loss) on
investments and foreign currency ......... 0.70 2.25 2.52 (2.11)
----------- ------------ ------------ ------------
Total from investment operations ....... $ 0.71 $ 2.23 $ 2.52 $ (2.07)
----------- ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income ................. $-- $ (0.00)(w) $ (0.01) $ --
From net realized gain on investments and
foreign currency transactions ............ (1.47) (0.25) -- --
----------- ------------ ------------ ------------
Total distributions declared to
shareholders .......................... $ (1.47) $ (0.25) $ (0.01) $--
----------- ------------ ------------ ------------
Net asset value, end of period ............... $ 11.66 $ 12.42 $ 10.44 $ 7.93
=========== ============ ============ ============
Total return (%) (k)(s)(r) ................... 7.40 21.75 31.90 (20.70)(n)
Ratios (%) (to average net assets) and
supplemental data:
Expenses before expense reductions (f) ..... 1.36 1.35 2.07 8.30(a)
Expenses after expense reductions (f) ...... 1.25 1.25 1.25 1.27(a)
Net investment income (loss) ............... 0.06 (0.15) 0.04 0.53(a)
Portfolio turnover (%) ....................... 142 147 109 82
Net assets at end of period (000 Omitted) .... $ 25,993 $ 24,479 $ 15,954 $ 707
(c) For the period from the commencement of the series' investment operations, May 1, 2002, through December 31, 2002.
(a) Annualized.
(n) Not annualized.
(w) Per share amount was less than $0.01.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(r) Certain expenses have been reduced without which performance would have been lower.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular share class, if shorter). Certain information reflects financial results for a single series share. The
total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series
share class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the
series' independent registered public accounting firm, whose report, together with the series' financial statements, are
included in this report.
New Discovery Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
INITIAL CLASS SHARES 2005 2004 2003 2002 2001
------------ ------------ ------------ ------------ ----------
Net asset value, beginning of period ............ $ 13.64 $ 12.69 $ 9.38 $ 14.10 $ 15.98
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment loss (d) ....................... $ (0.07) $ (0.08) $ (0.06) $ (0.07 $ (0.07)
Net realized and unrealized gain (loss) on
investments and foreign currency ............ 0.78 1.03 3.37 (4.65) (0.71)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.71 $ 0.95 $ 3.31 $ (4.72) $ (0.78)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net realized gain on investments and
foreign currency transactions ............... $-- $-- $-- $-- $ (1.10)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 14.35 $ 13.64 $ 12.69 $ 9.38 $ 14.10
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 5.21 7.49(b) 35.29 (33.43) (5.12)
Ratios (%) (to average net assets) and
supplemental data:
Expenses (f) .................................. 1.00 0.99 1.00 0.98 0.97
Net investment loss ........................... (0.56) (0.65) (0.59) (0.59) (0.49)
Portfolio turnover (%) .......................... 127 139 100 97 64
Net assets at end of period (000 Omitted) ....... $ 176,958 $ 209,503 $ 220,278 $ 177,028 $ 277,090
New Discovery Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
SERVICE CLASS SHARES 2005 2004 2003 2002 2001(i)
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 13.52 $ 12.61 $ 9.34 $ 14.08 $ 13.36
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment loss (d) ....................... $ (0.11) $ (0.11) $ (0.09) $ (0.08) $ (0.04)
Net realized and unrealized gain (loss) on
investments and foreign currency ............ 0.78 1.02 3.36 (4.66) 0.76(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.67 $ 0.91 $ 3.27 $ (4.74) $ 0.72
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 14.19 $ 13.52 $ 12.61 $ 9.34 $ 14.08
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 4.96 7.22(b) 35.01 (33.66) 5.39(n)
Ratios (%) (to average net assets) and
supplemental data:
Expenses (f) .................................. 1.26 1.24 1.24 1.23 1.22(a)
Net investment loss ........................... (0.81) (0.89) (0.84) (0.78) (0.90)(a)
Portfolio turnover (%) .......................... 127 139 100 97 64
Net assets at end of period (000 Omitted) ....... $ 131,180 $ 104,256 $ 71,049 $ 34,691 $ 10,085
(i) For the period from the class' inception, August 24, 2001 (Service Class), through the stated period end.
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
(b) The series' net asset value and total return calculation include a non-recurring accrual recorded as a result of an
administra tive proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The
non-recurring accrual did not have a material impact on the net asset value per share based on the shares outstanding on
the day the proceeds were recorded.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular share class, if shorter). Certain information reflects financial results for a single series share. The
total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series
share class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the
series' independent registered public accounting firm, whose report, together with the series' financial statements, are
included in this report.
Research International Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
INITIAL CLASS SHARES 2005 2004 2003 2002 2001
------------ ------------ ------------ ------------ ----------
Net asset value, beginning of period ............ $ 14.48 $ 12.01 $ 9.03 $ 10.22 $ 12.70
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.17 $ 0.14 $ 0.08 $ 0.06 $ 0.04
Net realized and unrealized gain (loss) on
investments and foreign currency ............. 2.21 2.39 2.96 (1.23) (2.27)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 2.38 $ 2.53 $ 3.04 $ (1.17) $ (2.23)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.12) $ (0.06) $ (0.06) $ (0.02) $ (0.09)
From net realized gain on investments and
foreign currency transactions ................ -- -- -- -- (0.16)
------------ ------------ ------------ ------------ ------------
Total distributions declared to
shareholders ............................. $ (0.12) $ (0.06) $ (0.06) $ (0.02) $ (0.25)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 16.74 $ 14.48 $ 12.01 $ 9.03 $ 10.22
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 16.56 21.20 33.86 (11.44) (17.76)
Ratios (%) (to average net assets) and
supplemental data:
Expenses (f) .................................. 1.12 1.10 1.30 1.26 1.26
Net investment income ......................... 1.11 1.11 0.83 0.61 0.36
Portfolio turnover (%) .......................... 83 102 97 136 145
Net assets at end of period (000 Omitted) ....... $ 95,752 $ 86,526 $ 74,262 $ 62,555 $ 80,738
Research International Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
SERVICE CLASS SHARES 2005 2004 2003 2002 2001(i)
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 14.39 $ 11.95 $ 9.00 $ 10.21 $ 10.76
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (loss) (d) .............. $ 0.12 $ 0.10 $ 0.03 $ 0.03 $ (0.03)
Net realized and unrealized gain (loss) on
investments and foreign currency ............. 2.19 2.39 2.96 (1.22) (0.52)(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 2.31 $ 2.49 $ 2.99 $ (1.19) $ (0.55)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.09) $ (0.05) $ (0.04) $ (0.02) $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 16.61 $ 14.39 $ 11.95 $ 9.00 $ 10.21
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 16.19 20.96 33.40 (11.66) (5.11)(n)
Ratios (%) (to average net assets) and
supplemental data:
Expenses (f) .................................. 1.37 1.36 1.57 1.51 1.51(a)
Net investment income (loss) .................. 0.78 0.78 0.33 0.35 (0.81)(a)
Portfolio turnover (%) .......................... 83 102 97 136 145
Net assets at end of period (000 Omitted) ....... $ 90,076 $ 61,087 $ 27,282 $ 5,783 $ 2,537
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
(i) For the period from the class' inception, August 24, 2001 (Service Class), through the stated period end.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular share class, if shorter). Certain information reflects financial results for a single series share. The
total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series
(assuming reinvestment of all distributions) held for the entire period. This information has been audited by the series'
independent registered public accounting firm, whose report, together with the series' financial statements, are included in
this report.
Strategic Growth Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
INITIAL CLASS SHARES 2005 2004 2003 2002 2001
------------ ------------ ------------ ------------ ----------
Net asset value, beginning of period ............ $ 7.67 $ 7.18 $ 5.63 $ 8.05 $ 10.91
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (loss) (d) .............. $ (0.00)(w)$ 0.02 $ (0.00)(w)$ (0.01) $ (0.01)
Net realized and unrealized gain (loss) on
investments and foreign currency ............. 0.11 0.47 1.55 (2.41) (2.65)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.11 $ 0.49 $ 1.55 $ (2.42) $ (2.66)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.03) $-- $-- $-- $--
From net realized gain on investments and
foreign currency transactions ................ -- -- -- -- (0.20)
------------ ------------ ------------ ------------ ------------
Total distributions declared to shareholders $ (0.03) $-- $-- $-- $ (0.20)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 7.75 $ 7.67 $ 7.18 $ 5.63 $ 8.05
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 1.40 6.82 27.53 (30.06) (24.65)
Ratios (%) (to average net assets) and
supplemental data:
Expenses (f) .................................. 0.92 0.88 0.91 0.88 0.86
Net investment income (loss) .................. (0.05) 0.31 (0.01) (0.18) (0.11)
Portfolio turnover (%) .......................... 125 74 74 98 123
Net assets at end of period (000 Omitted) ....... $ 36,492 $ 45,471 $ 47,910 $ 38,486 $ 74,471
Strategic Growth Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
SERVICE CLASS SHARES 2005 2004 2003 2002 2001(i)
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 7.61 $ 7.14 $ 5.62 $ 8.05 $ 7.95
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (loss) (d) .............. $ (0.02) $ 0.01 $ (0.01) $ (0.02) $ (0.01)
Net realized and unrealized gain (loss) on
investments and foreign currency ............. 0.11 0.46 1.53 (2.41) 0.11(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.09 $ 0.47 $ 1.52 $ (2.43) $ 0.10
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.01) $-- $-- $-- $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 7.69 $ 7.61 $ 7.14 $ 5.62 $ 8.05
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 1.17 6.58 27.05 (30.19) 1.26(n)
Ratios (%) (to average net assets) and
supplemental data:
Expenses (f) .................................. 1.17 1.13 1.16 1.13 1.11(a)
Net investment income (loss) .................. (0.30) 0.12 (0.23) (0.38) (0.27)(a)
Portfolio turnover (%) .......................... 125 74 74 98 123
Net assets at end of period (000 Omitted) ....... $ 41,076 $ 42,403 $ 30,403 $ 4,997 $ 1,989
(i) For the period from the class' inception, August 24, 2001 (Service Class), through the stated period end.
(a) Annualized.
(n) Not annualized.
(w) Per share amount was less than $0.01.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular share class, if shorter). Certain information reflects financial results for a single series share. The
total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series
share class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the
series' independent registered public accounting firm, whose report, together with the series' financial statements, are
included in this report.
Strategic Value Series
------------------------------------------------------------
Years Ended December 31,
------------------------------------------------------------
INITIAL CLASS SHARES 2005 2004 2003 2002
------------ ------------ ------------ ------------
Net asset value, beginning of period ......... $ 11.57 $ 10.05 $ 7.90 $ 10.00
----------- ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) .................. $ 0.08 $ 0.11 $ 0.07 $ 0.07
Net realized and unrealized gain (loss) on
investments and foreign currency .......... (0.18) 1.63 2.09 (2.17)
----------- ------------ ------------ ------------
Total from investment operations ....... $ (0.10) $ 1.74 $ 2.16 $ (2.10)
----------- ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income ................. $ (0.11) $ (0.04) $ (0.01) $--
From net realized gain on investments and
foreign currency transactions ........... (1.13) (0.18) -- --
----------- ------------ ------------ ------------
Total distributions declared to
shareholders .......................... $ (1.24) $ (0.22) $ (0.01) $--
----------- ------------ ------------ ------------
Net asset value, end of period ............... $ 10.23 $ 11.57 $ 10.05 $ 7.90
=========== ============ ============ ============
Total return (%) (k)(s)(r) ................... (0.39) 18.05 27.44 (21.00)(n)
Ratios (%) (to average net assets) and
supplemental data:
Expenses before expense reductions (f) ..... 1.44 1.29 1.59 6.20(a)
Expenses after expense reductions (f) ...... 1.00 0.99 1.00 1.01(a)
Net investment income ...................... 0.74 1.05 0.80 0.89(a)
Portfolio turnover (%) ....................... 60 70 38 53
Net assets at end of period (000 Omitted) .... $ 9 $ 9 $ 8 $ 6
Strategic Value Series
------------------------------------------------------------
Years Ended December 31,
------------------------------------------------------------
SERVICE CLASS SHARES 2005 2004 2003 2002(c)
------------ ------------ ------------ ------------
Net asset value, beginning of period ......... $ 11.52 $ 10.02 $ 7.90 $ 10.00
----------- ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) .................. $ 0.05 $ 0.09 $ 0.05 $ 0.06
Net realized and unrealized gain (loss) on
investments and foreign currency ......... (0.19) 1.61 2.08 (2.16)
----------- ------------ ------------ ------------
Total from investment operations ....... $ (0.14) $ 1.70 $ 2.13 $ (2.10)
----------- ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income ................. $ (0.08) $ (0.02) $ (0.01) $--
From net realized gain on investments and
foreign currency transactions ............ (1.13) (0.18) -- --
----------- ------------ ------------ ------------
Total distributions declared to
shareholders .......................... $ (1.21) $ (0.20) $ (0.01) $--
----------- ------------ ------------ ------------
Net asset value, end of period ............... $ 10.17 $ 11.52 $ 10.02 $ 7.90
=========== ============ ============ ============
Total return (%) (k)(s)(r) ................... (0.72) 17.77 27.01 (21.00)(n)
Ratios (%) (to average net assets) and
supplemental data:
Expenses before expense reductions (f) ..... 1.69 1.55 1.84 6.45(a)
Expenses after expense reductions (f) ...... 1.25 1.25 1.25 1.26(a)
Net investment income ...................... 0.48 0.82 0.56 0.81(a)
Portfolio turnover (%) ....................... 60 70 38 53
Net assets at end of period (000 Omitted) .... $ 10,651 $ 11,597 $ 8,199 $ 1,072
(c) For the period from the commencement of the series' investment operations, May 1, 2002, through December 31, 2002.
