N-Q 1 a_tsfnq.htm THRIVENT SERIES FUND

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-4603

Thrivent Series Fund, Inc.
(Exact name of registrant as specified in charter)

625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Address of principal executive offices) (Zip code)

David S. Royal, Secretary
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Name and address of agent for service)

Registrant's telephone number, including area code: (612) 340-4249
Date of fiscal year end: December 31
Date of reporting period: March 31, 2007

Item 1. Schedule of Investments


Aggressive Allocation Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Shares    Value  Percentage 
 
Equity Portfolios (91.5%)     
1,806,286  Thrivent Partner Small Cap Growth Portfolio #  $25,070,349  6.5% 
1,262,084  Thrivent Partner Small Cap Value Portfolio #  25,624,092  6.6 
1,707,908  Thrivent Small Cap Stock Portfolio #  27,201,001  7.0 
952,303  Thrivent Mid Cap Growth Portfolio #  17,475,137  4.5 
1,287,975  Thrivent Partner Mid Cap Value Portfolio  17,614,734  4.6 
1,542,221  Thrivent Mid Cap Stock Portfolio #  21,692,263  5.6 
5,204,848  Thrivent Partner International Stock Portfolio #  88,258,086  22.8 
4,373,080  Thrivent Large Cap Growth Portfolio #  74,275,012  19.2 
1,951,785  Thrivent Large Cap Value Portfolio #  26,770,489  6.9 
2,849,053  Thrivent Large Cap Stock Portfolio #  30,287,997  7.8 
  Total Equity Portfolios     
  (cost $318,724,775)  354,269,160   
 
Debt Portfolios (7.5%)     
2,643,768  Thrivent High Yield Portfolio  13,578,392  3.5 
786,238  Thrivent Income Portfolio  7,798,454  2.0 
754,355  Thrivent Limited Maturity Bond Portfolio  7,493,237  2.0 
  Total Debt Portfolios     
  (cost $28,522,803)  28,870,083   
 
Short-Term Investments (1.0%)     
3,838,173  Thrivent Money Market Portfolio  3,838,173  1.0 
  Total Short-Term Investments     
  (cost $3,838,173)  3,838,173   
  Total Investments     
  (cost $351,085,751) 100.0%  $386,977,416   
Other Assets and Liabilities,    
  Net (0.0%)  (14,819)   
  Total Net Assets 100.0%  $386,962,597   

# Non-income producing security.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $35,891,665 
Gross unrealized depreciation  0 
Net unrealized appreciation (depreciation)  $35,891,665 
Cost for federal income tax purposes  $351,085,751 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
1

Moderately Aggressive Allocation Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Shares    Value  Percentage 
 
Equity Portfolios (78.6%)     
2,766,834  Thrivent Partner Small Cap Growth Portfolio #  $38,402,272  3.0% 
1,933,590  Thrivent Partner Small Cap Value Portfolio #  39,257,675  3.1 
3,237,883  Thrivent Small Cap Stock Portfolio #  51,568,143  4.0 
1,001,052  Thrivent Mid Cap Growth Portfolio #  18,369,698  1.4 
1,353,225  Thrivent Partner Mid Cap Value Portfolio  18,507,117  1.5 
5,225,216  Thrivent Mid Cap Stock Portfolio #  73,495,800  5.8 
11,895,702  Thrivent Partner International Stock Portfolio #  201,714,236  15.8 
11,537,061  Thrivent Large Cap Growth Portfolio #  195,952,371  15.3 
12,031,550  Thrivent Large Cap Value Portfolio #  165,023,534  12.9 
16,552,845  Thrivent Large Cap Stock Portfolio #  175,971,637  13.8 
1,090,133  Thrivent Real Estate Securities Portfolio #  25,854,457  2.0 
  Total Equity Portfolios     
  (cost $909,821,352)  1,004,116,940   
 
Debt Portfolios (19.4%)     
13,782,990  Thrivent High Yield Portfolio  70,789,435  5.5 
11,700,934  Thrivent Income Portfolio  116,058,054  9.1 
6,213,719  Thrivent Limited Maturity Bond Portfolio  61,722,734  4.8 
  Total Debt Portfolios     
  (cost $245,807,424)  248,570,223   
 
