UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21587
Old Mutual Funds I
(Exact name of registrant as specified in charter)
--------
4643 South Ulster Street, Suite 600
Denver, CO 80237
(Address of principal executive offices)
Julian F. Sluyters
4643 South Ulster Street, Suite 600, Denver, CO 80237
(Name and address of agent for service)
Copies to:
Jay G. Baris, Esq. Andra C. Ozols, Esq.
Kramer Levin Naftalis & Frankel LLP Old Mutual Capital, Inc.
1177 Avenue of the Americas 4643 South Ulster Street, Suite 600
New York, New York 10036 Denver, CO 80237
(212) 715-9100 (720) 200-7725
Registrant's telephone number, including area code: 1-888-772-2888
Date of fiscal year end: December 31
Date of reporting period: December 31, 2007
Item 1. Reports to Stockholders.
[OLD MUTUAL LOGO]
Funds I
Old Mutual Funds I
ANNUAL REPORT
VA Asset Allocation Portfolios
December 31, 2007
Old Mutual VA Asset Allocation Conservative Portfolio
Old Mutual VA Asset Allocation Balanced Portfolio
Old Mutual VA Asset Allocation Moderate Growth Portfolio
TABLE OF CONTENTS
About This Report 1
Message to Shareholders 3
Management Discussion of Portfolio Performance
and Schedules of Investments
Old Mutual VA Asset Allocation Conservative Portfolio
Initial Class (OVCIX), Service Class (OVCSX) 4
Old Mutual VA Asset Allocation Balanced Portfolio
Initial Class (OVBIX), Service Class (OVBSX) 18
Old Mutual VA Asset Allocation Moderate Growth Portfolio
Initial Class (OVMIX), Service Class (OVMSX) 36
Statements of Assets and Liabilities 55
Statements of Operations 56
Statements of Changes in Net Assets 57
Financial Highlights 58
Notes to Financial Statements 59
Report of Independent Registered Public Accounting Firm 68
Notice to Shareholders 69
Proxy Voting and Portfolio Holdings 70
Portfolio Expenses Examples 71
Activities and Composition of the Board of Trustees
and Officers of the Trust 72
Considerations of the Board in Approving
Investment Advisory Agreements and Investment Sub-Advisory Agreements 74
ABOUT THIS REPORT
HISTORICAL RETURNS
- --------------------------------------------------------------------------------
All total returns mentioned in this report account for the change in a
Portfolio's per-share price and assume the reinvestment of any dividends and
capital gain distributions. Past performance does not guarantee future results.
Investment return and principal value will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
Performance results represent past performance, and current performance may be
higher or lower. The returns for certain periods may reflect fee waivers and/or
reimbursements in effect for that period; absent fee waivers and reimbursements,
performance would have been lower.
The Portfolios are only available through certain variable annuity contracts and
variable life insurance policies offered by the separate accounts of
participating insurance companies. The Portfolios' performance does not reflect
the fees and expenses associated with the variable insurance products. Early
withdrawal from the variable insurance products may result in tax penalties as
well as sales charges assessed by the variable annuity provider.
PORTFOLIO DATA
- --------------------------------------------------------------------------------
This report reflects views, opinions, and Portfolio holdings as of December 31,
2007, the end of the report period, and is subject to change. The information is
not a complete analysis of every aspect of any sector, industry, security or the
Portfolio.
Opinions and forecasts regarding industries, companies and/or themes, and
Portfolio composition and holdings, are subject to change at any time based on
market and other conditions, and should not be construed as a recommendation of
any specific security or as investment advice. Percentage holdings as of
December 31, 2007 are included in a Portfolio's Schedule of Investments. There
is no assurance that the securities purchased will remain in a Portfolio or that
securities sold have not been repurchased.
There are risks associated with mutual fund investing, including the risk of
loss of principal. There is no assurance that the investment process will
consistently lead to successful results. There are also risks associated with
small- and mid-cap investing, including limited product lines, less liquidity
and small market share. An investment concentrated in sectors and industries may
involve greater risk and volatility than a more diversified investment. An
investment in a Portfolio is not a bank deposit or other obligation, or
guaranteed by a depository institution. It is not insured or guaranteed by the
Federal Deposit Insurance Corporation ("FDIC") or any other government agency.
COMPARATIVE INDEXES
- --------------------------------------------------------------------------------
The comparative indexes discussed in this report are meant to provide a basis
for judging a Portfolio's performance against a specific securities index. Each
index accounts for changes in security price and assumes reinvestment of
dividends and distributions, but does not reflect the cost of managing a mutual
fund. A Portfolio may significantly differ in holdings and composition from an
index and individuals cannot invest directly in an index.
1
ABOUT THIS REPORT - concluded
Indexes:
Lehman Brothers U.S. Aggregate Index
The unmanaged Lehman Brothers U.S. Aggregate Index is a widely recognized
measure of the aggregate bond market. The unmanaged index is market
value-weighted inclusive of accrued interest.
Russell 3000(R) Growth Index
The unmanaged Russell 3000(R) Growth Index measures the performance of those
Russell 3000(R) Index companies with higher price-to-book ratios and higher
forecasted growth values.
Russell 3000(R) Value Index
The unmanaged Russell 3000 Value Index measures the performance of those Russell
3000 Index companies with lower price-to-book ratios and lower forecasted growth
values. The stocks in this index are also members of either the Russell 1000
Value or the Russell 2000 Value Indexes.
Standard & Poor's 500 Index
The unmanaged Standard & Poor's 500 ("S&P 500") Index is a market value-weighted
index that measures the performance of large-cap common stocks across all major
industries.
Standard & Poor's SuperComposite 1500 Index
The unmanaged Standard & Poor's SuperComposite 1500 ("S&P 1500") Index is a
broad-based, capitalization-weighted index comprised of 1,500 stocks of
large-cap, mid-cap and small-cap U.S. companies.
Index returns and statistical data included in this report are provided by
Bloomberg, FactSet and Lehman Brothers.
2
MESSAGE TO SHAREHOLDERS
Dear Shareholder:
I am pleased to share this review of the year ended December 31, 2007 with you.
Overall the market advanced, with the S&P 500 Index gaining 5.49%, growth stocks
outperforming their value-oriented counterparts, and mid- and l arge-cap stocks
outperforming their small-cap peers. The broad-market Russell 3000(R) Growth and
Russell 3000(R) Value Indexes posted 11.40% and (1.01)% returns, respectively.
Throughout the period, however, there was much uncertainty and market volatility
was widespread.
Contributing to the market volatility were the sub-prime lending crisis and
ensuing credit crunch, a downturn in the housing market, inflationary fears,
rising commodity prices, slowing U.S. economic growth, a falling dollar and
geopolitical tensions. In mid-September, the Federal Reserve Board began to
implement a series of interventions aimed at stabilizing credit markets and
helping homeowners. The interventions appeared to fall short of achieving their
objectives, and at year-end market sentiment was mixed as to whether the credit
and housing turmoil might foreshadow an economic slowdown in 2008. Despite these
macroeconomic warning signs, investors took heart in the fact that global growth
continued to march forward, incomes continued to rise, employment figures
remained strong, exports gained ground and mortgage rates were at historically
low levels.
In addition to the bright spots within U.S. borders, emerging market countries
faired well during 2007. These burgeoning nations attracted investors through
sustained growth, reaching record highs in late October. U.S. market segments
associated with emerging market strength (for example: basic materials,
infrastructure development and firms with high levels of non-U.S. sales and
earnings) experienced continued interest throughout the year.
We are pleased to report that, against this backdrop, the Old Mutual VA Asset
Allocation Portfolios generally produced positive absolute and relative results.
For more complete information, please refer to the subsequent pages, which
discuss the Portfolio's individual activities and returns in greater detail.
As always, we are grateful for your support and will continue to work diligently
to enhance your Old Mutual experience. Please do not hesitate to contact us if
there is anything we can do to serve you better. Feel free to contact me
directly, at President@oldmutualcapital.com, or please see the back cover of
this report for other appropriate contact information.
Sincerely,
/s/ Julian F. Sluyters
Julian F. Sluyters
President
Old Mutual Funds I
3
OLD MUTUAL VA ASSET ALLOCATION CONSERVATIVE PORTFOLIO
- --------------------------------------------------------------------------------
MANAGEMENT OVERVIEW (UNAUDITED)
Strategic Asset Allocation Consultant: Ibbotson Associates Advisors, LLC
Performance Highlights
o For the one-year period ended December 31, 2007, the Old Mutual VA Asset
Allocation Conservative Portfolio's Service Class Shares gained 6.69%,
while the S&P 1500 Index returned 5.47% and the Lehman Brothers U.S.
Aggregate Index returned 6.97%.
o At the individual stock level, Apple, Monsanto and Leighton Holdings
contributed positively to Portfolio performance during the period, while
Royal Bank of Scotland, SLM and AstraZeneca were the largest detractors.
o At the underlying mandate level, eleven managers produced positive returns
and one manager produced negative returns.
Q. How did the Portfolio perform relative to its benchmarks?
A. For the one-year period ended December 31, 2007, the Old Mutual VA Asset
Allocation Conservative Portfolio's (the "Portfolio") Service Class Shares
gained 6.69%, while the S&P 1500 Index returned 5.47% and the Lehman
Brothers U.S. Aggregate Index returned 6.97%. Performance for all share
classes can be found on page 6.
Q. What investment environment did the Portfolio face during the past year?
A. Ibbotson Associates Advisors, LLC ("Ibbotson") notes that 2007 was a year
when skillful asset allocation helped reduce volatility and protect against
losses experienced by less diversified funds.
Results among different asset classes varied widely in 2007. For example,
emerging-market stocks and non-U.S. bonds produced strong gains, aided by
strong growth in emerging-market countries and by a depreciating U.S.
dollar. Large- and mid-cap growth stocks, international developed-market
equities and core U.S. bonds had good months and bad months, but overall
met the strategic asset allocation consultant's return expectations for the
year. High-yield bonds underperformed Ibbotson's long-term expectations,
while value stocks underperformed by a wide margin, ending the year with
negative returns.
Q. Which market factors influenced the Portfolio's relative performance?
A. Strong performance in aggregate bonds, international bonds and
large-capitalization growth stocks contributed positively to the
Portfolio's performance during the period.
Although large-cap value stocks outperformed large-cap growth stocks every
year since 1999 (as measured by the Russell 1000(R) Value Index and the
Russell 1000(R) Growth Index, respectively), 2007 reversed that trend.
However, the Portfolio maintained a neutral allocation between growth and
value throughout the year. Hence, overall, the Portfolio was not affected
by the discrepancy between growth and value returns during the period.
Ibbotson's models have long-term allocations to mid-cap U.S. equities, but
since August of 2006, Ibbotson tactically underweighted mid-caps and
shifted approximately 1% of that allocation into large-cap U.S. equities.
In August of 2007, Ibbotson reduced the Portfolio's allocation to
high-yield bonds by 3%, anticipating continued negative impact on
non-investment grade issues. These tilts contributed positively to the
Portfolio's performance during 2007.
Negative returns in mid- and large-cap value equities negatively impacted
the Portfolio's performance during the annual period.
Q. How did composition affect Portfolio performance?
A. At the individual stock level, Apple, Monsanto and Leighton Holdings
contributed positively to Portfolio performance during the period, while
Royal Bank of Scotland, SLM and AstraZeneca were the largest detractors.
Ibbotson notes that during 2007 major stock contributors tended to be
growth stocks, while the majority of the largest detractors were value
stocks. Computer hardware company Apple posted solid earnings with iPod
sales, the reintroduction of the iTV and the iPhone release in June.
Agricultural product provider Monsanto raised guidance as a result of
better than expected Roundup pricing, strong corn seed sales in Brazil and
Argentina, and a lower than anticipated tax rate. The company also
announced a cross-licensing agreement with Dow Chemical for "SmartStax",
the first-ever eight-gene stack in corn. Shares of Leighton Holdings
advanced on news that the builder had won $650 million of contracts in the
United Arab Emirates through partner Al Habtoor Engineering. Global banking
group Royal Bank of Scotland was affected by general concerns surrounding
bank stocks, while
VA Asset Allocation Conservative Portfolio
4
announcing in December that it would write down (pound)1.5 billion in
credit market-related losses. Student lending company SLM reported losses
during the period and the company's stock value declined. AstraZeneca fell
after the drugmaker announced a 15% decline in third-quarter profit as its
top-selling drugs faced increasing competition from generic treatments.
At the underlying mandate level, eleven managers produced positive returns
and one manager produced negative returns. Ibbotson creates a customized
blended benchmark for each underlying manager based on the firms' style
exposures to calculate the relative returns of each manager. The three
mandates that outperformed their blended benchmarks by the highest margins
were Thompson, Siegel & Walmsley LLC's mid-cap value mandate, Provident
Investment Counsel's ("Provident") large-cap growth strategy and
Provident's mid-cap growth mandate. Dwight Asset Management Company's
high-yield bond strategy, Acadian Asset Management, Inc.'s international
equity mandate and Barrow, Hanley, Mewhinney & Strauss, Inc.'s U.S. core
bond strategy underperformed their blended benchmark by the most
significant margin during the period.
Q. What is the investment outlook?
A. Recent economic news has been full of mixed, even contradictory
information. Which reports and indicators should one believe, and what is
the best course of action? Ibbotson notes that it is not easily swayed by
alarmist reports; rather, the firm conducts extensive analysis that relies
upon up-to-date data while remaining attentive to broad market trends. In
the context of that analysis, Ibbotson believes that the U.S. economy shows
signs of weakening and that the possibility of recession in 2008 has
increased. Despite a weakening U.S. economic outlook, the U.S. stock market
is fairly priced, in Ibbotson's view, and may be poised to outperform the
bond market over time. Specifically, Ibbotson believes that large-cap
stocks are more attractive than small-cap stocks in the near term, from
both a valuation and momentum perspective. Ibbotson believes there will be
continued upward pressure on U.S. inflation and interest rates, which will
primarily affect intermediate and long maturity bond yields. In the
short-term, however, economic weakness will keep interest rates low as the
Federal Reserve Board may continue to consider lowering Fed Fund rates to
boost economic growth. Lastly, Ibbotson believes real estate investment
trusts continue to be overvalued relative to the overall stock market, even
after the sector's recent underperformance.
Top Ten Holdings
as of December 31, 2007
Federal National
Mortgage Association,
5.500%, 01/01/37 9.1%
- ---------------------------------------
Deutschland Republic,
Ser 3 (EUR)
4.500%, 01/04/13 8.7%
- ---------------------------------------
U.S. Treasury Notes,
4.875%, 07/31/11 7.4%
- ---------------------------------------
U.S. Treasury Notes,
4.625%, 11/15/09 4.8%
- ---------------------------------------
Federal National
Mortgage Association,
5.000%, 05/01/37 4.7%
- ---------------------------------------
Federal National
Mortgage Association,
6.000%, 01/01/37 4.3%
- ---------------------------------------
U.S. Treasury Notes,
4.750%, 05/15/14 3.1%
- ---------------------------------------
U.S. Treasury Notes,
4.875%, 08/15/09 2.1%
- ---------------------------------------
PSEG Power,
7.750%, 04/15/11 1.7%
- ---------------------------------------
Bank One,
5.900%, 11/15/11 1.6%
- ---------------------------------------
As a % of Total Portfolio
Investments 47.5%
- ---------------------------------------
VA Asset Allocation Conservative Portfolio
5
OLD MUTUAL VA ASSET ALLOCATION
CONSERVATIVE PORTFOLIO - continued
- --------------------------------------------------------------------------------
PERFORMANCE AND PORTFOLIO SUMMARY (UNAUDITED)
Average Annual Total Returns as of December 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
1 Year Annualized
Inception Date Return Since Inception
- ------------------------------------------------------------------------------------------------------------------------------------
VA Asset Allocation Conservative Portfolio - Initial Class 12/29/06 6.99% 6.95%
VA Asset Allocation Conservative Portfolio - Service Class 12/29/06 6.69% 6.66%
S&P 1500 Index 12/29/06 5.47% 4.91%
Lehman Brothers U.S. Aggregate Index 12/29/06 6.97% 6.90%
- ------------------------------------------------------------------------------------------------------------------------------------
Past performance is not a guarantee of future results. Total return figures
include the effect of the Portfolio's recurring expenses, but do not include
fees and expenses that may be imposed under variable annuity contracts or
variable life insurance policies offered through separate accounts of
participating insurance companies which purchase the Portfolio's shares. If
those charges were reflected, the performance shown would have been lower.
Information about these performance results and the comparative indexes can be
found on pages 1 and 2.
The total annual operating expenses and net annual operating expenses a
shareholder in the Portfolio's Initial Class and Service Class Shares may pay
(as reported in the April 23, 2007 prospectuses) are 1.17% and 1.00%; 1.42% and
1.25%, respectively. Expenses for both share classes are based on estimated
amounts.
Portfolio Performance
- --------------------------------------------------------------------------------
[LINE GRAPH WAS REPRESENTED IN THE PRINTED MATERIAL]
VA Asset Allocation VA Asset Allocation Lehman Brothers
Conservative Portfolio Conservative Portfolio S&P 1500 US Aggregate
- Initial Class - Service Class Index Index
12/06 10,000 10,000 10,000 10,000
12/07 10,699 10,669 10,547 10,697
Past performance is not a guarantee of future results. The graph above compares
an investment made in the Portfolio's Initial Class and Service Class Shares on
the inception date of 12/29/06 to an investment made in unmanaged securities
indexes on that date. The Portfolio's performance in this chart and the
performance table assumes reinvestment of dividends and capital gain
distributions, but does not reflect the deduction of taxes that a shareholder
would pay on Portfolio distributions, or on the redemption of Portfolio shares.
Asset Class Weightings as of December 31, 2007 -- % of Total Portfolio
Investments
- --------------------------------------------------------------------------------
[PIE GRAPH WAS REPRESENTED IN THE PRINTED MATERIAL]
Common Stock 26%
US Treasury Obligations 20%
US Government Agency Obligation 18%
Corporate Bond 15%
Foreign Bond 9%
Foreign Common Stock 7%
Cash Equivalent 5%
Asset-Backed Securities 0%
6
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Common Stock - 25.7%
Advertising Sales - 0.1%
Focus Media Holding ADR* 55 $ 3
_____________
Total Advertising Sales 3
- ---------------------------------------------------------------------
Aerospace/Defense - 0.4%
Boeing 49 4
Rockwell Collins 255 18
_____________
Total Aerospace/Defense 22
_____________________________________________________________________
Aerospace/Defense-Equipment - 0.2%
Alliant Techsystems* 100 11
DRS Technologies 8 1
Goodrich 4 -
-------------
Total Aerospace/Defense-Equipment 12
- ---------------------------------------------------------------------
Agricultural Chemicals - 0.7%
Agrium 50 4
CF Industries Holdings 25 3
Monsanto 188 21
Potash of Saskatchewan 76 11
-------------
Total Agricultural Chemicals 39
_____________________________________________________________________
Agricultural Operations - 0.1%
Archer-Daniels-Midland 85 4
_____________
Total Agricultural Operations 4
_____________________________________________________________________
Airlines - 0.0%
Delta Air Lines* 20 -
UAL 6 -
US Airways Group* 17 -
-------------
Total Airlines -
_____________________________________________________________________
Applications Software - 0.3%
Citrix Systems* 14 1
Intuit* 25 1
Microsoft 296 11
Red Hat* 60 1
-------------
Total Applications Software 14
_____________________________________________________________________
Auto-Cars/Light Trucks - 0.0%
Ford Motor* 295 2
-------------
Total Auto-Cars/Light Trucks 2
_____________________________________________________________________
Brewery - 0.1%
Molson Coors Brewing, Cl B 100 5
-------------
Total Brewery 5
_____________________________________________________________________
Broadcast Services/ Programming - 0.0%
Clear Channel Communications 2 -
_____________
Total Broadcast Services/Programming -
_____________________________________________________________________
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Cable TV - 0.1%
Comcast, Special Cl A* 150 $ 3
Comcast, Cl A* 25 1
DIRECTV Group* 96 2
_____________
Total Cable TV 6
_____________________________________________________________________
Casino Hotels - 0.2%
MGM Mirage* 150 13
-------------
Total Casino Hotels 13
- ---------------------------------------------------------------------
Casino Services - 0.0%
International Game Technology 50 2
_____________
Total Casino Services 2
_____________________________________________________________________
Cellular Telecommunications - 0.2%
NII Holdings* 250 12
_____________
Total Cellular Telecommunications 12
_____________________________________________________________________
Chemicals-Diversified - 0.4%
Celanese, Ser A 300 13
E.I. du Pont de Nemours 144 6
Rohm & Haas 14 1
_____________
Total Chemicals-Diversified 20
- ---------------------------------------------------------------------
Chemicals-Specialty - 0.1%
Lubrizol 100 5
Chemtura 20 -
_____________
Total Chemicals-Specialty 5
- ---------------------------------------------------------------------
Coal - 0.2%
Arch Coal 12 1
Consol Energy 100 7
Patriot Coal* 1 -
Peabody Energy 45 3
_____________
Total Coal 11
- ---------------------------------------------------------------------
Communications Software - 0.0%
Avid Technology* 13 -
-------------
Total Communications Software -
- ---------------------------------------------------------------------
Computer Aided Design - 0.1%
Ansys* 79 3
-------------
Total Computer Aided Design 3
- ---------------------------------------------------------------------
Computers - 1.2%
Apple* 156 31
Hewlett-Packard 325 16
International Business Machines 13 1
Research In Motion* 135 15
Sun Microsystems* 121 2
-------------
Total Computers 65
- ---------------------------------------------------------------------
7
OLD MUTUAL VA ASSET ALLOCATION
CONSERVATIVE PORTFOLIO - continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Computers-Memory Devices - 0.3%
EMC* 675 $ 13
Western Digital* 100 3
_____________
Total Computers-Memory Devices 16
_____________________________________________________________________
Computer Services - 0.0%
Computer Sciences* 6 -
-------------
Total Computer Services -
_____________________________________________________________________
Containers-Metal/Glass - 0.3%
Crown Holdings* 200 5
Owens-Illinois* 250 12
-------------
Total Containers-Metal/Glass 17
_____________________________________________________________________
Containers-Paper/Plastic - 0.0%
Sealed Air 27 1
Sonoco Products 20 1
-------------
Total Containers-Paper/Plastic 2
_____________________________________________________________________
Cosmetics & Toiletries - 0.0%
Procter & Gamble 4 -
-------------
Total Cosmetics & Toiletries -
_____________________________________________________________________
Cruise Lines - 0.1%
Carnival 89 4
_____________
Total Cruise Lines 4
_____________________________________________________________________
Data Processing/Management - 0.1%
Automatic Data Processing 40 2
Fiserv* 13 1
_____________
Total Data Processing/Management 3
_____________________________________________________________________
Dental Supplies & Equipment - 0.2%
Dentsply International 220 10
-------------
Total Dental Supplies & Equipment 10
- ---------------------------------------------------------------------
Diagnostic Equipment - 0.0%
Gen-Probe* 25 2
_____________
Total Diagnostic Equipment 2
_____________________________________________________________________
Dialysis Centers - 0.0%
Davita* 5 -
-------------
Total Dialysis Centers -
- ---------------------------------------------------------------------
Distribution/Wholesale - 0.1%
WW Grainger 6 1
LKQ* 152 3
-------------
Total Distribution/Wholesale 4
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Diversified Manufacturing Operations - 0.7%
3M 51 $ 4
Dover 96 4
General Electric 372 14
Honeywell International 75 5
Illinois Tool Works 91 5
Textron 100 7
-------------
Total Diversified Manufacturing Operations 39
- ---------------------------------------------------------------------
Drug Delivery Systems - 0.0%
Hospira* 55 2
-------------
Total Drug Delivery Systems 2
_____________________________________________________________________
E-Commerce/Services - 0.1%
Ctrip.com International ADR 30 2
Expedia* 32 1
Liberty Media - Interactive, Cl A* 53 1
_____________
Total E-Commerce/Services 4
- ---------------------------------------------------------------------
Electric Products-Miscellaneous - 0.1%
Emerson Electric 57 3
-------------
Total Electric Products-Miscellaneous 3
- ---------------------------------------------------------------------
Electric-Integrated - 0.8%
Allegheny Energy 10 1
Centerpoint Energy 750 13
Dominion Resources 73 3
DTE Energy 150 7
Duke Energy 125 3
Edison International 18 1
Entergy 42 5
Exelon 65 5
PG&E 20 1
PPL 100 5
_____________
Total Electric-Integrated 44
- ---------------------------------------------------------------------
Electronic Components-Miscellaneous - 0.0%
Flextronics International* 30 -
NAM TAI Electronics 100 1
Tyco Electronics 7 -
-------------
Total Electronic Components-Miscellaneous 1
- ---------------------------------------------------------------------
Electronic Components-Semiconductors - 0.4%
Broadcom, Cl A* 18 1
DSP Group* 47 1
Fairchild Semiconductor International* 37 1
NVIDIA* 419 14
Qlogic* 50 1
Semtech* 39 1
SiRF Technology Holdings* 24 1
Texas Instruments 27 1
-------------
Total Electronic Components-Semiconductors 21
- ---------------------------------------------------------------------
8
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Electronic Forms - 0.1%
Adobe Systems* 188 $ 8
_____________
Total Electronic Forms 8
_____________________________________________________________________
Electronic Measuring Instruments - 0.1%
Agilent Technologies* 200 7
_____________
Total Electronic Measuring Instruments 7
_____________________________________________________________________
Electronic Parts Distribution - 0.1%
Arrow Electronics* 200 8
_____________
Total Electronic Parts Distribution 8
_____________________________________________________________________
Electronics-Military - 0.0%
L-3 Communications Holdings 21 2
-------------
Total Electronics-Military 2
- ---------------------------------------------------------------------
Energy-Alternate Sources - 0.3%
Covanta Holding* 100 3
Sunpower, Cl A* 105 14
_____________
Total Energy-Alternate Sources 17
- ---------------------------------------------------------------------
Engineering/R&D Services - 0.4%
Fluor 40 6
Jacobs Engineering Group* 28 3
McDermott International* 190 11
_____________
Total Engineering/R&D Services 20
_____________________________________________________________________
Engines-Internal Combustion - 0.3%
Cummins 135 17
_____________
Total Engines-Internal Combustion 17
_____________________________________________________________________
Enterprise Software/Services - 0.5%
BMC Software* 300 11
Oracle* 405 9
Sybase* 300 8
-------------
Total Enterprise Software/Services 28
- ---------------------------------------------------------------------
Entertainment Software - 0.1%
Activision* 90 3
-------------
Total Entertainment Software 3
- ---------------------------------------------------------------------
Fiduciary Banks - 0.4%
Bank of New York Mellon 244 12
Northern Trust 101 8
State Street 9 1
_____________
Total Fiduciary Banks 21
_____________________________________________________________________
Filtration/Separation Products - 0.0%
Pall 50 2
_____________
Total Filtration/Separation Products 2
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Finance-Consumer Loans - 0.1%
First Marblehead 10 $ -
SLM 145 3
-------------
Total Finance-Consumer Loans 3
- ---------------------------------------------------------------------
Finance-Credit Card - 0.1%
American Express 60 3
-------------
Total Finance-Credit Card 3
- ---------------------------------------------------------------------
Finance-Investment Banker/Broker - 0.3%
Bear Stearns 26 2
Citigroup 99 3
Greenhill 2 -
Interactive Brokers Group, CI A* 24 1
JPMorgan Chase 146 6
Morgan Stanley 40 2
Charles Schwab 115 3
-------------
Total Finance-Investment Banker/Broker 17
- ---------------------------------------------------------------------
Finance-Other Services - 0.2%
Asset Acceptance Capital 40 1
CME Group 3 2
IntercontinentalExchange* 23 4
MF Global* 10 -
NASDAQ Stock Market* 65 3
-------------
Total Finance-Other Services 10
_____________________________________________________________________
Food-Dairy Products - 0.0%
Dean Foods 13 -
-------------
Total Food-Dairy Products -
- ---------------------------------------------------------------------
Food-Meat Products - 0.0%
Tyson Foods, Cl A 94 1
-------------
Total Food-Meat Products 1
- ---------------------------------------------------------------------
Food-Miscellaneous/Diversified - 0.2%
Kraft Foods, Cl A 67 2
Sara Lee 450 7
-------------
Total Food-Miscellaneous/Diversified 9
- ---------------------------------------------------------------------
Food-Wholesale/Distribution - 0.0%
United Natural Foods* 5 -
-------------
Total Food-Wholesale/Distribution -
- ---------------------------------------------------------------------
Forestry - 0.1%
Plum Creek Timber 150 7
_____________
Total Forestry 7
- ---------------------------------------------------------------------
Gas- Distribution - 0.0%
WGL Holdings 11 -
_____________
Total Gas - Distribution -
- ---------------------------------------------------------------------
9
OLD MUTUAL VA ASSET ALLOCATION
CONSERVATIVE PORTFOLIO - continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Hazardous Waste Disposal - 0.1%
Stericycle* 70 $ 4
-------------
Total Hazardous Waste Disposal 4
- ---------------------------------------------------------------------
Health Care Cost Containment - 0.1%
McKesson 53 3
-------------
Total Health Care Cost Containment 3
- ---------------------------------------------------------------------
Hospital Beds/Equipment - 0.1%
Kinetic Concepts* 100 5
_____________
Total Hospital Beds/Equipment 5
_____________________________________________________________________
Hotels & Motels - 0.0%
Marriott International, Cl A 5 -
Wyndham Worldwide 13 -
-------------
Total Hotels & Motels -
- ---------------------------------------------------------------------
Human Resources - 0.3%
Hewitt Associates, Cl A* 324 12
Manpower 50 3
Monster Worldwide* 45 1
_____________
Total Human Resources 16
_____________________________________________________________________
Independent Power Producer - 0.0%
Reliant Energy* 10 -
Mirant* 11 -
-------------
Total Independent Power Producer -
_____________________________________________________________________
Industrial Automation/Robot - 0.1%
Cognex 16 -
Rockwell Automation 100 7
-------------
Total Industrial Automation/Robot 7
- ---------------------------------------------------------------------
Industrial Gases - 0.3%
Praxair 189 17
-------------
Total Industrial Gases 17
_____________________________________________________________________
Instruments-Scientific - 0.2%
PerkinElmer 400 10
-------------
Total Instruments-Scientific 10
_____________________________________________________________________
Insurance Brokers - 0.0%
AON 21 1
-------------
Total Insurance Brokers 1
_____________________________________________________________________
Internet Content-Information/News - 0.0%
Baidu.com ADR* 5 2
-------------
Total Internet Content-Information/News 2
_____________________________________________________________________
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Internet Security - 0.0%
Symantec* 150 $ 2
-------------
Total Internet Security 2
- ---------------------------------------------------------------------
Investment Companies - 0.0%
KKR Financial Holdings 14 -
-------------
Total Investment Companies -
- ---------------------------------------------------------------------
Investment Management/Advisory Services - 0.2%
Federated Investors 11 1
T Rowe Price Group 155 9
-------------
Total Investment Management/Advisory Services 10
- ---------------------------------------------------------------------
Life/Health Insurance - 0.2%
Cigna 180 10
-------------
Total Life/Health Insurance 10
- ---------------------------------------------------------------------
Linen Supply & Related Items - 0.0%
Cintas 17 1