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(r) Certain expenses have been reduced without which performance would have been lower.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular share class, if shorter). Certain information reflects financial results for a single series share. The
total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series
share class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the
series' independent registered public accounting firm, whose report, together with the series' financial statements, are
included in this report.
Technology Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
INITIAL CLASS SHARES 2005 2004 2003 2002 2001
------------ ------------ ------------ ------------ ----------
Net asset value, beginning of period ............ $ 4.20 $ 4.10 $ 2.82 $ 5.22 $ 8.52
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment loss (d) ....................... $ (0.03) $ (0.01) $ (0.02) $ (0.02) $ (0.02)
Net realized and unrealized gain (loss) on
investments and foreign currency ............. 0.29 0.11 1.30 (2.38) (3.28)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.26 $ 0.10 $ 1.28 $ (2.40) $ (3.30)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $-- $-- $-- $-- $(0.00)(w)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 4.46 $ 4.20 $ 4.10 $ 2.82 $ 5.22
============ ============ ============ ============ ============
Total return (%) (k)(s)(r) ...................... 6.19 2.44(b) 45.39 (45.98) (38.87)
Ratios (%) (to average net assets) and
supplemental data:
Expenses before expense reductions (f) ........ 1.18 1.11 1.09 0.91 0.90
Expenses after expense reductions (f) ......... 1.00 1.01 1.06 0.91 0.90
Net investment loss ........................... (0.66) (0.21) (0.65) (0.61) (0.39)
Portfolio turnover (%) .......................... 196 110 191 210 310
Net assets at end of period (000 Omitted) ....... $ 18,978 $ 23,069 $ 28,376 $ 14,020 $ 33,855
Technology Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
SERVICE CLASS SHARES 2005 2004 2003 2002 2001(i)
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 4.15 $ 4.07 $ 2.80 $ 5.22 $ 5.00
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment loss (d) ....................... $ (0.04) $ (0.02) $ (0.03) $ (0.03) $ (0.02)
Net realized and unrealized gain (loss)
on investments and foreign currency ......... 0.29 0.10 1.30 (2.39) 0.24(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.25 $ 0.08 $ 1.27 $ (2.42) $ 0.22
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 4.40 $ 4.15 $ 4.07 $ 2.80 $ 5.22
============ ============ ============ ============ ============
Total return (%) (k)(s)(r) ...................... 6.02 1.97(b) 45.36 (46.36) 4.40(n)
Ratios (%) (to average net assets) and
supplemental data:
Expenses before expense reductions (f) ........ 1.43 1.36 1.33 1.16 1.15(a)
Expenses after expense reductions (f) ......... 1.25 1.26 1.30 1.16 1.15(a)
Net investment loss ........................... (0.92) (0.45) (0.91) (0.85) (0.90)(a)
Portfolio turnover (%) .......................... 196 110 191 210 310
Net assets at end of period (000 Omitted) ....... $ 3,375 $ 3,636 $ 4,094 $ 1,509 $ 947
(a) Annualized.
(n) Not annualized.
(b) The series' net asset value and total return calculation include a non-recurring accrual recorded as a result of an
administra tive proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The
non-recurring accrual did not have a material impact on the net asset value per share based on the shares outstanding on
the day the proceeds were recorded.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
(i) For the period from the class' inception, August 24, 2001 (Service Class), through the stated period end.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(r) Certain expenses have been reduced without which performance would have been lower.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
(w) Per share amount was less than $0.01.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
The financial highlights table is intended to help you understand the series' financial performance for the past 5 years (or
life of a particular share class, if shorter). Certain information reflects financial results for a single series share. The
total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the series
share class (assuming reinvestment of all distributions) held for the entire period. This information has been audited by the
series' independent registered public accounting firm, whose report, together with the series' financial statements, are
included in this report.
Value Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
INITIAL CLASS SHARES 2005 2004 2003 2002 2001
------------ ------------ ------------ ------------ ----------
Net asset value, beginning of period ............ $ 15.51 $ 13.61 $ 11.05 $ 12.88 $ 14.45
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.24 $ 0.21 $ 0.19 $ 0.19 $ 0.17
Net realized and unrealized gain (loss) on
investments and foreign currency ............ 0.77 1.87 2.56 (1.93) (0.55)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 1.01 $ 2.08 $ 2.75 $ (1.74) $ (0.38)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.22) $ (0.18) $ (0.19) $ (0.09) $ (0.75)
From net realized gain on investments and
foreign currency transactions ................ -- -- -- -- (0.44)
------------ ------------ ------------ ------------ ------------
Total distributions declared to shareholders $ (0.22) $ (0.18) $ (0.19) $ (0.09) $ (1.19)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 16.30 $ 15.51 $ 13.61 $ 11.05 $ 12.88
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 6.60 15.52(b) 25.31 (13.58) (7.46)
Ratios (%) (to average net assets) and
supplemental data:
Expenses (f) .................................. 0.85 0.83 0.84 0.83 0.85
Net investment income ......................... 1.51 1.53 1.65 1.57 1.31
Portfolio turnover (%) .......................... 22 36 57 51 63
Net assets at end of period (000 Omitted) ....... $ 319,952 $ 339,705 $ 310,818 $ 266,892 $ 288,239
Value Series
---------------------------------------------------------------------------
Years Ended December 31,
---------------------------------------------------------------------------
SERVICE CLASS SHARES 2005 2004 2003 2002 2001(i)
------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period ............ $ 15.43 $ 13.56 $ 11.01 $ 12.86 $ 13.00
------------ ------------ ------------ ------------ ------------
Income (loss) from investment operations
Net investment income (d) ..................... $ 0.20 $ 0.18 $ 0.16 $ 0.17 $ 0.05
Net realized and unrealized gain (loss) on
investments and foreign currency ............ 0.77 1.85 2.56 (1.93) (0.19)(g)
------------ ------------ ------------ ------------ ------------
Total from investment operations .......... $ 0.97 $ 2.03 $ 2.72 $ (1.76) $ (0.14)
------------ ------------ ------------ ------------ ------------
Less distributions declared to shareholders
From net investment income .................... $ (0.19) $ (0.16) $ (0.17) $ (0.09) $--
------------ ------------ ------------ ------------ ------------
Net asset value, end of period .................. $ 16.21 $ 15.43 $ 13.56 $ 11.01 $ 12.86
============ ============ ============ ============ ============
Total return (%) (k)(s) ......................... 6.34 15.18(b) 25.09 (13.77) (1.08)(n)
Ratios (%) (to average net assets) and
supplemental data:
Expenses (f) .................................. 1.10 1.08 1.09 1.08 1.11(a)
Net investment income ......................... 1.27 1.28 1.39 1.41 1.00(a)
Portfolio turnover (%) .......................... 22 36 57 51 63
Net assets at end of period (000 Omitted) ....... $ 126,809 $ 119,496 $ 83,780 $ 46,646 $ 16,481
(i) For the period from the class' inception, August 24, 2001 (Service Class), through the stated period end.
(a) Annualized.
(n) Not annualized.
(d) Per share data are based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly.
(b) The series' net asset value and total return calculation include a non-recurring accrual recorded as a result of an
administra tive proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The
non-recurring accrual did not have a material impact on the net asset value per share based on the shares outstanding on
the day the proceeds were recorded.
(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the
total return figures for all periods shown.
(g) The per share amount is not in accordance with the net realized and unrealized gain/loss for the period because of the
timing of sales of series shares and the amount of per share realized and unrealized gains and losses at such time.
(s) From time to time the series may receive proceeds from litigation settlements, without which performance would be lower.
See notes to financial statements.
MFS/SUN LIFE SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
(1) BUSINESS AND ORGANIZATION The Trust is organized as a Massachusetts business
trust and is registered under the Investment Company Act of 1940, as amended
(the "1940 Act"), as an open-end management investment company consisting of
twenty-eight separate series (the series) of shares: Bond Series, Capital
Appreciation Series, Capital Opportunities Series*, Core Equity Series*,
Emerging Growth Series, Emerging Market Equity Series, Global Governments
Series, Global Growth Series, Global Total Return Series, Government Securities
Series, High Yield Series, International Growth Series*, International Value
Series, Massachusetts Investors Growth Stock Series*, Massachusetts Investors
Trust Series, Mid Cap Growth Series, Mid Cap Value Series*, Money Market Series,
New Discovery Series*, Research Series, Research International Series*,
Strategic Growth Series*, Strategic Income Series, Strategic Value Series*,
Technology Series*, Total Return Series, Utilities Series, and Value Series*.
The shares of each series are sold only to variable accounts established by Sun
Life Assurance Company of Canada (U.S.) and Sun Life Insurance and Annuity
Company of New York to fund benefits under variable contracts issued by such
companies.
The series denoted with an asterisk above are included within these financial
statements.
(2) SIGNIFICANT ACCOUNTING POLICIES
General - The preparation of financial statements in conformity with U.S.
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities, and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates. Certain
series can invest in foreign securities, including securities of emerging market
issuers. Investments in foreign securities are vulnerable to the effects of
changes in the relative values of the local currency and the U.S. dollar and to
the effects of changes in each country's legal, political, and economic
environment. The markets of emerging markets countries are generally more
volatile than the markets of developed countries with more mature economies. All
of the risks of investing in foreign securities previously described are
heightened when investing in emerging markets countries.
Investment Valuations - Equity securities, including restricted equity
securities, are generally valued at the last sale or official closing price as
reported by an independent pricing service on the market or exchange on which
they are primarily traded. For securities for which there were no sales during
the day, equity securities are generally valued at the last quoted bid price as
reported by an independent pricing service on the market or exchange on which
they are primarily traded. Debt instruments (other than short-term instruments),
including restricted debt instruments, are generally valued at an evaluated bid
price as reported by an independent pricing service. Values of debt instruments
obtained from pricing services can utilize both dealer- supplied valuations and
electronic data processing techniques which take into account factors such as
institutional-size trading in similar groups of securities, yield, quality,
coupon rate, maturity, type of issue, trading characteristics and other market
data. Short-term instruments with a maturity at issuance of 365 days or less are
generally valued at amortized cost, which approximates market value. Open-end
investment companies are generally valued at their net asset value per share.
Securities and other assets generally valued on the basis of information from an
independent pricing service may also be valued on the basis of information from
brokers and dealers. The values of foreign securities and other assets and
liabilities expressed in foreign currencies are converted to U.S. dollars based
upon exchange rates provided by an independent source. When pricing-service
information or market quotations are not readily available, securities are
priced at fair value as determined under the direction of the Board of Trustees.
For example, in valuing securities that trade principally on foreign markets,
events reasonably determined to be significant (such as certain movements in the
U.S. securities market, or other regional and local developments) may occur
between the time that foreign markets close (where the security is principally
traded) and the series' valuation time that may impact the value of securities
traded in these foreign markets. In these cases, the series may utilize
information from an external vendor or other sources to adjust closing market
prices of foreign equity securities to reflect what it believes to be the fair
value of the securities as of the series' valuation time. Fair valuation of
foreign equity securities may occur frequently based on an assessment that
events which occur on a fairly regular basis (such as U.S. market movements) are
significant.
Repurchase Agreements - Each series may enter into repurchase agreements with
institutions that the series' investment adviser has determined are
creditworthy. Each repurchase agreement is recorded at cost. Each series
requires that the securities collateral in a repurchase transaction be
transferred to the custodian in a manner sufficient to enable the series to
obtain those securities in the event of a default under the repurchase
agreement. Each series monitors, on a daily basis, the value of the collateral
to ensure that its value, including accrued interest, is greater than amounts
owed to the series under each such repurchase agreement. Each series, along with
other affiliated entities of Massachusetts Financial Services Company (MFS), may
utilize a joint trading account for the purpose of entering into one or more
repurchase agreements.
Foreign Currency Translation - Purchases and sales of foreign investments,
income, and expenses are converted into U.S. dollars based upon currency
exchange rates prevailing on the respective dates of such transactions. Gains
and losses attributable to foreign currency exchange rates on sales of
securities are recorded for financial statement purposes as net realized gains
and losses on investments. Gains and losses attributable to foreign exchange
rate movements on income and expenses are recorded for financial statement
purposes as foreign currency transaction gains and losses. That portion of both
realized and unrealized gains and losses on investments that results from
fluctuations in foreign currency exchange rates is not separately disclosed.