Short-Term Investments (2.0%)     
5,442,937  Thrivent Money Market Portfolio  25,442,937  2.0 
  Total Cash Short-Term Investments   
  (cost $25,442,937)  25,442,937   
  Total Investments     
  (cost $1,181,071,713) 100.0%  $1,278,130,100   
Other Assets and Liabilities,    
  Net (0.0%)  (42,649)   
  Total Net Assets 100.0%  $1,278,087,451   

# Non-income producing security.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $97,058,387 
Gross unrealized depreciation  0 
Net unrealized appreciation (depreciation)  $97,058,387 
Cost for federal income tax purposes  $1,181,071,713 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
2

Moderate Allocation Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Shares    Value  Percentage 
 
Equity Portfolios (58.1%)     
4,827,515  Thrivent Small Cap Stock Portfolio #  $76,885,413  5.1% 
770,389  Thrivent Mid Cap Growth Portfolio #  14,136,945  0.9 
1,043,272  Thrivent Partner Mid Cap Value Portfolio  14,268,102  0.9 
4,633,374  Thrivent Mid Cap Stock Portfolio #  65,171,191  4.3 
10,059,487  Thrivent Partner International Stock Portfolio #  170,577,707  11.2 
11,974,693  Thrivent Large Cap Growth Portfolio #  203,385,368  13.4 
9,924,988  Thrivent Large Cap Value Portfolio #  136,130,139  9.0 
15,495,425  Thrivent Large Cap Stock Portfolio #  164,730,309  10.8 
1,624,725  Thrivent Real Estate Securities Portfolio #  38,533,283  2.5 
  Total Equity Portfolios     
  (cost $793,686,802)  883,818,457   
 
Debt Portfolios (34.4%)     
16,421,776  Thrivent High Yield Portfolio  84,342,240  5.5 
25,098,356  Thrivent Income Portfolio  248,943,070  16.4 
19,100,944  Thrivent Limited Maturity Bond Portfolio  189,735,408  12.5 
  Total Debt Portfolios     
  (cost $518,875,624)  523,020,718   
 
Short-Term Investments (7.5%)     
113,537,573  Thrivent Money Market Portfolio  113,537,573  7.5 
  Total Short-Term Investments     
  (cost $113,537,573)  113,537,573   
  Total Investments     
  (cost $1,426,099,999) 100.0%  $1,520,376,748   
Other Assets and Liabilities,      
  Net (0.0%)  (83,350)   
  Total Net Assets 100.0%  $1,520,293,398   

# Non-income producing security.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $94,276,749 
Gross unrealized depreciation  0 
Net unrealized appreciation (depreciation)  $94,276,749 
Cost for federal income tax purposes  $1,426,099,999 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
3

Moderately Conservative Allocation Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Shares    Value  Percentage 
 
Equity Portfolios (38.1%)     
973,146  Thrivent Small Cap Stock Portfolio #  $15,498,803  3.1% 
1,489,237  Thrivent Mid Cap Stock Portfolio #  20,947,017  4.1 
1,843,010  Thrivent Partner International Stock Portfolio #  31,251,738  6.1 
2,830,564  Thrivent Large Cap Growth Portfolio #  48,075,995  9.4 
2,222,368  Thrivent Large Cap Value Portfolio #  30,481,778  6.0 
3,312,129  Thrivent Large Cap Stock Portfolio #  35,210,915  6.9 
543,569  Thrivent Real Estate Securities Portfolio #  12,891,714  2.5 
  Total Equity Portfolios     
  (cost $172,288,964)  194,357,960   
 
Debt Portfolios (50.4%)     
4,513,543  Thrivent High Yield Portfolio  23,181,559  4.5 
6,402,545  Thrivent Income Portfolio  63,504,924  12.5 
17,132,098  Thrivent Limited Maturity Bond Portfolio  170,178,272  33.4 
  Total Debt Portfolios     
  (cost $255,599,892)  256,864,755   
 