_____________
Total Linen Supply & Related Items 1
- ---------------------------------------------------------------------
Machine Tools & Related Products - 0.1%
Kennametal 200 8
_____________
Total Machine Tools & Related Products 8
- ---------------------------------------------------------------------
Machinery-Construction & Mining - 0.1%
Terex* 60 4
-------------
Total Machinery-Construction & Mining 4
_____________________________________________________________________
Machinery-Farm - 0.2%
Deere 110 10
-------------
Total Machinery-Farm 10
_____________________________________________________________________
Machinery-General Industry - 0.1%
Manitowoc 100 5
Wabtec 80 3
-------------
Total Machinery-General Industry 8
- ---------------------------------------------------------------------
Machinery-Print Trade - 0.0%
Zebra Technologies, Cl A* 6 -
-------------
Total Machinery-Print Trade -
- ---------------------------------------------------------------------
Medical Information Systems - 0.2%
Cerner* 165 9
-------------
Total Medical Information Systems 9
- ---------------------------------------------------------------------
Medical Instruments - 0.3%
Intuitive Surgical* 34 11
Medtronic 50 3
-------------
Total Medical Instruments 14
- ---------------------------------------------------------------------
10
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Medical Labs & Testing Services - 0.2%
Covance* 29 $ 3
Laboratory Corp of America Holdings* 100 8
MDS* 8 -
Quest Diagnostics 7 -
-------------
Total Medical Labs & Testing Services 11
- ---------------------------------------------------------------------
Medical Products - 0.2%
Baxter International 65 4
Henry Schein* 35 2
Stryker 76 6
_____________
Total Medical Products 12
_____________________________________________________________________
Medical-Biomedical/Genetic - 0.1%
Celgene* 55 3
Invitrogen* 5 -
-------------
Total Medical-Biomedical/Genetic 3
_____________________________________________________________________
Medical-Drugs - 0.9%
Angiotech Pharmaceuticals* 50 -
Bristol-Myers Squibb 139 4
Forest Laboratories* 15 1
Merck 270 16
Pfizer 393 9
Schering-Plough 498 13
Wyeth 135 6
_____________
Total Medical-Drugs 49
_____________________________________________________________________
Medical-Generic Drugs - 0.0%
Barr Pharmaceuticals* 13 1
_____________
Total Medical-Generic Drugs 1
_____________________________________________________________________
Medical-HMO - 0.2%
Magellan Health Services* 13 1
UnitedHealth Group 78 5
WellPoint* 69 6
_____________
Total Medical-HMO 12
_____________________________________________________________________
Medical-Hospitals - 0.1%
Universal Health Services 100 5
-------------
Total Medical-Hospitals 5
- ---------------------------------------------------------------------
Medical-Outpatient/Home Medical - 0.0%
Lincare Holdings* 28 1
-------------
Total Medical-Outpatient/Home Medical 1
- ---------------------------------------------------------------------
Medical-Wholesale Drug Distributors - 0.2%
AmerisourceBergen 209 9
Cardinal Health 4 -
-------------
Total Medical-Wholesale Drug Distributors 9
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Metal Processors & Fabricators - 0.4%
Commercial Metals 100 $ 3
Haynes International* 2 -
Precision Castparts 115 16
Sterlite Industries ADR* 79 2
-------------
Total Metal Processors & Fabricators 21
- ---------------------------------------------------------------------
Metal-Aluminum - 0.1%
Alcoa 142 5
_____________
Total Metal-Aluminum 5
- ---------------------------------------------------------------------
Motion Pictures & Services - 0.0%
Macrovision* 20 -
_____________
Total Motion Pictures & Services -
- ---------------------------------------------------------------------
Multi-Line Insurance - 0.5%
ACE 3 -
Allstate 53 3
American International Group 150 9
Assurant 100 7
Cincinnati Financial 50 2
Hartford Financial Services Group 29 3
Loews 52 3
XL Capital, Cl A 30 2
_____________
Total Multi-Line Insurance 29
- ---------------------------------------------------------------------
Multimedia - 0.0%
E.W. Scripps, CI A 6 -
_____________
Total Multimedia -
- ---------------------------------------------------------------------
Networking Products - 0.4%
Cisco Systems* 660 18
Foundry Networks* 70 1
Juniper Networks* 90 3
_____________
Total Networking Products 22
- ---------------------------------------------------------------------
Non-Hazardous Waste Disposal - 0.2%
Allied Waste Industries* 54 1
Republic Services 100 3
Waste Management 130 4
-------------
Total Non-Hazardous Waste Disposal 8
- ---------------------------------------------------------------------
Office Automation & Equipment - 0.0%
Pitney Bowes 56 2
-------------
Total Office Automation & Equipment 2
- ---------------------------------------------------------------------
Oil & Gas Drilling - 0.1%
Diamond Offshore Drilling 25 4
Rowan 10 -
-------------
Total Oil & Gas Drilling 4
- ---------------------------------------------------------------------
11
OLD MUTUAL VA ASSET ALLOCATION
CONSERVATIVE PORTFOLIO - continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Oil Companies-Exploration & Production - 0.7%
Denbury Resources* 80 $ 2
EnCana 60 4
Newfield Exploration* 100 5
Occidental Petroleum 100 8
Southwestern Energy* 225 13
Ultra Petroleum* 35 3
-------------
Total Oil Companies-Exploration & Production 35
- ---------------------------------------------------------------------
Oil Companies-Integrated - 0.5%
Chevron 20 2
ConocoPhillips 70 6
Exxon Mobil 194 18
Marathon Oil 38 2
Murphy Oil 13 1
_____________
Total Oil Companies-Integrated 29
- ---------------------------------------------------------------------
Oil Field Machinery & Equipment - 0.2%
FMC Technologies* 35 2
Grant Prideco* 45 2
National Oilwell Varco* 80 6
_____________
Total Oil Field Machinery & Equipment 10
_____________________________________________________________________
Oil Refining & Marketing - 0.4%
Tesoro 200 10
Valero Energy 150 11
-------------
Total Oil Refining & Marketing 21
_____________________________________________________________________
Oil-Field Services - 0.4%
Exterran Holdings* 8 1
Halliburton 28 1
Helix Energy Solutions Group* 63 3
Schlumberger 180 18
_____________
Total Oil-Field Services 23
- ---------------------------------------------------------------------
Paper & Related Products - 0.1%
Domtar* 400 3
Smurfit-Stone Container* 40 1
_____________
Total Paper & Related Products 4
_____________________________________________________________________
Pharmacy Services - 0.1%
Medco Health Solutions* 33 3
_____________
Total Pharmacy Services 3
_____________________________________________________________________
Physical Practice Management - 0.1%
Pediatrix Medical Group* 100 7
_____________
Total Physical Practice Management 7
_____________________________________________________________________
Physical Therapy/Rehabilitation Centers - 0.0%
Psychiatric Solutions* 6 -
_____________
Total Physical Therapy/Rehabilitation Centers -
_____________________________________________________________________
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Pipelines - 0.5%
El Paso 358 $ 6
Oneok 300 13
Questar 100 5
Spectra Energy 107 3
Williams 51 2
_____________
Total Pipelines 29
_____________________________________________________________________
Platinum - 0.0%
Stillwater Mining* 34 -
_____________
Total Platinum -
_____________________________________________________________________
Printing-Commercial - 0.1%
RR Donnelley & Sons 167 6
Valassis Communications* 60 1
-------------
Total Printing-Commercial 7
_____________________________________________________________________
Property/Casualty Insurance - 0.4%
Arch Capital Group* 100 7
Progressive Corp 20 -
Safeco 100 6
Travelers 72 4
WR Berkley 200 6
_____________
Total Property/Casualty Insurance 23
- ---------------------------------------------------------------------
Publishing-Books - 0.0%
Scholastic* 3 -
-------------
Total Publishing-Books -
_____________________________________________________________________
Publishing-Newspapers - 0.0%
Gannett 32 1
New York Times, CI A 26 -
_____________
Total Publishing-Newspapers 1
_____________________________________________________________________
Recreational Centers - 0.0%
Life Time Fitness* 35 2
-------------
Total Recreational Centers 2
- ---------------------------------------------------------------------
Reinsurance - 0.7%
Allied World Assurance 9 -
Aspen Insurance Holdings 35 1
Berkshire Hathaway, Cl B* 1 5
Everest Re Group 8 1
Montpelier Re Holdings 50 1
PartnerRe 200 17
RenaissanceRe Holdings 200 12
Validus Holdings* 16 -
-------------
Total Reinsurance 37
- ---------------------------------------------------------------------
REITs-Diversified - 0.0%
CapitalSource 22 -
-------------
Total REITs-Diversified -
- ---------------------------------------------------------------------
12
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
REITs-Mortgage - 0.0%
Annaly Capital Management 26 $ -
-------------
Total REITs-Mortgage -
- ---------------------------------------------------------------------
REITs-Office Property - 0.1%
Boston Properties 71 7
_____________
Total REITs-Office Property 7
_____________________________________________________________________
Retail-Apparel/ Shoes - 0.1%
Limited Brands 20 -
Men's Wearhouse 150 4
-------------
Total Retail-Apparel/ Shoes 4
- ---------------------------------------------------------------------
Retail-Building Products - 0.0%
Home Depot 44 1
_____________
Total Retail-Building Products 1
_____________________________________________________________________
Retail-Computer Equipment - 0.1%
GameStop, Cl A* 120 7
_____________
Total Retail-Computer Equipment 7
_____________________________________________________________________
Retail-Consumer Electronics - 0.0%
Best Buy 14 1
-------------
Total Retail-Consumer Electronics 1
_____________________________________________________________________
Retail-Discount - 0.0%
Big Lots* 32 1
-------------
Total Retail-Discount 1
_____________________________________________________________________
Retail-Drug Store - 0.3%
CVS Caremark 246 10
Walgreen 102 4
-------------
Total Retail-Drug Store 14
- ---------------------------------------------------------------------
Retail-Office Supplies - 0.0%
Office Depot* 45 1
OfficeMax 10 -
_____________
Total Retail-Office Supplies 1
_____________________________________________________________________
Retail-Pet Food & Supplies - 0.0%
PetSmart 22 1
-------------
Total Retail-Pet Food & Supplies 1
_____________________________________________________________________
Retail-Restaurants - 0.1%
Burger King Holdings 130 4
Cheesecake Factory* 7 -
-------------
Total Retail-Restaurants 4
- ---------------------------------------------------------------------
Retail-Sporting Goods - 0.0%
Dick's Sporting Goods* 70 2
-------------
Total Retail-Sporting Goods 2
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
S & L/Thrifts-Eastern US - 0.1%
New York Community Bancorp 28 $ -
-------------
Total S & L/Thrifts-Eastern US -
- ---------------------------------------------------------------------
S & L/Thrifts-Western US - 0.1%
Washington Federal 150 3
Washington Mutual 68 1
-------------
Total S & L/Thrifts-Western US 4
- ---------------------------------------------------------------------
Schools - 0.0%
ITT Educational Services* 25 2
-------------
Total Schools 2
- ---------------------------------------------------------------------
Semiconductor Components-Integrated Circuits - 0.3%
Cypress Semiconductor* 9 -
Maxim Integrated Products 578 15
-------------
Total Semiconductor Components-Integrated Circuits 15
- ---------------------------------------------------------------------
Semiconductor Equipment - 0.1%
Applied Materials 74 1
Novellus Systems* 10 -
Varian Semiconductor
Equipment Associates* 82 3
-------------
Total Semiconductor Equipment 4
- ---------------------------------------------------------------------
Software Tools - 0.0%
VMware, Cl A* 20 2
-------------
Total Software Tools 2
- ---------------------------------------------------------------------
Steel Pipe & Tube - 0.1%
Valmont Industries 35 3
-------------
Total Steel Pipe & Tube 3
_____________________________________________________________________
Steel-Specialty - 0.2%
Allegheny Technologies 105 9
-------------
Total Steel-Specialty 9
_____________________________________________________________________
Super-Regional Banks-US - 0.2%
Bank of America 100 4
Capital One Financial 61 3
Wells Fargo 88 3
-------------
Total Super-Regional Banks-US 10
- ---------------------------------------------------------------------
Telecommunications Equipment - 0.1%
Harris 100 6
-------------
Total Telecommunications Equipment 6
_____________________________________________________________________
Telecommunications Equipment-Fiber Optics - 0.0%
JDS Uniphase* 45 1
-------------
Total Telecommunications Equipment-Fiber Optics 1
_____________________________________________________________________
13
OLD MUTUAL VA ASSET ALLOCATION
CONSERVATIVE PORTFOLIO - continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Telecommunications Services - 0.3%
Amdocs* 10 $ -
Embarq 300 15
Time Warner Telecom, Cl A* 71 1
_____________
Total Telecommunications Services 16
_____________________________________________________________________
Telephone-Integrated - 0.3%
AT&T 240 10
Verizon Communications 130 6
-------------
Total Telephone-Integrated 16
_____________________________________________________________________
Textile-Home Furnishings - 0.1%
Mohawk Industries* 50 4
_____________
Total Textile-Home Furnishings 4
_____________________________________________________________________
Therapeutics - 0.3%
Gilead Sciences* 300 14
Medicines* 46 1
Warner Chilcott, Cl A* 25 -
-------------
Total Therapeutics 15
- ---------------------------------------------------------------------
Tobacco - 0.3%
Altria Group 106 8
Imperial Tobacco Group ADR 69 7
UST 56 3
_____________
Total Tobacco 18
_____________________________________________________________________
Tools-Hand Held - 0.1%
Snap-On 4 -
Stanley Works 64 3
-------------
Total Tools-Hand Held 3
_____________________________________________________________________
Transport-Equipment and Leasing - 0.0%
Aircastle 6 -
-------------
Total Transport-Equipment and Leasing -
_____________________________________________________________________
Transport-Marine - 0.2%
Overseas Shipholding Group 150 11
_____________
Total Transport-Marine 11
_____________________________________________________________________
Transport-Rail - 0.2%
Burlington Northern Santa Fe 37 3
Canadian Pacific Railway 100 6
CSX 52 2
Union Pacific 14 2
_____________
Total Transport-Rail 13
_____________________________________________________________________
Transport-Services - 0.1%
Expeditors International Washington 45 2
FedEx 6 1
United Parcel Services, Cl B 1 -
-------------
Total Transport-Services 3
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Veterinary Diagnostics - 0.0%
VCA Antech* 40 $ 2
_____________
Total Veterinary Diagnostics 2
- ---------------------------------------------------------------------
Web Hosting/Design - 0.1%
Equinix* 40 4
_____________
Total Web Hosting/Design 4
- ---------------------------------------------------------------------
Web Portals/ISP - 0.4%
Google, Cl A* 25 17
Sina* 45 2
_____________
Total Web Portals/ISP 19
- ---------------------------------------------------------------------
Wireless Equipment - 0.1%
American Tower, Cl A* 36 2
Motorola 7 -
Nokia ADR 91 3
RF Micro Devices* 105 1
_____________
Total Wireless Equipment 6
_____________
Total Common Stock (Cost $1,292) 1,388
_____________________________________________________________________
Foreign Common Stock - 6.8%
Australia - 0.7%
BHP Billiton 505 18
Caltex Australia 51 1
Dominion Mining 102 1
Leighton Holdings 302 16
-------------
Total Australia 36
_____________________________________________________________________
Austria - 0.2%
OMV 48 4
Voestalpine 127 9
-------------
Total Austria 13
- ---------------------------------------------------------------------
Canada - 0.4%
Manulife Financial 200 8
Methanex 400 11
_____________
Total Canada 19
- ---------------------------------------------------------------------
Denmark - 0.1%
Danske Bank 200 8
_____________
Total Denmark 8
_____________________________________________________________________
France - 0.5%
BNP Paribas 118 13
Camaieu 34 14
Societe Generale 5 1
-------------
Total France 28
_____________________________________________________________________
14
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Germany - 0.8%
Allianz SE 65 $ 14
Deutsche Bank 92 12
Salzgitter 39 6
Siemens 55 9
_____________
Total Germany 41
_____________________________________________________________________
Hong Kong - 0.0%
Regal Hotels International 4,000 -
_____________
Total Hong Kong -
_____________________________________________________________________
Italy - 0.2%
Fiat 483 12
_____________
Total Italy 12
- ---------------------------------------------------------------------
Japan - 1.6%
Alpine Electronics 300 5
Central Japan Railway 1 9
Daiichikosho 600 6
Inui Steamship 200 3
Kobayashi Pharmaceutical 100 4
Kohnan Shoji 700 12
Nippon Mining Holdings 1,000 6
Nippon Steel 1,000 6
NTT Data 1 4
Shinwa Kaiun Kaisha 1,000 6
Sumitomo Pipe & Tube 1,000 7
Toyota Motor 300 16
-------------
Total Japan 84
_____________________________________________________________________
Netherlands - 0.4%
ING Groep 25 1
Royal Dutch Shell, Cl A 501 21
_____________
Total Netherlands 22
_____________________________________________________________________
New Zealand - 0.1%
Air New Zealand 3,871 6
_____________
Total New Zealand 6
_____________________________________________________________________
Norway - 0.0%
Norsk Hydro 50 1
StatoilHydro 43 1
-------------
Total Norway 2
_____________________________________________________________________
Spain - 0.5%
Banco Bilbao Vizcaya 512 12
Banco Santander 729 16
_____________
Total Spain 28
_____________________________________________________________________
- ---------------------------------------------------------------------
Shares/Face
Description Amount (000) Value (000)
- ---------------------------------------------------------------------
Sweden - 0.3%
Skandinaviska Enskilda Banken, Cl A 300 $ 8
Volvo, Cl B 602 10
_____________
Total Sweden 18
- ---------------------------------------------------------------------
Switzerland - 0.2%
Credit Suisse Group 129 8
_____________
Total Switzerland 8
- ---------------------------------------------------------------------
United Kingdom - 0.8%
3i Group 34 1
AstraZeneca 231 10
BT Group 1,979 11
CSR* 73 1
Reckitt Benckiser Group 225 13
Royal Bank of Scotland Group 1,056 9
-------------
Total United Kingdom 45
_____________
Total Foreign Common Stock (Cost $353) 370
_____________________________________________________________________
Asset-Backed Securities - 0.4%
Chase Issuance Trust
Ser 2007-A15 Cl A
4.960%, 09/17/12 $ 20 20
_____________
Total Asset-Backed Securities (Cost $19) 20
- ---------------------------------------------------------------------
U.S. Treasury Obligations - 20.0%
U.S. Treasury Bond
4.750%, 02/15/37 20 21
U.S. Treasury Notes
4.875%, 08/15/09 110 113
4.875%, 07/31/11 380 401
4.750%, 05/15/14 155 165
4.750%, 08/15/17 55 58
4.625%, 11/15/09 250 257
4.250%, 11/15/17 40 41
4.125%, 04/31/12 25 26
_____________
Total U.S. Treasury Obligations (Cost $1,033) 1,082
- ---------------------------------------------------------------------
U.S. Government Agency Obligations - 18.1%
Federal National Mortgage Association
6.000% 01/01/37 229 232
5.500% 01/01/37 490 490
5.000% 05/01/37 261 254
-------------
Total U.S. Government Agency Obligations
(Cost $968) 976
- ---------------------------------------------------------------------
Foreign Bond - 8.7%
Deutschland Republic, Ser 3 (EUR)
4.500%, 01/04/13 316 469
-------------
Total Foreign Bond (Cost $411) 469
- ---------------------------------------------------------------------
15
OLD MUTUAL VA ASSET ALLOCATION
CONSERVATIVE PORTFOLIO - concluded
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- ---------------------------------------------------------------------
Corporate Bonds - 15.6%
Abbott Laboratories
5.150%, 11/30/12 $ 5 $ 5
Advanta Capital Trust, Ser B
8.990%, 12/17/26 11 8
Alliance One International
11.000%, 5/15/2012 11 11
Allied Waste North America
5.750%, 02/15/11 11 11
Apache
5.250%, 04/15/13 30 31
Aramark Services, Cl A (A)
8.411%, 02/01/15 7 7
AstraZeneca
5.400%, 9/15/12 30 31
Bank One
5.900%, 11/15/11 85 88
Belden
7.000%, 03/15/17 7 7
Canadian Natural Resources
6.700%, 07/15/11 5 5
Cascades
7.250%, 02/15/13 15 14
Citigroup
6.125%, 11/21/17 5 5
Connacher Oil and Gas 144A
10.250%, 12/15/15 10 10
Coleman Cable
9.875%, 10/1/2012 11 10
Comcast
5.300%, 01/15/14 85 83
Covidien International Finance 144A
5.450%, 10/15/12 5 5
Denbury Resources
7.500%, 12/15/15 10 10
D.R. Horton
7.875%, 08/15/11 5 5
EchoStar DBS
6.625%, 10/01/14 15 15
ERP Operating
5.125%, 3/15/2016 85 79
Ford Motor Credit
7.375%, 10/28/09 15 14
General Mills
5.650%, 09/10/12 20 20
GMAC
7.000%, 02/01/12 15 13
Ikon Office Solutions 144A
9.926%, 01/01/12 (A) 4 4
_____________________________________________________________________
- ---------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- ---------------------------------------------------------------------
Corporate Bonds - continued
Ikon Office Solutions
7.750%, 09/15/05 $ 11 $ 11
Kansas City Southern
9.500%, 10/01/08 7 7
KB Home
7.750%, 02/01/10 10 9
Lehman Brothers Holdings, MTN
6.200%, 09/26/14 5 5
Landry's Restaurants
9.500%, 12/15/14 12 12
Marathon Oil
6.600%, 10/01/37 5 5
MasTec
7.625%, 02/01/17 7 7
PepsiCo
5.150, 05/15/12 5 5
PSEG Power
7.750%, 04/15/11 85 91
Pulte Homes
7.875%, 08/01/11 11 11
Qwest
8.875%, 03/15/12 15 16
Residential Capital 144A (A)
8.544%, 04/17/09 16 8
Swift Transportation 144A (A)
12.619%, 05/15/15 5 3
SBC Communications
5.100%, 09/15/14 85 84
Starbucks
6.250%, 08/15/17 15 16
Stater Brothers Holdings
7.750%, 04/15/15 11 11
Tesoro
6.500%, 06/01/17 11 11
True Temper Sports
8.375%, 09/15/11 10 6
Tyco Electronics 144A
6.550%, 10/01/17 5 5
Uno Restaurant 144A
10.000%, 2/15/11 3 2
Valassis Communication
8.250%, 03/01/15 11 10
Weatherford International 144A
5.950%, 06/15/12 5 5
Xerox Capital Trust I
8.000%, 02/01/27 11 11
_____________
Total Corporate Bonds (Cost $850) 842
- ---------------------------------------------------------------------
16
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Money Market Fund - 4.6%
Dreyfus Cash Management Fund,
Institutional Class, 4.850% (B) 249,547 $ 250
-------------
Total Money Market Fund (Cost $250) 250
- ---------------------------------------------------------------------
Total Investments - 99.9% (Cost $5,176) 5,397
- ---------------------------------------------------------------------
Other Assets and Liabilities, Net - 0.1% 4
- ---------------------------------------------------------------------
Total Net Assets - 100.0% $ 5,401
- ---------------------------------------------------------------------
As of December 31, 2007, the Portfolio had the following forward foreign
currency contracts outstanding:
Unrealized
Settlement Currency Currency Appreciation
Date to Deliver to Receive (Depreciation)
- ---------- ----------------- ------------------ --------------
03/11/08 USD (209,600) EUR 143,295 $ 33
03/11/08 USD (149,100) JPY 16,206,797 (2,871)
03/11/08 EUR (309,539) USD 458,047 5,207
-------
$ 2,369
-------
The accompanying notes are an integral part of the financial statements.
17
OLD MUTUAL VA ASSET ALLOCATION BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
MANAGEMENT OVERVIEW (UNAUDITED)
Strategic Asset Allocation Consultant: Ibbotson Associates Advisors, LLC
Performance Highlights
o For the one-year period ended December 31, 2007, the Old Mutual VA Asset
Allocation Balanced Portfolio's Service Class Shares gained 8.17%, while
the S&P 1500 Index returned 5.47% and the Lehman Brothers U.S. Aggregate
Index returned 6.97%.
o At the individual stock level, Apple, Monsanto and Leighton Holdings
contributed positively to Portfolio performance during the period, while
Royal Bank of Scotland, SLM and AstraZeneca were the largest detractors.
o At the underlying mandate level, thirteen managers produced positive
returns and four produced negative returns.
Q. How did the Portfolio perform relative to its benchmarks?
A. For the one-year period ended December 31, 2007, the Old Mutual VA Asset
Allocation Balanced Portfolio's (the "Portfolio") Service Class Shares
gained 8.17%, while the S&P 1500 Index returned 5.47% and the Lehman
Brothers U.S. Aggregate Index returned 6.97%. Performance for all share
classes can be found on page 20.
Q. What investment environment did the Portfolio face during the past year?
A. Ibbotson Associates Advisors, LLC ("Ibbotson") notes that 2007 was a year
when skillful asset allocation helped reduce volatility and protect against
losses experienced by 100% equity funds.
Results among different asset classes varied widely in 2007. For example,
emerging-market stocks and non-U.S. bonds produced strong gains. These
gains were aided by strong growth in emerging-market countries and by a
depreciating U.S. dollar. Large- and mid-cap growth stocks, international
developed-market equities and core U.S. bonds had good months and bad
months, but overall managed to meet the strategic asset allocation
consultant's return expectations for the year. Small-cap growth stocks and
high-yield bonds underperformed Ibbotson's long-term expectations, while
value stocks and real estate underperformed by a wide margin, ending the
year with negative returns.
Q. Which market factors influenced the Portfolio's relative performance?
A. Strong performance in aggregate bonds, large-cap growth equities and
international stocks contributed positively to the Portfolio's performance
during the period.
Although large-cap value stocks outperformed large-cap growth stocks every
year since 1999 (as measured by the Russell 1000(R) Value Index and the
Russell 1000(R) Growth Index, respectively), 2007 reversed that trend.
However, the Portfolio maintained a neutral allocation between growth and
value throughout the year. Hence, overall, the Portfolio was not affected
by the discrepancy between growth and value returns during the period.
Ibbotson's models have long-term allocations to mid- and small-cap U.S.
equities, but since August of 2006, Ibbotson tactically underweighted mid-
and small-caps and shifted approximately 2% of those allocations into
large-cap U.S. equities. Since April of 2005, Ibbotson has maintained an
underweight in real estate investment trusts ("REITs"), shifting 1% of that
allocation into large-cap U.S. equities. Additionally, in August of 2007
Ibbotson reduced the Portfolio's allocation to high-yield bonds by 2%,
anticipating continued negative impact on non-investment grade issues. Each
of these tilts contributed positively to the Portfolio's performance during
2007.
The Portfolio's remaining allocations to REITs and small-cap value equities
detracted from performance during the annual period.
Q. How did composition affect Portfolio performance?
A. At the individual stock level, Apple, Monsanto and Leighton Holdings
contributed positively to Portfolio performance during the period, while
Royal Bank of Scotland, SLM and AstraZeneca were the largest detractors.
Ibbotson notes that during 2007 major stock contributors tended to be
growth stocks, while the majority of the largest detractors were value
stocks. Computer hardware company Apple posted solid earnings with iPod
sales, the reintroduction of the iTV and the iPhone release in June.
Agricultural product provider Monsanto raised guidance as a result of
better than expected Roundup pricing, strong corn seed sales in Brazil and
Argentina and a lower than anticipated tax rate. The company also announced
a cross-licensing agreement with Dow Chemical for "SmartStax", the
first-ever eight-gene stack in corn. Shares of Leighton Holdings
VA Asset Allocation Balanced Portfolio
18
advanced on news that the builder had won $650 million of contracts in the
United Arab Emirates through partner Al Habtoor Engineering. Global banking
group Royal Bank of Scotland was affected by general concerns surrounding
bank stocks, while announcing in December that it would write down
(pound)1.5 billion in credit market-related losses. Student lending company
SLM reported losses during the period and the company's stock value
declined. AstraZeneca fell after the drugmaker announced a 15% decline in
third-quarter profit as its top-selling drugs faced increasing competition
from generic treatments.
At the underlying mandate level, thirteen managers produced positive
returns and four produced negative returns. Ibbotson creates a customized
blended benchmark for each underlying manager based on the firms' style
exposures to calculate the relative returns of each manager. The four
mandates that outperformed their blended benchmarks by the highest margins
were Copper Rock Capital Partners, LLC's small-cap growth mandate,
Provident Investment Counsel's ("Provident") large-cap growth strategy,
Provident's mid-cap growth mandate and Thompson, Siegel & Walmsley LLC's
mid-cap value mandate. Each of these managers exceeded its blended
benchmark's return by more than 9%. Dwight Asset Management Company's
high-yield bond strategy, Thomson Horstmann & Bryant, Inc.'s small-cap
value mandate and Barrow, Hanley, Mewhinney & Strauss, Inc.'s U.S. core
bond strategy underperformed their blended benchmark(s) by the most
significant margin during the period.
Q. What is the investment outlook?
A. Recent economic news has been full of mixed, even contradictory
information. Which reports and indicators should one believe, and what is
the best course of action? Ibbotson notes that it is not easily swayed by
alarmist reports; rather, the firm conducts extensive analysis that relies
upon up-to-date data while remaining attentive to broad market trends. In
the context of that analysis, Ibbotson believes that the U.S. economy shows
signs of weakening and that the possibility of recession in 2008 has
increased. Despite a weakening U.S. economic outlook, the U.S. stock market
is fairly priced, in Ibbotson's view, and may be poised to outperform the
bond market over time. Specifically, Ibbotson believes that large-cap
stocks are more attractive than small-cap stocks in the near term, from
both a valuation and momentum perspective. Ibbotson believes there will be
continued upward pressure on U.S. inflation and interest rates, which will
primarily affect intermediate and long maturity bond yields. In the
short-term, however, economic weakness will keep interest rates low as the
Federal Reserve Board may continue to consider lowering Fed Fund rates to
boost economic growth. Lastly, Ibbotson believes REITs continue to be
overvalued relative to the overall stock market, even after the sector's
recent underperformance.
Top Ten Holdings
as of December 31, 2007
Deutschland Republic,
Ser 3 (EUR)
4.500%, 01/04/13 5.1%
- --------------------------------------
Federal National
Mortgage Association,
5.500%, 01/01/37 4.8%
- --------------------------------------
U.S. Treasury Notes,
4.875%, 07/31/11 3.8%
- --------------------------------------
iShares S&P SmallCap 600
Value Index Fund 2.6%
- --------------------------------------
U.S. Treasury Notes,
4.625%, 11/15/09 2.5%
- --------------------------------------
Federal National
Mortgage Association,
5.000%, 05/01/37 2.5%
- --------------------------------------
Federal National
Mortgage Association,
6.000%, 01/01/37 2.3%
- --------------------------------------
U.S. Treasury Notes,
4.750%, 05/15/14 1.8%
- --------------------------------------
U.S. Treasury Notes,
4.875%, 08/15/09 1.2%
- --------------------------------------
Apple 0.8%
- --------------------------------------
As a % of Total
Portfolio Investments 27.4%
- --------------------------------------
VA Asset Allocation Balanced Portfolio
19
OLD MUTUAL VA ASSET ALLOCATION
BALANCED PORTFOLIO - continued
- --------------------------------------------------------------------------------
PERFORMANCE AND PORTFOLIO SUMMARY (UNAUDITED)
Average Annual Total Returns as of December 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
1 Year Annualized
Inception Date Return Inception to Date
- ------------------------------------------------------------------------------------------------------------------------------------
VA Asset Allocation Balanced Portfolio - Initial Class 12/29/06 8.42% 8.37%
VA Asset Allocation Balanced Portfolio - Service Class 12/29/06 8.17% 8.12%
S&P 1500 Index 12/29/06 5.47% 4.91%
Lehman Brothers U.S. Aggregate Index 12/29/06 6.97% 6.90%
- ------------------------------------------------------------------------------------------------------------------------------------
Past performance is not a guarantee of future results. Total return figures
include the effect of the Portfolio's recurring expenses, but do not include
fees and expenses that may be imposed under variable annuity contracts or
variable life insurance policies offered through separate accounts of
participating insurance companies which purchase the Portfolio's shares. If
those charges were reflected, the performance shown would have been lower.
Information about these performance results and the comparative indexes can be
found on pages 1 and 2.
The total annual operating expenses and net annual operating expenses a
shareholder in the Portfolio's Initial Class and Service Class Shares may pay
(as reported in the April 23, 2007 prospectuses) are 1.15% and 1.05%; 1.40% and
1.30% respectively. Expenses for both share classes are based on estimated
amounts.
Portfolio Performance
- --------------------------------------------------------------------------------
[LINE GRAPH WAS REPRESENTED IN THE PRINTED MATERIAL]
VA Asset Allocation VA Asset Allocation Lehman Brothers
Balanced Portfolio Balanced Portfolio S&P 1500 US Aggregate
- Initial Class - Service Class Index Index
12/06 10,000 10,000 10,000 10,000
12/07 10,831 10,817 10,547 10,697
Past performance is not a guarantee of future results. The graph above compares
an investment made in the Portfolio's Initial Class and Service Class Shares on
the inception date of 12/29/06 to an investment made in unmanaged securities
indexes on that date. The Portfolio's performance in this chart and the
performance table assumes reinvestment of dividends and capital gain
distributions, but does not reflect the deduction of taxes that a shareholder
would pay on Portfolio distributions, or on the redemption of Portfolio shares.