Security Loans - State Street Bank and Trust Company ("State Street"), as
lending agent, may loan the securities of each series to certain qualified
institutions (the "Borrowers") approved by the series. The loans are
collateralized at all times by cash and/or U.S. Treasury securities in an amount
at least equal to the market value of the securities loaned. State Street
provides each series with indemnification against Borrower default. Each series
bears the risk of loss with respect to the investment of cash collateral. On
loans collateralized by cash, the cash collateral is invested in a money market
fund or short-term securities. A portion of the income generated upon investment
of the collateral is remitted to the Borrowers, and the remainder is allocated
between the series and the lending agent. On loans collateralized by U.S.
Treasury securities, a fee is received from the Borrower, and is allocated
between the series and the lending agent. The dividend and interest income
earned on the securities loaned is accounted for in the same manner as other
dividend and interest income.
Investment Transactions and Income - Investment transactions are recorded on the
trade date. Interest income is recorded on the accrual basis. All premium and
discount is amortized or accreted for financial statement purposes in accordance
with U.S. generally accepted accounting principles. All discount is accreted for
tax reporting purposes as required by federal income tax regulations. Dividends
received in cash are recorded on the ex-dividend date. Certain dividends from
foreign securities will be recorded as soon as each series is informed of the
dividend if such information is obtained subsequent to the ex-dividend date.
Dividend and interest payments received in additional securities are recorded on
the ex-dividend or ex-interest date in an amount equal to the value of the
security on such date.
Each series may receive proceeds from litigation settlements involving its
portfolio holdings. Any proceeds received are reflected in realized gain/loss in
the Statements of Operations, or in unrealized gain/loss if the security is
still held by the series.
Fees Paid Indirectly - Certain series' custody fees are reduced according to an
arrangement that measures the value of cash deposited with the custodian by the
series. During the year ended December 31, 2005, certain series' custodian fees
were reduced under this arrangement as noted below. Certain series have entered
into a commission recapture agreement, under which certain brokers will credit
the series a portion of the commissions generated, to offset certain expenses of
the series. For the year ended December 31, 2005, certain series' custodian
expenses were reduced under this agreement as noted below. These amounts are
shown as a reduction of total expenses on the Statements of Operations.
Massachusetts
Capital Core International Investors
Opportunities Equity Growth Growth Stock
Series Series Series Series
- ------------------------------------------------------------------------------------------------------------------------==
Balance credits .............................................. $ 1,139 $ 1,124 $ -- $10,480
Commission recapture credits ................................. 9,615 2,660 -- 37,343
------- ------- ------ -------
Total ........................................................ $10,754 $ 3,784 $ -- $47,823
------- ------- ------ -------
Mid Cap New Research Strategic
Value Discovery International Growth
Series Series Series Series
- ------------------------------------------------------------------------------------------------------------------------
Balance credits .............................................. $ -- $7,739 $1,632 $ 1,250
Commission recapture credits ................................. 2,647 27,840 1,360 2,903
------- ------- ------ -------
Total ........................................................ $ 2,647 $35,579 $2,992 $ 4,153
------- ------- ------ -------
Strategic
Value Technology Value
Series Series Series
- ------------------------------------------------------------------------------------------------------------------------
Balance credits ............................................................ $ -- $ 524 $ 5,917
Commission recapture credits ............................................... 559 2,964 2,576
------- ------ -------
Total ...................................................................... $ 559 $3,488 $ 8,493
------- ------ -------
Tax Matters and Distributions - Each series intends to continue to qualify as
a regulated investment company, as defined under Subchapter M of the Internal
Revenue Code, and to distribute all of its taxable income, including realized
capital gains. Accordingly, no provision for federal income tax is required in
the financial statements. Foreign taxes, if any, have been accrued by the
series in the accompanying financial statements.
Distributions to shareholders are recorded on the ex-dividend date. Income and
capital gain distributions are determined in accordance with income tax
regulations, which may differ from generally accepted accounting principles.
Certain capital accounts in the financial statements are periodically adjusted
for permanent differences in order to reflect their tax character. These
adjustments have no impact on net assets or net asset value per share.
Temporary differences which arise from recognizing certain items of income,
expense, gain or loss in different periods for financial statements and tax
purposes will reverse at some time in the future. Distributions in excess of
net investment income or net realized gains are temporary overdistributions
for financial statement purposes resulting from differences in the recognition
or classification of income for financial statement and tax purposes.
Book/tax differences primarily relate to net operating losses, real estate
investment trusts, passive foreign investment companies, wash sale loss
deferrals, and foreign currency transactions.
The tax character of distributions declared to shareholders is as follows:
Capital Opportunities International Growth
Series Core Equity Series Series
-------------------------- -------------------------- --------------------------
Year Ended December 31, Year Ended December 31, Year Ended December 31,
-------------------------- -------------------------- --------------------------
2005 2004 2005 2004 2005 2004
- -----------------------------------------------------------------------------------------------------------------------------------
Ordinary income (including any short-term
capital gains) .............................. $2,157,384 $1,284,703 $597,682 $569,298 $1,214,948 $671,328
========== ========== ========== ======== ========== ========
Massachusetts Investors
Growth Stock Series Mid Cap Value Series New Discovery Series
-------------------------- -------------------------- --------------------------
Years Ended December 31, Years Ended December 31, Years Ended December 31,
-------------------------- -------------------------- --------------------------
2005 2004 2005 2004 2005 2004
- -----------------------------------------------------------------------------------------------------------------------------------
Ordinary income (including any short-term
capital gains) .............................. $2,408,735 $320,560 $2,449,607 $432,782 $-- $--
Long-term capital gain ........................ -- -- 412,730 25,758 -- --
------------ ------------ ------------ ------------ ------------ ------------
Total distributions ........................... $2,408,735 $320,560 $2,862,337 $458,540 $-- $--
========== ========== ========== ======== ========== ========
Research International
Series Strategic Growth Series Strategic Value Series
-------------------------- -------------------------- --------------------------
Years Ended December 31, Years Ended December 31, Years Ended December 31,
-------------------------- -------------------------- --------------------------
2005 2004 2005 2004 2005 2004
- -----------------------------------------------------------------------------------------------------------------------------------
Ordinary income (including any short-term
capital gains)(1) ........................... $1,115,634 $530,167 $184,439 $-- $598,886 $194,355
Long-term capital gain ........................ -- -- -- -- 601,688 29,295
------------ ------------ ------------ ------------ ------------ ------------
Total distributions ........................... $1,115,634 $530,167 $184,439 $-- $1,200,574 $223,650
========== ========== ========== ======== ========== ========
Technology Series Value Series
-------------------------- --------------------------
Years Ended December 31, Years Ended December 31,
-------------------------- --------------------------
2005 2004 2005 2004
- -------------------------------------------------------------------------------------------------------
Ordinary income (including any short-term
capital gains) .............................. $-- $-- $6,089,141 $5,235,208
------------ ------------ ------------ ------------
(1) Included in Strategic Growth Series' distributions from ordinary income is $983 in excess of investment company taxable
income, which in accordance with applicable U.S. tax law, is taxable to shareholders as ordinary income distributions.
As of December 31, 2005, the federal tax cost and the tax basis components of distributable earnings were as follows:
Massachusetts
Capital Core International Investors
Opportunities Equity Growth Growth
Series Series Series Stock Series
- ----------------------------------------------------------------------------------------------------------------------------------
Cost of investments ................................................ $210,480,325 $ 84,145,342 $131,563,795 $501,119,016
------------ ------------ ------------ ------------
Gross appreciation ................................................. $13,403,891 $12,501,195 $28,817,304 $14,120,893
Gross depreciation ................................................. (4,739,420) (1,655,129) (1,328,996) (11,259,405)
------------ ------------ ------------ ------------
Net unrealized appreciation (depreciation) ......................... $ 8,664,471 $ 10,846,066 $ 27,488,308 $ 2,861,488
============ ============ ============ ============
Undistributed ordinary income ...................................... $978,133 $522,742 $956,570 $344,466
Undistributed long-term capital gain ............................... -- -- 11,591,730 --
Capital loss carryforwards ......................................... (294,991,159) (2,536,056) -- (397,650,193)
Other temporary differences ........................................ (138,962) (1,562) (91,043) (123,455)
Mid Cap New Research Strategic
Value Discovery International Growth
Series Series Series Series
- ----------------------------------------------------------------------------------------------------------------------------------
Cost of investments ................................................ $ 24,643,161 $350,916,608 $190,314,632 $ 79,694,765
------------ ------------ ------------ ------------
Gross appreciation ................................................. $ 2,284,581 $ 40,625,873 $ 28,289,166 $ 5,523,035
Gross depreciation ................................................. (826,524) (11,863,408) (1,147,582) (1,286,290)
------------ ------------ ------------ ------------
Net unrealized appreciation (depreciation) ......................... $ 1,458,057 4 28,762,465 4 27,141,584 $ 4,236,745
============ ============ ============ ============
Undistributed ordinary income ...................................... $1,728,464 $-- $4,589,730 $--
Undistributed long-term capital gain ............................... 1,356,628 -- 11,275,505 --
Capital loss carryforwards ......................................... -- (39,460,959) -- (46,633,918)
Other temporary differences ........................................ (9) (150,015) (12,652) --
Strategic
Value Technology Value
Series Series Series
- -------------------------------------------------------------------------------------------------------------------
Cost of investments ................................................ $10,129,383 $21,531,916 $387,512,970
----------- ----------- ------------
Gross appreciation ................................................. $ 1,096,206 $ 2,318,110 $ 85,069,688
Gross depreciation ................................................. (538,317) (364,683) (12,729,303)
----------- ----------- ------------
Net unrealized appreciation (depreciation) ......................... $ 557,889 $ 1,953,427 $ 72,340,385
=========== =========== ============
Undistributed ordinary income ...................................... $ 325,609 $ -- $ 6,535,070
Undistributed long-term capital gain ............................... 535,057 -- 16,773,345
Capital loss carryforwards ......................................... -- (36,835,502) --
Post-October capital loss deferral ................................. (188,667) -- --
Other temporary differences ........................................ -- (1,993) (275)
As of December 31, 2005, the following series had available capital loss
carryforwards to offset future realized gains. Such losses expire as follows:
Massachusetts
Capital Core Investors
Opportunities Equity Growth
EXPIRATION DATE Series Series Stock Series
- --------------------------------------------------------------------------------------------------------------------
December 31, 2009 .................................................. $(148,630,607) $ -- $(222,142,244)
December 31, 2010 .................................................. (146,360,552) (2,536,056) (175,507,949)
------------- ------------ -------------
Total .............................................................. $(294,991,159) $ (2,536,056) $(397,650,193)
------------- ------------ -------------
New Strategic
Discovery Growth
Series Series
- ------------------------------------------------------------------------------------------------------
December 31, 2009 .................................................. $ -- $(26,744,704)
December 31, 2010 .................................................. (39,460,959) (17,626,481)
December 31, 2011 .................................................. -- (2,262,733)
------------ ------------
Total .............................................................. $(39,460,959) $(46,633,918)
------------ ------------
Technology
Series(1)
- --------------------------------------------------------------------------------------
December 31, 2008 .................................................. $(1,288,522)
December 31, 2009 .................................................. (19,044,910)
December 31, 2010 .................................................. (16,502,070)
------------
Total .............................................................. $(36,835,502)
------------
(1) The availability of a portion of the capital loss carryforwards, which were acquired on September 5, 2003 in connection
with the Global Telecommunications Series merger, may be limited in a given year.
Multiple Classes of Shares of Beneficial Interest - Each series offers
multiple classes of shares, which differ in their respective distribution
fees. All shareholders bear the common expenses of the series based on daily
net assets of each class, without distinction between share classes. Dividends
are declared separately for each class. Differences in per share dividend
rates are generally due to differences in separate class expenses.
(3) TRANSACTIONS WITH AFFILIATES
Investment Adviser - Each series has an investment advisory agreement with MFS
to provide overall investment advisory and administrative services, and
general office facilities. The management fee is computed daily and paid
monthly at an annual rate based on a percentage of each series' average daily
net assets as follows:
Capital Opportunities Series: The management fee is 0.75% of the first $300
million of average daily net assets and 0.675% of average daily net assets in
excess of $300 million.
Core Equity Series: Prior to September 1, 2005, the management fee was 0.75%
of the series' average daily net assets. Effective September 1, 2005,
the management fee is 0.75% of the first $1 billion of average daily net
assets and 0.65% of average daily net assets in excess of $1 billion. The
investment adviser has contractually agreed to reduce its fee to 0.65% in
excess of $500 million for the period September 1, 2005 through
April 30, 2007. This reduction of the management fee may be rescinded by MFS
only with the approval of the series' Board of Trustees.
International Growth Series: The management fee is 0.90% of the first $1
billion of average daily net assets, 0.80% of the next $1 billion of average
daily net assets, and 0.70% of average daily net assets in excess of $2
billion.
Massachusetts Investors Growth Stock Series: The management fee is 0.75% of
average daily net assets. The investment adviser has contractually agreed to
waive its fee to 0.70% of average daily net assets in excess of $1 billion.
This reduction of the management fee may be rescinded by MFS only with the
approval of the series' Board of Trustees.