Short-Term Investments (11.5%)     
58,465,743  Thrivent Money Market Portfolio  58,465,743  11.5 
  Total Short-Term Investments     
  (cost $58,465,743)  58,465,743   
  Total Investments     
  (cost $486,354,599) 100.0%  $509,688,458   
Other Assets and Liabilities,      
  Net (0.0%)  (59,247)   
  Total Net Assets 100.000  $509,629,211   

# Non-income producing security.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $23,333,859 
Gross unrealized depreciation  0 
 
Net unrealized appreciation (depreciation)  $23,333,859 
Cost for federal income tax purposes  $486,354,599 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
4

Technology Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
 
Shares  Common Stock (97.9%)  Value    Shares  Common Stock (97.9%)  Value 
 
Consumer Discretionary (2.9%)      Industrials (2.0%)   
2,300  Best Buy Company, Inc.  $112,056  6,600  American Reprographics   
13,200  Scientific Games Corporation #*  433,356    Company #*  $203,214 
27,800  TiVo, Inc. #*  176,530    4,200  Emerson Electric Company  180,978 
8,500  Viacom, Inc. #  349,435  9,700  Monster Worldwide, Inc. #  459,489 
10,500  WMS Industries, Inc. #*  412,020  3,100  Rockwell Collins, Inc.  207,483 
  Total Consumer      Total Industrials  1,051,164 
  Discretionary  1,483,397       
      Information Technology (82.0%)   
Consumer Staples (0.1%)    21,900  Accenture, Ltd.  844,026 
1,503  CVS/Caremark Corporation  51,312  33,400  Adobe Systems, Inc. #  1,392,780 
  Total Consumer Staples  51,312  18,700  ADTRAN, Inc. *  455,345 
      84,200  Alcatel-Lucent ADR  995,244 
Health Care (8.9%)    26,600  Apple Computer, Inc. #  2,471,406 
2,300  Abbott Laboratories  128,340  25,200  aQuantive, Inc. #*  703,332 
1,300  Aetna, Inc.  56,927  8,000  Automatic Data Processing, Inc.  387,200 
1,200  AmerisourceBergen Corporation  63,300  63,600  BEA Systems, Inc. #  737,124 
18,900  BioMarin Pharmaceutical, Inc. #*  326,214  35,100  Broadcom Corporation #  1,125,657 
500  CIGNA Corporation  71,330  17,900  CIENA Corporation #*  500,305 
12,600  Cubist Pharmaceuticals, Inc. #*  278,082  123,500  Cisco Systems, Inc. #  3,152,956 
4,000  Cytyc Corporation #  136,840  50,900  Corning, Inc. #  1,157,466 
20,900  Dexcom, Inc. #*  164,274  189,300  EMC Corporation #  2,621,805 
700  Express Scripts, Inc. #  56,504  30,400  Emulex Corporation #  556,016 
7,100  Hologic, Inc. #*  409,244  7,400  F5 Networks, Inc. #  493,432 
8,400  ImClone Systems, Inc. #*  342,468  17,100  FormFactor, Inc. #*  765,225 
2,000  IMS Health, Inc.  59,320  39,500  Foundry Networks, Inc. #  536,015 
14,600  Keryx BioPharmaceuticals, Inc. #*  153,592  5,100  Google, Inc. #  2,336,616 
1,000  McKesson Corporation  58,540  52,400  Integrated Device   
900  Medco Health Solutions, Inc. #  65,277    Technology, Inc. #  808,008 
2,900  Novartis AG ADR  158,427  57,300  Intel Corporation  1,096,149 
14,500  NuVasive, Inc. #*  344,375  29,500  Intersil Corporation  781,455 
900  Quest Diagnostics, Inc.  44,883  88,800  Juniper Networks, Inc. #  1,747,584 
4,100  Sanofi-Aventis ADR  178,391  8,900  KLA-Tencor Corporation *  474,548 
9,200  Shire Pharmaceuticals Group    54,200  Marvell Technology Group, Ltd. #  911,102 
  plc ADR *  569,480  18,100  MEMC Electronic   
4,900  St. Jude Medical, Inc. #  184,289    Materials, Inc. #  1,096,498 
2,000  Thermo Electron Corporation #  93,500  31,600  Network Appliance, Inc. #  1,154,032 
1,100  UnitedHealth Group, Inc.  58,267  50,200  Nuance Communications, Inc. #*  768,562 
18,100  Vertex Pharmaceuticals, Inc. #*  507,524  35,750  OpNext, Inc. #  528,742 
700  WellPoint, Inc. #  56,770  19,800  Perot Systems Corporation #  353,826 
  Total Health Care  4,566,158  49,800  QUALCOMM, Inc.  2,124,468 
      54,700  Red Hat, Inc. #*  1,254,271 
      24,300  Telefonaktiebolaget LM   
        Ericsson ADR  901,287 
      47,100  Tellabs, Inc. #  466,290 
      37,600  Teradyne, Inc. #*  621,904 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
5