Asset Class Weightings as of December 31, 2007 - % of Total Portfolio
Investments
- --------------------------------------------------------------------------------
[PIE GRAPH WAS REPRESENTED IN THE PRINTED MATERIAL]
Common Stock 46%
Foreign Common Stock 14%
US Treasury Obligations 10%
US Government Agency Obligations 10%
Corporate Bonds 8%
Foreign Bond 5%
Cash Equivalent 4%
Investment Company 3%
Warrants 0%
Asset-Backed Securities 0%
20
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Common Stock - 45.7%
Advertising Sales - 0.1%
AirMedia Group ADR* 32 $ 1
Focus Media Holding ADR* 65 4
-------------
Total Advertising Sales 5
- ---------------------------------------------------------------------
Aerospace/Defense - 0.7%
Aerovironment* 62 2
Boeing 113 10
Rockwell Collins 325 23
Teledyne Technologies* 32 2
-------------
Total Aerospace/Defense 37
_____________________________________________________________________
Aerospace/Defense-Equipment - 0.4%
AAR* 35 1
Alliant Techsystems* 100 11
B/E Aerospace* 50 3
DRS Technologies 50 3
Goodrich 10 1
Triumph Group 15 1
-------------
Total Aerospace/Defense-Equipment 20
- ---------------------------------------------------------------------
Agricultural Biotech - 0.0%
Origin Agritech* 60 -
-------------
Total Agricultural Biotech -
- ---------------------------------------------------------------------
Agricultural Chemicals - 1.1%
Agrium 100 7
CF Industries Holdings 30 3
Monsanto 297 33
Potash of Saskatchewan 112 16
-------------
Total Agricultural Chemicals 59
_____________________________________________________________________
Agricultural Operations - 0.2%
Archer-Daniels-Midland 195 9
-------------
Total Agricultural Operations 9
_____________________________________________________________________
Airlines - 0.1%
Delta Air Lines* 51 1
UAL 15 1
US Airways Group* 39 1
_____________
Total Airlines 3
_____________________________________________________________________
Applications Software - 0.5%
Citrix Systems* 35 1
Infosys Technologies ADR 55 2
Intuit* 62 2
_____________________________________________________________________
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Applications Software - continued
Microsoft 520 $ 19
Progress Software* 35 1
Red Hat* 70 1
-------------
Total Applications Software 26
- ---------------------------------------------------------------------
Audio/Video Products - 0.0%
DTS* 47 1
_____________
Total Audio/Video Products 1
- ---------------------------------------------------------------------
Auto/Truck Parts & Equipment-Original - 0.0%
Amerigon* 50 1
-------------
Total Auto/Truck Parts & Equipment-Original 1
_____________________________________________________________________
Auto-Cars/Light Trucks - 0.1%
Ford Motor* 678 5
_____________
Total Auto-Cars/Light Trucks 5
_____________________________________________________________________
Beverages-Non-Alcoholic - 0.0%
Coca-Cola Bottling 25 1
_____________
Total Beverages-Non-Alcoholic 1
_____________________________________________________________________
Brewery - 0.2%
Cia Cervecerias Unidas ADR 180 6
Molson Coors Brewing, Cl B 100 5
_____________
Total Brewery 11
- ---------------------------------------------------------------------
Broadcast Service/Programming - 0.0%
Clear Channel 3 -
-------------
Total Broadcast Service/Programming -
- ---------------------------------------------------------------------
Building & Construction-Miscellaneous - 0.1%
Orascom Construction GDR 30 6
-------------
Total Building & Construction-Miscellaneous 6
_____________________________________________________________________
Cable TV - 0.2%
Comcast, Cl A* 69 1
Comcast, Special Cl A* 240 4
DIRECTV Group* 202 5
-------------
Total Cable TV 10
_____________________________________________________________________
Casino Hotels - 0.3%
Harrah's Entertainment 1 -
MGM Mirage* 210 18
-------------
Total Casino Hotels 18
- ---------------------------------------------------------------------
Casino Services - 0.1%
International Game Technology 60 3
-------------
Total Casino Services 3
- ---------------------------------------------------------------------
21
OLD MUTUAL VA ASSET ALLOCATION
BALANCED PORTFOLIO - continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Cellular Telecommunications - 0.8%
America Movil, Ser L ADR 120 $ 7
Millicom International Cellular* 60 7
NII Holdings* 370 18
Tim Participacoes ADR 80 3
Turkcell Iletisim Hizmet ADR 120 3
Vimpel-Communications ADR 100 4
_____________
Total Cellular Telecommunications 42
- ---------------------------------------------------------------------
Chemicals-Diversified - 0.5%
Celanese, Ser A 300 13
E.I. du Pont de Nemours 254 11
Olin 30 1
Rohm & Haas 33 2
_____________
Total Chemicals-Diversified 27
_____________________________________________________________________
Chemicals-Specialty - 0.1%
Chemtura 52 -
Hercules 62 1
Lubrizol 100 5
_____________
Total Chemicals-Specialty 6
- ---------------------------------------------------------------------
Coal - 0.2%
Alpha Natural Resources* 32 1
Arch Coal 28 1
Consol Energy 50 4
Massey Energy 52 2
Peabody Energy 50 3
Walter Industries 37 1
-------------
Total Coal 12
- ---------------------------------------------------------------------
Commercial Banks Non-US - 0.1%
Banco Itau Holding Financeira ADR 160 4
Kookmin Bank ADR 60 4
_____________
Total Commercial Banks Non-US 8
_____________________________________________________________________
Commercial Banks-Central US - 0.0%
Irwin Financial 128 1
_____________
Total Commercial Banks-Central US 1
_____________________________________________________________________
Commercial Services - 0.0%
ExlService Holdings* 67 2
PHH* 22 -
_____________
Total Commercial Services 2
_____________________________________________________________________
Commercial Services-Finance - 0.0%
Wright Express* 42 1
-------------
Total Commercial Services-Finance 1
_____________________________________________________________________
Communications Software - 0.1%
Avid Technology* 93 3
DivX* 92 1
-------------
Total Communications Software 4
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Computer Aided Design - 0.1%
Ansys* 92 $ 4
_____________
Total Computer Aided Design 4
_____________________________________________________________________
Computer Services - 0.0%
Computer Sciences* 12 1
Syntel 28 1
-------------
Total Computer Services 2
_____________________________________________________________________
Computer Software - 0.1%
Double-Take Software* 72 2
Omniture* 25 1
-------------
Total Computer Software 3
- ---------------------------------------------------------------------
Computers - 1.9%
Apple* 230 45
Hewlett-Packard 556 28
International Business Machines 26 3
Research In Motion* 200 23
Sun Microsystems* 278 5
-------------
Total Computers 104
_____________________________________________________________________
Computers-Integrated Systems - 0.1%
NCI, Cl A* 82 1
Radisys* 87 1
Riverbed Technology* 50 1
-------------
Total Computers-Integrated Systems 3
- ---------------------------------------------------------------------
Computers-Memory Devices - 0.4%
EMC* 1,025 19
Silicon Storage Technology* 230 1
Western Digital* 100 3
-------------
Total Computers-Memory Devices 23
- ---------------------------------------------------------------------
Computers-Peripheral Equipment - 0.1%
Electronics for Imaging* 112 3
-------------
Total Computers-Peripheral Equipment 3
- ---------------------------------------------------------------------
Consulting Services - 0.2%
Advisory Board* 30 2
FTI Consulting* 77 5
Gartner* 40 1
Huron Consulting Group* 33 3
MAXIMUS 32 1
-------------
Total Consulting Services 12
- ---------------------------------------------------------------------
Containers-Metal/Glass - 0.4%
Crown Holdings* 200 5
Owens-Illinois* 300 15
_____________
Total Containers-Metal/Glass 20
- ---------------------------------------------------------------------
22
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Containers-Paper/Plastic - 0.1%
Bemis 55 $ 2
Sealed Air 68 2
Sonoco Products 41 1
_____________
Total Containers-Paper/Plastic 5
_____________________________________________________________________
Cosmetics & Toiletries - 0.0%
Procter & Gamble 9 1
_____________
Total Cosmetics & Toiletries 1
_____________________________________________________________________
Cruise Lines - 0.1%
Carnival 171 8
_____________
Total Cruise Lines 8
_____________________________________________________________________
Data Processing/Management - 0.1%
Automatic Data Processing 60 3
Commvault Systems* 45 1
Fiserv* 31 2
-------------
Total Data Processing/Management 6
- ---------------------------------------------------------------------
Dental Supplies & Equipment - 0.3%
Dentsply International 320 14
-------------
Total Dental Supplies & Equipment 14
- ---------------------------------------------------------------------
Diagnostic Equipment - 0.1%
Gen-Probe* 30 2
Hansen Medical* 40 1
_____________
Total Diagnostic Equipment 3
_____________________________________________________________________
Dialysis Centers - 0.0%
DaVita* 12 1
Dialysis Corp of America* 166 1
_____________
Total Dialysis Centers 2
_____________________________________________________________________
Direct Marketing - 0.0%
Valuevision Media, Cl A* 196 1
-------------
Total Direct Marketing 1
- ---------------------------------------------------------------------
Distribution/Wholesale - 0.1%
LKQ* 176 4
WW Grainger 15 1
_____________
Total Distribution/Wholesale 5
- ---------------------------------------------------------------------
Diversified Manufacturing Operations - 1.2%
3M 81 7
Acuity Brands 30 1
Dover 159 7
General Electric 675 25
Honeywell International 150 9
Illinois Tool Works 177 9
Textron 100 7
-------------
Total Diversified Manufacturing Operations 65
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Diversified Minerals - 0.2%
Cia Vale do Rio Doce ADR 350 $ 11
_____________
Total Diversified Minerals 11
- ---------------------------------------------------------------------
Drug Delivery Systems - 0.1%
Hospira* 65 3
_____________
Total Drug Delivery Systems 3
- ---------------------------------------------------------------------
E-Commerce/Products - 0.0%
Blue Nile* 15 1
_____________
Total E-Commerce/Products 1
- ---------------------------------------------------------------------
E-Commerce/Services - 0.1%
Ctrip.com International ADR 35 2
Expedia* 70 2
Liberty Media - Interactive, Cl A* 128 2
Priceline.com* 20 2
_____________
Total E-Commerce/Services 8
_____________________________________________________________________
Electric Products-Miscellaneous - 0.1%
Emerson Electric 114 6
_____________
Total Electric Products-Miscellaneous 6
_____________________________________________________________________
Electric-Distribution - 0.0%
EnerNOC* 15 1
_____________
Total Electric-Distribution 1
- ---------------------------------------------------------------------
Electric-Integrated - 1.2%
Allegheny Energy 8 1
Centerpoint Energy 800 14
CMS Energy 39 1
Dominion Resources 142 7
DTE Energy 200 9
Duke Energy 242 5
Edison International 48 3
Entergy 81 10
Exelon 95 8
PG&E 46 2
PPL 100 5
-------------
Total Electric-Integrated 65
- ---------------------------------------------------------------------
Electronic Components-Miscellaneous - 0.2%
AU Optronics ADR 239 5
Celestica* 344 2
Flextronics International* 80 1
HON HAI Precision GDR 300 4
Tyco Electronics 12 -
-------------
Total Electronic Components-Miscellaneous 12
_____________________________________________________________________
23
OLD MUTUAL VA ASSET ALLOCATION
BALANCED PORTFOLIO - continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Electronic Components-Semiconductors - 0.8%
Bookham* 210 $ -
Broadcom, Cl A* 42 1
Cavium Networks* 30 1
DSP Group* 227 3
Fairchild Semiconductor International* 145 2
Ikanos Communications* 358 2
Monolithic Power Systems* 40 1
NVIDIA* 575 20
Qlogic* 223 3
Samsung Electronics GDR, 144A 11 3
Semtech* 149 2
Silicon Laboratories* 10 -
SiRF Technology Holdings* 98 2
Texas Instruments 62 2
Zoran* 62 1
_____________
Total Electronic Components-Semiconductors 43
_____________________________________________________________________
Electronic Design Automation - 0.1%
Comtech Group* 95 2
Magma Design Automation* 90 1
Synplicity* 322 2
-------------
Total Electronic Design Automation 5
_____________________________________________________________________
Electronic Forms - 0.2%
Adobe Systems* 275 12
_____________
Total Electronic Forms 12
- ---------------------------------------------------------------------
Electronic Measuring Instruments - 0.3%
Agilent Technologies* 300 11
Itron* 38 4
_____________
Total Electronic Measuring Instruments 15
- ---------------------------------------------------------------------
Electronic Parts Distribution - 0.1%
Arrow Electronics* 200 8
_____________
Total Electronic Parts Distribution 8
- ---------------------------------------------------------------------
Electronic Security Devices - 0.0%
ICX Technologies* 55 1
Taser International* 80 1
_____________
Total Electronic Security Devices 2
_____________________________________________________________________
Electronics-Military - 0.1%
L-3 Communications Holdings 41 4
-------------
Total Electronics-Military 4
_____________________________________________________________________
E-Marketing/Info - 0.0%
Constant Contact* 37 1
-------------
Total E-Marketing/Info 1
_____________________________________________________________________
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Energy-Alternate Sources - 0.4%
Comverge* 20 $ 1
Covanta Holding* 100 3
Sunpower, Cl A* 145 19
_____________
Total Energy-Alternate Sources 23
_____________________________________________________________________
Engineering/R&D Services - 0.6%
Fluor 45 7
Jacobs Engineering Group* 64 6
McDermott International* 280 17
URS* 29 2
_____________
Total Engineering/R&D Services 32
- ---------------------------------------------------------------------
Engines-Internal Combustion - 0.4%
Cummins 185 24
_____________
Total Engines-Internal Combustion 24
_____________________________________________________________________
Enterprise Software/Services - 0.7%
BMC Software* 350 12
Novell* 160 1
Oracle* 605 14
PROS Holdings* 42 1
Sybase* 350 9
Taleo, Cl A* 7 -
Ultimate Software Group* 35 1
_____________
Total Enterprise Software/Services 38
_____________________________________________________________________
Entertainment Software - 0.1%
Activision* 105 3
Take-Two Interactive Software* 70 1
_____________
Total Entertainment Software 4
_____________________________________________________________________
E-Services/Consulting - 0.0%
GSI Commerce* 70 1
Perficient* 87 1
-------------
Total E-Services/Consulting 2
_____________________________________________________________________
Fiduciary Banks - 0.4%
Bank of New York Mellon 358 18
Northern Trust 50 4
State Street 21 2
-------------
Total Fiduciary Banks 24
- ---------------------------------------------------------------------
Filtration/Separation Products - 0.1%
Pall 100 4
-------------
Total Filtration/Separation Products 4
- ---------------------------------------------------------------------
Finance-Consumer Loans - 0.1%
First Marblehead 25 -
SLM 289 6
-------------
Total Finance-Consumer Loans 6
- ---------------------------------------------------------------------
Finance-Credit Card - 0.1%
American Express 116 6
-------------
Total Finance-Credit Card 6
- ---------------------------------------------------------------------
24
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Finance-Investment Banker/Broker - 0.7%
Bear Stearns 50 $ 4
Charles Schwab 264 7
Citigroup 197 6
Cowen* 182 2
Greenhill 5 -
Interactive Brokers Group, CI A* 58 2
JPMorgan Chase 321 14
Morgan Stanley 60 3
Piper Jaffray* 10 -
Thomas Weisel Partners Group* 50 1
TradeStation Group* 60 1
-------------
Total Finance-Investment Banker/Broker 40
- ---------------------------------------------------------------------
Finance-Other Services - 0.3%
Asset Acceptance Capital 141 1
CME Group 5 3
eSpeed, Cl A* 80 1
FCStone Group* 30 1
GFI Group* 10 1
IntercontinentalExchange* 30 6
MF Global* 26 1
NASDAQ Stock Market* 75 4
-------------
Total Finance-Other Services 18
- ---------------------------------------------------------------------
Food-Dairy Products - 0.1%
Dean Foods 19 -
Wimm-Bill-Dann Foods ADR 37 5
_____________
Total Food-Dairy Products 5
_____________________________________________________________________
Food-Meat Products - 0.1%
Tyson Foods, Cl A 218 3
-------------
Total Food-Meat Products 3
- ---------------------------------------------------------------------
Food-Miscellaneous/Diversified - 0.2%
Kraft Foods, Cl A 131 4
Sara Lee 500 8
_____________
Total Food-Miscellaneous/Diversified 12
- ---------------------------------------------------------------------
Food-Retail - 0.1%
X5 Retail Group GDR* 75 3
-------------
Total Food-Retail 3
_____________________________________________________________________
Food-Wholesale/Distribution - 0.0%
United Natural Foods* 11 -
-------------
Total Food-Wholesale/Distribution -
_____________________________________________________________________
Forestry - 0.2%
Plum Creek Timber 200 9
-------------
Total Forestry 9
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Gambling (Non-Hotel) - 0.0%
Pinnacle Entertainment* 57 $ 1
_____________
Total Gambling (Non-Hotel) 1
_____________________________________________________________________
Gas-Distribution - 0.1%
Southwest Gas 40 1
UGI 60 2
WGL Holdings 28 1
_____________
Total Gas-Distribution 4
_____________________________________________________________________
Hazardous Waste Disposal - 0.1%
Stericycle* 83 5
_____________
Total Hazardous Waste Disposal 5
_____________________________________________________________________
Health Care Cost Containment - 0.1%
McKesson 117 8
_____________
Total Health Care Cost Containment 8
_____________________________________________________________________
Hospital Beds/Equipment - 0.1%
Kinetic Concepts* 100 5
_____________
Total Hospital Beds/Equipment 5
- ---------------------------------------------------------------------
Hotels & Motels - 0.1%
Marriott International, Cl A 20 1
Morgans Hotel Group* 60 1
Wyndham Worldwide 32 1
-------------
Total Hotels & Motels 3
- ---------------------------------------------------------------------
Human Resources - 0.5%
Cross Country Healthcare* 80 1
Hewitt Associates, Cl A* 407 16
Hudson Highland Group* 157 1
Manpower 100 6
Monster Worldwide* 50 2
-------------
Total Human Resources 26
_____________________________________________________________________
Independent Power Producer - 0.0%
Mirant* 26 1
Reliant Energy* 16 -
-------------
Total Independent Power Producer 1
- ---------------------------------------------------------------------
Industrial Automation/Robot - 0.2%
Cognex 38 1
iRobot* 60 1
Rockwell Automation 100 7
_____________
Total Industrial Automation/Robot 9
_____________________________________________________________________
Industrial Gases - 0.5%
Praxair 278 25
-------------
Total Industrial Gases 25
- ---------------------------------------------------------------------
25
OLD MUTUAL VA ASSET ALLOCATION
BALANCED PORTFOLIO - continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Instruments-Scientific - 0.2%
PerkinElmer 350 $ 9
-------------
Total Instruments-Scientific 9
- ---------------------------------------------------------------------
Insurance Brokers - 0.1%
AON 48 2
eHealth* 55 2
-------------
Total Insurance Brokers 4
- ---------------------------------------------------------------------
Internet Application Software - 0.1%
CryptoLogic 80 1
Cybersource* 113 2
DealerTrack Holdings* 70 2
Vocus* 13 -
-------------
Total Internet Application Software 5
- ---------------------------------------------------------------------
Internet Content-Information/News - 0.1%
Baidu.com ADR* 10 4
-------------
Total Internet Content-Information/News 4
_____________________________________________________________________
Internet Incubators - 0.0%
Internet Capital Group* 90 1
-------------
Total Internet Incubators 1
_____________________________________________________________________
Internet Security - 0.1%
Symantec* 240 4
-------------
Total Internet Security 4
_____________________________________________________________________
Investment Companies - 0.0%
KKR Financial Holdings 29 -
MCG Capital 30 -
Pennant Park Investment 20 -
_____________
Total Investment Companies -
- ---------------------------------------------------------------------
Investment Management/Advisory Services - 0.3%
Affiliated Managers Group* 5 1
Federated Investors Inc, CI B 26 1
T Rowe Price Group 215 13
-------------
Total Investment Management/Advisory Services 15
- ---------------------------------------------------------------------
Lasers-Systems/Components - 0.0%
Electro Scientific Industries* 62 1
_____________
Total Lasers-Systems/Components 1
_____________________________________________________________________
Lighting Products & Systems - 0.0%
Orion Energy Systems* 20 -
_____________
Total Lighting Products & Systems -
_____________________________________________________________________
Life/Health Insurance - 0.2%
China Life Insurance ADR 18 1
Cigna 218 12
-------------
Total Life/Health Insurance 13
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Linen Supply & Related Items - 0.0%
Cintas 41 $ 1
-------------
Total Linen Supply & Related Items 1
- ---------------------------------------------------------------------
Machine Tools & Related Products - 0.1%
Kennametal 200 8
_____________
Total Machine Tools & Related Products 8
_____________________________________________________________________
Machinery-Construction & Mining - 0.1%
Terex* 107 7
_____________
Total Machinery-Construction & Mining 7
_____________________________________________________________________
Machinery-Farm - 0.3%
Deere 170 16
-------------
Total Machinery-Farm 16
_____________________________________________________________________
Machinery-General Industry - 0.2%
Manitowoc 115 6
Wabtec 90 3
-------------
Total Machinery-General Industry 9
- ---------------------------------------------------------------------
Machinery-Print Trade - 0.0%
Zebra Technologies, Cl A* 20 1
-------------
Total Machinery-Print Trade 1
- ---------------------------------------------------------------------
Marine Services - 0.0%
Aegean Marine Petroleum Network 20 1
-------------
Total Marine Services 1
_____________________________________________________________________
Medical Imaging Systems - 0.0%
IRIS International* 44 1
_____________
Total Medical Imaging Systems 1
_____________________________________________________________________
Medical Information Systems - 0.2%
Cerner* 235 13
-------------
Total Medical Information Systems 13
- ---------------------------------------------------------------------
Medical Instruments - 0.5%
Abaxis* 21 1
Conceptus* 111 2
Intuitive Surgical* 52 17
Medtronic 80 4
Natus Medical* 116 2
Trans1* 20 -
_____________
Total Medical Instruments 26
- ---------------------------------------------------------------------
Medical Labs & Testing Services - 0.2%
Covance* 34 3
Laboratory Corp of America Holdings* 100 8
MDS* 21 -
Quest Diagnostics 17 1
-------------
Total Medical Labs & Testing Services 12
- ---------------------------------------------------------------------
26
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Medical Laser Systems - 0.0%
Cynosure, Cl A* 40 $ 1
-------------
Total Medical Laser Systems 1
- ---------------------------------------------------------------------
Medical Products - 0.4%
Baxter International 127 7
Henry Schein* 45 3
Orthofix International* 30 2
Stryker 109 8
Syneron Medical* 32 -
Zoll Medical* 60 2
_____________
Total Medical Products 22
- ---------------------------------------------------------------------
Medical-Biomedical/Genetic - 0.3%
Alexion Pharmaceuticals* 25 2
AMAG Pharmaceuticals * 21 1
Cambrex 94 1
Celgene* 60 3
Illumina* 25 1
Invitrogen* 13 1
Keryx Biopharmaceuticals* 90 1
Lifecell* 60 3
Martek Biosciences* 32 1
-------------
Total Medical-Biomedical/Genetic 14
- ---------------------------------------------------------------------
Medical-Drugs - 1.5%
Angiotech Pharmaceuticals* 251 1
Aspreva Pharmaceuticals* 52 1
Axcan Pharma* 34 1
Bristol-Myers Squibb 265 7
Forest Laboratories* 36 1
Indevus Pharmaceuticals* 120 1
Medicis Pharmaceutical, Cl A 3 -
Merck 396 23
Pfizer 701 16
Schering-Plough 796 21
Valeant Pharmaceuticals International* 34 -
Wyeth 237 10
_____________
Total Medical-Drugs 82
- ---------------------------------------------------------------------
Medical-Generic Drugs - 0.1%
Barr Pharmaceuticals* 31 2
Perrigo 32 1
_____________
Total Medical-Generic Drugs 3
_____________________________________________________________________
Medical-HMO - 0.4%
Magellan Health Services* 32 1
UnitedHealth Group 157 9
WellPoint* 133 12
_____________
Total Medical-HMO 22
_____________________________________________________________________
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Medical-Hospitals - 0.1%
Universal Health Services, CI B 125 $ 6
-------------
Total Medical-Hospitals 6
- ---------------------------------------------------------------------
Medical-Outpatient/Home Medical - 0.0%
Lincare Holdings* 54 2
_____________
Total Medical-Outpatient/Home Medical 2
_____________________________________________________________________
Medical-Wholesale Drug Distributors - 0.3%
AmerisourceBergen 377 17
Cardinal Health 31 2
-------------
Total Medical-Wholesale Drug Distributors 19
_____________________________________________________________________
Metal Processors & Fabricators - 0.6%
Commercial Metals 100 3
Haynes International* 15 1
Ladish* 32 1
Precision Castparts 160 22
Sterlite Industries ADR* 139 4
_____________
Total Metal Processors & Fabricators 31
_____________________________________________________________________
Metal-Aluminum - 0.2%
Alcoa 263 10
_____________
Total Metal-Aluminum 10
_____________________________________________________________________
Metal-Copper - 0.1%
Taseko Mines* 1,100 6
_____________
Total Metal-Copper 6
_____________________________________________________________________
Miscellaneous Manufacturing - 0.0%
Trimas* 186 2
_____________
Total Miscellaneous Manufacturing 2
_____________________________________________________________________
Motion Pictures & Services - 0.0%
Macrovision* 43 1
-------------
Total Motion Pictures & Services 1
- ---------------------------------------------------------------------
Multi-Line Insurance - 0.9%
ACE 2 -
Allstate 106 6
American International Group 264 15
Assurant 100 7
Cincinnati Financial 100 4
Hartford Financial Services Group 56 5
Loews 135 7
XL Capital, Cl A 58 3
-------------
Total Multi-Line Insurance 47
- ---------------------------------------------------------------------
Multimedia - 0.0%
EW Scripps, CI A 12 1
Gemstar-TV Guide International* 248 1
-------------
Total Multimedia 2
- ---------------------------------------------------------------------
27
OLD MUTUAL VA ASSET ALLOCATION
BALANCED PORTFOLIO - continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Networking Products - 0.6%
Atheros Communications* 15 $ -
Cisco Systems* 1,000 27
Extreme Networks* 285 1
Foundry Networks* 105 2
Juniper Networks* 100 3
Polycom* 35 1
Switch & Data Facilities* 48 1
_____________
Total Networking Products 35
_____________________________________________________________________
Non-Hazardous Waste Disposal - 0.2%
Allied Waste Industries* 132 1
Republic Services 100 3
Waste Management 205 7
_____________
Total Non-Hazardous Waste Disposal 11
_____________________________________________________________________
Office Automation & Equipment - 0.1%
Pitney Bowes 122 5
_____________
Total Office Automation & Equipment 5
- ---------------------------------------------------------------------
Oil & Gas Drilling - 0.1%
Diamond Offshore Drilling 30 4
Rowan 27 1
_____________
Total Oil & Gas Drilling 5
_____________________________________________________________________
Oil Companies-Exploration & Production - 1.4%
Arena Resources* 40 2
ATP Oil & Gas* 30 2
CNOOC ADR 57 10
Denbury Resources* 90 3
EnCana 90 6
Harvest Natural Resources* 158 2
Newfield Exploration* 100 5
NovaTek GDR 90 7
Occidental Petroleum 195 15
Parallel Petroleum* 70 1
Southwestern Energy* 305 17
Stone Energy* 47 2
Ultra Petroleum* 40 3
-------------
Total Oil Companies-Exploration & Production 75
- ---------------------------------------------------------------------
Oil Companies-Integrated - 1.5%
Chevron 39 4
ConocoPhillips 132 12
Exxon Mobil 361 34
Hess 100 10
Marathon Oil* 92 6
Murphy Oil 25 2
Petroleo Brasileiro ADR 120 14
_____________
Total Oil Companies-Integrated 82
_____________________________________________________________________
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Oil Field Machinery & Equipment - 0.3%
Dresser-Rand Group* 50 $ 2
FMC Technologies* 40 2
Grant Prideco* 55 3
National Oilwell Varco* 100 7
T-3 Energy Services* 45 2
_____________
Total Oil Field Machinery & Equipment 16
- ---------------------------------------------------------------------
Oil Refining & Marketing - 0.5%
Reliance Industries GDR, 144A 20 3
Tesoro 200 10
Valero Energy 220 15
_____________
Total Oil Refining & Marketing 28
- ---------------------------------------------------------------------
Oil-Field Services - 0.6%
Exterran Holdings* 21 2
Halliburton 50 2
Helix Energy Solutions Group* 82 3
Key Energy Services* 144 2
Schlumberger 255 25
_____________
Total Oil-Field Services 34
_____________________________________________________________________
Paper & Related Products - 0.2%
Abitibibowater 38 1
Domtar* 500 4
Neenah Paper 40 1
Schweitzer-Mauduit International 60 2
Smurfit-Stone Container* 104 1
_____________
Total Paper & Related Products 9
_____________________________________________________________________
Pharmacy Services - 0.1%
Medco Health Solutions* 76 8
_____________
Total Pharmacy Services 8
_____________________________________________________________________
Physical Practice Management - 0.1%
Pediatrix Medical Group* 50 3
-------------
Total Physical Practice Management 3
- ---------------------------------------------------------------------
Physical Therapy/Rehabilitation Centers - 0.1%
Psychiatric Solutions* 94 3
_____________
Total Physical Therapy/Rehabilitation Centers 3
_____________________________________________________________________
Pipelines - 0.7%
El Paso 610 11
Oneok 300 13
Questar 100 5
Spectra Energy 209 5
Williams 118 4
-------------
Total Pipelines 38
- ---------------------------------------------------------------------
28
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Platinum - 0.1%
Stillwater Mining* 270 $ 3
_____________
Total Platinum 3
_____________________________________________________________________
Power Conversion/Supply Equipment - 0.0%
Delta Electronics GDR 120 2
_____________
Total Power Conversion/Supply Equipment 2
_____________________________________________________________________
Printing-Commercial - 0.3%
RR Donnelley & Sons 240 9
Valassis Communications* 295 3
VistaPrint* 40 2
_____________
Total Printing-Commercial 14
- ---------------------------------------------------------------------
Property/Casualty Insurance - 0.6%
Arch Capital Group* 100 7
Progressive 40 1
Safeco 150 8
Travelers 150 8
WR Berkley 200 6
_____________
Total Property/Casualty Insurance 30
_____________________________________________________________________
Publishing-Books - 0.0%
Scholastic* 10 -
_____________
Total Publishing-Books -
- ---------------------------------------------------------------------
Publishing-Newspapers - 0.1%
Dolan Media* 50 1
Gannett 64 2
New York Times, Cl A 59 1
_____________
Total Publishing-Newspapers 4
_____________________________________________________________________
Publishing-Periodicals - 0.0%
Playboy Enterprises, Cl B* 126 1
-------------
Total Publishing-Periodicals 1
_____________________________________________________________________
Racetracks - 0.0%
International Speedway, Cl A 35 1
-------------
Total Racetracks 1
- ---------------------------------------------------------------------
Radio - 0.0%
Radio One, Cl D* 238 1
_____________
Total Radio 1
_____________________________________________________________________
Real Estate Operation/Development - 0.0%
Brookfield Properties 34 1
-------------
Total Real Estate Operation/Development 1
- ---------------------------------------------------------------------
Recreational Centers - 0.0%
Life Time Fitness* 40 2
-------------
Total Recreational Centers 2
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Reinsurance - 1.0%
Allied World Assurance Holdings 21 $ 1
Aspen Insurance Holdings 160 5
Berkshire Hathaway, Cl B* 1 5
Endurance Specialty Holdings 25 1
Everest Re Group 18 2
Montpelier Re Holdings 240 4
PartnerRe 200 17
RenaissanceRe Holdings 250 15