Mid Cap Value Series: Prior to September 1, 2005, the management fee was 0.75%
of the series' average daily net assets. Effective September 1, 2005, the
management fee is 0.75% of the first $1 billion of average daily net assets and
0.70% of average daily net assets in excess of $1 billion. The investment
adviser has contractually agreed to reduce its fee to 0.70% in excess of $500
million for the period September 1, 2005 through April 30, 2007. This reduction
of the management fee may be rescinded by MFS only with the approval of the
series' Board of Trustees.
New Discovery Series: Prior to September 1, 2005, the management fee was 0.90%
of the series' average daily net assets. Effective September 1, 2005, the
management fee is 0.90% of the first $1 billion of average daily net assets and
0.80% of average daily net assets in excess of $1 billion. The investment
adviser has contractually agreed to reduce its fee to 0.80% in excess of $500
million for the period September 1, 2005 through April 30, 2007. This reduction
of the management fee may be rescinded by MFS only with the approval of the
series' Board of Trustees.
Research International Series: The management fee is 0.90% of the first $1
billion of average daily net assets, 0.80% of the next $1 billion of average
daily net assets, and 0.70% of average daily net assets in excess of $2
billion.
Strategic Growth Series: Prior to September 1, 2005, the management fee was
0.75% of the series' average daily net assets. Effective September 1, 2005, the
management fee is 0.75% of the first $1 billion of average daily net assets and
0.65% of average daily net assets in excess of $1 billion. The investment
adviser has contractually agreed to reduce its fee to 0.65% in excess of $500
million for the period September 1, 2005 through April 30, 2007. This reduction
of the management fee may be rescinded by MFS only with the approval of the
series' Board of Trustees.
Strategic Value Series: Prior to September 1, 2005, the management fee was 0.75%
of the series' average daily net assets. Effective September 1, 2005, the
management fee is 0.75% of the first $1 billion of average daily net assets and
0.65% of average daily net assets in excess of $1 billion. The investment
adviser has contractually agreed to reduce its fee to 0.65% in excess of $500
million for the period September 1, 2005 through April 30, 2007. This reduction
of the management fee may be rescinded by MFS only with the approval of the
series' Board of Trustees.
Technology Series: Prior to September 1, 2005, the management fee was 0.75% of
the series' average daily net assets. Effective September 1, 2005, the
management fee is 0.75% of the first $1 billion of average daily net assets and
0.70% of average daily net assets in excess of $1 billion. The investment
adviser has contractually agreed to reduce its fee to 0.70% in excess of $500
million for the period September 1, 2005 through April 30, 2007. This reduction
of the management fee may be rescinded by MFS only with the approval of the
series' Board of Trustees.
Value Series: Prior to September 1, 2005, the management fee was 0.75% of the
series' average daily net assets. Effective September 1, 2005, the management
fee is 0.75% of the first $1 billion of average daily net assets and 0.65% of
average daily net assets in excess of $1 billion. The investment adviser has
contractually agreed to reduce its fee to 0.65% in excess of $500 million for
the period September 1, 2005 through April 30, 2007. This reduction of the
management fee may be rescinded by MFS only with the approval of the series'
Board of Trustees.
The investment adviser has agreed to pay a portion of certain series'
operating expenses, exclusive of management, distribution and certain other
fees and expenses, such that the operating expenses of these series do not
exceed the expense limitations indicated below, based on the average daily net
assets of such series. For the year ended December 31, 2005, this agreement is
reflected as a reduction of total expenses in the Statements of Operations for
these series. The management fees and expense limitations incurred for the
year ended December 31, 2005 were equivalent to an annual effective rate of
each series' average daily net assets as follows:
Effective
Management Expense
Fee Limitations
- ------------------------------------------------------------------------------
Capital Opportunities Series .................... 0.75% N/A
Core Equity Series .............................. 0.75% N/A
International Growth Series ..................... 0.90% N/A
Massachusetts Investors Growth Stock Series ..... 0.75% N/A
Mid Cap Value Series ............................ 0.75% 0.25%(a)
New Discovery Series ............................ 0.90% N/A
Research International Series ................... 0.90% N/A
Strategic Growth Series ......................... 0.75% N/A
Strategic Value Series .......................... 0.75% 0.25%(a)
Technology Series ............................... 0.75% 0.25%(a)
Value Series .................................... 0.75% N/A
(a) For the Mid Cap Value Series, Strategic Value Series, and Technology
Series, the expense reduction was $26,160, $48,545, and $39,644,
respectively.
Distributor - MFS Fund Distributors, Inc. (MFD), a wholly owned subsidiary of
MFS, is the distributor of shares of the series. The Trustees have adopted a
distribution plan for the Service Class shares pursuant to Rule 12b-1 under
the Investment Company Act of 1940.
The series' distribution plan provides that each series will pay MFD
distribution fees equal to 0.25% per annum of its average daily net assets
attributable to Service Class shares as partial consideration for services
performed and expenses incurred by MFD and financial intermediaries in
connection with the sale and distribution of the series' Service Class shares
and the sale and distribution of the variable annuity or variable life
insurance contracts investing indirectly in Service Class shares. MFD may
subsequently pay all, or a portion, of the distribution fees to financial
intermediaries.
Administrator - MFS provides certain financial, legal, shareholder
communications, compliance, and other administrative services to each series
and certain other MFS funds (the funds) for which MFS acts as investment
adviser. Under an administrative services agreement, the funds may partially
reimburse MFS the costs incurred to provide these services, subject to review
and approval by the Board of Trustees. Each fund is allocated a portion of
these administrative costs based on its size and relative average net assets.
The administrative services fee incurred for the year ended December 31, 2005
was equivalent to an annual effective rate of each series' average daily net
assets as follows:
Percent of
average daily
net assets
- --------------------------------------------------------------------------------
Capital Opportunities Series .................................. 0.0175%
Core Equity Series ............................................ 0.0176%
International Growth Series ................................... 0.0176%
Massachusetts Investors Growth Stock Series ................... 0.0176%
Mid Cap Value Series .......................................... 0.0177%
New Discovery Series .......................................... 0.0177%
Research International Series ................................. 0.0177%
Strategic Growth Series ....................................... 0.0176%
Strategic Value Series ........................................ 0.0176%
Technology Series ............................................. 0.0176%
Value Series .................................................. 0.0176%
Trustees' and Officers' Compensation - Each series pays compensation to
Independent Trustees in the form of a retainer, attendance fees, and additional
compensation to the Board chairperson. Each series does not pay compensation
directly to Trustees who are officers of the investment adviser, or to officers
of the series, all of whom receive remuneration for their services to the series
from MFS. Certain officers and Trustees of the series are officers or directors
of MFS, MFD, and MFS Service Center, Inc. (MFSC).
Other - The funds have entered into a services agreement (the Agreement) which
provides for payment of fees by the funds to Tarantino LLC in return for the
provision of services of an Independent Chief Compliance Officer (ICCO) for the
funds. The ICCO is an officer of the funds and the sole member of Tarantino LLC.
MFS has agreed to bear all expenses associated with office space, other
administrative support, and supplies provided to the ICCO. The funds can
terminate the Agreement with Tarantino LLC at any time under the terms of the
Agreement. For the year ended December 31, 2005 payments made by the series to
Tarantino LLC amounted to the following and are included in the miscellaneous
expense on the Statements of Operations:
ICCO Fee
- -------------------------------------------------------------
Capital Opportunities Series ................... $1,117
Core Equity Series ............................. 432
International Growth Series .................... 646
Massachusetts Investors Growth Stock Series .... 2,424
Mid Cap Value Series ........................... 115
New Discovery Series ........................... 1,413
Research International Series .................. 760
Strategic Growth Series ........................ 387
Strategic Value Series ......................... 53
Technology Series .............................. 109
Value Series ................................... 2,178
The series' investment adviser, MFS, was the subject of an administrative
proceeding regarding disclosure of brokerage allocation practices in connection
with fund sales. As a result, proceeds were accrued on July 28, 2004 and paid
to each series on February 16, 2005 in the following amounts:
Settlement
Amount
- ---------------------------------------------------------------
Capital Opportunities Series ................... $164,749
Core Equity Series ............................. 25,093
International Growth Series .................... --
Massachusetts Investors Growth Stock Series .... 745,769
Mid Cap Value Series ........................... 17
New Discovery Series ........................... 17,321
Research International Series .................. 1,393
Strategic Growth Series ........................ 2,248
Strategic Value Series ......................... 12
Technology Series .............................. 5,845
Value Series ................................... 75,992
(4) PORTFOLIO SECURITIES
Purchases and sales of investments, other than purchased option transactions
and short-term obligations, were as follows:
Massachusetts
Capital Core International Investors
Opportunities Equity Growth Growth
Series Series Series Stock Series
- ------------------------------------------------------------------------------------------------------------------------
Purchases
Investments (non-U.S. government securities) ................ $209,317,628 $81,473,418 $105,763,569 $670,528,402
Sales
Investments (non-U.S. government securities) ................ $271,174,951 $88,276,057 $123,457,338 $768,194,579
Mid Cap New Research Strategic
Value Discovery International Growth
Series Series Series Series
- ------------------------------------------------------------------------------------------------------------------------
Purchases
Investments (non-U.S. government securities) ................ $34,113,745 $370,415,232 $143,511,161 $99,242,614
Sales
Investments (non-U.S. government securities) ................ $34,412,453 $392,737,025 $130,906,016 $109,900,351
Strategic
Value Technology Value
Series Series Series
- ------------------------------------------------------------------------------------------------------------
Purchases
Investments (non-U.S. government securities) ................ $6,507,082 $44,211,979 $99,755,550
Sales
Investments (non-U.S. government securities) ................ $7,112,653 $49,836,938 $130,681,411
(5) SHARES OF BENEFICIAL INTEREST
Each series' Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial
interest. Transactions in series shares were as follows:
Capital Opportunities Series
--------------------------------------------------------------
Initial Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 104,269 $ 1,361,979 4,415,712 $ 54,806,074
Shares issued to shareholders in
reinvestment of distributions .............. 164,589 2,050,777 106,761 1,240,566
Shares reacquired ............................ (4,298,177) (55,880,260) (8,556,292) (105,046,939)
----------- ------------ ------------ ------------
Net change ................................... (4,029,319) $(52,467,504) (4,033,819) $(49,000,299)
=========== ============ ============ ============
Capital Opportunities Series
--------------------------------------------------------------
Service Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 72,056 $ 936,625 1,026,549 $ 12,653,823
Shares issued to shareholders in
reinvestment of distributions .............. 8,576 106,607 3,808 44,137
Shares reacquired ............................ (218,299) (2,829,258) (1,032,924) (12,685,861)
----------- ------------ ------------ ------------
Net change ................................... (137,667) $ (1,786,026) (2,567) $ 12,099
=========== ============ ============ ============
Core Equity Series
--------------------------------------------------------------
Initial Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 330,602 $ 4,742,399 2,029,961 $ 26,702,688
Shares issued to shareholders in
reinvestment of distributions .............. 40,516 555,472 42,539 526,207
Shares reacquired ............................ (857,064) (12,329,230) (2,622,663) (34,280,105)
----------- ------------ ------------ ------------
Net change ................................... (485,946) $ (7,031,359) (550,163) $ (7,051,210)
=========== ============ ============ ============
Core Equity Series
--------------------------------------------------------------
Service Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 64,342 $ 936,068 337,382 $ 4,444,074
Shares issued to shareholders in
reinvestment of distributions .............. 3,088 42,210 3,492 43,091
Shares reacquired ............................ (100,848) (1,437,594) (356,981) (4,699,697)
----------- ------------ ------------ ------------
Net change ................................... (33,418) $ (459,316) (16,107) $ (212,532)
=========== ============ ============ ============
International Growth Series
--------------------------------------------------------------
Initial Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 324,103 $ 4,406,471 15,225,467 $183,137,894
Shares issued to shareholders in
reinvestment of distributions .............. 83,531 1,088,407 54,523 610,662
Shares reacquired ............................ (1,476,056) (20,373,123) (15,787,547) (189,853,978)
----------- ------------ ------------ ------------