Technology Portfolio             
Schedule of Investments as of March 30, 2007 (unaudited)           
 
Shares  Common Stock (97.9%)  Value  Shares  Common Stock (97.9%)  Value 
 
Information Technology — continued      Telecommunications Services (2.0%)   
22,800  Texas Instruments, Inc.  $686,280    12,900  America Movil SA de CV ADR  $616,491 
175,400  TIBCO Software, Inc. #  1,494,408    5,900  NII Holdings, Inc. #  437,662 
35,900  VeriSign, Inc. #  901,808      Total Telecommunications   
53,500  Wind River Systems, Inc. #  531,790      Services    1,054,153 
67,500  Yahoo!, Inc. #  2,112,075           
  Total Information        Total Common Stock   
  Technology  42,047,037      (cost $43,943,448)  50,253,221 
 
 
 
        Interest  Maturity                                    
Shares  Collateral Held for Securities Loaned (16.5%)  Rate (+)  Date  Value 
8,449,534  Thrivent Financial Securities Lending Trust    5.350%  N/A  $8,449,534 
           
    Total Collateral Held for Securities Loaned   
    (cost $8,449,534)        8,449,534 
 
 
        Interest  Maturity   
Shares  Short-Term Investments (2.1%)    Rate (+)  Date  Value 
1,062,497  Thrivent Money Market Portfolio    5.050%  N/A  $1,062,497 
    Total Short-Term Investments (at amortized cost)  1,062,497 
    Total Investments (cost $53,455,479) 116.5%  $59,765,252 
    Other Assets and Liabilities, Net (16.5%)    (8,467,336) 
    Total Net Assets 100.0%      $51,297,916 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

Definitions:

ADR — American Depository Receipts, which are certificates for shares of an underlying foreign security’s shares held by an issuing U.S. depository bank.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $7,196,290 
Gross unrealized depreciation  (886,517) 
Net unrealized appreciation (depreciation)  $6,309,773 
Cost for federal income tax purposes  $53,455,479 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
6