Validus Holdings* 92 2
-------------
Total Reinsurance 52
- ---------------------------------------------------------------------
REITs-Apartments - 0.1%
AvalonBay Communities 23 2
BRE Properties 7 -
Camden Property Trust 24 1
Equity Residential 31 1
Essex Property Trust 7 1
-------------
Total REITs-Apartments 5
_____________________________________________________________________
REITs-Diversified - 0.1%
CapitalSource 45 1
Digital Realty Trust 26 1
Vornado Realty Trust 33 3
-------------
Total REITs-Diversified 5
- ---------------------------------------------------------------------
REITs-Health Care - 0.1%
Health Care 24 1
Nationwide Health Properties 46 1
Ventas 37 2
-------------
Total REITs-Health Care 4
_____________________________________________________________________
REITs-Hotels - 0.1%
DiamondRock Hospitality 42 1
FelCor Lodging Trust 110 2
Host Hotels & Resorts 119 2
LaSalle Hotel Properties 11 -
-------------
Total REITs-Hotels 5
- ---------------------------------------------------------------------
REITs-Mortgage - 0.1%
Annaly Capital Management 61 1
Chimera Investment 50 1
MFA Mortgage Investments 198 2
_____________
Total REITs-Mortgage 4
_____________________________________________________________________
REITs-Office Property - 0.3%
BioMed Realty Trust 40 1
Boston Properties 126 12
Corporate Office Properties 4 -
Highwoods Properties 31 1
Kilroy Realty 22 1
SL Green Realty 21 2
-------------
Total REITs-Office Property 17
- ---------------------------------------------------------------------
29
OLD MUTUAL VA ASSET ALLOCATION
BALANCED PORTFOLIO - continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
REITs-Regional Malls - 0.1%
General Growth Properties 50 $ 2
Macerich 13 1
Simon Property Group 49 4
Taubman Centers 24 1
-------------
Total REITs-Regional Malls 8
_____________________________________________________________________
REITs-Shopping Centers - 0.1%
Acadia Realty Trust 23 1
Federal Realty Investment 17 1
Kimco Realty 38 1
Kite Realty Group Trust 31 -
Regency Centers 26 2
_____________
Total REITs-Shopping Centers 5
_____________________________________________________________________
REITs-Storage - 0.0%
Public Storage 32 2
_____________
Total REITs-Storage 2
- ---------------------------------------------------------------------
REITs-Warehouse/Industrial - 0.1%
AMB Property 33 2
EastGroup Properties 11 -
Prologis 36 2
-------------
Total REITs-Warehouse/Industrial 4
- ---------------------------------------------------------------------
Rental Auto/Equipment - 0.0%
H&E Equipment Services* 102 2
-------------
Total Rental Auto/Equipment 2
- ---------------------------------------------------------------------
Retail-Apparel/Shoe - 0.2%
Footstar 146 1
Gymboree* 30 1
Kenneth Cole Products, Cl A 32 1
Limited Brands 50 1
Men's Wearhouse 150 4
Syms 94 1
_____________
Total Retail-Apparel/Shoe 9
_____________________________________________________________________
Retail-Automobile - 0.0%
AutoNation* 30 -
Group 1 Automotive 52 1
-------------
Total Retail-Automobile 1
_____________________________________________________________________
Retail-Building Products - 0.0%
Home Depot 90 2
-------------
Total Retail-Building Products 2
_____________________________________________________________________
Retail-Computer Equipment - 0.2%
GameStop, Cl A* 140 9
_____________
Total Retail-Computer Equipment 9
_____________________________________________________________________
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Retail-Consumer Electronics - 0.0%
Best Buy 35 $ 2
_____________
Total Retail-Consumer Electronics 2
- ---------------------------------------------------------------------
Retail-Discount - 0.0%
Big Lots* 73 1
-------------
Total Retail-Discount 1
_____________________________________________________________________
Retail-Drug Store - 0.4%
CVS Caremark 363 14
Walgreen 165 6
-------------
Total Retail-Drug Store 20
- ---------------------------------------------------------------------
Retail-Office Supplies - 0.0%
Office Max 21 -
Office Depot* 90 1
_____________
Total Retail-Office Supplies 1
_____________________________________________________________________
Retail-Pet Food & Supplies - 0.0%
PetSmart 54 1
-------------
Total Retail-Pet Food & Supplies 1
- ---------------------------------------------------------------------
Retail-Propane Distributors - 0.1%
Star Gas Partners LP* 828 3
-------------
Total Retail-Propane Distributors 3
- ---------------------------------------------------------------------
Retail-Restaurants - 0.1%
BJ's Restaurants* 36 1
Burger King Holdings 151 4
Cheesecake Factory 17 -
Chipotle Mexican Grill, Cl B* 10 1
_____________
Total Retail-Restaurants 6
- ---------------------------------------------------------------------
Retail-Sporting Goods - 0.0%
Dick's Sporting Goods* 80 2
_____________
Total Retail-Sporting Goods 2
- ---------------------------------------------------------------------
Retail-Video Rental - 0.0%
Blockbuster, Cl A* 140 1
-------------
Total Retail-Video Rental 1
- ---------------------------------------------------------------------
S&L/Thrifts-Eastern US - 0.0%
Brookline Bancorp 124 1
New York Community Bancorp 65 1
_____________
Total S&L/Thrifts-Eastern US 2
- ---------------------------------------------------------------------
S&L/Thrifts-Western US - 0.1%
Washington Federal 200 4
Washington Mutual 135 2
-------------
Total S&L/Thrifts-Western US 6
- ---------------------------------------------------------------------
30
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Schools - 0.2%
America Public Education* 11 $ -
Capella Education* 30 2
ITT Educational Services* 30 3
Learning Tree International* 34 1
New Oriental Education &
Technology Group ADR* 20 2
Strayer Education 13 2
-------------
Total Schools 10
_____________________________________________________________________
Semiconductor Components-Integrated Circuits - 0.6%
Anadigics* 60 1
Cypress Semiconductor* 22 1
Emulex* 115 2
Maxim Integrated Products 978 26
Powertech Technology GDR 300 2
Taiwan Semiconductor
Manufacturing ADR 250 2
-------------
Total Semiconductor Components-Integrated Circuits 34
- ---------------------------------------------------------------------
Semiconductor Equipment - 0.2%
Applied Materials 144 3
Brooks Automation* 72 1
Entegris* 160 1
Novellus Systems* 21 1
Tessera Technologies* 21 1
Ultratech* 32 -
Varian Semiconductor Equipment
Associates* 96 4
-------------
Total Semiconductor Equipment 11
_____________________________________________________________________
Software Tools - 0.1%
VMware, Cl A* 30 3
-------------
Total Software Tools 3
- ---------------------------------------------------------------------
Specified Purpose Acquisition - 0.0%
Marathon Acquisition 30 -
-------------
Total Specified Purpose Acquisition -
- ---------------------------------------------------------------------
Steel Pipe & Tube - 0.1%
Mueller Water Products, Cl A 32 -
TMK GDR 100 4
Valmont Industries 40 4
-------------
Total Steel Pipe & Tube 8
_____________________________________________________________________
Steel-Producers - 0.2%
POSCO ADR 35 5
Severstal GDR 200 5
-------------
Total Steel-Producers 10
_____________________________________________________________________
Steel-Specialty - 0.2%
Allegheny Technologies 148 13
-------------
Total Steel-Specialty 13
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Super-Regional Banks-US - 0.4%
Bank of America 196 $ 8
Capital One Financial 139 7
Wells Fargo 172 5
_____________
Total Super-Regional Banks-US 20
_____________________________________________________________________
Telecommunications Equipment - 0.1%
Harris Corp 100 6
Plantronics 42 1
Tollgrade Communications* 56 -
_____________
Total Telecommunications Equipment 7
_____________________________________________________________________
Telecommunications Equipment-Fiber Optics - 0.0%
JDS Uniphase* 109 1
_____________
Total Telecommunications Equipment-Fiber Optics 1
_____________________________________________________________________
Telecommunications Services - 0.4%
Amdocs* 24 1
Cbeyond* 16 1
Embarq 300 15
Orbcomm* 85 1
RCN* 32 -
Time Warner Telecom, Cl A* 137 3
_____________
Total Telecommunications Services 21
- ---------------------------------------------------------------------
Telephone-Integrated - 0.6%
AT&T 514 21
IDT, Cl B 16 -
Verizon Communications 260 11
_____________
Total Telephone-Integrated 32
_____________________________________________________________________
Television - 0.0%
Sinclair Broadcast Group, Cl A 62 1
_____________
Total Television 1
_____________________________________________________________________
Textile-Home Furnishings - 0.1%
Mohawk Industries* 50 4
_____________
Total Textile-Home Furnishings 4
- ---------------------------------------------------------------------
Theaters - 0.0%
National CineMedia 56 1
-------------
Total Theaters 1
_____________________________________________________________________
Therapeutics - 0.5%
Gilead Sciences* 450 21
Medicines* 111 2
Theravance* 50 1
Warner Chilcott, Cl A* 51 1
_____________
Total Therapeutics 25
_____________________________________________________________________
31
OLD MUTUAL VA ASSET ALLOCATION
BALANCED PORTFOLIO - continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Tobacco - 0.7%
Altria Group 217 $ 16
Imperial Tobacco Group ADR 133 14
UST 107 6
_____________
Total Tobacco 36
_____________________________________________________________________
Tools-Hand Held - 0.1%
Snap-On 8 -
Stanley Works 126 6
-------------
Total Tools-Hand Held 6
- ---------------------------------------------------------------------
Transactional Software - 0.0%
Innerworkings* 120 2
-------------
Total Transactional Software 2
- ---------------------------------------------------------------------
Transport-Equipment & Leasing - 0.1%
Aircastle 62 2
GATX 20 1
Genesis Lease ADR 87 2
Greenbrier 10 -
-------------
Total Transport-Equipment & Leasing 5
- ---------------------------------------------------------------------
Transport-Marine - 0.2%
Overseas Shipholding Group 150 11
-------------
Total Transport-Marine 11
- ---------------------------------------------------------------------
Transport-Rail - 0.4%
Burlington Northern Santa Fe 72 6
Canadian Pacific Railway 100 6
CSX 100 4
Union Pacific 35 4
_____________
Total Transport-Rail 20
_____________________________________________________________________
Transport-Services - 0.1%
Expeditors International Washington 50 2
FedEx 15 1
_____________
Total Transport-Services 3
_____________________________________________________________________
Veterinary Diagnostics - 0.0%
VCA Antech* 45 2
_____________
Total Veterinary Diagnostics 2
_____________________________________________________________________
Web Hosting/Design - 0.1%
Equinix* 51 5
_____________
Total Web Hosting/Design 5
- ---------------------------------------------------------------------
Web Portals/ISP - 0.6%
Google, Cl A* 42 29
Sina* 50 2
-------------
Total Web Portals/ISP 31
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Wireless Equipment - 0.3%
American Tower, Cl A* 42 $ 2
Aruba Networks* 84 1
InterDigital* 50 1
Motorola 134 2
Nokia ADR 177 7
RF Micro Devices* 516 3
SBA Communications, Cl A* 20 1
-------------
Total Wireless Equipment 17
_____________________________________________________________________
Wound, Burn & Skin Care - 0.0%
Obagi Medical Products* 75 1
-------------
Total Wound, Burn & Skin Care 1
_____________
Total Common Stock (Cost $2,275) 2,490
_____________________________________________________________________
Foreign Common Stock - 13.7%
Australia - 1.2%
BHP Billiton 901 32
Leighton Holdings 506 27
Qantas Airways 1,974 9
Tatts Group 90 -
-------------
Total Australia 68
- ---------------------------------------------------------------------
Austria - 0.1%
OMV 43 3
-------------
Total Austria 3
- ---------------------------------------------------------------------
Brazil - 0.1%
Banco do Brasil 200 3
Porto Seguro 100 4
_____________
Total Brazil 7
- ---------------------------------------------------------------------
Canada - 0.3%
Manulife Financial 200 8
Methanex 200 6
_____________
Total Canada 14
- ---------------------------------------------------------------------
China - 0.2%
Harbin Power Equipment, Cl H 2,000 6
Industrial & Commercial
Bank of China, Cl H 7,000 5
Jiangsu Express, Cl H 2,000 2
-------------
Total China 13
- ---------------------------------------------------------------------
Denmark - 0.6%
Danske Bank 400 16
Norden 158 18
_____________
Total Denmark 34
_____________________________________________________________________
32
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
France - 0.7%
BNP Paribas 204 $ 22
Camaieu 40 16
-------------
Total France 38
- ---------------------------------------------------------------------
Germany - 0.8%
Allianz SE 74 16
Deutsche Bank 81 11
ThyssenKrupp 328 19
-------------
Total Germany 46
_____________________________________________________________________
Hong Kong - 0.2%
China Infrastructure Machinery 1,000 2
China Mobile 500 9
-------------
Total Hong Kong 11
_____________________________________________________________________
Indonesia - 0.1%
Astra International 1,500 4
Bank Rakyat Indonesia 5,000 4
-------------
Total Indonesia 8
_____________________________________________________________________
Italy - 0.6%
Fiat 834 22
Indesit 671 10
-------------
Total Italy 32
- ---------------------------------------------------------------------
Japan - 2.8%
Daiichikosho 700 8
Kohnan Shoji 700 12
Leopalace21 100 3
Makita 200 8
Nikon 1,000 34
Nippon Mining Holdings 1,500 10
Nippon Oil 2,000 16
Nippon Steel 3,000 18
Nippon Telegraph & Telephone 3 15
Nisshin Steel 1,000 3
Sumitomo Pipe & Tube 1,000 7
Toyota Motor 300 16
-------------
Total Japan 150
- ---------------------------------------------------------------------
Malaysia - 0.1%
WCT Engineering 1,700 4
-------------
Total Malaysia 4
- ---------------------------------------------------------------------
Netherlands - 1.1%
ING Groep 547 21
Royal Dutch Shell, Cl A 864 37
-------------
Total Netherlands 58
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
New Zealand - 0.1%
Telecom Corp of New Zealand 1,753 $ 6
_____________
Total New Zealand 6
_____________________________________________________________________
Philippines - 0.1%
Ayala 500 7
_____________
Total Philippines 7
- ---------------------------------------------------------------------
Russia - 0.2%
Gazprom OAO ADR 95 5
Sberbank 1,200 5
_____________
Total Russia 10
- ---------------------------------------------------------------------
Singapore - 0.5%
Jardine Cycle & Carriage 1,000 15
Swiber Holdings* 5,000 12
_____________
Total Singapore 27
- ---------------------------------------------------------------------
South Africa - 0.3%
Anglo Platinum 19 3
MTN Group 280 5
Naspers, Cl N 90 2
Standard Bank Group 150 2
Truworths International 500 2
-------------
Total South Africa 14
- ---------------------------------------------------------------------
Spain - 0.9%
Banco Bilbao Vizcaya 884 22
Banco Santander 1,258 27
_____________
Total Spain 49
_____________________________________________________________________
Sweden - 0.7%
Beijer Alma 800 9
Skandinaviska Enskilda Banken, Cl A 600 15
Svenska Handelsbanken, Cl A 400 13
_____________
Total Sweden 37
_____________________________________________________________________
Switzerland - 0.4%
Zurich Financial Services 74 22
_____________
Total Switzerland 22
_____________________________________________________________________
Thailand - 0.1%
CP ALL 7,000 2
Kasikornbank 1,700 4
_____________
Total Thailand 6
_____________________________________________________________________
Turkey - 0.1%
Asya Katilim Bankasi* 300 3
BIM Birlesik Magazalar 35 3
-------------
Total Turkey 6
- ---------------------------------------------------------------------
33
OLD MUTUAL VA ASSET ALLOCATION
BALANCED PORTFOLIO - concluded
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Shares/
Face Amount
Description (000) Value (000)
- ---------------------------------------------------------------------
United Kingdom - 1.4%
AstraZeneca 399 $ 17
Aveva Group 94 2
BHP Billiton 40 1
BT Group 3,415 19
Chaucer Holdings 101 -
Eurocastle Investment 6 -
Game Group 1,432 7
Petrofac 124 1
Reckitt Benckeiser Group 388 23
Royal Bank of Scotland Group 1,062 9
_____________
Total United Kingdom 79
-------------
Total Foreign Common Stock (Cost $703) 749
- ---------------------------------------------------------------------
Warrants - 0.4%
Bharti Airtel 144A
expires 10/28/08* 220 6
Foxconn Technology 144A
expires 08/22/08* 215 2
Grasim Industries 144A
expires 05/22/09* 30 3
IVRCL Infrastructures & Projects 144A
expires 11/17/08* 195 3
Maruti Suzuki India 144A
expires 09/03/12* 125 3
Nicholas Piramal India 144A
expires 10/26/09* 400 4
_____________
Total Warrants (Cost $19) 21
_____________________________________________________________________
Asset-Backed Securities - 0.2%
Chase Issuance Trust
Ser 2007-A15, Cl A
4.960%, 09/17/12 $ 10 10
_____________
Total Asset-Backed Securities (Cost $10) 10
_____________________________________________________________________
U.S. Treasury Obligations - 10.5%
U.S. Treasury Bonds
4.750%, 02/15/37 15 16
4.250%, 11/15/17 5 5
U.S. Treasury Notes
4.875%, 08/15/09 65 67
4.875%, 07/31/11 195 206
4.750%, 05/15/14 95 101
4.750%, 08/15/17 25 27
4.625%, 11/15/09 135 139
4.125%, 08/31/12 10 10
_____________
Total U.S. Treasury Obligations (Cost $548) 571
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Face Amount
Description (000) Value (000)
- ---------------------------------------------------------------------
U.S. Government Agency Obligations - 9.6%
Federal National Mortgage Association
6.000%, 01/01/37 $ 123 $ 125
5.500%, 01/01/37 265 265
5.000%, 05/01/37 138 135
_____________
Total U.S. Government Agency Obligations
(Cost $520) 525
_____________________________________________________________________
Foreign Bond - 5.1%
Deutschland Republic, Ser 3 (EUR)
4.500%, 01/04/13 186 277
-------------
Total Foreign Bond (Cost $248) 277
- ---------------------------------------------------------------------
Corporate Bonds - 8.2%
Abbott Laboratories
5.150%, 11/30/12 $ 5 5
Alliance One International
11.000%, 05/15/12 5 5
Allied Waste North America
5.75%, 02/15/11 6 6
Apache
5.25%, 04/15/13 15 15
Aramark Services (A)
8.411%, 02/01/15 4 4
Astrazeneca
5.400%, 09/15/12 20 21
Bank One
5.900%, 11/15/11 40 41
Belden
7.000%, 03/15/17 3 3
Canadian Natural Resources
6.700%, 07/15/11 5 5
Cascades
7.250%, 02/15/13 8 8
Citigroup
6.125%, 11/21/17 5 5
Coleman Cable
9.875%, 10/1/12 5 5
Comcast
5.300%, 01/15/14 40 39
Connacher Oil and Gas 144A
10.250%, 12/15/15 5 5
Covidien International Finance SA 144A
5.450%, 10/15/12 5 5
D.R. Horton
7.875%, 08/15/11 2 2
Denbury Resources
7.500%, 12/15/15 5 5
EchoStar DBS
6.625%, 10/01/14 8 8
ERP Operating
5.125%, 03/15/16 45 42
Ford Motor Credit
7.375%, 10/28/09 8 8
- ---------------------------------------------------------------------
34
- ---------------------------------------------------------------------
Face Amount
Description (000) Value (000)
- ---------------------------------------------------------------------
Corporate Bonds - continued
General Mills
5.650%, 09/10/12 $ 10 $ 10
GMAC
7.000%, 02/01/12 8 7
Ikon Office Solutions
9.930%, 01/01/12 144A (A) 2 2
7.750%, 09/15/15 5 5
Kansas City Southern
9.500%, 10/01/08 4 4
KB Home
7.750%, 02/01/10 5 5
Landry's Restaurants
9.500%, 12/15/14 7 7
Lehman Brothers Holdings
6.200%, 09/26/14 5 5
Marathon Oil
6.600%, 10/01/37 5 5
MasTec
7.625%, 02/01/17 4 4
PepsiCo
5.150%, 05/15/12 5 5
PSEG Power
7.750%, 04/15/11 40 44
Pulte Homes
7.875%, 08/01/11 6 6
Qwest
8.875%, 03/15/12 8 9
Residential Capital 144A (A)
8.544%, 04/17/09 7 3
SBC Communications
5.100%, 09/15/14 40 40
Starbucks
6.250%, 08/15/17 10 10
Stater Brothers Holdings
7.750%, 04/15/15 7 7
Swift Transportation 144A
12.500%, 05/15/17 1 1
12.620%, 05/15/15 3 2
Tesoro
6.500%, 06/01/17 6 6
True Temper Sports
8.375%, 09/15/11 4 2
Tyco Electronics 144A
6.550%, 10/01/17 5 5
Uno Restaurant 144A
10.000%, 02/15/11 1 1
Valassis Communication
8.25%, 03/01/15 6 5
Weatherford International 144A
5.95%, 06/15/12 5 5
Xerox Capital Trust I
8.00%, 02/01/27 5 5
-------------
Total Corporate Bonds (Cost $449) 447
- ---------------------------------------------------------------------
- ----------------------------------------------------------------------
Description Shares Value (000)
- ----------------------------------------------------------------------
Investment Company - 2.7%
Index Fund-Growth-Small Cap - 0.1%
iShares Russell 2000 Growth Index Fund 30 $ 3
iShares Russell 2000 Index Fund 25 2
______________
Total Index Fund-Growth-Small Cap 5
______________________________________________________________________
Index Fund-Value Small Cap - 2.6%
iShares S&P Small Cap 600 Value
Income index 2,000 140
______________
Total Index Fund-Value-Small Cap 140
______________
Total Investment Company (Cost $157) 145
______________________________________________________________________
Money Market Fund - 4.2%
Dreyfus Cash Management Fund
Institutional Class, 4.850% (A) 226,373 226
______________
Total Money Market Fund (Cost $226) 226
______________________________________________________________________
Total Investments - 100.3% (Cost $5,155) $ 5,461
______________________________________________________________________
Other Assets and Liabilities, Net - (0.3%) (18)
______________________________________________________________________
Total Net Assets - 100.0% $ 5,443
______________________________________________________________________
As of December 31, 2007 the Portfolio had the following forward foreign currency
contracts outstanding:
Unrealized
Settlement Currency Currency Appreciation/
Date to Deliver to Receive (Depreciation)
- ---------- ---------------- ------------------ ----------------
03/11/08 USD (138,100) EUR 94,413 $ 22
03/11/08 USD (88,400) JPY 9,608,859 (1,702)
03/11/08 EUR (182,486) USD 270,037 3,070
-------
$ 1,390
-------
The accompanying notes are an integral part of the financial statements.
35
OLD MUTUAL VA ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
MANAGEMENT OVERVIEW (UNAUDITED)
Strategic Asset Allocation Consultant: Ibbotson Associates Advisors, LLC
Performance Highlights
o For the one-year period ended December 31, 2007, the Old Mutual VA Asset
Allocation Moderate Growth Portfolio's Service Class Shares gained 9.70%,
while the S&P 1500 Index returned 5.47% and the Lehman Brothers U.S.
Aggregate Index returned 6.97%.
o At the individual stock level, Apple, Leighton Holdings and Monsanto
contributed positively to Portfolio performance during the period, while
SLM, AstraZeneca and Foxconn Technology (no longer a Portfolio holding)
were among the largest detractors.
o At the underlying mandate level, fourteen managers produced positive
returns and two produced negative returns.
Q. How did the Portfolio perform relative to its benchmarks?
A. For the one-year period ended December 31, 2007, the Old Mutual VA Asset
Allocation Moderate Growth Portfolio's (the "Portfolio") Service Class
Shares gained 9.70%, while the S&P 1500 Index returned 5.47% and the Lehman
Brothers U.S. Aggregate Index returned 6.97%. Performance for all share
classes can be found on page 38.
Q. What investment environment did the Portfolio face during the past year?
A. Ibbotson Associates Advisors, LLC ("Ibbotson") notes that 2007 was a year
when skillful asset allocation helped reduce volatility and protect against
losses experienced by 100% equity funds.
Results among different asset classes varied widely in 2007. For example,
emerging-market stocks and non-U.S. bonds produced strong gains, aided by
strong growth in emerging-market countries and by a depreciating U.S.
dollar. Large- and mid-cap growth stocks, international developed-market
equities and core U.S. bonds had good months and bad months, but overall
met the strategic asset allocation consultant's return expectations for the
year. Small-cap growth stocks and high-yield bonds underperformed
Ibbotson's long-term expectations, as did value stocks and real estate,
which underperformed by a wide margin and ended the year with negative
returns.
Q. Which market factors influenced the Portfolio's relative performance?
A. Strong performance in international and emerging market stocks contributed
positively to the Portfolio's performance during the period.
Although large-cap value stocks outperformed large-cap growth stocks every
year since 1999 (as measured by the Russell 1000(R) Value Index and the
Russell 1000(R) Growth Index, respectively), 2007 reversed that trend.
However, the Portfolio maintained a neutral allocation between growth and
value throughout the year. Hence, overall the Portfolio was not affected by
the discrepancy between growth and value returns during the period.
Ibbotson's models have long-term allocations to mid- and small-cap U.S.
equities, but since August of 2006 Ibbotson tactically underweighted mid-
and small-caps and shifted approximately 3% of those allocations into
large-cap U.S. equities. Since April of 2005, Ibbotson has maintained an
underweight in real estate investment trusts ("REITs"), shifting 2% of that
allocation into large-cap U.S. equities. These tilts contributed positively
to the Portfolio's performance during 2007.
The Portfolio's remaining allocations to REITs and small-cap value equities
detracted from performance during the annual period.
Q. How did composition affect Portfolio performance?
A. At the individual stock level, Apple, Leighton Holdings and Monsanto
contributed positively to Portfolio performance during the period, while
SLM, AstraZeneca and Foxconn Technology (no longer a Portfolio holding)
were among the largest detractors. Ibbotson notes that during 2007 major
stock contributors tended to be growth stocks while the majority of the
largest detractors were value stocks. Computer hardware company Apple
posted solid earnings with iPod sales, the reintroduction of the iTV and
the iPhone release in June. Shares of Leighton Holdings advanced on news
that the builder had won $650 million of contracts in the United Arab
Emirates through partner Al Habtoor Engineering. Agricultural product
provider Monsanto raised guidance as a result of better than expected
Roundup pricing, strong corn seed sales in Brazil and Argentina and a lower
than anticipated tax rate. The company also announced a cross-licensing
agreement with Dow Chemical for "SmartStax", the first-ever eight-gene
stack in corn. Student lending company SLM reported losses during the
period and the company's stock value declined. AstraZeneca fell after the
drugmaker announced a 15% decline in third-quarter profit as its
top-selling drugs faced increasing competition from
VA Asset Allocation
Moderate Growth Portfolio
36
generic treatments. Electronic component manufacturer Foxconn Technology
was hit by concerns over rising labor costs in China and weaker global
demand for technology hardware products.
At the underlying mandate level, fourteen managers produced positive
returns and two produced negative returns. Ibbotson creates a customized
blended benchmark for each underlying manager based on the firms' style
exposures to calculate the relative returns of each manager. The three
mandates that outperformed their blended benchmarks by the highest margins
were Copper Rock Capital Partners, LLC's small-cap growth strategy,
Provident Investment Counsel's large-cap growth mandate and Thompson,
Siegel & Walmsley LLC's mid-cap value mandate. Each of these managers
exceeded its blended benchmark's return by more than 10%. Thomson Horstmann
& Bryant, Inc.'s small-cap value mandate, Barrow, Hanley, Mewhinney &
Strauss, Inc.'s ("Barrow Hanley") U.S. core bond strategy and Barrow
Hanley's intermediate-term bond mandate underperformed their blended
benchmarks by the most significant margin during the period.
Q. What is the investment outlook?
A. Recent economic news has been full of mixed, even contradictory
information. Which reports and indicators should one believe, and what is
the best course of action? Ibbotson notes that it is not easily swayed by
alarmist reports; rather, the firm conducts extensive analysis that relies
upon up-to-date data while remaining attentive to broad market trends. In
the context of that analysis, Ibbotson believes that the U.S. economy shows
signs of weakening and that the possibility of recession in 2008 has
increased. Despite a weakening U.S. economic outlook, the U.S. stock market
is fairly priced, in Ibbotson's view, and may be poised to outperform the
bond market over time. Specifically, Ibbotson believes that large-cap
stocks are more attractive than small-cap stocks in the near term, from
both a valuation and momentum perspective. Ibbotson believes there will be
continued upward pressure on U.S. inflation and interest rates, which will
primarily affect intermediate and long maturity bond yields. In the
short-term, however, economic weakness will keep interest rates low as the
Federal Reserve Board may consider lowering Fed Fund rates to boost
economic growth. Lastly, Ibbotson believes REITs continue to be overvalued
relative to the overall stock market, even after the sector's recent
underperformance.
Top Ten Holdings
as of December 31, 2007
U.S. Treasury Note,
3.625% 12/31/12 5.8%
- ---------------------------------------
Deutschland Republic
Ser 3 (EUR)
4.500% 01/04/13 2.7%
- ---------------------------------------
iShares S&P SmallCap
600 Value Index Fund 2.3%
- ---------------------------------------
Federal National Mortgage
Association,
5.500% 01/01/37 1.7%
- ---------------------------------------
U.S. Treasury Notes,
4.875% 07/31/11 1.2%
- ---------------------------------------
Apple 0.9%
- ---------------------------------------
Federal National Mortgage
Association,
5.000% 05/01/37 0.9%
- ---------------------------------------
U.S. Treasury Notes,
4.625% 11/15/09 0.8%
- ---------------------------------------
Federal National Mortgage
Association,
6.000%, 01/01/37 0.8%
- ---------------------------------------
Royal Dutch Shell, Cl A 0.8%
- ---------------------------------------
As a % of Total
Portfolio Investments 17.9%
- ---------------------------------------
VA Asset Allocation
Moderate Growth Portfolio
37
OLD MUTUAL VA ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO - continued
- --------------------------------------------------------------------------------
PERFORMANCE AND PORTFOLIO SUMMARY (UNAUDITED)
Average Annual Total Returns as of December 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
1 Year Annualized
Inception Date Return Inception to Date
- ------------------------------------------------------------------------------------------------------------------------------------
VA Asset Allocation Moderate Growth Portfolio - Initial Class 12/29/06 10.01% 9.95%
VA Asset Allocation Moderate Growth Portfolio - Service Class 12/29/06 9.70% 9.64%
S&P 1500 Index 12/29/06 5.47% 4.91%
Lehman Brothers U.S. Aggregate Index 12/29/06 6.97% 6.90%
- ------------------------------------------------------------------------------------------------------------------------------------
Past performance is not a guarantee of future results. Total return figures
include the effect of the Portfolio's recurring expenses, but do not include
fees and expenses that may be imposed under variable annuity contracts or
variable life insurance policies offered through separate accounts of
participating insurance companies which purchase the Portfolio's shares. If
those charges were reflected, the performance shown would have been lower.
Information about these performance results and the comparative indexes can be
found on pages 1 and 2.
The total annual operating expenses and net annual operating expenses a
shareholder in the Portfolio's Initial Class and Service Class Shares may pay
(as reported in the April 23, 2007 prospectuses) are 1.09% and 1.05%, 1.34% and
1.30%, respectively. Expenses for both share classes are based on estimated
amounts.
Portfolio Performance
- --------------------------------------------------------------------------------
[LINE GRAPH WAS REPRESENTED IN THE PRINTED MATERIAL]
VA Asset Allocation VA Asset Allocation
Moderate Growth Moderate Growth Lehman Brothers
Portfolio Portfolio S&P 1500 US Aggregate
- Initial Class - Service Class Index Index
12/06 10,000 10,000 10,000 10,000
12/07 11,001 10,970 10,547 10,697
Past performance is not a guarantee of future results. The graph above compares
an investment made in the Portfolio's Initial Class and Service Class Shares on
the inception date of 12/29/06 to an investment made in unmanaged securities
indexes on that date. The Portfolio's performance in this chart and the
performance table assumes reinvestment of dividends and capital gain
distributions, but does not reflect the deduction of taxes that a shareholder
would pay on Portfolio distributions, or on the redemption of Portfolio shares.