Net change ................................... (1,068,422) $(14,878,245) (507,557) $ (6,105,422)
=========== ============ ============ ============
International Growth Series
--------------------------------------------------------------
Service Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 128,093 $ 1,772,745 3,342,928 $ 40,124,457
Shares issued to shareholders in
reinvestment of distributions .............. 9,734 126,541 5,426 60,666
Shares reacquired ............................ (236,474) (3,268,652) (3,321,710) (39,836,993)
----------- ------------ ------------ ------------
Net change ................................... (98,647) $ (1,369,366) 26,644 $ 348,130
=========== ============ ============ ============
Massachusetts Investors Growth Stock Series
--------------------------------------------------------------
Initial Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 394,815 $ 3,703,767 15,612,964 $138,577,171
Shares issued to shareholders in
reinvestment of distributions .............. 243,752 2,166,960 37,669 320,560
Shares reacquired ............................ (9,880,601) (92,028,248) (24,566,996) (215,967,207)
----------- ------------ ------------ ------------
Net change ................................... (9,242,034) $(86,157,521) (8,916,363) $(77,069,476)
=========== ============ ============ ============
Massachusetts Investors Growth Stock Series
--------------------------------------------------------------
Service Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 906,975 $ 8,377,359 13,231,942 $115,112,187
Shares issued to shareholders in
reinvestment of distributions .............. 27,350 241,775 -- --
Shares reacquired ............................ (1,064,902) (9,875,033) (12,518,366) (108,752,839)
----------- ------------ ------------ ------------
Net change ................................... (130,577) $ (1,255,899) 713,576 $ 6,359,348
=========== ============ ============ ============
Mid Cap Value Series
--------------------------------------------------------------
Initial Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. -- $ -- $--
Shares issued to shareholders in
reinvestment of distributions .............. 331 3,404 56 581
Shares reacquired ............................ -- -- -- --
----------- ------------ ------------ ------------
Net change ................................... 331 $ 3,404 56 $ 581
=========== ============ ============ ============
Mid Cap Value Series
--------------------------------------------------------------
Service Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 367,378 $ 4,157,075 5,380,740 $ 59,003,133
Shares issued to shareholders in
reinvestment of distributions .............. 279,466 2,858,933 44,505 457,959
Shares reacquired ............................ (387,245) (4,438,304) (4,982,556) (54,629,610)
----------- ------------ ------------ ------------
Net change ................................... 259,599 $ 2,577,704 442,689 $ 4,831,482
=========== ============ ============ ============
New Discovery Series
--------------------------------------------------------------
Initial Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 360,523 $ 4,603,054 21,123,534 $268,637,935
Shares issued to shareholders in
reinvestment of distributions .............. -- -- -- --
Shares reacquired ............................ (3,388,563) (44,928,044) (23,123,423) (293,395,522)
----------- ------------ ------------ ------------
Net change ................................... (3,028,040) $(40,324,990) (1,999,889) $(24,757,587)
=========== ============ ============ ============
New Discovery Series
--------------------------------------------------------------
Service Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 2,437,511 $ 31,813,031 19,422,740 $242,942,770
Shares issued to shareholders in
reinvestment of distributions .............. -- -- -- --
Shares reacquired ............................ (902,492) (12,005,878) (17,345,955) (217,004,840)
----------- ------------ ------------ ------------
Net change ................................... 1,535,019 $ 19,807,153 2,076,785 $ 25,937,930
=========== ============ ============ ============
Research International Series
--------------------------------------------------------------
Initial Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 485,813 $ 7,172,973 3,026,313 $ 39,423,839
Shares issued to shareholders in
reinvestment of distributions .............. 50,122 701,713 31,672 370,243
Shares reacquired ............................ (790,610) (11,923,678) (3,267,193) (42,326,114)
----------- ------------ ------------ ------------
Net change ................................... (254,675) $ (4,048,992) (209,208) $ (2,532,032)
=========== ============ ============ ============
Research International Series
--------------------------------------------------------------
Service Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 1,771,273 $ 26,364,326 11,674,749 $147,609,314
Shares issued to shareholders in
reinvestment of distributions .............. 29,736 413,921 13,751 159,924
Shares reacquired ............................ (625,576) (9,332,093) (9,725,264) (123,029,665)
----------- ------------ ------------ ------------
Net change ................................... 1,175,433 $ 17,446,154 1,963,236 $ 24,739,573
=========== ============ ============ ============
Strategic Growth Series
--------------------------------------------------------------
Initial Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 218,115 $ 1,655,048 2,453,820 $ 17,830,753
Shares issued to shareholders in
reinvestment of distributions .............. 19,124 137,497 -- --
Shares reacquired ............................ (1,454,461) (10,940,500) (3,198,009) (23,034,225)
----------- ------------ ------------ ------------
Net change ................................... (1,217,222) $ (9,147,955) (744,189) $ (5,203,472)
=========== ============ ============ ============
Strategic Growth Series
--------------------------------------------------------------
Service Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 567,070 $ 4,160,821 16,633,518 $118,094,241
Shares issued to shareholders in
reinvestment of distributions .............. 6,574 46,942 -- --
Shares reacquired ............................ (800,291) (5,998,540) (15,319,716) (108,630,315)
----------- ------------ ------------ ------------
Net change ................................... (226,647) $ (1,790,777) 1,313,802 $ 9,463,926
=========== ============ ============ ============
Strategic Value Series
--------------------------------------------------------------
Initial Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. -- $ -- -- $--
Shares issued to shareholders in
reinvestment of distributions .............. 98 955 19 186
Shares reacquired ............................ -- -- -- --
----------- ------------ ------------ ------------
Net change ................................... 98 $ 955 19 $ 186
=========== ============ ============ ============
Strategic Value Series
--------------------------------------------------------------
Service Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 78,391 $ 820,532 903,807 $ 9,567,466
Shares issued to shareholders in
reinvestment of distributions .............. 123,165 1,199,619 22,943 223,464
Shares reacquired ............................ (161,095) (1,668,599) (738,361) (7,859,518)
----------- ------------ ------------ ------------
Net change ................................... 40,461 $ 351,552 188,389 $ 1,931,412
=========== ============ ============ ============
Technology Series
--------------------------------------------------------------
Initial Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 248,102 $ 1,013,724 2,538,284 $ 10,318,941
Shares reacquired ............................ (1,484,357) (5,967,365) (3,959,500) (15,745,302)
----------- ------------ ------------ ------------
Net change ................................... (1,236,255) $ (4,953,641) (1,421,216) $ (5,426,361)
=========== ============ ============ ============
Technology Series
--------------------------------------------------------------
Service Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 59,386 $ 236,567 651,183 $ 2,612,867
Shares reacquired ............................ (167,371) (656,295) (781,899) (3,093,604)
----------- ------------ ------------ ------------
Net change ................................... (107,985) $ (419,728) (130,716) $ (480,737)
=========== ============ ============ ============
Value Series
--------------------------------------------------------------
Initial Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 415,889 $ 6,481,877 8,964,734 $128,059,784
Shares issued to shareholders in
reinvestment of distributions .............. 304,923 4,634,835 306,054 4,095,008
Shares reacquired ............................ (2,991,207) (47,182,709) (10,199,972) (145,395,836)
----------- ------------ ------------ ------------
Net change ................................... (2,270,395) $(36,065,997) (929,184) $(13,241,044)
=========== ============ ============ ============
Value Series
--------------------------------------------------------------
Service Class
--------------------------------------------------------------
Year Ended Year Ended
December 31, 2005 December 31, 2004
------------------------------ ----------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------
Shares sold .................................. 645,416 $ 10,088,938 11,935,955 $166,920,642
Shares issued to shareholders in
reinvestment of distributions .............. 96,057 1,454,306 85,536 1,140,200
Shares reacquired ............................ (660,956) (10,355,285) (10,456,942) (146,316,509)
----------- ------------ ------------ ------------
Net change ................................... 80,517 $ 1,187,959 1,564,549 $ 21,744,333
=========== ============ ============ ============
(6) LINE OF CREDIT
Each series and other affiliated funds participate in a $1 billion unsecured
line of credit provided by a syndication of banks under a credit agreement.
Borrowings may be made for temporary financing needs. Interest is charged to
each series, based on its borrowings, at a rate equal to the Federal Reserve
funds rate plus 0.35%. In addition, a commitment fee, based on the average
daily, unused portion of the line of credit, is allocated among the
participating funds at the end of each calendar quarter. The commitment fee
allocated to each series for the year ended December 31, 2005 is included in
miscellaneous expense on the Statements of Operations and is as follows for
each series:
Commitment
Fee
-------------------------------------------------------
Capital Opportunities Series ................. $1,460
Core Equity Series ........................... 581
International Growth Series .................. 875
Massachusetts Investors Growth Stock Series .. 3,208
Mid Cap Value Series ......................... 158
New Discovery Series ......................... 1,894
Research International Series ................ 1,045
Strategic Growth Series ...................... 514
Strategic Value Series ....................... 71
Technology Series ............................ 133
Value Series ................................. 2,976
None of the series had any significant borrowings during the year ended
December 31, 2005.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and the Shareholders of MFS/Sun Life Series Trust:
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of MFS/Sun Life Series Trust (the "Trust"),
comprising Capital Opportunities Series, Core Equity Series, International
Growth Series, Massachusetts Investors Growth Stock Series, Mid Cap Value
Series, New Discovery Series, Research International Series, Strategic Growth
Series, Strategic Value Series, Technology Series and Value Series as of
December 31, 2005, and the related statements of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the five years in
the period then ended. These financial statements and financial highlights are
the responsibility of the Trust's management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The Trust
is not required to have, nor were we engaged to perform, an audit of its
internal control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Trust's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2005, by correspondence with the
custodian and brokers; where replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial positions of Capital
Opportunities Series, Core Equity Series, International Growth Series,
Massachusetts Investors Growth Stock Series, Mid Cap Value Series, New Discovery
Series, Research International Series, Strategic Growth Series, Strategic Value
Series, Technology Series and Value Series as of December 31, 2005, the results
of their operations for the year then ended, the changes in their net assets for
each of the two years in the period then ended, and their financial highlights
for each of the five years in the period then ended, in conformity with
accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 23, 2006
MFS/SUN LIFE SERIES TRUST
TRUSTEES AND OFFICERS -- IDENTIFICATION AND BACKGROUND
The Trustees and officers of the Trust, as of February 1, 2006, are listed below, together with their principal
occupations during the past five years. (Their titles may have varied during that period.) The address of each Trustee
and officer is 500 Boylston Street, Boston, Massachusetts 02116.
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POSITION(s) HELD TRUSTEE/OFFICER PRINCIPAL OCCUPATIONS DURING THE PAST
NAME, DATE OF BIRTH WITH FUND SINCE(1) FIVE YEARS AND OTHER DIRECTORSHIPS(2)
- -----------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES
- -----------------------------------------------------------------------------------------------------------------------------------
C. James Prieur(3) Trustee July 1999 Sun Life Assurance Company of Canada, President
(born 04/21/51) ` and Chief Operating OfficerDavid
D. Horn(3) Trustee April 1986 Private investor; Retired; Sun Life Assurance
(born 06/07/41) Company of Canada, Former Senior Vice President
and General Manager for the 1997)
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INDEPENDENT TRUSTEES
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J. Kermit Birchfield Chairman May 1997 Consultant; Century Partners, Inc.
(born 01/08/40) (investments), Managing Director; Displaytech,
Inc. (manufacturer of liquid crystal display
technology), Director
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- -----------------------------------------------------------------------------------------------------------------------------------
Robert C. Bishop Trustee May 2001 AutoImmune Inc. (pharmaceutical product
(born 01/13/43) development), Chairman, President and Chief
Executive Officer; Caliper Life Sciences Corp.
(laboratory analytical instruments), Director;
Millipore Corporation (purification/filtration
products), Director; Quintiles Transnational Corp.