Partner Small Cap Growth Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
 
Shares  Common Stock (95.9%)  Value  Shares  Common Stock (95.9%)  Value 
 
Consumer Discretionary (10.6%)    17,420  HFF, Inc. #  $261,300 
10,820  Arbitron, Inc.  $507,999  106,784  Highland Hospitality   
26,010  Casual Male Retail Group, Inc. #*  307,698    Corporation *  1,900,755 
10,620  Citi Trends, Inc. #*  453,899  13,730  International Securities   
27,140  Cooper Tire & Rubber Company *  496,391    Exchange Holdings, Inc.  670,024 
14,970  DSW, Inc. #*  631,884  15,740  KBW, Inc. #*  547,122 
18,260  Guess ?, Inc. *  739,347  31,200  MarketAxess Holdings, Inc. #*  522,288 
18,410  Hibbett Sports, Inc. #*  526,342  19,250  Penson Worldwide, Inc. #*  581,158 
25,320  Iconix Brand Group, Inc. #*  516,528  35,139  Signature Bank #*  1,143,423 
11,920  Life Time Fitness, Inc. #*  612,807  7,360  SVB Financial Group #  357,622 
18,800  McCormick & Schmick’s Seafood    44,365  Texas Capital Bancshares, Inc. #*  909,482 
  Restaurants, Inc. #*  504,028  14,630  United Community Banks, Inc. *  479,718 
13,110  Phillips-Van Heusen Corporation  770,868    24,590  Waddell & Reed Financial, Inc.  573,439 
9,330  Priceline.com, Inc. #  496,916    Total Financials  13,813,117 
80,955  Shuffle Master, Inc. #*  1,477,429       
43,532  Tractor Supply Company #*  2,241,898  Health Care (18.6%)   
12,840  Under Armour, Inc. #*  658,692  8,110  Affymetrix, Inc. #  243,868 
20,500  WMS Industries, Inc. #*  804,420  16,550  Alexion Pharmaceuticals, Inc. #*  715,622 
15,330  Zumiez, Inc. #*  615,040  13,380  Alnylam Pharmaceuticals, Inc. #*  240,840 
   		        
  Total Consumer    107,619  American Medical Systems   
  Discretionary  12,362,186      Holdings, Inc. #*  2,278,294 
   
      20,850  Array Biopharma, Inc. #*  264,795 
Consumer Staples (0.7%)    965  ArthroCare Corporation #  34,779 
5,960  Pantry, Inc. #  269,511  20,260  BioMarin Pharmaceutical, Inc. #*  349,688 
18,440  United Natural Foods, Inc. #*  565,002  25,462  HealthExtras, Inc. #*  732,796 
  Total Consumer Staples  834,513  7,840  Healthways, Inc. #  366,520 
      12,760  Hologic, Inc. #*  735,486 
Energy (6.7%)    6,730  ICON plc ADR #  286,698 
8,290  Alon USA Energy, Inc.  300,098  44,182  Illumina, Inc. #*  1,294,533 
11,680  Arena Resources, Inc. #*  585,402  20,470  Immucor, Inc. #  602,432 
5,990  Core Laboratories NV #  502,142  32,678  Integra LifeSciences   
73,242  Dril-Quip, Inc. #*  3,169,911    Holdings Corporation #*  1,489,463 
19,540  Goodrich Petroleum    12,820  InterMune, Inc. #*  316,141 
  Corporation #*  657,130  9,320  inVentiv Health, Inc. #  356,863 
15,849  Oil States International, Inc. #*  508,594  58,779  Inverness Medical   
50,498  Superior Energy Services, Inc. #*  1,740,666    Innovations, Inc. #*  2,573,345 
7,930  W-H Energy Services, Inc. #*  370,648  16,650  K-V Pharmaceutical Company #*  411,754 
  Total Energy  7,834,591  10,020  Kyphon, Inc. #*  452,303 
      18,980  Medicis Pharmaceutical   
Financials (11.9%)      Corporation *  584,964 
14,540  Argonaut Group, Inc. #  470,514  47,675  Mentor Corporation *  2,193,050 
34,647  Cohen & Steers, Inc. *  1,492,593  19,484  Meridian Bioscience, Inc. *  540,876 
8,330  Corporate Office Properties Trust *  380,514  1,350  New River   
18,990  Digital Realty Trust, Inc. *  757,701    Pharmaceuticals, Inc. #*  85,901 
15,767  GFI Group, Inc. #*  1,071,683  23,121  NuVasive, Inc. #*  549,124 
26,212  Greenhill & Company, Inc. *  1,609,155  17,580  PAREXEL International   
4,440  Hanmi Financial Corporation *  84,626    Corporation #*  632,353 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
7

Partner Small Cap Growth Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (95.9%)  Value  Shares  Common Stock (95.9%)  Value 
 