Asset Class Weightings as of December 31, 2007 - % of Total Portfolio
Investments
- --------------------------------------------------------------------------------
[PIE GRAPH WAS REPRESENTED IN THE PRINTED MATERIAL]
Common Stock 53%
Foreign Common Stock 16%
Cash Equivalents 11%
US Treasury Obligations 9%
US Government Agencies Obligations 3%
Foreign Bond 3%
Corporate Bonds 3%
Investment Company 2%
Warrants 0%
Asset-Backed Securities 0%
38
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Common Stock - 57.4%
Advertising Sales - 0.1%
AirMedia Group ADR* 67 $ 1
Focus Media Holding ADR* 100 6
_____________
Total Advertising Sales 7
_____________________________________________________________________
Aerospace/Defense - 0.8%
Aerovironment* 93 2
Boeing 188 16
Rockwell Collins 560 40
Teledyne Technologies* 53 3
_____________
Total Aerospace/Defense 61
_____________________________________________________________________
Aerospace/Defense-Equipment - 0.5%
AAR* 80 3
Alliant Techsystems* 200 23
B/E Aerospace* 96 5
DRS Technologies 60 3
Goodrich 11 1
Triumph Group 40 3
-------------
Total Aerospace/Defense-Equipment 38
- ---------------------------------------------------------------------
Agricultural Biotech - 0.0%
Origin Agritech* 90 1
_____________
Total Agricultural Biotech 1
_____________________________________________________________________
Agricultural Chemicals - 1.2%
Agrium 50 4
CF Industries Holdings 50 6
Monsanto 453 51
Potash of Saskatchewan 183 26
-------------
Total Agricultural Chemicals 87
- ---------------------------------------------------------------------
Agricultural Operations - 0.2%
Archer-Daniels-Midland 326 15
-------------
Total Agricultural Operations 15
- ---------------------------------------------------------------------
Airlines - 0.0%
Delta Air Lines* 52 1
UAL 15 1
US Airways Group* 49 1
-------------
Total Airlines 3
_____________________________________________________________________
Applications Software - 0.5%
Citrix Systems* 35 1
Infosys Technologies ADR 70 3
_____________________________________________________________________
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Applications Software - continued
Intuit* 63 $ 2
Microsoft 667 24
Progress Software* 55 2
Red Hat* 115 2
-------------
Total Applications Software 34
- ---------------------------------------------------------------------
Audio/Video Products - 0.0%
DTS* 96 2
_____________
Total Audio/Video Products 2
- ---------------------------------------------------------------------
Auto/Truck Parts & Equipment-Original - 0.0%
Amerigon* 120 3
_____________
Total Auto/Truck Parts & Equipment-Original 3
_____________________________________________________________________
Auto-Cars/Light Trucks - 0.1%
Ford Motor* 1,133 8
-------------
Total Auto-Cars/Light Trucks 8
- ---------------------------------------------------------------------
Beverages-Non-Alcoholic - 0.0%
Coca-Cola Bottling 40 2
Coca-Cola Enterprises 41 1
-------------
Total Beverages-Non-Alcoholic 3
- ---------------------------------------------------------------------
Brewery - 0.3%
Cia Cervecerias Unidas ADR 270 10
Molson Coors Brewing, Cl B 200 10
_____________
Total Brewery 20
_____________________________________________________________________
Broadcast Service/Programming - 0.0%
Clear Channel 5 -
_____________
Total Broadcast Service/Programming -
_____________________________________________________________________
Building & Construction-Miscellaneous - 0.1%
Orascom Construction GDR 35 7
_____________
Total Building & Construction-Miscellaneous 7
- ---------------------------------------------------------------------
Cable TV - 0.2%
Comcast, Cl A* 228 4
Comcast, Special Cl A* 365 7
DIRECTV Group* 277 6
_____________
Total Cable TV 17
- ---------------------------------------------------------------------
Casino Hotels - 0.4%
Harrah's Entertainment 2 -
MGM Mirage* 345 29
-------------
Total Casino Hotels 29
- ---------------------------------------------------------------------
39
OLD MUTUAL VA ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO - continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Casino Services - 0.1%
International Game 95 $ 4
-------------
Total Casino Services 4
- ---------------------------------------------------------------------
Cellular Telecommunications - 0.8%
America Movil, Ser L ADR 150 9
China Mobile ADR 40 3
Millicom International Cellular* 60 7
NII Holdings* 589 28
Tim Participacoes ADR 100 3
Turkcell Iletisim Hizmet AS ADR 150 4
Vimpel-Communications ADR 125 5
_____________
Total Cellular Telecommunications 59
_____________________________________________________________________
Chemicals-Diversified - 0.7%
Celanese, Ser A 700 30
E.I. du Pont de Nemours 405 18
Olin 43 1
Rohm & Haas 54 3
-------------
Total Chemicals-Diversified 52
- ---------------------------------------------------------------------
Chemicals-Specialty - 0.2%
Ashland 6 -
Chemtura 53 -
Hercules 96 2
Lubrizol 300 16
_____________
Total Chemicals-Specialty 18
_____________________________________________________________________
Coal - 0.3%
Alpha Natural Resources* 53 2
Arch Coal 32 1
Consol Energy 100 7
Massey Energy 83 3
Peabody Energy 86 5
Walter Industries 53 2
-------------
Total Coal 20
_____________________________________________________________________
Commercial Banks Non-US - 0.1%
Banco Itau Holding Financeira ADR 200 5
Kookmin Bank ADR 70 5
_____________
Total Commercial Banks Non-US 10
_____________________________________________________________________
Commercial Banks-Central US - 0.0%
Irwin Financial 212 2
-------------
Total Commercial Banks-Central US 2
- ---------------------------------------------------------------------
Commercial Services - 0.1%
ExlService Holdings* 148 3
PHH* 33 1
-------------
Total Commercial Services 4
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Commercial Services-Finance - 0.0%
Wright Express* 73 $ 3
-------------
Total Commercial Services-Finance 3
- ---------------------------------------------------------------------
Communications Software - 0.0%
DivX* 143 2
_____________
Total Communications Software 2
_____________________________________________________________________
Computer Aided Design - 0.1%
Ansys* 153 6
-------------
Total Computer Aided Design 6
- ---------------------------------------------------------------------
Computer Services - 0.1%
Electronic Data Systems 96 2
Syntel 60 2
_____________
Total Computer Services 4
_____________________________________________________________________
Computer Software - 0.2%
Avid Technology* 134 4
Double-Take Software* 171 4
Omniture* 65 2
_____________
Total Computer Software 10
- ---------------------------------------------------------------------
Computers - 2.3%
Apple* 376 75
Hewlett-Packard 935 47
International Business Machines 41 4
Research In Motion* 325 37
Sun Microsystems* 571 10
_____________
Total Computers 173
- ---------------------------------------------------------------------
Computers-Integrated Systems - 0.1%
NCI, Cl A* 126 2
Radisys* 143 2
Riverbed Technology* 115 3
_____________
Total Computers-Integrated Systems 7
- ---------------------------------------------------------------------
Computers-Memory Devices - 0.5%
EMC* 1,640 30
Silicon Storage Technology* 370 1
Western Digital* 300 9
-------------
Total Computers-Memory Devices 40
- ---------------------------------------------------------------------
Computers-Peripheral Equipment - 0.1%
Electronics for Imaging* 176 4
_____________
Total Computers-Peripheral Equipment 4
_____________________________________________________________________
40
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Consulting Services - 0.3%
Advisory Board* 60 $ 4
FTI Consulting* 177 11
Gartner* 70 1
Huron Consulting Group* 70 6
MAXIMUS 53 2
-------------
Total Consulting Services 24
_____________________________________________________________________
Containers-Metal/Glass - 0.6%
Crown Holdings* 500 13
Owens-Illinois* 600 30
_____________
Total Containers-Metal/Glass 43
- ---------------------------------------------------------------------
Containers-Paper/Plastic - 0.1%
Bemis 90 2
Sealed Air 69 2
Sonoco Products 51 2
-------------
Total Containers-Paper/Plastic 6
- ---------------------------------------------------------------------
Cosmetics & Toiletries - 0.0%
Procter & Gamble 30 2
-------------
Total Cosmetics & Toiletries 2
- ---------------------------------------------------------------------
Cruise Lines - 0.2%
Carnival 283 13
-------------
Total Cruise Lines 13
- ---------------------------------------------------------------------
Data Processing/Management - 0.1%
Automatic Data Processing 90 4
Commvault Systems* 55 1
Fiserv* 31 2
_____________
Total Data Processing/Management 7
_____________________________________________________________________
Dental Supplies & Equipment - 0.3%
Dentsply International 535 24
_____________
Total Dental Supplies & Equipment 24
_____________________________________________________________________
Diagnostic Equipment - 0.1%
Gen-Probe* 50 3
Hansen Medical* 90 3
-------------
Total Diagnostic Equipment 6
- ---------------------------------------------------------------------
Dialysis Centers - 0.0%
DaVita* 12 1
Dialysis Corp of America* 264 2
_____________
Total Dialysis Centers 3
_____________________________________________________________________
Direct Marketing - 0.0%
Valuevision Media, Cl A* 306 2
-------------
Total Direct Marketing 2
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Distribution/Wholesale - 0.1%
LKQ* 294 $ 6
WW Grainger 25 2
_____________
Total Distribution/Wholesale 8
- ---------------------------------------------------------------------
Diversified Manufacturing Operations - 1.4%
3M 125 11
Acuity Brands 50 2
Dover 229 11
General Electric 1,273 47
Honeywell International 239 15
Illinois Tool Works 289 15
Textron 100 7
_____________
Total Diversified Manufacturing Operations 108
_____________________________________________________________________
Diversified Minerals - 0.2%
Cia Vale do Rio Doce ADR 430 14
-------------
Total Diversified Minerals 14
- ---------------------------------------------------------------------
Drug Delivery Systems - 0.1%
Hospira* 130 6
-------------
Total Drug Delivery Systems 6
- ---------------------------------------------------------------------
E-Commerce/Products - 0.0%
Blue Nile* 45 3
-------------
Total E-Commerce/Products 3
- ---------------------------------------------------------------------
E-Commerce/Services - 0.2%
Ctrip.com International ADR 60 3
Expedia* 68 2
Liberty Media - Interactive, Cl A* 133 3
Priceline.com* 40 5
-------------
Total E-Commerce/Services 13
- ---------------------------------------------------------------------
Electric Products-Miscellaneous - 0.1%
Emerson Electric 183 10
-------------
Total Electric Products-Miscellaneous 10
- ---------------------------------------------------------------------
Electric-Distribution - 0.0%
EnerNOC* 30 1
-------------
Total Electric - Distribution 1
- ---------------------------------------------------------------------
Electric-Integrated - 1.5%
Allegheny Energy 102 6
Centerpoint Energy 1,500 26
Dominion Resources 231 11
DTE Energy 350 15
Duke Energy 397 8
Entergy 135 16
Exelon 156 13
PG&E 77 3
PPL 250 13
-------------
Total Electric-Integrated 111
- ---------------------------------------------------------------------
41
OLD MUTUAL VA ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO - continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Electronic Components-Miscellaneous - 0.2%
AU Optronics ADR 291 $ 6
Celestica* 551 3
Flextronics International* 92 1
HON HAI Precision GDR 390 5
-------------
Total Electronic Components-Miscellaneous 15
_____________________________________________________________________
Electronic Components-Semiconductors - 0.9%
Bookham* 340 1
Broadcom, Cl A* 48 1
Cavium Networks* 65 1
DSP Group* 304 4
Fairchild Semiconductor International* 187 3
Ikanos Communications* 572 3
Monolithic Power Systems* 90 2
NVIDIA* 932 32
Qlogic* 285 4
Samsung Electronics GDR, 144A 14 4
Semtech* 190 3
Silicon Laboratories* 10 -
SiRF Technology Holdings* 132 3
Texas Instruments 102 3
Zoran* 103 2
_____________
Total Electronic Components-Semiconductors 66
- ---------------------------------------------------------------------
Electronic Design Automation - 0.1%
Comtech Group* 225 4
Magma Design Automation* 210 3
Synplicity* 515 3
_____________
Total Electronic Design Automation 10
_____________________________________________________________________
Electronic Forms - 0.3%
Adobe Systems* 451 19
_____________
Total Electronic Forms 19
_____________________________________________________________________
Electronic Measuring Instruments - 0.4%
Agilent Technologies* 500 18
Itron* 83 8
-------------
Total Electronic Measuring Instruments 26
- ---------------------------------------------------------------------
Electronic Parts Distribution - 0.2%
Arrow Electronics* 300 12
-------------
Total Electronic Parts Distribution 12
- ---------------------------------------------------------------------
Electronic Security Devices - 0.1%
ICX Technologies* 125 1
Taser International* 185 3
-------------
Total Electronic Security Devices 4
- ---------------------------------------------------------------------
Electronics-Military - 0.1%
L-3 Communications Holdings 66 7
-------------
Total Electronics-Military 7
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
E-Marketing/Info - 0.0%
Constant Contact* 80 $ 2
_____________
Total E-Marketing/Info 2
- ---------------------------------------------------------------------
Energy-Alternate Sources - 0.5%
Comverge* 50 2
Covanta Holding* 300 8
Sunpower, Cl A* 240 31
_____________
Total Energy-Alternate Sources 41
_____________________________________________________________________
Engineering/R&D Services - 0.7%
Fluor 80 12
Jacobs Engineering Group* 106 10
McDermott International* 460 27
URS* 43 2
_____________
Total Engineering/R&D Services 51
_____________________________________________________________________
Engines-Internal Combustion - 0.5%
Cummins 310 39
_____________
Total Engines-Internal Combustion 39
_____________________________________________________________________
Enterprise Software/Services - 0.9%
BMC Software* 700 25
Novell* 260 2
Oracle* 975 22
PROS Holdings* 73 1
Sybase* 700 18
Ultimate Software Group* 85 3
_____________
Total Enterprise Software/Services 71
- ---------------------------------------------------------------------
Entertainment Software - 0.2%
Activision* 175 5
Electronic Arts* 82 5
Take-Two Interactive Software* 115 2
_____________
Total Entertainment Software 12
_____________________________________________________________________
E-Services/Consulting - 0.1%
GSI Commerce* 150 3
Perficient* 227 4
-------------
Total E-Services/Consulting 7
- ---------------------------------------------------------------------
Fiduciary Banks - 0.6%
Bank of New York Mellon 586 29
Northern Trust 177 14
-------------
Total Fiduciary Banks 43
- ---------------------------------------------------------------------
Filtration/Separation Products - 0.2%
Pall 300 12
-------------
Total Filtration/Separation Products 12
- ---------------------------------------------------------------------
42
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Finance-Consumer Loans - 0.1%
First Marblehead 25 $ -
SLM 448 9
-------------
Total Finance-Consumer Loans 9
- ---------------------------------------------------------------------
Finance-Credit Card - 0.1%
American Express 190 10
-------------
Total Finance-Credit Card 10
- ---------------------------------------------------------------------
Finance-Investment Banker/Broker - 0.8%
Bear Stearns 83 7
Charles Schwab 442 11
Citigroup 316 9
Cowen Group* 286 3
Greenhill 5 -
Interactive Brokers Group, Cl A* 60 2
JPMorgan Chase 530 23
Morgan Stanley 100 5
Piper Jaffray* 10 -
Thomas Weisel Partners Group* 90 1
TradeStation Group* 100 1
_____________
Total Finance-Investment Banker/Broker 62
_____________________________________________________________________
Finance-Other Services - 0.4%
Asset Acceptance Capital 196 2
CME Group 7 5
eSpeed, Cl A* 130 1
FCStone Group* 83 4
GFI Group* 40 4
IntercontinentalExchange* 51 10
MF Global* 26 1
NASDAQ Stock Market* 125 6
_____________
Total Finance-Other Services 33
_____________________________________________________________________
Food-Dairy Products - 0.1%
Wimm-Bill-Dann Foods ADR 45 6
_____________
Total Food-Dairy Products 6
_____________________________________________________________________
Food-Meat Products - 0.1%
Tyson Foods, Cl A 366 6
-------------
Total Food-Meat Products 6
- ---------------------------------------------------------------------
Food-Miscellaneous/Diversified - 0.3%
Kraft Foods, Cl A 214 7
Sara Lee 1,000 16
_____________
Total Food-Miscellaneous/Diversified 23
- ---------------------------------------------------------------------
Food-Retail - 0.0%
X5 Retail Group GDR* 90 3
_____________
Total Food-Retail 3
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Food-Wholesale/Distribution - 0.0%
United Natural Foods* 12 $ -
_____________
Total Food-Wholesale/Distribution -
_____________________________________________________________________
Forestry - 0.2%
Plum Creek Timber 350 16
_____________
Total Forestry 16
_____________________________________________________________________
Gambling (Non-Hotel) - 0.0%
Pinnacle Entertainment* 127 3
_____________
Total Gambling (Non-Hotel) 3
_____________________________________________________________________
Gas-Distribution - 0.1%
Southwest Gas 60 2
UGI 95 3
WGL Holdings 28 1
_____________
Total Gas-Distribution 6
- ---------------------------------------------------------------------
Hazardous Waste Disposal - 0.1%
Stericycle* 135 8
_____________
Total Hazardous Waste Disposal 8
_____________________________________________________________________
Health Care Cost Containment - 0.2%
McKesson 197 13
_____________
Total Health Care Cost Containment 13
- ---------------------------------------------------------------------
Hospital Beds/Equipment - 0.2%
Kinetic Concepts* 200 11
_____________
Total Hospital Beds/Equipment 11
- ---------------------------------------------------------------------
Hotels & Motels - 0.1%
Morgans Hotel Group* 130 3
Wyndham Worldwide 33 1
_____________
Total Hotels & Motels 4
_____________________________________________________________________
Human Resources - 0.6%
Cross Country Healthcare* 140 2
Hewitt Associates, Cl A* 768 29
Hudson Highland Group* 253 2
Manpower 200 11
Monster Worldwide* 80 3
_____________
Total Human Resources 47
_____________________________________________________________________
Independent Power Producer - 0.0%
Mirant* 27 1
Reliant Energy* 16 -
-------------
Total Independent Power Producer 1
- ---------------------------------------------------------------------
Industrial Automation/Robot - 0.2%
Cognex 40 1
iRobot* 90 2
Rockwell Automation 200 14
-------------
Total Industrial Automation/Robot 17
- ---------------------------------------------------------------------
43
OLD MUTUAL VA ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO - continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Industrial Gases - 0.5%
Praxair 455 $ 40
-------------
Total Industrial Gases 40
- ---------------------------------------------------------------------
Instruments-Scientific - 0.3%
PerkinElmer 750 20
-------------
Total Instruments-Scientific 20
- ---------------------------------------------------------------------
Insurance Brokers - 0.2%
AON 173 8
eHealth* 130 4
-------------
Total Insurance Brokers 12
- ---------------------------------------------------------------------
Internet Application Software - 0.2%
CryptoLogic 123 2
Cybersource* 266 5
DealerTrack Holdings* 168 6
Vocus* 38 1
-------------
Total Internet Application Software 14
- ---------------------------------------------------------------------
Internet Content-Information/News - 0.1%
Baidu.com ADR* 19 7
-------------
Total Internet Content-Information/News 7
_____________________________________________________________________
Internet Incubators - 0.0%
Internet Capital Group* 150 2
-------------
Total Internet Incubators 2
_____________________________________________________________________
Internet Security - 0.1%
Symantec* 360 6
-------------
Total Internet Security 6
_____________________________________________________________________
Investment Companies - 0.0%
KKR Financial Holdings 40 1
MCG Capital 50 1
Pennant Park/Investment 30 -
_____________
Total Investment Companies 2
- ---------------------------------------------------------------------
Investment Management/Advisory Services - 0.3%
Affiliated Managers Group* 10 1
Federated Investors, Cl B 27 1
T Rowe Price Group 350 21
-------------
Total Investment Management/Advisory Services 23
- ---------------------------------------------------------------------
Lasers-Systems/Components - 0.0%
Electro Scientific Industries* 96 2
_____________
Total Lasers-Systems/Components 2
_____________________________________________________________________
Life/Health Insurance - 0.3%
China Life Insurance ADR 42 3
Cigna 415 22
Prudential Financial 8 1
-------------
Total Life/Health Insurance 26
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Lighting Products & System - 0.0%
Orion Energy Systems* 50 $ 1
-------------
Total Lighting Products & System 1
- ---------------------------------------------------------------------
Linen Supply & Related Items - 0.0%
Cintas 43 1
-------------
Total Linen Supply & Related Items 1
- ---------------------------------------------------------------------
Machine Tools & Related Products - 0.2%
Kennametal 300 11
_____________
Total Machine Tools & Related Products 11
_____________________________________________________________________
Machinery-Construction & Mining - 0.1%
Terex* 124 8
_____________
Total Machinery-Construction & Mining 8
_____________________________________________________________________
Machinery-Farm - 0.3%
Deere 280 26
-------------
Total Machinery-Farm 26
_____________________________________________________________________
Machinery-General Industry - 0.2%
Manitowoc 190 9
Wabtec 145 5
-------------
Total Machinery-General Industry 14
- ---------------------------------------------------------------------
Machinery-Print Trade - 0.0%
Zebra Technologies, Cl A* 20 1
-------------
Total Machinery-Print Trade 1
- ---------------------------------------------------------------------
Marine Services - 0.0%
Aegean Marine Petroleum Network 40 2
-------------
Total Marine Services 2
_____________________________________________________________________
Medical Imaging Systems - 0.0%
IRIS International* 89 2
_____________
Total Medical Imaging Systems 2
_____________________________________________________________________
Medical Information Systems - 0.3%
Cerner* 385 22
-------------
Total Medical Information Systems 22
- ---------------------------------------------------------------------
Medical Instruments - 0.6%
Abaxis* 60 2
Conceptus* 256 5
Intuitive Surgical* 85 28
Medtronic 120 6
Natus Medical* 184 4
Trans1* 60 1
_____________
Total Medical Instruments 46
_____________________________________________________________________
44
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Medical Labs & Testing Services - 0.2%
Covance* 57 $ 5
Laboratory Corp of America Holdings* 100 8
MDS* 21 -
Quest Diagnostics 17 1
-------------
Total Medical Labs & Testing Services 14
- ---------------------------------------------------------------------
Medical Laser Systems - 0.0%
Cynosure, Cl A* 90 2
-------------
Total Medical Laser Systems 2
- ---------------------------------------------------------------------
Medical Products - 0.5%
Baxter International 206 12
Henry Schein* 70 4
Orthofix International* 53 3
Stryker 178 13
Syneron Medical* 53 1
Zoll Medical* 95 3
_____________
Total Medical Products 36
- ---------------------------------------------------------------------
Medical-Biomedical/Genetic - 0.4%
Alexion Pharmaceuticals* 65 5
AMAG Pharmaceuticals * 70 4
Cambrex 153 1
Celgene* 115 5
Illumina* 80 5
Invitrogen* 13 1
Keryx Biopharmaceuticals* 210 2
Lifecell* 130 6
Martek Biosciences* 43 1
_____________
Total Medical-Biomedical/Genetic 30
_____________________________________________________________________
Medical-Drugs - 1.7%
Angiotech Pharmaceuticals* 320 1
Aspreva Pharmaceuticals* 83 2
Axcan Pharma* 56 1
Bristol-Myers Squibb 441 12
Forest Laboratories* 38 1
Indevus Pharmaceuticals* 290 2
Merck 646 38
Pfizer 1,115 25
Schering-Plough 1,195 32
Valeant Pharmaceuticals International* 56 1
Wyeth 366 16
_____________
Total Medical-Drugs 131
- ---------------------------------------------------------------------
Medical-Generic Drugs - 0.1%
Barr Pharmaceuticals* 33 2
Perrigo 43 2
_____________
Total Medical-Generic Drugs 4
_____________________________________________________________________
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Medical-HMO - 0.5%
Magellan Health Services* 33 $ 2
UnitedHealth Group 248 14
WellPoint* 220 19
_____________
Total Medical-HMO 35
_____________________________________________________________________
Medical-Hospitals - 0.2%
Universal Health Services, Cl B 245 13
_____________
Total Medical-Hospitals 13
_____________________________________________________________________
Medical-Outpatient/Home Medical - 0.0%
Lincare Holdings* 64 2
_____________
Total Medical-Outpatient/Home Medical 2
_____________________________________________________________________
Medical-Wholesale Drug Distributors - 0.5%
AmerisourceBergen 607 27
Cardinal Health 152 9
_____________
Total Medical-Wholesale Drug Distributors 36
_____________________________________________________________________
Metal Processors & Fabricators - 0.7%
Commercial Metals 250 7
Haynes International* 25 2
Ladish* 43 2
Precision Castparts 259 36
Sterlite Industries ADR* 194 5
_____________
Total Metal Processors & Fabricators 52
- ---------------------------------------------------------------------
Metal-Aluminum - 0.3%
Alcoa 507 19
_____________
Total Metal-Aluminum 19
_____________________________________________________________________
Miscellaneous Manufacturing - 0.0%
Trimas* 299 3
_____________
Total Miscellaneous Manufacturing 3
_____________________________________________________________________
Motion Pictures & Services - 0.0%
Macrovision* 43 1
_____________
Total Motion Pictures & Services 1
_____________________________________________________________________
Multi-Line Insurance - 0.9%
Allstate 169 9
American International Group 413 24
Assurant 100 7
Cincinnati Financial 200 8
Hartford Financial Services Group 91 8
Loews 149 8
XL Capital, Cl A 94 5
-------------
Total Multi-Line Insurance 69
- ---------------------------------------------------------------------
45
OLD MUTUAL VA ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO - continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Multimedia - 0.0%
EW Scripps, Cl A 12 $ 1
Gemstar-TV Guide International* 402 2
_____________
Total Multimedia 3
_____________________________________________________________________
Networking Products - 0.8%
Atheros Communications* 45 1
Cisco Systems* 1,640 44
Extreme Networks* 460 2
Foundry Networks* 165 3
Juniper Networks* 165 5
Polycom* 55 2
Switch & Data Facilities* 120 2
_____________
Total Networking Products 59
- ---------------------------------------------------------------------
Non-Hazardous Waste Disposal - 0.3%
Allied Waste Industries* 137 2
Republic Services 200 6
Waste Management 305 10
_____________
Total Non-Hazardous Waste Disposal 18
- ---------------------------------------------------------------------
Office Automation & Equipment - 0.1%
Pitney Bowes 159 6
-------------
Total Office Automation & Equipment 6
_____________________________________________________________________
Oil & Gas Drilling - 0.1%
Diamond Offshore Drilling 45 6
Rowan 27 1
-------------
Total Oil & Gas Drilling 7
- ---------------------------------------------------------------------
Oil Companies-Exploration & Production - 1.6%
Arena Resources* 80 3
ATP Oil & Gas* 80 4
CNOOC ADR 72 12
Denbury Resources* 140 4
EnCana 160 11
Gazprom ADR 100 6
Harvest Natural Resources* 259 3
Newfield Exploration* 150 8
NovaTek GDR 110 8
Occidental Petroleum 316 24
Parallel Petroleum* 150 3
Southwestern Energy* 495 28
Stone Energy* 68 3
Ultra Petroleum* 80 6
-------------
Total Oil Companies-Exploration
& Production 123
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Oil Companies-Integrated - 1.6%
Chevron 64 $ 6
ConocoPhillips 222 20
Exxon Mobil 603 57
Hess 150 15
Marathon Oil 24 1
Murphy Oil 41 3
Petroleo Brasileiro ADR 160 18
_____________
Total Oil Companies-Integrated 120
_____________________________________________________________________
Oil Field Machinery & Equipment - 0.4%
Dresser-Rand Group* 120 5
FMC Technologies* 70 4
Grant Prideco* 85 5
National Oilwell Varco* 150 11
T-3 Energy Services* 105 5
-------------
Total Oil Field Machinery & Equipment 30
_____________________________________________________________________
Oil Refining & Marketing - 0.6%
Reliance Industries GDR, 144A 20 3
Tesoro 400 19
Valero Energy 360 25
-------------
Total Oil Refining & Marketing 47
_____________________________________________________________________
Oil-Field Services - 0.9%
Exterran Holdings* 23 2
Halliburton 215 8
Helix Energy Solutions Group* 233 10
Key Energy Services* 226 3
Schlumberger 427 42
_____________
Total Oil-Field Services 65
_____________________________________________________________________
Paper & Related Products - 0.2%
Abitibibowater 62 1
Domtar* 900 7
Neenah Paper 70 2
Schweitzer-Mauduit International 100 3
Smurfit-Stone Container* 104 1
_____________
Total Paper & Related Products 14
_____________________________________________________________________
Pharmacy Services - 0.2%
Medco Health Solutions* 126 13
_____________
Total Pharmacy Services 13
- ---------------------------------------------------------------------
Physical Practice Management - 0.1%
Pediatrix Medical Group* 150 10
-------------
Total Physical Practice Management 10
- ---------------------------------------------------------------------
46
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Physical Therapy/Rehabilitation Centers - 0.1%
Psychiatric Solutions* 205 $ 7
-------------
Total Physical Therapy/Rehabilitation Centers 7
- ---------------------------------------------------------------------
Pipelines - 0.9%
El Paso 862 15
Oneok 600 27
Questar 100 5
Spectra Energy 341 9
Williams 305 11
-------------
Total Pipelines 67
- ---------------------------------------------------------------------
Platinum - 0.1%
Stillwater Mining* 384 4
-------------
Total Platinum 4
_____________________________________________________________________
Power Conversion/Supply Equipment - 0.0%
Delta Electronics GDR 150 3
_____________
Total Power Conversion/Supply Equipment 3
- ---------------------------------------------------------------------
Printing-Commercial - 0.3%
RR Donnelley & Sons 393 15
Valassis Communications* 381 4
VistaPrint* 80 3
_____________
Total Printing-Commercial 22
_____________________________________________________________________
Property/Casualty Insurance - 0.9%
Arch Capital Group* 250 18
Progressive 50 1
Safeco 350 19
Travelers 264 14
WR Berkley 600 18
_____________
Total Property/Casualty Insurance 70
_____________________________________________________________________
Publishing-Books - 0.0%
Scholastic* 10 -
-------------
Total Publishing-Books -
_____________________________________________________________________
Publishing-Newspapers - 0.1%
Dolan Media* 120 4
Gannett 103 4
New York Times, Cl A 70 1
-------------
Total Publishing-Newspapers 9
_____________________________________________________________________
Publishing-Periodicals - 0.0%
Playboy Enterprises, Cl B* 199 2
-------------
Total Publishing-Periodicals 2
- ---------------------------------------------------------------------
Racetracks - 0.0%
International Speedway, Cl A 55 2
-------------
Total Racetracks 2
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Radio - 0.0%
Radio One, Cl D* 382 $ 1
-------------
Total Radio 1
- ---------------------------------------------------------------------
Real Estate Operation/Development - 0.1%
Brookfield Properties 186 4
_____________
Total Real Estate Operation/Development 4
_____________________________________________________________________
Recreational Centers - 0.0%
Life Time Fitness* 65 3
-------------
Total Recreational Centers 3
_____________________________________________________________________
Reinsurance - 1.1%
Allied World Assurance Holdings 21 1
Aspen Insurance Holdings 208 6
Berkshire Hathaway, Cl B* 1 5
Endurance Specialty Holdings 43 2
Everest Re Group 19 2
Montpelier Re Holdings 314 5
PartnerRe 400 33
RenaissanceRe Holdings 400 24
Validus Holdings* 131 3
-------------
Total Reinsurance 81
_____________________________________________________________________
REITs-Apartments - 0.4%
AvalonBay Communities 126 12
BRE Properties 38 2
Camden Property Trust 128 6
Equity Residential 169 6
Essex Property Trust 40 4
_____________
Total REITs-Apartments 30
_____________________________________________________________________
REITs-Diversified - 0.3%
CapitalSource 47 1
Digital Realty Trust 138 5
PS Business Parks 24 1
Vornado Realty Trust 181 16
-------------
Total REITs-Diversified 23
- ---------------------------------------------------------------------
REITs-Health Care - 0.3%
Health Care 127 6
Nationwide Health Properties 250 8
Ventas 199 9
_____________
Total REITs-Health Care 23
- ---------------------------------------------------------------------
REITs-Hotels - 0.3%
DiamondRock Hospitality 230 3
FelCor Lodging Trust 180 3
Host Hotels & Resorts 641 11
LaSalle Hotel Properties 59 2
-------------
Total REITs-Hotels 19
- ---------------------------------------------------------------------
47
OLD MUTUAL VA ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO - continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
REITs-Mortgage - 0.1%
Annaly Capital Management 62 $ 1
Chimera Investment 80 1
MFA Mortgage Investments 319 3
-------------
Total REITs-Mortgage 5
- ---------------------------------------------------------------------
REITs-Office Property - 0.7%
BioMed Realty Trust 217 5
Boston Properties 225 21
Corporate Office Properties 24 1
Highwoods Properties 167 5
Kilroy Realty 118 6
SL Green Realty 114 11
_____________
Total REITs-Office Property 49
_____________________________________________________________________
REITs-Regional Malls - 0.6%
General Growth Properties 267 11
Macerich 68 5
Simon Property Group 265 23
Taubman Centers 127 6
_____________
Total REITs-Regional Malls 45
_____________________________________________________________________
REITs-Shopping Centers - 0.4%
Acadia Realty Trust 123 3
Federal Realty Investment 94 8
Kimco Realty 205 7
Kite Realty Group Trust 158 2
Regency Centers 142 9
_____________
Total REITs-Shopping Centers 29
- ---------------------------------------------------------------------
REITs-Storage - 0.2%
Public Storage 172 13
_____________
Total REITs-Storage 13
- ---------------------------------------------------------------------
REITs-Warehouse/Industrial - 0.3%
AMB Property 179 10
EastGroup Properties 59 2
Prologis 200 13
_____________
Total REITs -Warehouse/Industrial 25
_____________________________________________________________________
Rental Auto/Equipment - 0.0%
H&E Equipment Services* 173 3
_____________
Total Rental Auto/Equipment 3
_____________________________________________________________________
Retail-Apparel/Shoe - 0.2%
Footstar 226 1
Gymboree* 80 2
Kenneth Cole Production, Cl A 43 1
Limited Brands 50 1
Men's Wearhouse 400 11
Syms 156 2
-------------
Total Retail-Apparel/Shoe 18
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Retail-Automobile - 0.0%
AutoNation* 50 $ 1
Group 1 Automotive 93 2
_____________
Total Retail-Automobile 3
_____________________________________________________________________
Retail-Building Products - 0.1%
Home Depot 140 4
_____________
Total Retail-Building Products 4
_____________________________________________________________________
Retail-Computer Equipment - 0.2%
GameStop, Cl A* 250 16
-------------
Total Retail-Computer Equipment 16
- ---------------------------------------------------------------------
Retail-Consumer Electronics - 0.0%
Best Buy 23 1
_____________
Total Retail-Consumer Electronics 1
- ---------------------------------------------------------------------
Retail-Discount - 0.0%
Big Lots* 121 2
_____________
Total Retail-Discount 2
_____________________________________________________________________
Retail-Drug Store - 0.4%
CVS Caremark 586 23
Walgreen 250 10
_____________
Total Retail-Drug Store 33
_____________________________________________________________________
Retail-Office Supplies - 0.0%
Office Depot* 144 2
Office Max 21 -
-------------
Total Retail-Office Supplies 2
_____________________________________________________________________
Retail-Pet Food & Supplies - 0.0%
PetSmart 57 1
-------------
Total Retail-Pet Food & Supplies 1
- ---------------------------------------------------------------------
Retail-Propane Distributors - 0.1%
Star Gas Partners LP* 1,315 5
-------------
Total Retail-Propane Distributors 5
- ---------------------------------------------------------------------
Retail-Restaurants - 0.1%
BJ's Restaurants* 90 1
Burger King Holdings 251 7
Cheesecake Factory* 17 -
Chipotle Mexican Grill, Cl B* 10 1
_____________
Total Retail-Restaurants 9
_____________________________________________________________________
Retail-Sporting Goods - 0.1%
Dick's Sporting Goods* 135 4
-------------
Total Retail-Sporting Goods 4
- ---------------------------------------------------------------------
Retail-Video Rental - 0.0%
Blockbuster, Cl A* 230 1
-------------
Total Retail-Video Rental 1
- ---------------------------------------------------------------------
48
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
S&L/Thrifts-Eastern US - 0.0%
Brookline Bancorp 196 $ 2
New York Community Bancorp 67 1
-------------
Total S&L/Thrifts-Eastern US 3
- ---------------------------------------------------------------------
S&L/Thrifts-Western US - 0.1%
Washington Federal 350 7
Washington Mutual 220 3
-------------
Total S&L/Thrifts-Western US 10
- ---------------------------------------------------------------------
Schools - 0.3%
American Public Education* 28 1
Capella Education* 57 4
ITT Educational Services* 55 5
Learning Tree International* 59 1
New Oriental Education & Technology
Group ADR* 40 3
Strayer Education 37 6
_____________
Total Schools 20
_____________________________________________________________________
Semiconductor Components-Integrated Circuits - 0.7%
Anadigics* 145 2
Cypress Semiconductor* 22 1
Emulex* 185 3
Maxim Integrated Products 1,409 37
Powertech Technology GDR 400 3
Taiwan Semiconductor Manufacturing ADR 300 3
-------------
Total Semiconductor Components-
Integrated Circuits 49
- ---------------------------------------------------------------------
Semiconductor Equipment - 0.2%
Applied Materials 235 4
Brooks Automation* 113 1
Entegris* 260 2
Novellus Systems* 21 1
Tessera Technologies* 43 2
Ultratech* 46 1
Varian Semiconductor Equipment Associates* 161 6
_____________
Total Semiconductor Equipment 17