(contract services to the medical industry),
Director
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- -----------------------------------------------------------------------------------------------------------------------------------
Frederick H. Dulles Trustee May 2001 Ten State Street LLP (law firm), Partner;
(born 03/12/42) McFadden, Pilkington & Ward LLP (solicitors and
registered foreign lawyers), Partner (until June
2003); Jackson & Nash, LLP (law firm), Of Counsel
(January 2000 to November 2000)
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- -----------------------------------------------------------------------------------------------------------------------------------
Marcia A. Kean Trustee April 2005 Feinstein Kean Healthcare (consulting), Chief
(born 06/30/48) Executive Officer (since December 2002), Managing
Director (January 1991 until May 2001); Ardais
Corporation (biotech products), Senior Vice
President - Commercialization (February 2002 until
2002)
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- -----------------------------------------------------------------------------------------------------------------------------------
Ronald G. Steinhart Trustee May 2001 Private investor; Bank One, Texas N.A., Vice
(born 06/15/40) Chairman and Director (January 2000 to January
2001); Bank One Corporation, Officer (until
January 2000); Carreker Corporation (consultant
and technology provider to financial
institutions), Director; Prentiss Properties Trust
(real estate investment trust), Director (until
January 2006); United Auto Group, Inc. (automotive
retailer), Director
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- -----------------------------------------------------------------------------------------------------------------------------------
Haviland Wright Trustee May 2001 Hawaii Small Business Development Center, Kaua'l
(born 07/21/48) Center, Center Director (since March 2002);
Displaytech, Inc. (manufacturer of liquid crystal
display technology), Chairman and Chief Executive
Officer 2002)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
TRUSTEE EMERITUS
- -----------------------------------------------------------------------------------------------------------------------------------
Samuel Adams Trustee Emeritus Retired
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
OFFICERS
- -----------------------------------------------------------------------------------------------------------------------------------
Maria F. Dwyer(4) President November 2005 Massachusetts Financial Services Company,
(born 12/01/58) Executive Vice President and Chief Regulatory
Officer (since March 2004); Fidelity Management &
Research Company, Vice President (prior to March
2004); Fidelity Group of Funds, President and
Treasurer (prior to March 2004)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Tracy Atkinson(4) Treasurer September 2005 Massachusetts Financial Services
(born 12/30/64) Company, Senior Vice President (since September
2004); PricewaterhouseCoopers LLP, Partner (prior
to September 2004)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Christopher R. Bohane(4) Assistant Secretary July 2005 Massachusetts Financial Services Company, Vice
(born 01/18/74) and Assistant Clerk President and Senior Counsel (since April 2003);
Kirkpatrick & Lockhart LLP (law firm), Associate
(prior to April 2003); Nvest Services Company,
Assistant 2001)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Ethan D. Corey(4) Assistant Secretary July 2005 Massachusetts Financial Services Company, Special
(born 11/21/63) and Assistant Clerk Counsel (since December 2004); Dechert LLP (law
firm), Counsel (prior to December 2004)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
David L. DiLorenzo(4) Assistant Treasurer July 2005 Massachusetts Financial Services Company, Vice
(born 08/10/68) President (since June 2005); JP Morgan Investor
Services, Vice President (January 2001 to June
2005); State Street Bank, Vice President and
Corporate Audit Manager (prior to January 2001)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Timothy M. Fagan(4) Assistant Secretary September 2005 Massachusetts Financial Services Company,
(born 07/10/68) and Assistant Clerk Vice President and Senior Counsel (since September
2005); John Hancock Advisers, LLC, Vice President
and Chief Compliance Officer (September 2004 to
August 2005) Senior Attorney (prior to September
2004); John Hancock Group of Funds, Vice President
and Chief Compliance Officer (September 2004 to
December 2004)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Mark D. Fischer(4) Assistant Treasurer July 2005 Massachusetts Financial Services Company, Vice
(born 10/27/70) President (since May 2005); JP Morgan Investment
Management Company, Vice President (prior to May
2005)
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- -----------------------------------------------------------------------------------------------------------------------------------
Brian T. Hourihan(4) Assistant Secretary September 2004 Massachusetts Financial Services Company,
(born 11/11/64) and Assistant Clerk Vice President, Senior Counsel and Assistant
Secretary (since June 2004); Affiliated Managers
Group, Inc., Chief Legal Officer/Centralized
Compliance Program (January to April 2004);
Fidelity Research & Management Company, Assistant
General Counsel (prior to January 2004)
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- -----------------------------------------------------------------------------------------------------------------------------------
Ellen Moynihan(4) Assistant Treasurer May 1997 Massachusetts Financial Services Company, Vice
(born 11/13/57) President
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Susan S. Newton(4) Assistant Secretary May 2005 Massachusetts Financial Services Company, Senior
(born 03/07/50) and Assistant Clerk Vice President and Assistant General Counsel
(since April 2005); John Hancock Advisers, LLC,
Senior Vice President, Secretary and Chief Legal
Officer (prior to April 2005); John Hancock Group
of Funds, Senior Vice President, Secretary and
Chief Legal Officer (prior to April 2005)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Susan A. Pereira(4) Assistant Secretary July 2005 Massachusetts Financial Services Company, Vice
(born 11/05/70) and Assistant Clerk President and Senior Counsel (since June 2004);
Bingham McCutchen LLP (law firm), Associate
(January 2001 to June 2004); Preti, Flaherty,
Beliveau, Pachios & Haley, LLC, Associate (prior
to January 2001)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Frank L. Tarantino Independent Chief September 2004 Tarantino LLC (provider of compliance
(born 03/07/44) Compliance Officer services), Principal (since June 2004); CRA
Business Strategies Group (consulting services),
Executive Vice President (April 2003 to June
2004); David L. Babson & Co. (investment adviser),
Managing Director, Chief Administrative Officer
and Director (February 1997 to March 2003)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
James O. Yost(4) Assistant Treasurer April 1992 Massachusetts Financial Services Company, Senior
(born 06/12/60) Vice President
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- ------------
(1) Date first appointed to serve as Trustee/Officer of a MFS/Sun Life Product. Each Trustee has served continuously since
appointment.
(2) Directorships or trusteeships of companies required to report to the Securities and Exchange Commission (i.e., "public
companies").
(3) "Interested person" of the Sun Life of Canada (U.S.), within the meaning of the Investment Company Act of 1940 (referred to as
the 1940 Act), which is the principal federal law governing investment companies like the Series. The address of Sun Life of
Canada (U.S.) is One Sun Life Executive Park, Wellesley Hills, Massachusetts 02481.
(4) "Interested person" of MFS within the meaning of the 1940 Act. The address of MFS is 500 Boylston Street, Boston,
Massachusetts 02116.
The Series do not hold annual meetings for the purpose of electing Trustees, and Trustees are not elected for fixed terms. Each
Trustee and officer holds office until his or her successor is chosen and qualified, or until his or her earlier death,
resignation, retirement or removal.
All Trustees currently serve as Trustees of the Series and have served in that capacity since originally elected or appointed.
All of the Trustees are also Managers of the Compass Variable Accounts. The executive officers of the MFS Sun Life Series Trust
hold similar offices for the Compass Variable Accounts and other funds in the MFS fund complex. Each Trustee serves as a Trustee
or Manager of 34 Accounts/Series.
The Statement of Additional Information contains further information about the Trustees and is available without charge upon
request by calling 1-800-752-7215.
BOARD REVIEW OF INVESTMENT ADVISORY AGREEMENTS
The Investment Company Act of 1940 requires that both the full Board of Trustees
and a majority of the non-interested ("independent") Trustees, voting
separately, annually approve the continuation of the Trust's investment advisory
agreements with Massachusetts Financial Services Company (MFS) on behalf of the
Series. The Trustees consider matters bearing on the Series and their advisory
arrangements at their meetings throughout the year, including a review of
performance data at each regular meeting. In addition, the independent Trustees
met several times over the course of three months beginning in May and ending in
July 2005 ("contract review meetings") for the specific purpose of considering
whether to approve the continuation of the investment advisory agreements for
the Series. The independent Trustees were assisted in their evaluation of the
investment advisory agreements by independent legal counsel, from whom they
received separate legal advice and with whom they met separately from MFS
management during various contract review meetings. The independent Trustees
were also assisted in this process by the Series' Independent Chief Compliance
Officer, a full-time senior officer appointed by and reporting to the
independent Trustees.
In connection with their deliberations, the Trustees, including the independent
Trustees, considered such information and factors as they believed, in light of
the legal advice furnished to them and their own business judgment, to be
relevant. The investment advisory agreements were considered separately for each
Series, although the Trustees also took into account the common interests of all
Series in their review. As described below, the Trustees considered the nature,
quality, and extent of the various investment advisory, administrative, and
shareholder services performed by MFS under the existing investment advisory
agreements and other arrangements with the Trust.
In connection with their contract review meetings, the Trustees received and
relied upon materials which included, among other items: (i) information
provided by Lipper Inc. on the investment performance of each Series for various
time periods ended December 31, 2004, compared to the investment performance of
a group of funds with substantially similar investment classifications/
objectives (the "Lipper performance universe"), as well as the investment
performance of a group of funds identified by objective criteria suggested by
MFS ("peer funds"), (ii) information provided by Lipper Inc. on each Series'
advisory fees and other expenses compared to the advisory fees and other
expenses of comparable funds identified by Lipper (the "Lipper expense group"),
as well as the advisory fees and other expenses of peer funds identified by
objective criteria suggested by MFS, (iii) information provided by MFS on the
advisory fees of comparable portfolios of its other clients, including
institutional separate account and other clients, (iv) information as to
whether, and to what extent applicable, expense waivers, reimbursements or fee
"breakpoints" are observed for a Series, (v) information regarding MFS'
financial results and financial condition, including MFS' and certain of its
affiliates' estimated profitability from services performed for the Series, (vi)
MFS' views regarding the outlook for the mutual fund industry and its strategic
business plans, (vii) descriptions of various functions performed by MFS for the
Trust, such as compliance monitoring and portfolio trading practices, and (viii)
information regarding the overall organization of MFS, including information
about MFS' senior management and other personnel providing investment advisory,
administrative and other services to the Series. The comparative performance,
fee and expense information prepared and provided by Lipper Inc. was not
independently verified, and the independent Trustees did not independently
verify any information provided to them by MFS.
The Trustees' conclusion as to the continuation of the investment advisory
agreements was based on comprehensive consideration of all information provided
to the Trustees and not the result of any single factor. Some of the factors
that figured particularly in the Trustees' deliberations are described below for
each Series, while individual Trustees may have given different weight to
various factors and evaluated the information presented as a whole differently
than another Trustee. The Trustees recognized that the fee arrangements for the
Series reflect years of review and discussion between the independent Trustees
and MFS, that certain aspects of such arrangements may receive greater scrutiny
in some years than others, and that the Trustees' conclusions may be based, in
part, on their consideration of these same arrangements during the course of the
year and in prior years.
Based on information provided by Lipper Inc. and MFS, the Trustees compared each
Series' total return investment performance to the performance of peer groups of
funds over various time periods. The Trustees placed particular emphasis on the
total return performance of each Series' Initial Class shares in comparison to
the performance of funds in its Lipper performance universe over the one-,
three- and five-year periods. The Trustees did not rely on performance results
for more recent periods, including those shown elsewhere in this report.
In the course of their deliberations, the Trustees took into account information
provided by MFS during contract review meetings, as well as during investment
review meetings conducted with portfolio management personnel during the course
of the year. For Series whose performance lagged their peer groups, they
discussed MFS' efforts to improve such Series' performance. After reviewing this
information, the Trustees concluded, within the context of their overall
conclusions regarding the investment advisory agreements, that they were
satisfied with MFS' responses and efforts relating to investment performance.
In assessing the reasonableness of each Series' advisory fee, the Trustees
considered, among other information, each Series' advisory fee and the total
expense ratio of the Series' Initial Class shares as a percentage of average net
assets, compared to the advisory fee and total expense ratios of peer groups of
funds based on information provided by Lipper Inc. and MFS. The Trustees also
considered the advisory fees charged by MFS to institutional accounts. In
comparing these fees, the Trustees considered the generally broader scope of
services provided by MFS to the Trust than those provided to institutional
accounts. The Trustees also considered the higher demands placed on MFS'
investment personnel and trading infrastructure as a result of the daily cash
in-flows and out-flows of the Series, and the impact on MFS and related expenses
due to the more extensive regulatory regime to which the Series are subject,
compared to institutional accounts.
The Trustees also considered whether a Series is likely to benefit from any
economies of scale due to future asset growth. In this regard, the Trustees
reviewed the adequacy of breakpoints, and considered if breakpoints should be
implemented for any Series that did not have them.
The Trustees also considered information prepared by MFS relating to its costs
and profits with respect to the Series and other investment companies and
accounts advised by MFS, as well as MFS' methodologies used to determine and
allocate its costs to the Series and other accounts and products for purposes of
estimating profitability.
After reviewing these and other factors described below, the Trustees concluded
that the advisory fees charged to the Series represent reasonable compensation
in light of the nature and quality of the services being provided by MFS.
In addition, the Trustees considered MFS' resources and related efforts to
continue to retain, attract and motivate capable personnel to serve the Series.
The Trustees also considered the financial resources of MFS and its affiliation
with Sun Life Financial Inc. The Trustees further considered any advantages and
possible disadvantages of having an adviser which also serves other investment
companies as well as institutional accounts.
The Trustees also considered the nature, quality, cost, and extent of
administrative, transfer agency, and distribution services provided to the
Series by MFS and its affiliates under agreements and plans other than the
investment advisory agreements, including the 12b-1 fees the Series pay to MFS
Fund Distributors, Inc., an affiliate of MFS. The Trustees also considered the
nature, extent and quality of certain other services MFS performs or arranges on
the Series' behalf, including securities lending programs, directed expense
payment programs, class action recovery programs, and MFS' interaction with
third-party service providers, principally custodians and sub-custodians. The
Trustees concluded that the various non-advisory services provided by MFS and
its affiliates on behalf of the Series were satisfactory. The Trustees also
considered the benefits to MFS from the use of the Series' portfolio brokerage
commissions to pay for research and other similar services (including MFS'
current policy not to use "soft dollars" generated by Series portfolio
transactions to pay for third-party research), and various other factors.
Additionally, the Trustees considered so-called "fall-out benefits" to MFS such
as reputational value derived from serving as investment manager to the Trust,
and determined that any such benefits derived by MFS were reasonable and fair.
Based on their evaluation of factors that they deemed to be material, including
those factors described above, and the individual Series factors noted below,
the Board of Trustees, including a majority of the independent Trustees,
concluded that the investment advisory agreements should be continued for an
additional one-year period, commencing September 1, 2005.
CAPITAL OPPORTUNITIES SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 41st percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the best
performers and the 100th percentile being the worst performers). The total
return performance of the Series was in the 84th percentile for the three-year
period and the 83rd percentile for the five-year period ended December 31, 2004,
relative to the Lipper performance universe. Based on the nature and quality of
services provided by MFS and the Series' improving performance, the Board of
Trustees concluded that the Series' performance was adequate.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate and total expense ratio were each
approximately at the median of such fees and expenses of funds in the Lipper
expense group. The Trustees further concluded that the existing breakpoints were
sufficient to allow the Series to benefit from economies of scale as its assets
grow. The Trustees concluded that the fees were reasonable in light of the
nature and quality of services provided.