_____________________________________________________________________
Software Tools - 0.1%
VMware, Cl A* 55 5
-------------
Total Software Tools 5
- ---------------------------------------------------------------------
Specified Purpose Acquisition - 0.0%
Marathon Acquisition* 40 -
-------------
Total Specified Purpose Acquisition -
- ---------------------------------------------------------------------
Steel Pipe & Tube - 0.2%
Mueller Water Products, Cl A 43 -
TMK GDR 130 6
Valmont Industries 70 6
_____________
Total Steel Pipe & Tube 12
_____________________________________________________________________
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Steel-Producers - 0.2%
POSCO ADR 44 $ 7
Severstal GDR 250 6
-------------
Total Steel-Producers 13
- ---------------------------------------------------------------------
Steel-Specialty - 0.3%
Allegheny Technologies 245 21
_____________
Total Steel-Specialty 21
_____________________________________________________________________
Super-Regional Banks-US - 0.4%
Bank of America 317 13
Capital One Financial 252 12
Wells Fargo 281 8
_____________
Total Super-Regional Bank-US 33
_____________________________________________________________________
Telecommunications Equipment - 0.1%
Harris 100 6
Plantronics 63 2
Tollgrade Communications* 86 1
-------------
Total Telecommunications Equipment 9
_____________________________________________________________________
Telecommunications Equipment-Fiber Optics - 0.0%
JDS Uniphase* 116 2
_____________
Total Telecommunications Equipment-
Fiber Optics 2
_____________________________________________________________________
Telecommunications Services - 0.5%
Amdocs* 24 1
Cbeyond* 56 2
Embarq 600 30
Orbcomm* 184 1
RCN* 46 1
Time Warner Telecom, Cl A* 262 5
_____________
Total Telecommunications Services 40
- ---------------------------------------------------------------------
Telephone-Integrated - 0.7%
AT&T 848 35
IDT, Cl B 16 -
Verizon Communications 420 18
-------------
Total Telephone-Integrated 53
- ---------------------------------------------------------------------
Television - 0.0%
Sinclair Broadcast Group, Cl A 93 1
-------------
Total Television 1
- ---------------------------------------------------------------------
Textile-Home Furnishings - 0.1%
Mohawk Industries* 100 7
_____________
Total Textile-Home Furnishings 7
- ---------------------------------------------------------------------
Theaters - 0.0%
National CineMedia 126 3
-------------
Total Theaters 3
- ---------------------------------------------------------------------
49
OLD MUTUAL VA ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO - continued
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Therapeutics - 0.5%
Gilead Sciences* 735 $ 34
Medicines* 112 2
Theravance* 130 3
Warner Chilcott, Cl A* 52 1
_____________
Total Therapeutics 40
_____________________________________________________________________
Tobacco - 0.8%
Altria Group 352 27
Imperial Tobacco Group ADR 219 23
UST 177 10
_____________
Total Tobacco 60
- ---------------------------------------------------------------------
Tools-Hand Held - 0.2%
Snap-On 47 2
Stanley Works 205 10
_____________
Total Tools-Hand Held 12
- ---------------------------------------------------------------------
Transactional Software - 0.1%
Innerworkings* 279 5
_____________
Total Transactional Software 5
_____________________________________________________________________
Transport-Equipment & Leasing - 0.1%
Aircastle 94 2
GATX 30 1
Genesis Lease ADR 136 3
Greenbrier 20 -
-------------
Total Transport-Equipment & Leasing 6
- ---------------------------------------------------------------------
Transport-Marine - 0.2%
Overseas Shipholding Group 200 15
-------------
Total Transport-Marine 15
- ---------------------------------------------------------------------
Transport-Rail - 0.3%
Burlington Northern Santa Fe 118 10
Canadian Pacific Railway 100 6
CSX 100 4
Union Pacific 24 3
_____________
Total Transport-Rail 23
_____________________________________________________________________
Transport-Services - 0.1%
Expeditors International Washington 85 4
_____________
Total Transport-Services 4
_____________________________________________________________________
Veterinary Diagnostics - 0.0%
VCA Antech* 75 3
_____________
Total Veterinary Diagnostics 3
- ---------------------------------------------------------------------
Web Hosting/Design - 0.1%
Equinix* 100 10
-------------
Total Web Hosting/Design 10
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Web Portals/ISP - 0.7%
Google, Cl A* 70 $ 48
Sina* 85 4
_____________
Total Web Portals/ISP 52
- ---------------------------------------------------------------------
Wireless Equipment - 0.4%
American Tower, Cl A* 69 3
Aruba Networks* 194 3
Globecomm Systems* 190 2
InterDigital* 90 2
Motorola 156 3
Nokia ADR 289 11
RF Micro Devices* 677 4
SBA Communications, Cl A* 50 2
-------------
Total Wireless Equipment 30
_____________________________________________________________________
Wound, Burn & Skin Care - 0.0%
Obagi Medical Products* 175 3
_____________
Total Wound, Burn & Skin Care 3
_____________
Total Common Stock (Cost $4,078) 4,321
- ---------------------------------------------------------------------
Foreign Common Stock - 17.5%
Australia - 1.5%
Ausenco 319 4
QBE Insurance Group 650 19
BHP Billiton 1,347 47
Leighton Holdings 830 44
Tatts Group 976 3
-------------
Total Australia 117
- ---------------------------------------------------------------------
Belgium - 0.3%
Dexia 936 24
-------------
Total Belgium 24
- ---------------------------------------------------------------------
Brazil - 0.1%
Banco do Brasil 300 5
Porto Seguro 100 4
_____________
Total Brazil 9
- ---------------------------------------------------------------------
Canada - 0.8%
EnCana 400 27
Teck Cominco, Cl B 100 4
Manulife Financial 100 4
Methanex 800 22
-------------
Total Canada 57
- ---------------------------------------------------------------------
China - 0.2%
Harbin Power Equipment, Cl H 2,000 6
Industrial & Commercial Bank of China, Cl H 8,000 6
Jiangus Express, Cl H 4,000 4
-------------
Total China 16
_____________________________________________________________________
50
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Denmark - 0.5%
Norden 339 $ 38
_____________
Total Denmark 38
_____________________________________________________________________
France - 0.8%
AXA 75 3
BNP Paribas 292 32
Camaieu 40 16
Rallye 106 8
Total 30 2
_____________
Total France 61
_____________________________________________________________________
Germany - 1.4%
BASF AG 213 32
Norddeutsche Affinerie 48 2
United Internet 325 8
Allianz SE 160 35
ThyssenKrupp 466 26
_____________
Total Germany 103
_____________________________________________________________________
Hong Kong - 0.4%
China Infrastructure Machinery 2,000 3
China Mobile 500 9
Hong Kong Exchange and Clearing 500 14
Regal Hotels International Holdings 94,000 8
_____________
Total Hong Kong 34
- ---------------------------------------------------------------------
Indonesia - 0.2%
Bank Rakyat Indonesia 6,500 5
PT Astrea International 2,500 7
_____________
Total Indonesia 12
_____________________________________________________________________
Italy - 0.8%
Enel 66 1
ENI 1,009 37
Fiat 902 23
-------------
Total Italy 61
- ---------------------------------------------------------------------
Japan - 4.0%
Alpine Electronics 300 5
Cosmo Oil 1,000 4
Daiichikosho 700 8
FamilyMart 1,200 38
FUJlFlLM Holdings 200 8
Inui Steamship 600 9
Komatsu 1,300 35
Kohnan Shoji 1,100 19
Leopalace21 600 16
Nintendo 100 59
Nippon Mining Holdings 1,500 10
_____________________________________________________________________
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Japan - continued
Nippon Oil 1,000 $ 8
Nippon Steel 1,000 6
Nippon Telegraph & Telephone 4 20
Sumitomo Pipe & Tube 2,000 14
Tokyo Leasing 200 2
Toyota Motor 700 37
_____________
Total Japan 298
_____________________________________________________________________
Malaysia - 0.0%
WCT Engineering 1,700 4
-------------
Total Malaysia 4
- ---------------------------------------------------------------------
Netherlands - 1.3%
ING Groep 831 32
Royal Dutch Shell, Cl A 1,509 64
_____________
Total Netherlands 96
- ---------------------------------------------------------------------
New Zealand - 0.4%
Fletcher Building 3,262 29
_____________
Total New Zealand 29
_____________________________________________________________________
Norway - 0.1%
Tandberg 226 5
_____________
Total Norway 5
_____________________________________________________________________
Philippines - 0.1%
Ayala 800 11
-------------
Total Philippines 11
- ---------------------------------------------------------------------
Russia - 0.1%
Sberbank 1,700 7
_____________
Total Russia 7
_____________________________________________________________________
Singapore - 0.6%
Jardine Cycle & Carriage 2,000 30
Swiber Holdings* 6,000 14
_____________
Total Singapore 44
_____________________________________________________________________
South Africa - 0.3%
Anglo Platinum 24 4
MTN Group 350 7
Naspers, Cl N 115 3
Truworths International 900 4
Standard Bank Group 200 3
-------------
Total South Africa 21
- ---------------------------------------------------------------------
Spain - 0.5%
Banco Santander 173 4
Banco Bilbao Vizcaya 1,269 31
-------------
Total Spain 35
- ---------------------------------------------------------------------
51
OLD MUTUAL VA ASSET ALLOCATION
MODERATE GROWTH PORTFOLIO - concluded
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2007
- ---------------------------------------------------------------------
Description Shares Value (000)
- ---------------------------------------------------------------------
Sweden - 0.8%
Volvo, Cl B 1,049 $ 18
Beijer Alma 300 3
Skandinaviska Enskilda Banken, Cl A 800 20
Svenska Handelsbanken, Cl A 600 19
-------------
Total Sweden 60
- ---------------------------------------------------------------------
Switzerland - 0.4%
Zurich Financial Services 106 31
_____________
Total Switzerland 31
_____________________________________________________________________
Thailand - 0.1%
CP All 9,000 3
Kasikornbank 2,200 6
-------------
Total Thailand 9
- ---------------------------------------------------------------------
Turkey - 0.1%
Asya Katilim Bankasi* 350 3
BIM Birlesik Magazalar 40 4
_____________
Total Turkey 7
- ---------------------------------------------------------------------
United Kingdom - 1.7%
3i Group 559 11
AstraZeneca 573 25
BHP Billiton 87 3
BT Group 4,902 26
Chaucer Holdings 156 -
CRS* 35 -
Eurocastle Investment 10 -
Game Group 3,265 16
HSBC Holdings 25 -
J Sainsbury 302 3
Reckitt Benckiser Group 557 32
Royal Bank of Scotland Group 1,191 11
_____________
Total United Kingdom 127
_____________
Total Foreign Common Stock (Cost $1,248) 1,316
_____________________________________________________________________
Warrants - 0.3%
Bharti Airtel 144A expires 10/28/08* 280 7
Foxconn Technology 144A
expires 08/22/08* 275 2
Grasim Industries 144A
expires 05/22/09* 37 3
IVRCL Infrastructures & Projects 144A
expires 11/17/08* 260 4
Maruti Suzuki India 144A expires 09/03/12* 160 4
Nicholas Piramal India 144A
expires 10/26/09* 500 5
-------------
Total Warrants (Cost $22) 25
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
Face Amount
Description (000) Value (000)
- ---------------------------------------------------------------------
Asset Backed Securities - 0.1%
Chase Issuance Trust
Ser 2007-A15, CI A
4.960%, 09/17/12 $ 10 $ 10
_____________
Total Asset Backed Securities (Cost $10) 10
_____________________________________________________________________
U.S. Treasury Obligations - 9.5%
U.S. Treasury Bond
4.750%, 02/15/37 5 5
U.S. Treasury Notes
4.875%, 08/15/09 20 21
4.875%, 07/31/11 90 95
4.750%, 05/15/14 40 43
4.750%, 08/15/17 15 16
4.625%, 11/15/09 65 67
4.125%, 08/31/12 5 5
3.625%, 12/31/12 460 464
-------------
Total U.S. Treasury Obligations (Cost $704) 716
- ---------------------------------------------------------------------
U.S. Government Agency Obligations - 3.7%
Federal National Mortgage Association
6.000%, 01/01/37 65 66
5.500%, 01/01/37 139 139
5.000%, 05/01/37 74 72
_____________
Total U.S. Government Agency
Obligations (Cost $274) 277
_____________________________________________________________________
Foreign Bond - 2.9%
Deutschland Republic, Ser 3 (EUR)
4.500%, 01/04/13 147 219
_____________
Total Foreign Bond (Cost $202) 219
_____________________________________________________________________
Corporate Bonds - 2.7%
Abbott Laboratories
5.150%, 11/30/12 $ 5 5
Apache
5.250%, 04/15/13 10 10
Astrazeneca
5.400%, 09/15/12 10 10
Bank One
5.900%, 11/15/11 25 26
Canadian Natural Resources
6.700%, 07/15/11 5 5
Citigroup
6.125%, 11/21/17 5 5
Comcast
5.300%, 01/15/14 25 25
Covidien International
Finance SA 144A
5.450%, 10/15/12 5 5
_____________________________________________________________________
52
- ---------------------------------------------------------------------
Shares/
Face Amount
Description (000) Value (000)
- ---------------------------------------------------------------------
Corporate Bonds - continued
ERP Operating
5.125%, 03/15/16 $ 25 $ 23
General Mills
5.650%, 09/10/12 5 5
Lehman Brothers Holdings
6.200%, 09/26/14 5 5
Marathon Oil
6.600%, 10/01/37 5 5
PepsiCo
5.150%, 05/15/12 5 5
PSEG Power
7.750%, 04/15/11 25 27
SBC Communications
5.100%, 09/15/14 25 25
Starbucks
6.250%, 08/15/17 5 5
Tyco Electronics 144A
6.550%, 10/01/17 5 5
Weatherford International 144A
5.950%, 06/15/12 5 5
-------------
Total Corporate Bonds (Cost $199) 201
- ---------------------------------------------------------------------
Investment Company - 2.5%
Index Fund-Growth-Small Cap - 0.1%
iShares Russell 2000 Growth Index Fund 70 6
iShares Russell 2000 Index Fund 40 3
-------------
Total Index Fund-Growth-Small Cap 9
- ---------------------------------------------------------------------
Index Fund-Value-Small Cap - 2.4%
iShares S&P SmallCap 600 Value Index
Fund 2,600 182
-------------
Total Index Fund-Value-Small Cap 182
-------------
Total Investment Company (Cost $207) 191
- ---------------------------------------------------------------------
Money Market Fund - 11.9%
Dreyfus Cash Management Fund,
Institutional Class, 4.850% 892,673 893
-------------
Total Money Market Fund (Cost $893) 893
- ---------------------------------------------------------------------
Total Investments - 108.5% (Cost $7,837) $ 8,169
- ---------------------------------------------------------------------
Other Assets and Liabilities, Net - (8.5%) (637)
- ---------------------------------------------------------------------
Total Net Assets 100.0% $ 7,532
- ---------------------------------------------------------------------
As of December 31, 2007 the Portfolio had the following forward foreign currency
contracts outstanding:
Unrealized
Settlement Currency Currency Appreciation
Date to Deliver to Receive (Depreciation)
__________ _________________ __________________ ______________
03/11/08 USD (122,500) EUR 83,748 $ 19
03/11/08 USD (70,000) JPY 7,608,825 (1,348)
03/11/08 EUR (114,971) USD 170,130 1,933
_______
$ 604
_______
The accompanying notes are an integral part of the financial statements.
53
NOTES TO SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
* Non-income producing security.
144A - Security exempt from registration under Rule 144A of the Securities Act
of 1993. The security may be resold in transactions exempt from registration
normally to qualified institutional buyers. On December 31, 2007, the value of
these securities amounted to $42 (000), representing 0.8% of the Old Mutual VA
Asset Allocation Conservative Portfolio, $56 (000), representing 1.0% of the net
assets of the Old Mutual VA Asset Allocation Balanced Portfolio, and $47 (000),
representing 0.6% of the net assets of Old Mutual VA Asset Allocation Moderate
Growth Portfolio.
(A) - Variable rate security - the rate reported represents the rate as of
December 31, 2007
(B) - The rate reported represents the 7-day effective yield as of December 31,
2007.
ADR - American Depositary Receipt
Cl - Class
DBS - Direct Broadcast Satellite
EUR - Euro
GDR - Global Depositary Receipt
HMO - Health Maintenance Organization
ISP - Internet Service Provider
JPY - Japanese Yen
LP - Limited partnership
MTN - Medium Term Note
R&D - Research and Development
RElTs - Real Estate Investments Trusts
S&L - Savings and Loan
Ser - Series
Amounts designated as "-" are either $0 or have been rounded to $0.
Cost figures are shown with "000s" omitted.
54
STATEMENTS OF ASSETS AND LIABILITIES (000, excluding shares)
AS OF DECEMBER 31, 2007
- --------------------------------------------------------------------------------------------------------------------------------
Old Mutual Old Mutual Old Mutual
VA Asset VA Asset VA Asset
Allocation Allocation Allocation
Conservative Balanced Moderate Growth
Portfolio Portfolio Portfolio
- --------------------------------------------------------------------------------------------------------------------------------
Assets:
Investment Securities, at Cost $ 5,176 $ 5,155 $ 7,837
- --------------------------------------------------------------------------------------------------------------------------------
Investment Securities, at Value $ 5,397 $ 5,461 $ 8,169
Receivable for Investment Securities Sold 15 18 79
Receivable from Investment Advisor 12 22 22
Dividends and Interest Receivable 57 40 29
Unrealized Gain on Forward Foreign Currency Contracts 5 3 2
Foreign Currency (cost $10, $9, and $-, respectively) 10 9 -
Other Assets 4 4 4
- --------------------------------------------------------------------------------------------------------------------------------
Total Assets 5,500 5,557 8,305
- --------------------------------------------------------------------------------------------------------------------------------
Liabilities:
Payable to Custodian 12 7 -
Payable for Investment Securities Purchased 21 22 522
Payable for Management Fees 4 4 7
Unrealized Loss on Forward Foreign Currency Contracts 3 2 1
Payable to Custodian Due to Foreign Currency Overdraft - - 164
Accrued Expenses 59 79 79
- --------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 99 114 773
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 5,401 $ 5,443 $ 7,532
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets:
Paid-in Capital ($0.001 par value, unlimited authorization) $ 5,178 $ 5,132 $ 7,225
Undistributed Net Investment Income / (Accumulated Net Investment Loss) (3) 1 1
Accumulated Net Realized Gain (Loss) on Investments 2 2 (27)
Net Unrealized Appreciation on Investments, Forward Foreign
Currency Contracts and Foreign Currency Transactions 224 308 333
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 5,401 $ 5,443 $ 7,532
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets - Initial Class $ 5,241 $ 5,313 $ 5,392
Net Assets - Service Class 160 130 2,140
- --------------------------------------------------------------------------------------------------------------------------------
Outstanding Shares of Beneficial Interest - Initial Class 501,663 500,236 496,382
Outstanding Shares of Beneficial Interest - Service Class 15,449 12,309 199,836
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share - Initial Class ^ $ 10.45 $ 10.62 $ 10.86
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share - Service Class ^ $ 10.38 $ 10.57 $ 10.71
- --------------------------------------------------------------------------------------------------------------------------------
^ Net Assets divided by shares may not calculate to the stated NAV because these
amounts are shown rounded.
Amounts designated as "-" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
55
STATEMENTS OF OPERATIONS (000)
FOR THE YEAR ENDED DECEMBER 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------
Old Mutual Old Mutual Old Mutual
VA Asset VA Asset VA Asset
Allocation Allocation Allocation
Conservative Balanced Moderate Growth
Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------------------------------
Investment Income:
Dividends $ 50 $ 76 $ 103
Interest 165 92 43
Less: Foreign Taxes Withheld (1) (3) (3)
- -----------------------------------------------------------------------------------------------------------------------------
Total Investment Income 214 165 143
- -----------------------------------------------------------------------------------------------------------------------------
Expenses:
Management Fees 44 47 51
Administrative Fees 5 5 5
Distribution Fees - - 1
Printing Fees 11 11 11
Professional Fees 40 43 43
Custodian Fees 19 51 54
Pricing Fees 28 40 39
Offering Cost 38 38 38
Transfer Agent Fees 18 18 18
Other Expenses 7 8 7
- -----------------------------------------------------------------------------------------------------------------------------
Total Expenses 210 261 267
- -----------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Management Fees (44) (47) (51)
Reimbursement of Expenses by Advisor (114) (158) (156)
- -----------------------------------------------------------------------------------------------------------------------------
Net Expenses 52 56 60
- -----------------------------------------------------------------------------------------------------------------------------
Net Investment Income 162 109 83
- -----------------------------------------------------------------------------------------------------------------------------
Net Realized Gain from Investment Transactions 14 37 17
Net Realized Loss on Foreign Currency Transactions (52) (32) (7)
Net Change in Unrealized Appreciation on Investments 221 306 332
Net Change in Unrealized Appreciation on Forward Foreign
Currency Contracts and Foreign Currency Transactions 3 2 1
- -----------------------------------------------------------------------------------------------------------------------------
Net Realized and Unrealized Gain on Investments 186 313 343
- -----------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Resulting from Operations $ 348 $ 422 $ 426
- -----------------------------------------------------------------------------------------------------------------------------
Amounts designated as "-" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
56
STATEMENTS OF CHANGES IN NET ASSETS (000)
- ------------------------------------------------------------------------------------------------------------------------------------
Old Mutual Old Mutual Old Mutual
VA Asset VA Asset VA Asset
Allocation Allocation Allocation
Conservative Balanced Moderate Growth
Portfolio Portfolio Portfolio
- ------------------------------------------------------------------------------------------------------------------------------------
1/1/07 12/29/06* 1/1/07 12/29/06* 1/1/07 12/29/06*
to to to to to to
12/31/07 12/31/06 12/31/07 12/31/06 12/31/07 12/31/06
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Activities
Net Investment Income $ 162 $ - $ 109 $ - $ 83 $ -
Net Realized Gain (Loss) from Investments
and Foreign Currency Transactions (38) - 5 - 10 -
Net Change in Unrealized Appreciation on Investments
and Foreign Currency Transactions 224 - 308 - 333 -
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 348 - 422 - 426 -
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends and Distributions to Shareholders From:
Net Investment Income
Initial Class (108) - (74) - (36) -
Service Class (4) - (2) - (37) -
Net Realized Gains from Investment Transactions
Initial Class (13) - (34) - (33) -
Service Class - - (1) - (13) -
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (125) - (111) - (119) -
- ------------------------------------------------------------------------------------------------------------------------------------
Capital Share Transactions
Initial Class
Shares Issued - 4,900 - 4,900 - 4,900
Shares Issued upon Reinvestment of Distributions 121 - 108 - 69 -
Shares Redeemed - - - - - -
- ------------------------------------------------------------------------------------------------------------------------------------
Total Initial Class Capital Share Transactions 121 4,900 108 4,900 69 4,900
- ------------------------------------------------------------------------------------------------------------------------------------
Service Class
Shares Issued 53 100 22 100 2,111 100
Shares Issued upon Reinvestment of Distributions 4 - 3 - 50 -
Shares Redeemed - - (1) - (5) -
- ------------------------------------------------------------------------------------------------------------------------------------
Total Service Class Capital Share Transactions 57 100 24 100 2,156 100
- ------------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived from Capital Shares Transactions 178 5,000 132 5,000 2,225 5,000
- ------------------------------------------------------------------------------------------------------------------------------------
Total Increase in Net Assets 401 5,000 443 5,000 2,532 5,000
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets:
Beginning of Year 5,000 - 5,000 - 5,000 -
- ------------------------------------------------------------------------------------------------------------------------------------
End of Year $5,401 $5,000 $5,443 $ 5,000 $7,532 $5,000
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income /
(Accumulated Net Investment Loss) $ (3) $ - $ 1 $ - $ 1 $ -
- ------------------------------------------------------------------------------------------------------------------------------------
Shares Issued and Redeemed:
Initial Class
Shares Issued - 490 - 490 - 490
Shares Issued upon Reinvestment of Distributions 12 - 10 - 6 -
Shares Redeemed - - - - - -
- ------------------------------------------------------------------------------------------------------------------------------------
Total Initial Class Share Transactions 12 490 10 490 6 490
- ------------------------------------------------------------------------------------------------------------------------------------
Shares Issued and Redeemed:
Service Class
Shares Issued 5 10 2 10 186 10
Shares Issued upon Reinvestment of Distributions - - - - 5 -
Shares Redeemed - - - - - -
- ------------------------------------------------------------------------------------------------------------------------------------
Total Service Class Share Transactions 5 10 2 10 191 10
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Shares Outstanding 17 500 12 500 197 500
- ------------------------------------------------------------------------------------------------------------------------------------
* Portfolios commenced operations on December, 29, 2006.
Amounts designated as "-" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
57
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE FISCAL YEAR ENDED DECEMBER 31, 2007
Net Net
Asset Realized and Dividends Distributions Total Net
Value, Net Unrealized Total from Net from Dividends Asset Value,
Beginning Investment Gains From Investment Capital and End
of Period Income (1) on Securities Operations Income Gains Distributions of Period
- ------------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL VA ASSET ALLOCATION CONSERVATIVE PORTFOLIO
Initial Class
2007* $10.00 $0.32 $0.38 $0.70 $(0.22) $(0.03) $ (0.25) $10.45
Service Class
2007* $10.00 $0.30 $0.37 $0.67 $(0.26) $(0.03) $ (0.29) $10.38
- ------------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL VA ASSET ALLOCATION BALANCED PORTFOLIO
Initial Class
2007* $10.00 $0.22 $0.62 $0.84 $(0.15) $(0.07) $ (0.22) $10.62
Service Class
2007* $10.00 $0.19 $0.63 $0.82 $(0.18) $(0.07) $ (0.25) $10.57
- ------------------------------------------------------------------------------------------------------------------------------------
OLD MUTUAL VA ASSET ALLOCATION MODERATE GROWTH PORTFOLIO
Initial Class
2007* $10.00 $0.16 $0.84 $1.00 $(0.07) $(0.07) $ (0.14) $10.86
Service Class
2007* $10.00 $0.13 $0.84 $0.97 $(0.19) $(0.07) $ (0.26) $10.71
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio
of Expenses Ratio of
to Average Net
Net Assets Investment
Net Ratio (Excluding Income
Assets, End of Expenses Waivers and (Loss) Portfolio
Total of Period to Average Expense to Average Turnover
Return (000) Net Assets Reductions) Net Assets Rate
- ----------------------------------------------------------------------------------------------------
OLD MUTUAL VA ASSET ALLOCATION CONSERVATIVE PORTFOLIO
Initial Class
2007* 6.99% $5,241 1.00% 3.80% 3.13% 101.66%
Service Class
2007* 6.69% $ 160 1.25% 16.97% 2.89% 101.66%
- ----------------------------------------------------------------------------------------------------
OLD MUTUAL VA ASSET ALLOCATION BALANCED PORTFOLIO
Initial Class
2007* 8.42% $5,313 1.05% 4.68% 2.08% 103.09%
Service Class
2007* 8.17% $ 130 1.30% 17.70% 1.82% 103.09%
- ----------------------------------------------------------------------------------------------------
OLD MUTUAL VA ASSET ALLOCATION MODERATE GROWTH PORTFOLIO
Initial Class
2007* 10.01% $5,392 1.05% 4.49% 1.48% 82.26%
Service Class
2007* 9.70% $2,140 1.30% 7.72% 1.24% 82.26%
- ----------------------------------------------------------------------------------------------------
(*) Portfolios commenced operations on December 29, 2006.
(1) Per share amounts for the period are calculated based on average outstanding
shares.
The accompanying notes are an integral part of the financial statements.
58
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2007
1. ORGANIZATION
- --------------------------------------------------------------------------------
Old Mutual Funds I (the "Trust"), organized as a Delaware statutory trust
effective May 27, 2004, is registered under the Investment Company Act of 1940,
as amended ("1940 Act"), as an open-end management investment company. The Trust
currently offers fifteen series portfolios, three of which are covered by this
Annual Report: the Old Mutual VA Asset Allocation Conservative Portfolio (the
"VA Conservative Portfolio"), the Old Mutual VA Asset Allocation Balanced
Portfolio (the "VA Balanced Portfolio") and the Old Mutual VA Asset Allocation
Moderate Growth Portfolio (the "VA Moderate Growth Portfolio") (each also
referenced herein as a "Portfolio", and collectively the "Portfolios"). The
Portfolios commenced operations on December 29, 2006. The Trust's other series
portfolios, whose financial statements are presented separately, are the Old
Mutual Asset Allocation Conservative Portfolio, the Old Mutual Asset Allocation
Balanced Portfolio, the Old Mutual Asset Allocation Moderate Growth Portfolio,
the Old Mutual Asset Allocation Growth Portfolio, the Old Mutual Analytic
Defensive Equity Fund, the Old Mutual Analytic Global Defensive Equity Fund, the
Old Mutual Clay Finlay China Fund, the Old Mutual Clay Finlay Emerging Markets
Fund, the Old Mutual International Equity Fund, the Old Mutual International
Bond Fund, the Old Mutual Provident Mid-Cap Growth Fund and the Old Mutual
Copper Rock Emerging Growth Fund. In addition, the Trust has registered three
other portfolios, the Old Mutual VA Asset Allocation Growth Portfolio, the Old
Mutual Analytic VA Defensive Equity Portfolio and the Old Mutual Analytic VA
Global Defensive Equity Portfolio; however, these portfolios are not currently
offered.
Shareholders may purchase shares of the Portfolios through two separate classes,
the Initial Class and Service Class shares. All classes have equal rights as to
earnings, assets and voting privileges, except that each class may have
different distribution costs, dividends and shareholder services costs and each
class has exclusive voting rights with respect to its distribution plan. Except
for these differences, each share class of each Portfolio represents an equal
proportionate interest in that Portfolio. Each Portfolio is classified as a
diversified management investment company. The Portfolios' prospectuses provide
a description of each Portfolio's investment objective, policies and investment
strategies. Each Portfolio is intended to be a funding vehicle for variable
annuity contracts and variable life insurance policies offered by life insurance
companies.
In the normal course of business, the Portfolios may enter into various
agreements that provide for general indemnifications. Each Portfolio's maximum
exposure under these arrangements is unknown as any potential exposure involves
future claims that may be made against each Portfolio. However, based on
experience, the Portfolios expect the risk of loss to be remote.
2. SIGNIFICANT ACCOUNTING POLICIES
- --------------------------------------------------------------------------------
The following is a summary of the significant accounting policies followed by
the Portfolios.
Use of Estimates in the Preparation of Financial Statements - The preparation of
financial statements, in conformity with accounting principles generally
accepted in the United States of America, requires management to make estimates
and assumptions that affect the reported amount of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates.
Security Valuation - Investment securities of a Portfolio, including securities
sold short, that are listed on a securities exchange, market or automated
quotation system and for which market quotations are readily available,
including securities traded over-the-counter ("OTC") (except for securities
traded on NASDAQ), are valued at the last quoted sales price on the principal
market on which they are traded at the close of trading on the New York Stock
Exchange ("NYSE") (normally 4:00 p.m., Eastern Time) each day that the NYSE is
open (the "Valuation Time"), or, if there is no such reported sale at the
Valuation Time, at the most recent quoted bid price reported by the exchange or
the OTC market. For securities traded on NASDAQ, the NASDAQ Official Closing
Price provided by NASDAQ each business day will be used. If such prices are not
available, these securities and unlisted securities for which market quotations
are not readily available are valued in accordance with Fair Value Procedures
established by the Board of Trustees of the Trust (the "Board"). The Portfolios
use pricing services to report the market value of securities in the portfolios;
if the pricing service is not able to provide a price, or the pricing service
quote of valuation is inaccurate or does not reflect the market value of the
security, securities are valued in accordance with Fair Value Procedures
established by the Board. The Trust's Fair Value Procedures are implemented
through a Fair Value Committee (the "Committee") designated by the Board. Some
of the more common reasons that may necessitate that a security be valued using
Fair Value Procedures include: the security's trading has been halted or
suspended; the security has been de-listed from a national exchange; the
security's primary trading market is temporarily closed at a time when, under
normal conditions, it would be open; or the security's primary source is not
able or willing to provide a price. When a security is valued in accordance with
the Fair Value Procedures, the Committee will determine the value after taking
into consideration relevant information reasonably available to the Committee.
The valuation is assigned to Fair Valued Securities for purposes of calculating
a Portfolio's net asset value ("NAV"). Debt securities (other than short-term
obligations), including listed issues, are valued on the basis of valuations
furnished by a pricing service which utilizes electronic data processing
techniques to determine valuations for normal institutional size trading units
of debt securities, without exclusive reliance upon exchange or over-the-counter
prices. Short-term obligations with maturities of 60 days or less may be valued
at amortized cost, which approximates market value. Under this valuation method,
acquisition discounts and premiums are accreted and amortized ratably to
maturity and are included in interest income.
Foreign securities traded on the foreign exchanges in the Western Hemisphere are
valued based upon quotations from the primary market in which they are traded
and are translated from the local currency into U.S. dollars using current
exchange rates. In addition, if quotations are not readily available, or if the
values have been materially affected by events occurring after the closing of a
foreign market, assets may be valued by another method that the Board believes
accurately reflects fair value.
59
NOTES TO FINANCIAL STATEMENTS - continued
AS OF DECEMBER 31, 2007
Foreign securities traded in countries outside the Western Hemisphere are fair
valued daily by utilizing the quotations of an independent pricing service,
unless the Portfolio's investment advisor, Old Mutual Capital, Inc. (the
"Advisor") determines that use of another fair valuation methodology is
appropriate. The pricing service uses statistical analyses and quantitative
models to adjust local prices using factors such as subsequent movement and
changes in the prices of indexes, securities and exchange rates in other markets
in determining fair value as of the time the Portfolios calculate the NAVs. The
fair value of the foreign security is translated from the local currency into
U.S. dollars using current exchange rates.
Valuation of Options and Futures - Options are valued at the last quoted sales
price. If there is no such reported sale on the valuation date, long option
positions are valued at the most recent bid price, and short option positions
are valued at the most recent ask price. Futures contracts are valued at the
settlement price established each day by the board of exchange on which they are
traded. The daily settlement prices for financial futures are provided by an
independent source.
Security Transactions and Investment Income - Security transactions are
accounted for on the date the securities are purchased or sold (trade date).
Dividend income, dividend expense on securities sold short and distributions to
shareholders are recognized on the ex-dividend date; interest income and expense
is recognized on the accrual basis and includes amortization of premiums and
accretion of discounts on investments, if applicable. Non-cash dividends
included in dividend income, if any, are recorded at the fair market value of
the securities received. Costs used in determining realized capital gains and
losses on the sale of investment securities are those of the specific securities
sold adjusted for the accretion and amortization of acquisition discounts and
premiums during the respective holding periods, if applicable.
Dividends and Distributions - Dividends from net investment income for the
Portfolios are declared at least annually, if available. Distributions of net
realized capital gains, for each Portfolio, are generally made to shareholders
annually, if available.
Foreign Withholding Taxes - The Portfolios may be subject to taxes imposed by
countries in which they invest with respect to their investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned. The Portfolios accrue such taxes when the related income is
earned.
Forward Foreign Currency Contracts - The Portfolios may enter into forward
foreign currency contracts as hedges against specific transactions, portfolio
positions or anticipated portfolio positions. All commitments are
"marked-to-market" daily at the applicable foreign exchange rate, and any
resulting unrealized gains or losses are recorded accordingly. The Portfolios
realize gains and losses at the time the forward contracts are extinguished.
Unrealized gains or losses on outstanding positions in forward foreign currency
contracts held at the close of the period are recognized as ordinary income or
loss for Federal income tax purposes. The Portfolios could be exposed to risk if
the counterparties to the contracts are unable to meet the terms of the contract
and from unanticipated movements in the value of a foreign currency relative to
the U.S. dollar. Finally, the risk exists that losses could exceed amounts
disclosed on the Schedule of Investments.
Investments in Real Estate Investment Trusts ("REIT") - Dividend income is
recorded based on the income included in distributions received from REIT
investments using published REIT reclassifications including some management
estimates when actual amounts are not available. Distributions received in
excess of this estimated amount are recorded as a reduction of the cost of
investments or reclassified to capital gains. The actual amounts of income,
return of capital and capital gains are only determined by each REIT after its
fiscal year-end, and may differ from the estimated amounts.
Tri-Party Repurchase Agreements - Securities pledged as collateral for
repurchase agreements are held by a third party custodian bank until the
respective agreements mature. Provisions of the repurchase agreements and
procedures adopted by the Board requires that the market value of the collateral
including accrued interest thereon, is sufficient in the event of default by the
counterparty. If the counterparty defaults and the value of the collateral
declines, or if the counterparty enters into insolvency proceedings, realization
of the collateral by a Portfolio may be delayed or limited.
TBA Purchase Commitments - The Portfolios may enter into "TBA" (to be announced)
purchase commitments to purchase securities for a fixed price at a future date,
typically not exceeding 45 days. 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. This risk is in
addition to the risk of decline in the value of each Portfolio's other assets.
Unsettled TBA purchase commitments are valued at the current market value of the
underlying securities, according to the procedures described under "Security
Valuation" above.
Mortgage Dollar Rolls - The Portfolios may enter into mortgage dollar rolls
(principally using TBAs) in which each Portfolio sells mortgage securities for
delivery in the current month and simultaneously contracts to repurchase
substantially similar securities at an agreed-upon price on a fixed date. Each
Portfolio accounts for such dollar rolls under the purchases and sales method
and receives compensation as consideration for entering into the commitment to
repurchase. Each Portfolio must maintain liquid securities having a value not
less than the repurchase price (including accrued interest) for such dollar
rolls. The market value of the securities that each Portfolio is required to
purchase may decline below the agreed upon repurchase price of those securities.
The counterparty receives all principal and interest payments, including
prepayments, made in respect of a security subject to such a contract while it
is the holder. Mortgage dollar rolls may be renewed with a new purchase and
repurchase price and a cash settlement made on settlement date without physical
delivery of the securities subject to the contract.
60
Foreign Currency Translation - The books and records of the Portfolios are
maintained in U.S. dollars. Foreign currency amounts are converted into U.S.
dollars on the following basis:
(i) market value of investment securities, other assets and liabilities at
the current rate of exchange; and
(ii) purchases and sales of investment securities, income and expenses at
the relevant rates of exchange prevailing on the respective dates of
such transactions.
The Portfolios do not isolate that portion of gains and losses on investment
securities that is due to changes in the foreign exchange rates from that which
is due to changes in market prices of such securities.
The Portfolios report gains and losses on foreign currency related transactions
as components of realized gains and losses for financial reporting purposes,
whereas such components are treated as ordinary income or loss for Federal
income tax purposes.
Futures Contracts - The Portfolios may utilize futures contracts primarily to
hedge against changes in security prices. Upon entering into a futures contract,
the Portfolios will deposit securities for the initial margin with its custodian
in a segregated account. Subsequent payments, which are dependent on the daily
fluctuations in the value of the underlying instrument, are made or received by
the Portfolios each day (daily variation margin) and are recorded as unrealized
gains or losses until the contracts are closed. When the contract is closed, the
Portfolios record a realized gain or loss equal to the difference between the
proceeds from (or cost of) the closing transactions and the Portfolio's basis in
the contract. Risks of entering into futures contracts include the possibility
that a change in the value of the contract may not correlate with the changes in
the value of the underlying instruments. Second, it is possible that a lack of
liquidity for futures contracts could exist in the secondary market, resulting
in an inability to close a futures position prior to its maturity date. Third,
the purchase of a futures contract involves the risk that the Portfolios could
lose more than the original margin deposit required to initiate the futures
transaction.
Options - The Portfolios may write or purchase financial options contracts
primarily to hedge against changes in security prices, or securities that the
Portfolios intend to purchase, against fluctuations in fair value caused by
changes in prevailing market interest rates. When the Portfolios write or
purchase an option, an amount equal to the premium received or paid by the
Portfolios is recorded as a liability or an asset and is subsequently adjusted
to the current market value of the option written or purchased. Premiums
received or paid from writing or purchasing options which expire unexercised are
treated by the Portfolios on the expiration date as realized gains or losses.
The difference between the premium and the amount paid or received on effecting
a closing purchase or sale transaction, including brokerage commissions, is also
treated as a realized gain or loss. If an option is exercised, the premium paid
or received is added to the cost of the purchase or proceeds from the sale in
determining whether the Portfolios have realized a gain or a loss on investment
transactions. The Portfolios, as writers of an option, may have no control over
whether the underlying securities may be sold (call) or purchased (put) and as a
result bear the market risk of an unfavorable change in the price of the
security underlying the written option.
Collateralized Mortgage Obligations (CMOs) - CMOs are hybrids between
mortgage-backed bonds and mortgage pass-through securities. Similar to a bond,
CMOs usually pay interest monthly and have a more focused range of principal
payment dates than pass-through securities. While CMOs may be collateralized by
whole mortgage loans, CMOs are more typically collateralized by mortgage-backed
securities guaranteed by Government National Mortgage Association, Federal Home
Loan Mortgage Corporation or Federal National Mortgage Association and their
income streams.
A Real Estate Mortgage Investment Conduit (REMIC) is a CMO that qualifies for
special tax treatment under the Internal Revenue Code of 1986, as amended, and
invests in certain mortgages primarily secured by interests in real property and
other permitted investments.
CMOs are structured into multiple classes, each bearing a different stated
maturity. Each class of CMO or REMIC certificate, often referred to as a
"tranche," is issued at a specific interest rate and must be fully retired by
its final distribution date. Generally, all classes of CMOs or REMIC
certificates pay or accrue interest monthly. Investing in the lowest tranche of
CMOs and REMIC certificates involves risks similar to those associated with
investing in equity securities. CMOs are often highly sensitive to changes in
interest rates and any resulting change in the rate at which homeowners sell
their properties, refinance, or otherwise pre-pay their loans. Investors in
these securities may not only be subject to this prepayment risk, but also may
be exposed to significant market and liquidity risks. Investors in privately
backed CMOs may be exposed to significant credit risk resulting from
delinquencies or defaults in the loans backing the mortgage pool.
Offering Costs - All offering costs incurred with the start up of the Portfolios
are being amortized on a straight line basis over a period of twelve months from
commencement of operations. As of December 31, 2007, the Portfolios have fully
amortized their offering costs.
Other - Expenses that are directly related to one of the Portfolios are charged
directly to that Portfolio. Other operating expenses are prorated to the
Portfolios on the basis of relative net assets. Class specific expenses, such as
distribution fees, are borne by that class. Income, other expenses and realized
and unrealized gains and losses of a Portfolio are allocated to the respective
class on the basis of the relative net assets each day. The Portfolios have an
arrangement with the transfer agent, DST Systems, Inc., whereby interest earned
on uninvested cash balances is used to offset a portion of the transfer agent
expense. The transfer agent expenses shown in the Statements of Operations are
in total and do not reflect the expense reductions, if any, which are shown
separately.
61
NOTES TO FINANCIAL STATEMENTS - continued
AS OF DECEMBER 31, 2007
3. INVESTMENT ADVISORY FEES, ADMINISTRATIVE FEES AND OTHER TRANSACTIONS WITH
AFFILIATES
- --------------------------------------------------------------------------------
Investment Advisor - Old Mutual Capital, Inc. is an indirect, wholly owned
subsidiary of Old Mutual (US) Holdings Inc. ("OMUSH"), which is a direct, wholly
owned subsidiary of OM Group (UK) Limited, which is, in turn, a direct, wholly
owned subsidiary of Old Mutual plc., a London-Exchange listed international
financial services firm. The Portfolios and the Advisor are parties to an
Investment Advisory Agreement (the "Advisory Agreement"), under which the
Advisor is paid a monthly fee that is calculated daily and paid monthly, at an
annual rate based on the average daily net assets of each Portfolio, as follows:
Management Fee Asset Level
- ------------------------------------------------------------------------------------------------------------------------------------
Old Mutual VA Asset Allocation Conservative Portfolio 0.850% Less than $1 billion
0.825% Between $1 billion - $2 billion
0.800% Between $2 billion - $3 billion
0.775% Greater than $3 billion
Old Mutual VA Asset Allocation Balanced Portfolio 0.900% Less than $1 billion
0.875% Between $1 billion - $2 billion
0.850% Between $2 billion - $3 billion
0.825% Greater than $3 billion
Old Mutual VA Asset Allocation Moderate Growth Portfolio 0.900% Less than $1 billion
0.875% Between $1 billion - $2 billion
0.850% Between $2 billion - $3 billion
0.825% Greater than $3 billion
- ------------------------------------------------------------------------------------------------------------------------------------
At December 31, 2007, the Advisor owns 99%, 100% and 73% of the VA Conservative
Portfolio, VA Balanced Portfolio and the VA Moderate Growth Portfolio,
respectively. At December 31, 2007, the separate accounts of OM Financial Life
Company, a wholly owned subsidiary of OMUSH, owns 1% and 27% of the VA
Conservative Portfolio and the VA Moderate Growth Portfolio, respectively.
Expense Limitation Agreement - In the interest of limiting expenses of the
Portfolios, the Advisor has entered into an expense limitation agreement
("Expense Limitation Agreement") pursuant to which the Advisor has agreed, in
writing, to waive or limit its fees and to assume other expenses of the
Portfolios through December 31, 2008, to the extent necessary to limit the total
annual expenses to a specified percentage of the Portfolios' average daily net
assets as follows:
Class Limit
- ------------------------------------------------------------------------------------------------------------------------------
Old Mutual VA Asset Allocation Conservative Portfolio Initial Class 1.00%
Service Class 1.25%
Old Mutual VA Asset Allocation Balanced Portfolio Initial Class 1.05%
Service Class 1.30%
Old Mutual VA Asset Allocation Moderate Growth Portfolio Initial Class 1.05%
Service Class 1.30%
- ------------------------------------------------------------------------------------------------------------------------------
The Advisor may seek reimbursement for Management Fees waived and other expenses
paid by the Advisor pursuant to the Expense Limitation Agreement during the
previous three fiscal years in which the Management Fees were waived or other
expenses paid. Reimbursement by the Portfolios of the Management Fees waived and
other expenses paid by the Advisor pursuant to the applicable Expense Limitation
Agreement may be made at a later date when a Portfolio has reached a sufficient
asset size to permit reimbursement to be made without causing the total annual
expense rate of the Portfolio to exceed the expense limitation in effect at the
time the expenses were reimbursed.
At December 31, 2007, the Advisor may seek reimbursement of previously waived
and reimbursed fees (expiring December 31, 2010) as follows (000):
Old Mutual VA Asset Allocation Conservative Portfolio $158
Old Mutual VA Asset Allocation Balanced Portfolio $205
Old Mutual VA Asset Allocation Moderate Growth Portfolio $207
62
Sub-Advisory Agreements - The Trust, on behalf of the Portfolios, and the
Advisor have entered into a sub-advisory agreement (the "Ibbotson Sub-Advisory
Agreement") with Ibbotson Associates Advisors, LLC ("Ibbotson"). Ibbotson is a
wholly owned subsidiary of Ibbotson Associates, Inc., which is a wholly owned
subsidiary of Morningstar, Inc. For the services provided and expenses incurred
pursuant to the Ibbotson Sub-Advisory Agreement, Ibbotson is entitled to receive
from the Advisor a sub-advisory fee with respect to the average daily net assets
of each of the Portfolios, which is computed and paid monthly at an annual rate
equal to the greater of (i) 0.08% for average daily net assets up to $250
million, 0.07% for average daily net assets from $250 million to $500 million,
0.06% for average daily net assets from $500 million to $750 million, 0.05% for
average daily net assets from $750 million to $1 billion, 0.04% for average
daily net assets from $1 billion to $2 billion, and 0.03% for average daily net
assets over $2 billion, or (ii) a minimum annual fee of $100,000.
The Trust, on behalf of the Portfolios, and the Advisor have entered into a
sub-advisory agreement (the "Acadian Sub-Advisory Agreement") with Acadian Asset
Management, LLC ("Acadian"). Acadian is a wholly owned subsidiary of OMUSH. For
the services provided and expenses incurred pursuant to the Acadian Sub-Advisory
Agreement, Acadian is entitled to receive from the Advisor a sub-advisory fee
with respect to the average daily net assets of such portion of the Portfolios
managed by Acadian, which is computed and paid monthly at an annual rate of
0.45%.
The Trust, on behalf of the Portfolios, and the Advisor have entered into a
sub-advisory agreement (the "Analytic Sub-Advisory Agreement") with Analytic
Investors, LLC ("Analytic"). Analytic is a wholly owned subsidiary of OMUSH. For
the services provided and expenses incurred pursuant to the Analytic
Sub-Advisory Agreement, Analytic is entitled to receive from the Advisor a
sub-advisory fee with respect to the average daily net assets of such portion of
the Portfolios managed by Analytic, which is computed and paid monthly at an
annual rate of 0.35%.
The Trust, on behalf of the Portfolios, and the Advisor have entered into a
sub-advisory agreement (the "BHMS Sub-Advisory Agreement") with Barrow, Hanley,
Mewhinney & Strauss, Inc. ("Barrow Hanley"). Barrow Hanley is a wholly owned
subsidiary of OMUSH. For the services provided and expenses incurred pursuant to
the BHMS Sub-Advisory Agreement, Barrow Hanley is entitled to receive from the
Advisor a sub-advisory fee with respect to the average daily net assets of such
portion of the Portfolios managed by Barrow Hanley, which is computed and paid
monthly at an annual rate of 0.15% for the U.S. Intermediate Fixed Income
mandate, 0.15% for the U.S. Core Fixed Income mandate, 0.35% for the U.S. Large
Cap Value mandate, 0.45% for the U.S. Mid Cap Value mandate and 0.50% for the
U.S. Small Cap Value mandate.
The Trust, on behalf of the Portfolios, and the Advisor have entered into a
sub-advisory agreement (the "Clay Finlay Sub-Advisory Agreement") with Clay
Finlay Inc. ("Clay Finlay"). Clay Finlay is a wholly owned subsidiary of OMUSH.
For the services provided and expenses incurred pursuant to the Clay Finlay
Sub-Advisory Agreement, Clay Finlay is entitled to receive from the Advisor a
sub-advisory fee with respect to the average daily net assets of such portion of
the managed by Clay Finlay, which is computed and paid monthly at an annual rate
of 0.45% for the International Large Cap Equity mandate and 0.50% for the
Emerging Markets Equity mandate.
The Trust, on behalf of the Portfolios, and the Advisor have entered into a
sub-advisory agreement ("the Copper Rock Sub-Advisory Agreement") with Copper
Rock Capital Partners, LLC ("Copper Rock"). OMUSH owns 60% of the limited
liability company interests of Copper Rock. For the services provided and
expenses incurred pursuant to the Copper Rock Sub-Advisory Agreement, Copper
Rock is entitled to receive from the Advisor a sub-advisory fee with respect to
the average daily net assets of such portion of the Portfolios managed by Copper
Rock, which is computed and paid monthly at an annual rate of 0.55%.
The Trust, on behalf of the Portfolios, and the Advisor have entered into a
sub-advisory agreement (the "Dwight Sub-Advisory Agreement") with Dwight Asset
Management Company ("Dwight"). Dwight is a wholly owned subsidiary of OMUSH. For
the services provided and expenses incurred pursuant to the Dwight Sub-Advisory
Agreement, Dwight is entitled to receive from the Advisor a sub-advisory fee
with respect to the average daily net assets of such portion of the Portfolios
managed by Dwight, which is computed and paid monthly at an annual rate of 0.10%
for the Cash Management mandate, 0.15% for the U.S. Intermediate Fixed Income
mandate, 0.15% for the U.S. Core Fixed Income mandate and 0.25% for the U.S.
High Yield Fixed Income mandate.
The Trust, on behalf of the Portfolios, and the Advisor have entered into a
sub-advisory agreement, (the "Heitman Sub-Advisory Agreement") with Heitman Real
Estate Securities LLC ("Heitman"). Heitman is a wholly owned subsidiary of
Heitman LLC, a Delaware limited liability company owned 50% by Heitman senior
executives and 50% by Old Mutual (HFL) Inc., a wholly owned subsidiary of OMUSH.
For the services provided and expenses incurred pursuant to the Heitman
Sub-Advisory Agreement, Heitman is entitled to receive from the Advisor a
sub-advisory fee with respect to the average daily net assets of such portion of
each Portfolio's average daily net assets so managed, which is computed and paid
monthly at an annual rate of 0.40%.
The Trust, on behalf of the Portfolios, and the Advisor have entered into a
sub-advisory agreement (the "LRC Sub-Advisory Agreement") with Liberty Ridge
Capital, Inc. ("Liberty Ridge"). Liberty Ridge is a wholly owned subsidiary of
OMUSH. For the services provided and expenses incurred pursuant to the LRC
Sub-Advisory Agreement, Liberty Ridge is entitled to receive from the Advisor a
sub-advisory fee with respect to the average daily net assets of such portion of
the Portfolios managed by Liberty Ridge, which is computed and paid monthly at
an annual rate of 0.35% for the U.S. Large Cap Growth mandate, 0.35% for the
U.S. Large Cap Blend mandate, 0.40% for the All Cap Blend mandate, 0.45% for the
U.S. Mid Cap Equity mandate, 0.45% for the U.S. Mid Cap Growth mandate, 0.50%
for the U.S. Small Cap Growth mandate and 0.50% for the U.S. Small Cap Blend
mandate.
63
NOTES TO FINANCIAL STATEMENTS - continued
AS OF DECEMBER 31, 2007
The Trust, on behalf of the Portfolios, and the Advisor have entered into a
sub-advisory agreement (the "Provident Sub-Advisory Agreement") with Provident
Investment Counsel, Inc. ("Provident"). Provident is a wholly owned subsidiary
of OMUSH. For the services provided and expenses incurred pursuant to the
Provident Sub-Advisory Agreement, Provident is entitled to receive from the
Advisor a sub-advisory fee with respect to the average daily net assets of such
portion of the Portfolios managed by Provident, which is computed and paid
monthly at an annual rate of 0.35% for the U.S. Large Cap Growth mandate and
0.45% for the U.S. Mid Cap Growth mandate.
The Trust, on behalf of the Portfolios, and the Advisor have entered into a
sub-advisory agreement (the "Rogge Sub-Advisory Agreement") with Rogge Global
Partners PLC ("Rogge"). Rogge is a majority owned subsidiary of OMUSH. For the
services provided and expenses incurred pursuant to the Rogge Sub-Advisory
Agreement for the Portfolios, Rogge is entitled to receive from the Advisor a
sub-advisory fee with respect to the average daily net assets of such portion of
the Portfolios managed by Rogge, which is computed and paid monthly at an annual
rate of 0.25%.
The Trust, on behalf of the Portfolios, and the Advisor have entered into a
sub-advisory agreement (the "THB Sub-Advisory Agreement") with Thomson Horstmann
& Bryant, Inc. ("THB"). THB is a wholly owned subsidiary of OMUSH. For the
services provided and expenses incurred pursuant to the THB Sub-Advisory
Agreement, THB is entitled to receive from the Advisor a sub-advisory fee with
respect to the average daily net assets of such portion of the Portfolios
managed by THB, which is computed and paid monthly at an annual rate of 0.60%
for the Small Cap Value mandate and 0.50% for the Mid Cap Value mandate.
The Trust, on behalf of the Portfolios, and the Advisor have entered into a
sub-advisory agreement (the "TS&W Sub-Advisory Agreement") with Thompson, Siegel
& Walmsley, LLC ("TS&W"). TS&W is a wholly owned subsidiary of OMUSH. For the
services provided and expenses incurred pursuant to the TS&W Sub-Advisory
Agreement, TS&W is entitled to receive from the Advisor a sub-advisory fee with
respect to the average daily net assets of such portion of the Portfolios
managed by TS&W, which is computed and paid monthly at an annual rate of 0.35%
for the U.S. Large Cap Value mandate, 0.40% for the U.S. All Cap Value mandate,
0.45% for the U.S. Mid Cap Value mandate, 0.475% for the U.S. Small/Mid Cap
Value mandate and 0.50% for the U.S. Small Cap Value mandate.
Each Sub-Advisory Agreement obligates the Sub-Advisor, other than Ibbotson, to:
(i) manage the investment operations of the assets managed by the sub-advisor
and the composition of the investment portfolio comprising such assets,
including the purchase, retention and disposition thereof in accordance with the
Portfolio's investment objective, policies and limitations; (ii) provide
supervision of the assets managed by the sub-advisor and to determine from time
to time what investment and securities will be purchased, retained or sold on
behalf of the Portfolio and what portion of the assets managed by the
sub-advisor will be invested or held uninvested in cash; and (iii) determine the
securities to be purchased or sold on behalf of the Portfolio in connection with
such assets and to place orders with or through such persons, brokers or dealers
to carry out the policy with respect to brokerage set forth in the Prospectus or
as the Board or the Advisor may direct from time to time, in conformity with
federal securities laws. The Ibbotson Sub-Advisory Agreement obligates Ibbotson
to: (i) serve as the strategic asset allocation consultant and sub-advisor to
the Advisor for investment model creation and maintenance of each Portfolio,
consistent with the selection of sub-advisors, based upon Ibbotson's
recommendations related to appropriate market sectors and investment strategies;
(ii) recommend a continuous investment allocation program for each Portfolio in
accordance with each Portfolio's respective investment objectives, policies and
restrictions as stated in such Portfolio's prospectus; and (iii) monitor and
make recommendations to the Advisor regarding possible changes to the
sub-advisors and their investment strategies.
Administrative Services Agreement - The Trust and Old Mutual Fund Services (the
"Administrator"), a wholly owned subsidiary of the Advisor, entered into an
Administrative Services Agreement (the "Administrative Agreement"), pursuant to
which the Administrator oversees the administration of the Trust's and each
Portfolio's business and affairs, including regulatory reporting and all
necessary office space, equipment, personnel and facilities, as well as services
performed by various third parties. The Administrator is entitled to a fee from
the Trust, which is calculated daily and paid monthly, as follows:
Annual
Average Daily Net Assets Fee Rate
- ----------------------------------------------------------------------------
$0 to $500 million 0.10%
> $500 million to $1 billion 0.09%
> $1 billion up to $1.5 billion 0.08%
> $1.5 billion 0.07%
- ----------------------------------------------------------------------------
The Administrative Agreement provides that the Administrator will not be liable
for any error of judgment or mistake of law or for any loss suffered by the
Trust in connection with the matters to which the Administrative Agreement
relates, except a loss resulting from willful misfeasance, bad faith or gross
negligence on the part of the Administrator in the performance of its duties.
The Administrative Agreement will continue in effect unless terminated by either
party upon not less than 90 days' prior written notice to the other party.
The Administrator and Bank of New York (the "Sub-Administrator") entered into a
sub-administration and accounting agreement (the "BNY Sub-Administration
Agreement") effective November 5, 2007 pursuant to which the Sub-Administrator
assists the Administrator in connection with the administration of the business
and affairs of the Trust. Under the BNY Sub-Administration Agreement, the
Administrator pays the Sub-Administrator the following fees at an annual rate
based on the combined average daily gross assets of the Trust, Old Mutual Funds
II and Old Mutual Insurance Series Fund (the "Old Mutual Complex") of (1)
0.0475% of the first $6 billion, plus (2) 0.04% of the average daily gross
assets in excess of $6 billion. Certain minimum fees also apply. The BNY
Sub-Administration Agreement
64
provides that the Sub-Administrator will not be liable for any costs, damages,
liabilities or claims incurred by BNY, except those arising out of BNY's (or
it's delegee's or agent's if such delegee or agent is a subsidiary of the
Sub-Advisor) negligence or wilful misconduct or BNY's failure to act in good
faith. The BNY Sub-Administration Agreement will renew each year unless
terminated by either party upon not less than sixty days prior written notice to
the other party
Prior to November 5, 2007, SEI Investments Global Funds Services served as the
sub-administrator to the Portfolios (the "Former Sub-Administrator") pursuant to
a sub-administrative services agreement (the "SEI Sub-Administrative Agreement")
entered into with the Administrator. Under the SEI Sub-Administrative Agreement,
the Administrator paid the Former Sub-Administrator fees at an annual rate
calculated as follows: the greater sum (higher value) which results from making
the following calculations (A) a fee based on the average daily net assets of
the Old Mutual Complex of: (i) 0.0165% on the first $10 billion, plus (ii)
0.0125% of the next $10 billion, plus (iii) 0.0100% of the excess over $20
billion and (B) a fee based on the aggregate number of Portfolios of the Old
Mutual Complex calculated at the sum of between $50,000 and $60,000 per
Portfolio, depending on the total number of portfolios. The SEI
Sub-Administrative Agreement provided that the Former Sub-Administrator would
not be liable for any error of judgment or mistake of law or for any loss
suffered by the Trust in connection with the matters to which the SEI
Sub-Administrative Agreement related, except a loss resulting from wilful
misfeasance, bad faith or negligence on the part of the Former Sub-Administrator
in the performance of its duties.
Distributor - Old Mutual Investment Partners (the "Distributor"), a wholly owned
subsidiary of the Advisor, and the Trust are parties to a distribution agreement
(the "Distribution Agreement"), pursuant to which the Distributor serves as
principal underwriter for the Trust's shares. The Distributor receives no
compensation for servicing in such capacity, except as provided in separate
Distribution and Service Plans.
The Distribution Agreement is renewable annually. The Distribution Agreement may
be terminated by the Distributor, by a majority vote of the Trustees who are not
"interested persons" (as defined in the 1940 Act) and have no financial interest
in the Distribution Agreement or by a majority vote of the outstanding
securities of the Trust upon not more than 60 days written notice by either
party or upon assignment by the Distributor.
The Trust has adopted a Distribution Plan for Service Class Shares pursuant to
Rule 12b-1 under the 1940 Act to enable the Service Class Shares of each
Portfolio to directly and indirectly bear certain expenses relating to the
distribution of such shares. The Distribution Plan is a compensation plan, which
means that it compensates the Distributor or third-party broker-dealer or other
financial intermediary regardless of the expenses actually incurred by such
persons.
Pursuant to the Distribution Plan for Service Class Shares, the Trust will pay
to the Distributor a monthly fee at an annual aggregate rate not to exceed 0.25%
of the average net asset value of the Service Class Shares, which is to
compensate the Distributor for services provided and expenses incurred by it in
connection with the offering and sale of Service Class Shares, which may
include, without limitation, the payment by the Distributor to investment
dealers of commissions on the sale of Service Class Shares, as set forth in the
then current Prospectus or Statement of Additional Information with respect to
Service Class Shares and interest and other financing costs. The amount of such
payments shall be determined by the Trust's disinterested Trustees from time to
time.
The Distributor will prepare and deliver written reports to the Board on a
regular basis (at least quarterly) setting forth the payments made pursuant to
the Distribution Plan, and the purposes for which such expenditures were made,
as well as any supplemental reports as the Board may from time to time
reasonably request.
Except to the extent that the Administrator, Sub-Administrator, Advisor, or
Sub-Advisors may benefit through increased fees from an increase in the net
assets of the Trust which may have resulted in part from the expenditures, no
interested person of the Trust nor any Trustee of the Trust who is not an
"interested person" (as defined in the 1940 Act) of the Trust had a direct or
indirect financial interest in the operation of the Distribution Plan or any
related agreement.
Of the distribution fees the Distributor received for the year ended December
31, 2007, it retained the following:
Distribution Fees
Service Class
- ----------------------------------------------------------------------------
Old Mutual VA Asset Allocation Conservative Portfolio $ 277
Old Mutual VA Asset Allocation Balanced Portfolio 278
Old Mutual VA Asset Allocation Moderate Growth Portfolio 1,089
- ----------------------------------------------------------------------------
Transfer Agent - DST Systems, Inc. serves as the transfer agent and dividend
disbursing agent of the Portfolios. From time to time, the Portfolios may pay
amounts to third parties that provide sub-transfer agency and other
administrative services relating to the Portfolios to persons who beneficially
own interests in the Portfolios.
Custodian - Effective November 5, 2007, Bank of New York serves as the custodian
for the Portfolios. Prior to November 5, 2007, U.S. Bank, N.A. served as the
custodian for the Portfolios.
Officers and Trustees of the Portfolios who are or were officers of the Advisor,
Administrator, Sub-Administrator and the Distributor received no compensation
from the Portfolios.
65
NOTES TO FINANCIAL STATEMENTS - concluded
AS OF DECEMBER 31, 2007
4. INVESTMENT TRANSACTIONS
- --------------------------------------------------------------------------------
The cost of securities purchased and the proceeds from securities sold and
matured, other than short-term investments, for the Portfolios, for the year
ended December 31, 2007 were as follows:
Purchases (000) Sales and Maturities (000)
----------------------------- -------------------------------
Other U.S. Government Other U.S. Government
- ------------------------------------------------------------------------------------------------------------------------------------
Old Mutual VA Asset Allocation Conservative Portfolio $4,767 $5,080 $1,862 $3,071
Old Mutual VA Asset Allocation Balanced Portfolio 7,076 2,988 3,199 1,975
Old Mutual VA Asset Allocation Moderate Growth Portfolio 9,528 1,844 3,580 864
- ------------------------------------------------------------------------------------------------------------------------------------
5. FEDERAL TAX INFORMATION
- --------------------------------------------------------------------------------
Each Portfolio has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains. Accordingly, no provision has been made for federal
income taxes.
The Portfolios adopted the provisions of Financial Accounting Standards Board
Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes on
June 29, 2007. FIN 48 requires an evaluation of tax positions taken (or expected
to be taken) in the course of preparing a Portfolio's tax returns to determine
whether these positions meet a "more-likely-than-not" standard that based on the
technical merits have a more than fifty percent likelihood of being sustained by
a taxing authority upon examination. A tax position that meets the
"more-likely-than-not" recognition threshold is measured to determine the amount
of benefit to recognize in the financial statements. The Portfolios recognize
interest and penalties, if any, related to unrecognized tax benefits as income
tax expense in the statement of operations.
FIN 48 requires management of the Portfolios to analyze all open tax years,
fiscal years 2003-2006 as defined by Statute of Limitations, for all major
jurisdictions, including federal tax authorities and certain state tax
authorities. As of and during the twelve-month period ended December 31, 2007,
the Portfolios did not have a liability for any unrecognized tax benefits. The
Portfolios have no examination in progress and are not aware of any tax
positions for which it is reasonably possible that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Dividends from net investment income and distributions from net realized capital
gains are determined in accordance with U.S. Federal income tax regulations,
which may differ from those amounts determined under accounting principles
generally accepted in the United States of America. These book/tax differences
are either temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to Paid-in Capital or accumulated net
realized gain, as appropriate, in the period that the differences arise.
Accordingly, the following permanent differences as of December 31, 2007,
primary attributable to reclassification of capital gain distributions on Real
Estate Investment Trust Securities and foreign currency translation were
reclassified to the following accounts.
Decrease Increase
Undistributed Net Accumulated Net
Investment Income (000) Realized Gain/(Loss) (000)
- --------------------------------------------------------------------------------------------------------------
Old Mutual VA Asset Allocation Conservative Portfolio $(53) $53
Old Mutual VA Asset Allocation Balanced Portfolio (32) 32
Old Mutual VA Asset Allocation Moderate Growth Portfolio (9) 9
- --------------------------------------------------------------------------------------------------------------
The tax character of dividends and distributions declared during the year ended
December 31, 2007 were as follows:
Ordinary
Income (000)
- ---------------------------------------------------------------------------
Old Mutual VA Asset Allocation Conservative Portfolio $125
Old Mutual VA Asset Allocation Balanced Portfolio 111
Old Mutual VA Asset Allocation Moderate Growth Portfolio 119
- ---------------------------------------------------------------------------
66
As of December 31, 2007, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
Undistributed Undistributed Unrealized
Ordinary Long-Term Appreciation/ Post October
Income Capital Gain (Depreciation) Losses Total
(000) (000) (000) (000) (000)
- ------------------------------------------------------------------------------------------------------------------------------
Old Mutual VA Asset Allocation Conservative Portfolio $10 $- $219 $(6) $223
Old Mutual VA Asset Allocation Balanced Portfolio 15 2 298 (4) 311
Old Mutual VA Asset Allocation Moderate Growth Portfolio 2 - 317 (12) 307
- ------------------------------------------------------------------------------------------------------------------------------
Post-October losses represent losses realized on investment transactions from
November 1, 2007 through December 31, 2007 that in accordance with federal
income tax regulations the Portfolios may elect to defer and treat as having
arisen in the following fiscal year.
Amounts designated as "-" are either $0 or have been rounded to $0.