CORE EQUITY SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 27th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the best
performers and the 100th percentile being the worst performers). The total
return performance of the Series was in the 50th percentile for the three-year
period and the 46th percentile for the five-year period ended December 31, 2004,
relative to the Lipper performance universe. Based on the nature and quality of
services provided by MFS, the Board of Trustees concluded that the Series'
performance was satisfactory.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate was approximately at, and the total
expense ratio was lower than, the median of such fees and expenses of funds in
the Lipper expense group. They further noted that the Series' advisory fee
rate schedule is not currently subject to any breakpoints. Based on these
considerations, at the request of the Trustees, MFS agreed to implement an
advisory fee contractual breakpoint to reduce the Series' annual advisory fee
rate by 0.10% on net assets over $1 billion, which took effect on September 1,
2005, and MFS further agreed to voluntarily reduce the breakpoint to $500
million through April 30, 2007. The Trustees concluded that the fees were
reasonable in light of the nature and quality of services provided.
INTERNATIONAL GROWTH SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 30th percentile relative to the other funds in the peer
universe for the one-year period (the 1st percentile being the best performers
and the 100th percentile being the worst performers). The total return
performance of the Series was in the 17th percentile for the three-year period
and the 6th percentile for the five-year period ended December 31, 2004,
relative to the Lipper performance universe. Based on the nature and quality of
services provided by MFS, the Board of Trustees concluded that the Series'
performance was satisfactory.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate was higher than, and the total expense ratio
was approximately at, the median of such fees and expenses of funds in the
Lipper expense group. The Trustees also concluded that the existing breakpoints
were sufficient to allow the Series to benefit from economies of scale as its
assets grow. The Trustees concluded that the fees were reasonable in light of
the nature and quality of services provided.
MASSACHUSETTS INVESTORS GROWTH STOCK SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 30th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the best
performers and the 100th percentile being the worst performers). The total
return performance of the Series was in the 55th percentile for the three-year
period and the 45th percentile for the five-year period ended December 31, 2004,
relative to the Lipper performance universe. Based on the nature and quality of
services provided by MFS, the Board of Trustees concluded that the Series'
performance was satisfactory.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate and total expense ratio were each
approximately at the median of such fees and expenses of funds in the Lipper
expense group. The Trustees further concluded that the existing breakpoints were
sufficient to allow the Series to benefit from economies of scale as its assets
grow. The Trustees concluded that the fees were reasonable in light of the
nature and quality of services provided.
MID CAP VALUE SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 15th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the best
performers and the 100th percentile being the worst performers). (The Series had
been in existence for less than three years.) Based on the nature and quality of
services provided by MFS, the Board of Trustees concluded that the Series'
performance was satisfactory.
In considering the fees, the Trustees noted that MFS currently observes a
voluntary expense limitation for the Series, which may not be changed without
the Trustees' approval. The Trustees noted from the Lipper data that the Series'
effective advisory fee rate was approximately at, and the total expense ratio
was at, the median of such fees and expenses of funds in the Lipper expense
group. They also noted that the Series' advisory fee rate schedule is not
currently subject to any breakpoints. Based on these considerations, at the
request of the Trustees, MFS agreed to implement an advisory fee contractual
breakpoint to reduce the Series' annual advisory fee rate by 0.05% on net assets
over $1 billion, which took effect on September 1, 2005, and MFS further agreed
to voluntarily reduce the breakpoint to $500 million through April 30, 2007. The
Trustees concluded that the fees were reasonable in light of the nature and
quality of services provided.
NEW DISCOVERY SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 74th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the best
performers and the 100th percentile being the worst performers). The total
return performance of the Series was in the 78th percentile for the three-year
period and the 45th percentile for the five-year period ended December 31, 2004,
relative to the Lipper performance universe. The Trustees noted that MFS had
made a change in portfolio management responsibilities in February, 2005 in an
effort to improve relative performance. Based on the nature and quality of
services provided by MFS, and MFS' efforts to improve performance, the Trustees
concluded that the Series' performance was adequate.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate was higher than, and the total expense ratio
was approximately at, the median of such fees and expenses of funds in the
Lipper expense group. They further noted that the Series' advisory fee rate
schedule is not currently subject to any breakpoints. Based on these
considerations, at the request of the Trustees, MFS agreed to implement an
advisory fee contractual breakpoint to reduce the Series' annual advisory fee
rate by 0.10% on net assets over $1 billion, which will take effect on September
1, 2005, and MFS further agreed to voluntarily reduce the breakpoint to $500
million through April 30, 2007. The Trustees concluded that the fees were
reasonable in light of the nature and quality of services provided.
RESEARCH INTERNATIONAL SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 16th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the best
performers and the 100th percentile being the worst performers). The total
return performance of the Series was in the 22nd percentile for the three-year
period and the 17th percentile for the five-year period ended December 31, 2004,
relative to the Lipper performance universe. Based on the nature and quality of
services provided by MFS, the Board of Trustees concluded that the Series'
performance was satisfactory.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate was higher than, and the total expense ratio
was approximately at, the median of such fees and expenses of funds in the
Lipper expense group. The Trustees also concluded that the existing breakpoints
were sufficient to allow the Series to benefit from economies of scale as its
assets grow. The Trustees concluded that the fees were reasonable in light of
the nature and quality of services provided.
STRATEGIC GROWTH SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 66th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the best
performers and the 100th percentile being the worst performers). The total
return performance of the Series was in the 74th percentile for the three-year
period and the 57th percentile for the five-year period ended December 31, 2004,
relative to the Lipper performance universe. Based on the nature and quality of
services provided by MFS, the Board of Trustees concluded that the Series'
performance was adequate. In considering performance, the Trustees noted that
portfolio management has maintained a fully-invested, disciplined growth
strategy throughout the performance period.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate was at, and the total expense ratio was
approximately at, the median of such fees and expenses of funds in the Lipper
expense group. They further noted that the Series' advisory fee rate schedule is
not currently subject to any breakpoints. Based on these considerations, at the
request of the Trustees, MFS agreed to implement an advisory fee contractual
breakpoint to reduce the Series' annual advisory fee rate by 0.10% on net assets
over $1 billion, which took effect on September 1, 2005, and MFS further agreed
to voluntarily reduce the breakpoint to $500 million through April 30, 2007. The
Trustees concluded that the fees were reasonable in light of the nature and
quality of services provided.
STRATEGIC VALUE SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 13th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the best
performers and the 100th percentile being the worst performers) ended December
31, 2004, relative to the Lipper performance universe. (The Series had been in
existence for less than three years.) Based on the nature and quality of
services provided by MFS, the Board of Trustees concluded that the Series'
performance was satisfactory.
In considering the fees, the Trustees noted that MFS currently observes a
voluntary expense limitation for the Series, which may not be changed without
the Trustees' approval. The Trustees noted from the Lipper data that the Series'
effective advisory fee rate was lower than, and the total expense ratio was
higher than, the median of such fees and expenses of funds in the Lipper expense
group. They further noted that the Series' advisory fee rate schedule is not
currently subject to any breakpoints. Based on these considerations, at the
request of the Trustees, MFS agreed to implement an advisory fee contractual
breakpoint to reduce the Series' annual advisory fee rate by 0.10% on net assets
over $1 billion, which took effect on September 1, 2005, and MFS further agreed
to voluntarily reduce the breakpoint to $500 million through April 30, 2007. The
Trustees concluded that the fees were reasonable in light of the nature and
quality of services provided.
TECHNOLOGY SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 73rd percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the best
performers and the 100th percentile being the worst performers). The total
return performance of the Series was in the 87th percentile for the three-year
period ended December 31, 2004, relative to the Lipper performance universe.
(The Series had been in existence for less than five years.) In considering
performance, the Trustees noted that MFS had made a change in portfolio
management responsibilities in March 2005 in order to improve relative
performance. Based on the nature and quality of services provided by MFS, and
MFS' efforts to improve performance, the Trustees concluded that the Series'
performance was adequate.
In considering the fees, the Trustees noted that MFS currently observes a
voluntary expense limitation for the Series, which may not be changed without
the Trustees' approval. The Trustees noted from the Lipper data that the Series'
effective advisory fee rate was lower than, and the total expense ratio was at,
the median of such fees and expenses of funds in the Lipper expense group. They
further noted that the Series' advisory fee rate schedule is not currently
subject to any breakpoints. Based on these considerations, at the request of the
Trustees, MFS agreed to implement an advisory fee contractual breakpoint to
reduce the Series' annual advisory fee rate by 0.05% on net assets over $1
billion, which took effect on September 1, 2005, and MFS further agreed to
voluntarily reduce the breakpoint to $500 million through April 30, 2007. The
Trustees concluded that the fees were reasonable in light of the nature and
quality of services provided.
VALUE SERIES
The Trustees noted the total return performance of the Series' Initial Class
shares was in the 25th percentile relative to the other funds in the Lipper
Classification Index for the one-year period (the 1st percentile being the best
performers and the 100th percentile being the worst performers). The total
return performance of the Series was in the 28th percentile for the three-year
period and the 9th percentile for the five-year period ended December 31, 2004,
relative to the Lipper performance universe. Based on the nature and quality of
services provided by MFS, the Board of Trustees concluded that the Series'
performance was satisfactory.
In considering the fees, the Trustees noted from the Lipper data that the
Series' effective advisory fee rate and total expense ratio were each
approximately at the median of such fees and expenses of funds in the Lipper
expense group. They also noted that the Series' advisory fee rate schedule is
not currently subject to any breakpoints. Based on these considerations, at the
request of the Trustees, MFS agreed to implement an advisory fee contractual
breakpoint to reduce the Series' annual advisory fee rate by 0.10% on net assets
over $1 billion, which took effect on September 1, 2005, and MFS further agreed
to voluntarily reduce the breakpoint to $500 million through April 30, 2007. The
Trustees concluded that the fees were reasonable in light of the nature and
quality of services provided.
A discussion regarding the Board's most recent review and renewal of the series'
Investment Advisory Agreement with MFS is available by clicking on "Sun Life
Annuities" in the "Products and Performance" section of the MFS Web site
(mfs.com).
MFS/SUN LIFE SERIES TRUST
INVESTMENT ADVISER
Massachusetts Financial Services Company
500 Boylston Street, Boston, MA 02116-3741
CUSTODIAN AND DIVIDEND DISBURSING AGENT
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110-2875
PROXY VOTING POLICIES AND INFORMATION
A general description of the series' proxy voting policies and procedures is
available without charge, upon request, by calling 1-800-225-2606, by visiting
the Proxy Voting section of mfs.com or by visiting the SEC's Web site at
http://www.sec.gov.
Information regarding how each series voted proxies relating to portfolio
securities during the most recent twelve month period ended June 30 is available
without charge by visiting the Proxy Voting section of mfs.com or by visiting
the SEC's Web site at http://www.sec.gov.
QUARTERLY PORTFOLIO DISCLOSURE
Each series will file a complete schedule of portfolio holdings with the
Securities and Exchange Commission (the Commission) for the first and third
quarters of each fiscal year on Form N-Q. Each series' Form N-Q may be reviewed
and copied at the:
Public Reference Room
Securities and Exchange Commission
Washington, D.C. 20549-0102
Information on the operation of the Public Reference Room may be obtained by
calling the Commission at 1-800-SEC-0330. Each series' Form N-Q is available on
the EDGAR database on the Commission's Internet Web site at http:// www.sec.gov,
and copies of this information may be obtained, upon payment of a duplicating
fee, by electronic request at the following e-mail address: publicinfor@sec.gov
or by writing the Public Reference Section at the above address.
FEDERAL TAX INFORMATION (UNAUDITED)
The following information is provided pursuant to provisions of the Internal
Revenue Code.
The Mid Cap Value Series designates $412,730 as capital gain dividends paid
during the fiscal year.
The Strategic Value Series designates $601,688 as capital gain dividends paid
during the fiscal year.
For corporate shareholders, the percentages of the ordinary income dividends
paid during the fiscal year that qualify for the corporate dividends received
deduction are as follows:
Dividends
Received
Deductions
----------
Capital Opportunities Series 100.00%
Core Equity Series 100.00%
International Growth Series 1.73%
Massachusetts Investors Growth Stock Series 100.00%
Research International Series 1.06%
Strategic Growth Series 100.00%
Strategic Value Series 31.97%
Value Series 100.00%
Income derived from foreign sources was $1,718,204 and $2,175,422 for
International Growth Series and Research International Series, respectively.
These series intend to pass through foreign tax credits of $95,558 and
$217,180 for International Growth Series and Research International Series,
respectively, for the fiscal year.
Sun Life Financial Distributors Inc.
SUN-C-ANN-2/06 122M
ITEM 2. CODE OF ETHICS.
The Registrant has adopted a Code of Ethics pursuant to Section 406 of the
Sarbanes-Oxley Act and as defined in Form N-CSR that applies to the
Registrant's principal executive officer and principal financial and accounting
officer. The Registrant has amended its Code of Ethics to reflect that the
Registrant's Principal Financial Officer and Principal Executive Officer have
changed.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Messrs. J. Kermit Birchfield, Robert C. Bishop, Ronald G. Steinhart and
Haviland Wright, members of the Audit Committee, have been determined by the
Board of Trustees in their reasonable business judgment to meet the definition
of "audit committee financial expert" as such term is defined in Form N-CSR. In
addition, Messrs. J. Kermit Birchfield, Robert C. Bishop, Ronald G. Steinhart
and Haviland Wright are "independent" members of the Audit Committee as defined
in Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
ITEMS 4(a) THROUGH 4(d) AND 4(g):
The Board of Trustees has appointed Deloitte & Touche LLP ("Deloitte") to serve
as independent accountants to each series of the Registrant (a "Fund" or
collectively, the "Funds"). The tables below set forth the audit fees billed to
the Funds as well as fees for non-audit services provided to the Funds and/or
to the Funds' investment adviser, Massachusetts Financial Services Company
("MFS") and to various entities either controlling, controlled by, or under
common control with MFS that provide ongoing services to the Funds ("MFS
Related Entities").
For the fiscal years ended December 31, 2005 and 2004, audit fees billed to the
Funds by Deloitte were as follows:
Audit Fees
FEES BILLED BY DELOITTE: 2005 2004
---- ----
Bond Series $45,080 $40,850
Capital Appreciation Series 33,063 29,925
Capital Opportunities Series 33,063 29,925
Core Equity Series 33,063 29,925
Emerging Growth Series 33,695 30,500
Emerging Markets Equity Series 34,960 31,650
Global Governments Series 45,080 40,850
Global Growth Series 43,183 39,125
Global Total Return Series 43,183 39,125
Government Securities Series 38,123 34,525
High Yield Series 43,183 39,125
International Growth Series 34,960 31,360
International Value Series 35,593 32,225
Massachusetts Investors Growth 33,063 29,925
Stock Series
Massachusetts Investors Trust 33,063 29,925
Series
Mid Cap Growth Series 33,063 29,925
Mid Cap Value Series 35,593 32,225
Money Market Series 19,780 17,850
New Discovery Series 33,063 29,925
Research International Series 33,063 29,925
Research Series 33,695 30,500
Strategic Growth Series 33,063 29,925
Strategic Income Series 33,063 29,925
Strategic Value Series 35,593 32,225
Technology Series 33,063 29,925
Total Return Series 45,080 40,850
Utilities Series 33,063 29,925
Value Series 33,063 29,925
TOTAL $996,600 $902,010
For the fiscal years ended December 31, 2005 and 2004, fees billed by Deloitte
for audit-related, tax and other services provided to the Funds and for
audit-related, tax and other services provided to MFS and MFS Related Entities
were as follows:
Audit-Related Fees(1) Tax Fees(2) All Other Fees(3)
FEES BILLED BY DELOITTE: 2005 2004 2005 2004 2005 2004
---- ---- ---- ---- ---- ----
Bond Series $0 $0 $6,550 $6,350 $0 $0
Capital Appreciation 0 0 6,550 6,350 0 0
Series
Capital Opportunities 0 0 6,550 6,350 0 0
Series
Core Equity Series 0 0 6,550 6,350 0 0
Emerging Growth Series 0 0 6,550 6,350 0 0
Emerging Markets Equity 0 0 6,550 6,350 0 0
Series
Global Governments 0 0 6,550 6,350 0 0
Series
Global Growth Series 0 0 6,550 6,350 0 0
Global Total Return Series 0 0 6,550 6,350 0 0
Government Securities 0 0 6,550 6,350 0 0
Series
High Yield Series 0 0 6,550 6,350 0 0
International Growth 0 0 6,550 6,350 0 0
Series
International Value Series 0 0 6,550 6,350 0 0
Massachusetts Investors 0 0 6,550 6,350 0 0
Growth Stock Series
Massachusetts Investors 0 0 6,550 6,350 0 0
Trust Series
Mid Cap Growth Series 0 0 6,550 6,350 0 0
Mid Cap Value Series 0 0 6,550 6,350 0 0
Money Market Series 0 0 6,550 6,350 0 0
New Discovery Series 0 0 6,550 6,350 0 0
Research International 0 0 6,550 6,350 0 0
Series
Research Series 0 0 6,550 6,350 0 0
Strategic Growth Series 0 0 6,550 6,350 0 0
Strategic Income Series 0 0 6,550 6,350 0 0
Strategic Value Series 0 0 6,550 6,350 0 0
Technology Series 0 0 6,550 6,350 0 0
Total Return Series 0 0 6,550 6,350 0 0
Utilities Series 0 0 6,550 6,350 0 0
Value Series 0 0 6,550 6,350 0 0
To MFS and MFS Related $841,371 $1,046,170 $0 $67,000 $403,825 $572,500
Entities of Bond Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Capital
Appreciation Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Capital
Opportunities Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Core Equity
Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Emerging
Growth Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Emerging
Markets Equity Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Global
Governments Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Global
Growth Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Global
Total Return Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Government
Securities Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of High Yield
Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of International
Growth Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of International
Value Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Massachusetts
Investors Growth Stock
Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Massachusetts
Investors Trust Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Mid Cap
Growth Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Mid Cap
Value Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Money
Market Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of New
Discovery Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Research
International Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Research
Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Strategic
Growth Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Strategic
Income Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Strategic
Value Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of MFS
Technology Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Total Return
Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Utilities
Series*
To MFS and MFS Related 841,371 1,046,170 0 67,000 403,825 572,500
Entities of Value Series*
AGGREGATE FEES FOR NON-AUDIT
SERVICES:
2005 2004
To Bond Series, MFS and MFS $1,285,192 $1,720,470
Related
Entities#
To Capital Appreciation 1,285,192 1,720,470
Series, MFS and MFS Related
Entities#
To Capital Opportunities 1,285,192 1,720,470
Series, MFS and MFS Related
Entities#
To Core Equity Series, 1,285,192 1,720,470
MFS and MFS Related
Entities#
To Emerging Growth 1,285,192 1,720,470
Series, MFS and MFS
Related Entities#
To Emerging Markets 1,285,192 1,720,470
Equity Series, MFS and
MFS Related Entities#
To Global Governments 1,285,192 1,720,470
Series, MFS and MFS
Related Entities#
To MFS Global Growth, 1,285,192 1,720,470
MFS and MFS Related
Entities#
To Global Total Return 1,285,192 1,720,470
Series, MFS and MFS
Related Entities#
To Governments 1,285,192 1,720,470
Securities Series, MFS
and MFS Related
Entities#
To High Yield Series, 1,285,192 1,720,470
MFS and MFS
Related Entities#
To International Growth 1,285,192 1,720,470
Series, MFS and MFS
Related Entities#
To International Value 1,285,192 1,720,470
Series, MFS and MFS
Related Entities#
To Massachusetts 1,285,192 1,720,470
Investors Growth Stock
Series, MFS and MFS
Related Entities#
To Massachusetts 1,285,192 1,720,470
Investors Trust Series,
MFS and MFS Related
Entities#
To Mid Cap Growth 1,285,192 1,720,470
Series, MFS and MFS
Related Entities#
To Mid Cap Value 1,285,192 1,720,470
Series, MFS and MFS
Related Entities#
To Money Market 1,285,192 1,720,470
Series, MFS and MFS
Related Entities#
To New Discovery 1,285,192 1,720,470
Series, MFS and MFS
Related Entities#
To Research 1,285,192 1,720,470
International Series,
MFS and MFS Related
Entities#
To Research Series, 1,285,192 1,720,470
MFS and MFS
Related Entities#
To Strategic Growth 1,285,192 1,720,470
Series, MFS and MFS
Related Entities#
To Strategic Income 1,285,192 1,720,470
Series, MFS and MFS
Related Entities#
To Strategic Value 1,285,192 1,720,470
Series, MFS and MFS
Related Entities#
To Technology 1,285,192 1,720,470
Series, MFS and MFS
Related Entities#
To Total Return 1,285,192 1,720,470
Series, MFS and MFS
Related Entities#
To Utilities Series, 1,285,192 1,720,470
MFS and MFS Related
Entities#
To Value Series, MFS 1,285,192 1,720,470
and MFS Related
Entities#
* This amount reflects the fees billed to MFS and MFS Related Entities for non-audit services relating directly to the
operations and financial reporting of the Funds (portions of which services also related to the operations and
financial reporting of other funds within the MFS Funds complex).
# This amount reflects the aggregate fees billed by Deloitte for non-audit services rendered to the Funds and for
non-audit services rendered to MFS and the MFS Related Entities.
(1) The fees included under "Audit-Related Fees" are fees related to assurance and related services that are reasonably
related to the performance of the audit or review of financial statements, but not reported under "Audit Fees,"
including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters and internal
control reviews.
(2) The fees included under "Tax Fees" are fees associated with tax compliance, tax advice and tax planning, including
services relating to the filing or amendment of federal, state or local income tax returns, regulated investment
company qualification reviews and tax distribution and analysis.
(3) The fees included under "All Other Fees" are fees for products and services provided by Deloitte other than those
reported under "Audit Fees," "Audit-Related Fees" and "Tax Fees," including fees for services related to sales tax
refunds, consultation on internal cost allocations, consultation on allocation of monies pursuant to an administrative
proceeding regarding disclosure of brokerage allocation practices in connection with fund sales, and analysis of
certain portfolio holdings verses investment styles.
ITEM 4(e)(1):
Set forth below are the policies and procedures established by the Audit
Committee of the Board of Trustees relating to the pre-approval of audit and
non-audit related services: To the extent required by applicable law,
pre-approval by the Audit Committee of the Board is needed for all audit and
permissible non-audit services rendered to the Funds and all permissible
non-audit services rendered to MFS or MFS Related Entities if the services
relate directly to the operations and financial reporting of the Registrant.
Pre-approval is currently on an engagement-by-engagement basis. In the event
pre-approval of such services is necessary between regular meetings of the
Audit Committee and it is not practical to wait to seek pre-approval at the
next regular meeting of the Audit Committee, pre-approval of such services may
be referred to the Chair of the Audit Committee for approval; provided that the
Chair may not pre-approve any individual engagement for such services exceeding
$50,000 or multiple engagements for such services in the aggregate exceeding
$100,000 between such regular meetings of the Audit Committee. Any engagement
pre-approved by the Chair between regular meetings of the Audit Committee shall
be presented for ratification by the entire Audit Committee at its next
regularly scheduled meeting.
ITEM 4(e)(2):
None, or 0%, of the services relating to the Audit-Related Fees, Tax Fees and
All Other Fees paid by the Fund and MFS and MFS Related Entities relating
directly to the operations and financial reporting of the Registrant disclosed
above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C)
of Rule 2-01 of Regulation S-X (which permits audit committee approval after
the start of the engagement with respect to services other than audit, review
or attest services, if certain conditions are satisfied).
ITEM 4(f): Not applicable.
ITEM 4(h): The Registrant's Audit Committee has considered whether the
provision by a Registrant's independent registered public accounting firm of
non-audit services to MFS and MFS Related Entities that were not pre-approved
by the Committee (because such services were provided prior to the
effectiveness of SEC rules requiring pre-approval or because such services did
not relate directly to the operations and financial reporting of the
Registrant) was compatible with maintaining the independence of the independent
registered public accounting firm as the Registrant's principal auditors.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the Registrant.
ITEM 6. SCHEDULE OF INVESTMENTS
A schedule of investments of the Registrant is included as part of the report
to shareholders of such series under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the Registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There were no material changes to the procedures by which shareholders may send
recommendations to the Board for nominees to the Registrant's Board since the
Registrant last provided disclosure as to such procedures in response to the
requirements of Item 7(d)(2)(ii)(G) of Schedule 14A or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based upon their evaluation of the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act of
1940 (the "Act")) as conducted within 90 days of the filing date of this
Form N-CSR, the registrant's principal financial officer and principal
executive officer have concluded that those disclosure controls and
procedures provide reasonable assurance that the material information
required to be disclosed by the registrant on this report is recorded,
processed, summarized and reported within the time periods specified in the
Securities and Exchange Commission's rules and forms.
(b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Act) that occurred during
the second fiscal quarter covered by the report that have materially
affected, or are reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the
exhibits in the sequence indicated.
(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant
intends to satisfy the Item 2 requirements through filing of an
exhibit: Code of Ethics attached hereto.
(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2
under the Act (17 CFR 270.30a-2): Attached hereto.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act,
provide the certifications required by Rule 30a-2(b) under the Act (17 CFR
270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17
CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title
18 of the United States Code (18 U.S.C. 1350) as an exhibit. A
certification furnished pursuant to this paragraph will not be deemed
"filed" for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r),
or otherwise subject to the liability of that section. Such certification
will not be deemed to be incorporated by reference into any filing under
the Securities Act of 1933 or the Exchange Act, except to the extent that
the registrant specifically incorporates it by reference: Attached hereto.
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.
(Registrant) MFS/SUN LIFE SERIES TRUST
By (Signature and Title)* MARIA F. DWYER
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Maria F. Dwyer, President
Date: February 24, 2006
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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 (Signature and Title)* MARIA F. DWYER
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Maria F. Dwyer, President (Principal Executive
Officer)
Date: February 24, 2006
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By (Signature and Title)* TRACY ATKINSON
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Tracy Atkinson, Treasurer (Principal Financial Officer
and Accounting Officer)
Date: February 24, 2006
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* Print name and title of each signing officer under his or her signature.