The Federal tax cost, aggregate gross unrealized appreciation and depreciation
of investments held by each Portfolio at December 31, 2007 were as follows:
Net Unrealized
Federal Unrealized Unrealized Appreciation/
Tax Cost Appreciation Depreciation (Depreciation)
(000) (000) (000) (000)
- ------------------------------------------------------------------------------------------------------------------------------------
Old Mutual VA Asset Allocation Conservative Portfolio $5,180 $343 $(126) $217
Old Mutual VA Asset Allocation Balanced Portfolio 5,163 512 (214) 298
Old Mutual VA Asset Allocation Moderate Growth Portfolio 7,852 669 (352) 317
- ------------------------------------------------------------------------------------------------------------------------------------
6. FOREIGN HOLDINGS RISK
- --------------------------------------------------------------------------------
Each Portfolio may invest in foreign securities. Investing in the securities of
foreign issuers involves special risks and considerations not typically
associated with investing in U.S. companies. These risks and considerations
include differences in accounting, auditing and financial reporting standards,
generally higher commission rates on foreign portfolio transactions, the
possibility of expropriation or confiscatory taxation, adverse changes in
investment or exchange control regulations, political instability which could
affect U.S. investment in foreign countries and potential restrictions on the
flow of international capital and currencies. Foreign issuers may also be
subject to less government regulation than U.S. companies. Moreover, the
dividends and interest payable on foreign securities may be subject to foreign
withholding taxes, thus reducing the net amount of income available for
distribution to a Portfolio's shareholders. Further, foreign securities often
trade with less frequency and volume than domestic securities and, therefore,
may exhibit greater price volatility. Changes in foreign exchange rates will
affect, favorably or unfavorably, the value of those securities which are
denominated or quoted in currencies other than the U.S. dollar.
7. INTERFUND LENDING
- --------------------------------------------------------------------------------
Pursuant to resolutions adopted by the Boards of Trustees of each of Old Mutual
Funds I, Old Mutual Funds II and Old Mutual Insurance Series Fund (together, the
"Trusts"), on behalf of each series portfolio of the Trusts (for purposes of
this Note 7, the "OM Funds"), each of the OM Funds may lend an amount up to its
prospectus-defined limitations to other OM Funds. All such lending shall be
conducted pursuant to the exemptive order granted by the Securities and Exchange
Commission on August 12, 2003 to the Trusts.
The interest rate charged on the loan is the average of the overnight repurchase
agreement rate (highest rate available to the OM Funds from investments in
overnight repurchase agreements) and the bank loan rate (Federal Funds Rate plus
50 basis points). None of the OM Funds may borrow more than 10% of their net
assets.
The Portfolios had no outstanding borrowings or loans related to interfund
lending at any time during the year ended December 31, 2007.
8. NEW ACCOUNTING PRONOUNCEMENTS
- --------------------------------------------------------------------------------
In September 2006, FASB issued Statement on Financial Accounting Standards
(SFAS) No. 157, "Fair Value Measurements." This standard establishes a single
authoritative definition of fair value, sets out a framework for measuring fair
value and requires additional disclosures about fair value measurements. SFAS
No. 157 applies to fair value measurements already required or permitted by
existing standards. SFAS No. 157 is effective for financial statements issued
for fiscal years beginning after November 15, 2007 and interim periods within
those fiscal years. The changes to current generally accepted accounting
principles from the application of this statement relate to the definition of
fair value, the methods used to measure fair value, and the expanded disclosures
about fair value measurements. As of December 31, 2007, the Portfolios do not
believe the adoption of SFAS No. 157 will impact the amounts reported in the
financial statements, however, additional disclosures may be required about the
inputs used to develop the measurements and the effect of certain of the
measurements reported on the statement of changes in net assets for a fiscal
period.
67
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of Old Mutual Funds I:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Old Mutual VA Asset Allocation
Conservative Portfolio, Old Mutual VA Asset Allocation Balanced Portfolio and
Old Mutual VA Asset Allocation Moderate Growth Portfolio (three of the fifteen
funds constituting Old Mutual Funds I, hereafter referred to as the "Funds") at
December 31, 2007 and the results of each of their operations for the year then
ended and the changes in each of their net assets and the financial highlights
for the periods presented, in conformity with accounting principles generally
accepted in the United States of America. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audit. We conducted our audit
of these financial statements 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 are free of material misstatement. An audit 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, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at December 31, 2007 by correspondence with the custodian and
brokers, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Denver, Colorado
February 22, 2008
68
NOTICE TO SHAREHOLDERS (Unaudited)
For purposes of the Internal Revenue Code, the portfolio is designating the
following items with regard to distributions paid during the fiscal year ended
December 31, 2007.
Dividends Qualifying
Ordinary For Corporate Dividends Qualified Qualified
Fund Income Distributions Receivable Deduction (1) Dividend Income (2) Interest Income (3)
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation
Conservative Portfolio $125,430 9.50% 13.65% 76.83%
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation
Balanced Portfolio 111,019 19.26% 26.38% 70.10%
- ---------------------------------------------------------------------------------------------------------------------------
Old Mutual Asset Allocation
Moderate Growth Portfolio 119,017 25.45% 32.59% 39.91%
- ---------------------------------------------------------------------------------------------------------------------------
(1) Qualifying dividends represent dividends which qualify for corporate
dividend received deduction and is reflected as a percentage of "Ordinary
Income Distributions"
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of "Ordinary Income Distributions". It
is the intention of the Portfolio to designate the maximum amount permitted
by law.
(3) The percentage in this column represents the amount of "Qualifying Interest
Income" as created by the American Jobs Creation Act of 2004 and is
reflected as a percentage of "Ordinary Income Distributions" that is exempt
from U.S. withholding tax when paid to foreign investors.
69
PROXY VOTING AND PORTFOLIO HOLDINGS (Unaudited)
Proxy Voting
A description of the guidelines that the Trust uses to determine how to vote
proxies relating to portfolio securities is available (i) without charge, upon
request, by calling 888.772.2888 toll-free; (ii) on the Trust's website at
oldmutualfunds.com; and (iii) on the SEC's website at http://www.sec.gov.
Information about how the Portfolios voted proxies relating to portfolio
securities for the 12-month period ended June 30, 2007 will be available on the
Trust's website at oldmutualfunds.com and on the SEC's website at
http://www.sec.gov.
Portfolio Holdings
The Trust files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of its fiscal year on Form N-Q. The Trust's Forms N-Q
are available on the SEC's website at http://www.sec.gov, or may be reviewed and
copied at the SEC's Public Reference Room in Washington D.C. Information on the
operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330
toll-free.
70
PORTFOLIO EXPENSES EXAMPLE (Unaudited)
Six Month Hypothetical Expense Example - December 31, 2007
Example. As a shareholder of a Portfolio you may pay two types of fees:
transaction fees and fund-related fees. Transaction fees may include transaction
costs. Portfolio-related fees may include ongoing expenses, including management
fees, distribution and/or service fees, and other fund expenses, which are
indirectly paid by shareholders and affect your investment return.
This Example is intended to help you understand your ongoing costs (in dollars)
of investing in the Portfolios and to compare these costs with the ongoing costs
of investing in other mutual funds. This Example is based on an investment of
$1,000 invested at the beginning of the period and held for the six-month period
ended December 31, 2007.
Actual Expenses. The first line for each share class in the following table
provides information about actual account values and actual expenses. The
Example includes, but is not limited to, management fees, 12b-1 fees, fund
accounting, custody and transfer agent fees. The Example does not include
portfolio trading commissions and related trading expenses. You may use this
information, 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 for each share class under the heading
entitled "Expenses Paid During Six Month 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 table provides information about hypothetical account values and
hypothetical expenses based on each Portfolio's actual expense ratio and an
assumed rate of return of 5% per year before expenses, which is not the
Portfolio's 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 each Portfolio 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 table are meant to highlight your ongoing costs only and do not reflect any
transactional costs nor do they reflect any additional charges that may be
imposed under variable annuity contracts or variable life insurance policies.
Therefore, this information is useful in comparing ongoing costs only, and will
not help you determine the relative total costs of owning different funds. In
addition, if these transactional costs were included, your costs would have been
higher.
Annualized Expenses
Beginning Ending Expense Paid
Account Account Ratios During
Value Value For the Six Six Month
7/1/07 12/31/07 Month Period Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Old Mutual VA Asset Allocation Conservative Portfolio - Initial Class
Actual Fund Return $1,000.00 $1,033.70 1.00% $5.13
Hypothetical 5% Return 1,000.00 1,020.16 1.00% 5.09
- ------------------------------------------------------------------------------------------------------------------------------------
Old Mutual VA Asset Allocation Conservative Portfolio - Service Class
Actual Fund Return 1,000.00 1,032.80 1.25% 6.40
Hypothetical 5% Return 1,000.00 1,018.90 1.25% 6.36
- ------------------------------------------------------------------------------------------------------------------------------------
Old Mutual VA Asset Allocation Balanced Portfolio - Initial Class
Actual Fund Return 1,000.00 1,019.90 1.05% 5.35
Hypothetical 5% Return 1,000.00 1,019.91 1.05% 5.35
- ------------------------------------------------------------------------------------------------------------------------------------
Old Mutual VA Asset Allocation Balanced Portfolio - Service Class
Actual Fund Return 1,000.00 1,019.50 1.30% 6.62
Hypothetical 5% Return 1,000.00 1,018.65 1.30% 6.61
- ------------------------------------------------------------------------------------------------------------------------------------
Old Mutual VA Asset Allocation Moderate Growth Portfolio - Initial Class
Actual Fund Return 1,000.00 1,020.50 1.05% 5.35
Hypothetical 5% Return 1,000.00 1,019.91 1.05% 5.35
- ------------------------------------------------------------------------------------------------------------------------------------
Old Mutual VA Asset Allocation Moderate Growth Portfolio - Service Class
Actual Fund Return 1,000.00 1,019.50 1.30% 6.62
Hypothetical 5% Return 1,000.00 1,018.65 1.30% 6.61
- ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Portfolio's annualized expense ratio multiplied by
the average account value over the period, multiplied by 184/365 days (to
reflect the one-half year period).
71
ACTIVITIES AND COMPOSITION OF THE BOARD OF TRUSTEES
AND OFFICERS OF THE TRUST - As of December 31, 2007 (Unaudited)
The management and affairs of the Trust are supervised by the Board under the
laws of the State of Delaware. The Board has approved contracts under which, as
described above, certain companies provide essential management services to the
Trust. The Trustees and executive officers of the Trust and their principal
occupations for the last five years are set forth below. Each may have held
other positions with the named companies during that period. The address for
each of the Trustees and executive officers of the Trust is 4643 South Ulster
Street, Suite 600, Denver, Colorado 80237.
- --------------------------------------------------------------------------------------------------------------
Independent Trustees
- --------------------------------------------------------------------------------------------------------------
Position(s) Term of Office*
Held with and Length of Principal Occupation(s)
Name and Age the Trust Time Served During Past 5 Years
- --------------------------------------------------------------------------------------------------------------
L. Kent Moore Chairman Trustee since Partner, WillSource Enterprise, LLC (oil and gas
(Age: 52) of the 2004 exploration and production), since November
Board and 2005. Managing Director, High Sierra Energy,
Trustee LP (holding company of natural resource
related businesses), 2004 - 2005.
- --------------------------------------------------------------------------------------------------------------
John R. Bartholdson Trustee Trustee since Retired. Chief Financial Officer, The Triumph
(Age: 63) 2004 Group, Inc. (manufacturing),
1992 - April 2007.
- --------------------------------------------------------------------------------------------------------------
Robert M. Hamje Trustee Trustee since Retired. President and Chief Investment Officer,
(Age: 65) 2004 TRW Investment Management Company
(investment management), 1984 - 2003.
- --------------------------------------------------------------------------------------------------------------
Jarrett B. Kling Trustee Trustee since Managing Director, ING Clarion Real Estate
(Age: 64) 2004 Securities (investment adviser).
- --------------------------------------------------------------------------------------------------------------
Interested Trustee and Advisory Trustee
- --------------------------------------------------------------------------------------------------------------
Julian F. Sluyters ** Interested Trustee, President and Chief Operating Officer,
(Age: 47) Trustee, President, Old Mutual Capital, Inc., since September
President, and Principal 2006. President and Chief Executive Officer,
and Executive Scudder family of funds, 2004 - December
Principal Officer since 2005. Managing Director, UBS Global Asset
Executive 2006 Management, and President and Chief
Officer Executive Officer, UBS Fund Services,
2001 - 2003.
- --------------------------------------------------------------------------------------------------------------
Walter W. Driver, Jr.*** Advisory Advisory Chairman - Southeast, Goldman Sachs & Co.,
(Age: 62) Trustee Trustee since since January 2006. Chairman, King & Spalding
2006 LLP (law firm), 1970 - January 2006.
- --------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Independent Trustees
- --------------------------------------------------------------------------------
Number of
Funds in the Old
Mutual Fund Complex
Overseen by Other Directorships
Name and Age by Trustee Held by Trustee
- --------------------------------------------------------------------------------
L. Kent Moore 18 Foothills Energy Ventures, LLC,
(Age: 52) TS&W/Claymore Tax-Advantaged
Balanced Fund, and Old Mutual/
Claymore Long Short Fund.
- --------------------------------------------------------------------------------
John R. Bartholdson 49 Old Mutual Insurance Series
(Age: 63) Fund, Old Mutual Funds II, ING
and ING Clarion Global Real
Estate Income Fund.
- --------------------------------------------------------------------------------
Robert M. Hamje 18 TS&W/Claymore Tax-Advantaged
(Age: 65) Balanced Fund and Old Mutual/
Claymore Long-Short Fund.
- --------------------------------------------------------------------------------
Jarrett B. Kling 18 Hirtle Callaghan Trust, ING
(Age: 64) Clarion Real Estate Income Fund,
ING Clarion Global Real Estate
Income Fund, and ING Clarion.
- --------------------------------------------------------------------------------
Interested Trustee and Advisory Trustee
- --------------------------------------------------------------------------------
Julian F. Sluyters ** 18 None
(Age: 47)
- --------------------------------------------------------------------------------
Walter W. Driver, Jr.*** 18 Total Systems Services, Inc.
(Age: 62)
- --------------------------------------------------------------------------------
* Trustee of the Trust until such time as his or her successor is duly elected
and appointed.
** Mr. Sluyters is a Trustee who may be deemed to be an "interested person" of
the Trust, as that term is defined in the 1940 Act, because he is an
officer of the Adviser.
*** Mr. Driver commenced service as a Trustee in May 2005. Effective January
20, 2006, he resigned as a Trustee. Effective January 23, 2006, the Board
appointed Mr. Driver an Advisory Trustee of the Trust, with no voting
rights.
72
- ------------------------------------------------------------------------------------------------------------------------------------
Officers
- ------------------------------------------------------------------------------------------------------------------------------------
Position(S) Term of Office*
Held with Length of Time Principal Occupation(s)
Name and Age the Trust Served During Past Five Years
- ------------------------------------------------------------------------------------------------------------------------------------
James F. Lummanick Vice President and Since 2005 Senior Vice President and Chief Compliance Officer,
(Age: 60) Chief Compliance Old Mutual Capital, Inc., Old Mutual Investment Partners,
Officer and Old Mutual Fund Services, Inc., since 2005. Chief
Compliance Officer, Old Mutual Funds II and Old Mutual
Insurance Series Fund, since 2005. Senior Vice President and
Director of Compliance, Calamos Advisors LLC, 2004 - 2005.
Vice President and Chief Compliance Officer, Invesco Funds
Group, Inc. 1996 - 2004.
- ------------------------------------------------------------------------------------------------------------------------------------
Andra C. Ozols Vice President and Since 2005 Senior Vice President, Secretary, and General Counsel,
(Age: 46) Secretary Old Mutual Capital, Inc., since 2005. Executive Vice
President (2004 - May 2005), General Counsel and Secretary
(2002 - 2005 and January 1998 - October 1998), and Vice
President (2002 - 2004), ICON Advisors, Inc. Director of
ICON Management & Research Corporation (2003 - 2005).
Executive Vice President (2004 - 2005), General Counsel and
Secretary (2002 - 2005) and Vice President (2002 - 2004),
ICON Distributors, Inc. Executive Vice President and
Secretary, ICON Insurance Agency, Inc. (2004 - 2005).
- ------------------------------------------------------------------------------------------------------------------------------------
Karen S. Proc Assistant Secretary Since 2005 Vice President (since 2006) and Associate General Counsel
(Age: 38) (since 2005), Old Mutual Capital, Inc. Associate General
Counsel, Founders Asset Management LLC, 2002 - 2005.
- ------------------------------------------------------------------------------------------------------------------------------------
Robert T. Kelly Treasurer and Since 2006 Vice President, Old Mutual Capital, Inc. and Old Mutual Fund
(Age: 38) Principal Financial Services, since October 2006. Vice President of Portfolio
Officer Accounting, Founders Asset Management LLC, 2000 -
September 2006.
- ------------------------------------------------------------------------------------------------------------------------------------
Robert D. Lujan Assistant Treasurer Since 2006 Fund Services Manager, Old Mutual Capital, Inc., since July
(Age: 41) 2006. Fund Accounting Supervisor, Janus Capital Group, 2003
- July 2006. Senior Fund Accountant, Janus Capital
Management L.L.C., 2001 - 2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Kathryn A. Burns Assistant Treasurer Since 2006 Regulatory Reporting Manager, Old Mutual Fund Services,
(Age: 31) since August 2006. Manager (2004 - July 2006) and Senior
Associate (2001 - 2004), PricewaterhouseCoopers LLP.
- ------------------------------------------------------------------------------------------------------------------------------------
* Officer of the Trust until such time as his or her successor is duly elected
and qualified.
73
CONSIDERATIONS OF THE BOARD IN APPROVING INVESTMENT
ADVISORY AGREEMENTS AND INVESTMENT SUB-ADVISORY
AGREEMENTS (Unaudited)
Summary of Amendment to Investment Advisory Agreement Approved by the Board
Old Mutual VA Asset Allocation Conservative Portfolio, Old Mutual VA Asset
Allocation Balanced Portfolio, Old Mutual VA Asset Allocation Moderate Growth
Portfolio, and Old Mutual VA Asset Allocation Growth Portfolio (the "VA Asset
Allocation Portfolios" or the "Portfolios").
Old Mutual Capital, Inc. ("OMCAP" or the "Advisor"). On November 29, 2007, the
Board approved an amendment to Schedule A of the existing Investment Advisory
Agreement with OMCAP on behalf of the VA Asset Allocation Portfolios, to be
effective on or around April 7, 2008 and continue through September 29, 2008
(the "Amendment"), to reflect the reduction of advisory fees for the VA Asset
Allocation Portfolios in conjunction with the Board's approval of the use of a
fund of funds structure for those Portfolios.
The following discussion outlines the background of the proposal and the Board's
considerations.
Description of Advisor
Old Mutual Capital, Inc.
OMCAP was formed and registered as an investment advisor with the Securities and
Exchange Commission ("SEC") in May 2004. OMCAP is a wholly-owned subsidiary of
Old Mutual (US) Holdings Inc. ("OMUSH"), which is a wholly-owned subsidiary of
OM Group (UK) Limited, which, in turn, is a wholly-owned subsidiary of Old
Mutual plc, a London-exchange-listed international financial services firm. As
of December 31, 2007, OMCAP managed approximately $4.9 billion in mutual fund
assets. OMCAP has served as investment advisor to the Trust since its inception.
Considerations of the Board
This section describes the factors considered by the Board in approving the
Amendment reducing the advisory fees for the VA Asset Allocation Portfolios in
connection with the Board's approval of the use of a fund of funds structure for
those Portfolios.
In determining whether it was appropriate to approve the Amendment, the Board
requested information, provided by the Advisor, which it believed to be
reasonably necessary to reach its conclusion. The Board carefully evaluated this
information and was advised by independent legal counsel with respect to its
deliberations. The Board reviewed a report prepared by Lipper, Inc. ("Lipper"),
a mutual fund statistical service, detailing comparative mutual fund advisory
fees and expenses levels (the "Lipper Report"). In considering the fairness and
reasonableness of the Amendment, the Board reviewed numerous factors, with
respect to each applicable Portfolio separately, including the following:
o the nature of the services to be provided under the Amendment;
o the requirements of each Portfolio for the services provided by the
Advisor;
o the quality of the services provided;
o the fees payable for the services, noting, in particular, the pricing
for a fund of funds structure compared to a fund of managers
structure;
o advisory fee levels compared to other similar investment accounts
managed by OMCAP and the VA Asset Allocation Portfolios' sub-advisors;
o the projected expenses of each Portfolio compared to those of each
Portfolio's respective peer group;
o the commitment of OMCAP to cap certain Portfolio expenses through the
contractual deferral of advisory fees and/or reimbursement of
expenses, and the fact that the Advisor may seek payment of such
deferred fees or reimbursement of such absorbed expenses within three
fiscal years after the fiscal year in which fees were deferred or
expenses were absorbed, subject to the original contractual expense
limitation in effect at the time;
o the anticipated profitability of OMCAP with respect to its
relationship with each of the Portfolios;
o fall-out benefits received by the Advisor, including sources of
revenue to OMCAP's affiliates through administration fees and website
services fees;
o soft dollar benefits which may enhance the ability of OMCAP or the VA
Asset Allocation Portfolios' sub-advisors to obtain research and
brokerage services through soft dollar Trust trades which, in turn,
may inure to the benefit of their other clients;
o portfolio management statistics such as portfolio turnover and
brokerage commission expenses;
74
o OMCAP's role as investment advisor to the Trust, which may add to its
prestige and visibility in the investment community and make it more
attractive to potential clients;
o the economies of scale available to OMCAP and the resulting economies
of scale passed on to shareholders;
o the capabilities of OMCAP, including personnel resources;
o the financial condition of OMCAP, including its financial statements
and profitability analysis;
o fees charged by OMCAP to funds, other than those of the Trust, which
are managed by OMCAP;
o current economic and industry trends; and
o the overall balance of shareholder benefits versus OMCAP benefits.
Current management fees and effective management fees after expense limitations
were reviewed in the context of OMCAP's costs of providing services and its
profitability. In addition, the Board reviewed the Lipper Report and compared
the VA Asset Allocation Portfolios' advisory fees and projected expenses with
comparable mutual funds. The Board noted that, in moving the VA Asset Allocation
Portfolios to a fund of funds structure from its current manager of managers
structure, a lower advisory fee was proposed. The Board reviewed the Lipper
Report data comparing the proposed lower advisory fees and the projected
expenses with those of comparable mutual funds. The Board noted that the VA
Asset Allocation Portfolios were relatively new and that the Advisor had not yet
realized a profit in each case.
Approval of Amendment to Schedule A of Investment Advisory Agreement. In
connection with the approval of the Amendment reducing advisory fees for the VA
Asset Allocation Portfolios in conjunction with the Board's approval of the use
of a fund of funds structure for those Portfolios, the Board reviewed the Lipper
Report data and compared the proposed lower advisory fees to other comparable
mutual funds. The Board considered the fact that the proposed lower advisory fee
for each of the VA Asset Allocation Portfolios under the fund of funds structure
was priced competitively. The Board noted that, under the fund of funds
structure, the VA Asset Allocation Portfolios' sub-advisors, other than Ibbotson
Associates Advisors, LLC, would not receive a sub-advisory fee out of OMCAP's
advisory fee, but would instead receive their fees pursuant to sub-advisory
agreements with the underlying funds.
The Board considered the fact that the advisory fee of 0.20% for the VA Asset
Allocation Conservative Portfolio, under the fund of funds structure, was lower
than 4 funds in the Portfolio's peer group and higher than 5 funds in its peer
group. The Board considered that the advisory fee of 0.20% for the VA Asset
Allocation Balanced Portfolio, under the fund of funds structure, was lower than
6 funds in the Portfolio's peer group and higher than 2 funds in its peer group.
The Board considered the fact that the advisory fee of 0.25% for the VA Asset
Allocation Moderate Growth Portfolio, under the fund of funds structure, was
lower than 4 funds in the Portfolio's peer group and higher than 3 funds in its
peer group. The Board considered that the advisory fee of 0.25% for the VA Asset
Allocation Growth Portfolio, under the fund of funds structure, was lower than 8
funds in the Portfolio's peer group and higher than 6 funds in its peer group.
Board Approvals
The Board reviewed additional information provided by the Advisor. Following
discussions concerning this information, the Board determined that the Amendment
was consistent with the best interests of each Portfolio, as applicable, and
shareholders. The Board, including all of the trustees who are not "interested
persons" of the Trust, voting separately at a meeting held in-person,
unanimously approved the Amendment on the basis of the foregoing review and
discussions. The Board concluded, among other things:
o that the level of fees to be charged to the VA Asset Allocation
Portfolios is comparable to the fees charged by the Advisor to the
other similar funds it advises, as well as to fees charged by other
investment advisors and investment sub-advisors to other funds with
similar investment or allocation strategies, and is therefore
reasonable, considering the services provided by the Advisor;
o that, since the VA Asset Allocation Portfolios had not yet been
operating for a full fiscal year, it did not need to address the
Portfolios' performance at the present time;
o that, with respect to the VA Asset Allocation Portfolios, the unique
and active asset allocation management structure supports the level of
fees currently being charged, and that the anticipated change to a
fund of funds structure supports the contemplated lowering of advisory
fees associated with those Portfolios;
o that the Advisor's willingness to voluntarily defer its fees and
reimburse expenses to reduce Portfolio expenses indicates a high level
of commitment on the part of the Advisor;
o that the anticipated profitability of each Portfolio to the Advisor
was reasonable in light of all the circumstances;
o that the Amendment contains breakpoints, which will allow shareholders
to realize economies of scale as the Portfolios' assets increase;
75
CONSIDERATIONS OF THE BOARD IN APPROVING INVESTMENT
ADVISORY AGREEMENTS AND INVESTMENT SUB-ADVISORY
AGREEMENTS - concluded (UNAUDITED)
o that certain economies of scale factor in approving the Amendment at
the present time, including the ability of the VA Asset Allocation
Portfolios' sub-advisors to gain efficiencies under the contemplated
fund of funds structure by only having to manage one pool of assets
and the increase in assets of the underlying funds resulting from
change to a fund of funds structure;
o that the Advisor is experienced and possesses significant expertise in
managing particular asset classes;
o that the Advisor has demonstrated its commitment to provide sufficient
staffing resources and capabilities to manage the Portfolios,
including the retention of sub-advisors and personnel with relevant
investment management experience;
o that the Advisor appears to have overall high quality in terms of its
personnel, operations, financial condition, investment management
capabilities, methodologies and performance;
o that the receipt of research and brokerage services through soft
dollar Trust trades would strengthen the investment management
resources of the Advisor, which might ultimately benefit the
Portfolios, as well as other funds within the Trust and in the Old
Mutual complex.
76
FOR MORE INFORMATION
For investors who want more information about the Old Mutual Funds I-VA
Portfolios, please contact us at:
| By Telephone:
| 888.772.2888
|
| By Mail:
| Old Mutual Funds I-VA Portfolios
| P.O. Box 219534
| Kansas City, Missouri 64121-9534
|
| Via the Internet:
| oldmutualfunds.com
This annual report is intended for the information of Old Mutual Funds I-VA
Portfolio shareholders, but may be used by prospective investors when preceded
or accompanied by a current prospectus. You may obtain a copy of the prospectus,
which contains important information about the objectives, risks, share classes,
charges and expenses of the Old Mutual Funds I-VA Portfolios, by visiting
oldmutualfunds.com or by calling 888.772.2888. Please read the prospectus
carefully before investing.
[OLD MUTUAL LOGO]
Funds distributed by Old Mutual Investment Partners
R-08-226 02/2008
Item 2. Code of Ethics.
(a) As of the end of the period covered by this report, Old Mutual Funds I,
on behalf of Old Mutual VA Asset Allocation Balanced Portfolio, Old
Mutual VA Asset Allocation Conservative Portfolio, and Old Mutual VA
Asset Allocation Moderate Growth Portfolio, (the "registrant") has
adopted a code of ethics that applies to the registrant's principal
executive officer ("PEO") and principal financial officer ("PFO").
(c) During the period covered by this report, no amendments have been made
to a provision of the registrant's code of ethics that applies to the
registrant's PEO or PFO, and that relates to any element of the "code
of ethics" definition enumerated in paragraph (b) of Item 2 of Form
N-CSR.
(d) During the period covered by this report, the registrant has not
granted a waiver, including an implicit waiver, from a provision of the
registrant's code of ethics to the registrant's PEO or PFO that relates
to one or more of the items set forth in paragraph (b) of Item 2 of
Form N-CSR.
(f)(1) A copy of the registrant's code of ethics is filed as an exhibit to
this report, pursuant to Item 12(a)(1) of Form N-CSR.
Item 3. Audit Committee Financial Expert.
(a)(1) The board of trustees of the registrant (the "board") has determined
that the registrant has an "audit committee financial expert" serving
on its audit committee, as that term is defined in paragraph (b) of
Item 3 of Form N-CSR.
(a)(2) The name of the audit committee financial expert is John R.
Bartholdson. Mr. Bartholdson is an "independent" member of the audit
committee as that term is defined in paragraph (a)(2) of Item 3 of Form
N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees - The aggregate fees billed to the registrant by its
principal accountant for professional services rendered for the audit
of the registrant's annual financial statements or services that are
normally provided by the accountant in connection with statutory and
regulatory filings or engagements for the fiscal years ending December
31, 2007 and 2006 were $364,000 and $452,000, respectively.
(b) Audit-Related Fees - The aggregate fees billed to the registrant by
its principal accountant for assurance and related services that are
reasonably related to the performance of the audit of the registrant's
financial statements and that are not reported under paragraph (a) of
this Item 4 for the fiscal years ending December 31, 2007 and 2006
were $30,000 and $0, respectively. These fees were for the review of
the conversion of the registrant's accounting and custodial records to
a new service provider.
The aggregate fees billed for assurance and related services by the
registrant's principal accountant to the registrant's investment
adviser, and any entity controlling, controlled by, or under common
control with the adviser that provides ongoing services to the
registrant (collectively, the "Service Providers") that were reasonably
related to the performance of the audit of the registrant's financial
statements, which required pre-approval by the board's audit committee,
for the fiscal years ending December 31, 2007 and 2006 were $33,000 and
$25,000, respectively. These fees were for the review of the
registrant's registration statement and semi-annual report to
shareholders.
(c) Tax Fees - The aggregate fees billed to the registrant by its principal
accountant for professional services rendered by the accountant for tax
compliance, tax advice, and tax planning ("tax fees") for the fiscal
years ending December 31, 2007 and 2006 were $11,000 and $0,
respectively. These fees were for the review of tax accounting for
straddle transactions and excise distribution calculations.
The aggregate tax fees billed by the registrant's principal accountant
to the Service Providers, which required pre-approval by the board's
audit committee, for the fiscal years ending December 31, 2007 and 2006
were $0 and $0, respectively.
(d) All Other Fees - The aggregate fees billed to the registrant by its
principal accountant for products and services provided by the
accountant, other than the services reported in paragraphs (a), (b),
and (c) of this Item 4 ("all other fees"), for the fiscal years ending
December 31, 2007 and 2006 were $0 and $0, respectively.
The aggregate of all other fees billed by the registrant's principal
accountant to the Service Providers, which required pre-approval by the
board's audit committee, for the fiscal years ending December 31, 2007
and 2006 were $70,000 and $127,000, respectively. These fees were for
the review of the registration statements and semi-annual reports to
shareholders of other investment companies with the same investment
adviser as the registrant.
(e)(1) The board's audit committee shall consider for preapproval all
permissible non-audit services that are proposed to be provided to the
registrant by its independent auditors and shall have preapproved any
such permissible non-audit services before they are provided to the
registrant. Such preapproval may be granted by one or more members
of the audit committee, so long as any such member's decision to
preapprove is presented to the full audit committee, solely for
information purposes, at its next scheduled meeting.
(e)(2) None of the services described in paragraphs (b) through (d) of this
Item 4 were approved by the audit committee pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) For the fiscal years ending December 31, 2007 and 2006, the aggregate
non-audit fees billed by the registrant's principal accountant to the
registrant and the Service Providers were $144,000 and $152,000,
respectively.
(h) The board's audit committee has considered whether the provision of
non-audit services by the registrant's principal accountant to the
Service Providers which were not pre-approved (not requiring
pre-approval) is compatible with maintaining the principal accountant's
independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
SCHEDULE I - INVESTMENTS IN SECURITIES OF UNAFFILIATED ISSUERS is
included as part of the reports to shareholders filed under Item 1 of
this report.
Item 7. Disclosure of Proxy V oting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Company and
Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
No material changes have been made to the procedures by which
shareholders may recommend nominees to the board, where those changes
were implemented after the registrant last provided disclosure in
response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A or
this Item 10.
Item 11. Controls and Procedures.
(a) Based on an evaluation of the Disclosure Controls and Procedures of the
registrant as of a date within 90 days of the filing date of this
report, the registrant's PEO and PFO, or persons performing similar
functions, have concluded that the Disclosure Controls and Procedures
are effectively designed to ensure that information required to be
disclosed in this report is recorded, processed, summarized, and
reported within required time periods, and accumulated and communicated
to the registrant's management, including the registrant's PEO and
PFO, or persons performing similar functions, as appropriate to allow
timely decisions regarding required disclosure.
(b) During the quarter ended December 31, 2007, there has been no change in
the registrant's internal control over financial reporting that has
materially affected, or that is reasonably likely to materially affect,
the registrant's internal control over financial reporting.
Items 12. Exhibits.
(a)(1) Attached hereto as Exhibit EX-99.CODE ETH.
(a)(2) Attached hereto as Exhibit EX-99.CERT.
(a)(3) Not applicable.
(b) Attached hereto as Exhibit EX-99.906CERT.
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.
OLD MUTUAL FUNDS I
By: /s/ Julian F. Sluyters
--------------------------------
Julian F. Sluyters, President
Date: February 11, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Julian F. Sluyters
---------------------------------
Julian F. Sluyters, Principal
Executive Officer
Date: February 11, 2008
By: /s/ Robert T. Kelly
---------------------------------
Robert T. Kelly, Principal
Financial Officer
Date: February 11, 2008