Health Care — continued    56,347  Avocent Corporation #*  $1,519,679 
10,640  Progenics    49,540  Cirrus Logic, Inc. #*  379,476 
  Pharmaceuticals, Inc. #*  $251,955  48,339  Coherent, Inc. #*  1,534,280 
21,200  Psychiatric Solutions, Inc. #*  854,572    34,010  Comtech Group, Inc. #*  594,495 
18,410  Sunrise Senior Living, Inc. #*  727,563  7,470  Equinix, Inc. #*  639,656 
19,820  Trizetto Group, Inc. #  396,598  42,670  Euronet Worldwide, Inc. #*  1,146,116 
5,040  United Therapeutics    12,810  FormFactor, Inc. #*  573,248 
  Corporation #  271,051  38,400  Foundry Networks, Inc. #*  521,088 
16,900  West Pharmaceutical    129,542  Informatica Corporation #*  1,739,749 
  Services, Inc. *  784,667  74,659  Intermec, Inc. #*  1,667,882 
  Total Health Care  21,618,894  31,650  Internap Network Services   
        Corporation #  498,488 
Industrials (17.8%)    21,770  JA Solar Holdings Company,   
18,812  A.S.V., Inc. #*  287,071    Ltd. ADR #  393,819 
56,468  AAR Corporation #*  1,556,258  14,060  MICROS Systems, Inc. #  759,099 
11,450  Actuant Corporation *  581,202  18,870  Net 1 UEPS Technology, Inc. #*  469,486 
8,380  Acuity Brands, Inc. *  456,207  13,470  Nice Systems, Ltd. ADR #  458,249 
37,320  AirTran Holdings, Inc. #*  383,276  40,720  ON Semiconductor   
14,840  American Commercial      Corporation #*  363,222 
  Lines, Inc. #*  466,718  23,450  Polycom, Inc. #*  781,588 
34,140  Cenveo, Inc. #*  829,602  10,180  Quality Systems, Inc. *  407,200 
35,930  CoStar Group, Inc. #*  1,605,352  28,492  Rogers Corporation #*  1,263,620 
29,246  CRA International, Inc. #*  1,526,056  12,280  SAVVIS, Inc. #*  587,966 
36,741  Forward Air Corporation *  1,208,044  24,350  Semtech Corporation #*  328,238 
48,720  Gardner Denver, Inc. #*  1,697,892  87,900  Sonus Networks, Inc. #*  709,353 
12,050  General Cable Corporation #*  643,832  17,170  Switch and Data, Inc. #  311,120 
12,650  Horizon Lines, Inc.  415,173  19,830  Tessera Technologies, Inc. #  788,044 
13,920  Hub Group, Inc. #*  403,541  10,660  The9, Ltd. ADR #  359,668 
9,500  Huron Consulting Group, Inc. #*  577,980  19,790  THQ, Inc. #*  676,620 
17,160  IDEX Corporation *  873,101  50,662  Trimble Navigation, Ltd. #  1,359,768 
17,190  Infrasource Services, Inc. #*  524,811  89,170  ValueClick, Inc. #*  2,330,012 
15,000  Kenexa Corporation #*  466,950  21,760  Varian Semiconductor   
19,113  Kennametal, Inc.  1,292,230    Equipment Associates, Inc. #*  1,161,549 
30,020  Knoll, Inc.  715,377  18,733  ViaSat, Inc. #*  617,627 
42,112  Ladish Company, Inc. #*  1,585,096  9,650  VistaPrint, Ltd. #*  369,595 
29,290  Orbital Sciences Corporation #*  548,895    Total Information   
8,740  Regal-Beloit Corporation  405,361    Technology  27,861,280 
40,921  Shaw Group, Inc. #*  1,279,600       
7,510  The Geo Group Inc. #  340,353  Materials (3.2%)   
  Total Industrials  20,669,978  6,980  Brush Engineered   
        Materials, Inc. #*  338,321 
Information Technology (23.9%)    11,090  Century Aluminum Company #*  519,899 
10,940  Advent Software, Inc. #*  381,478  21,590  H.B. Fuller Company  588,759 
11,570  Altiris, Inc. #  380,769  23,040  Hercules, Inc. #*  450,202 
34,690  Anadigics, Inc. #*  410,036  18,060  Pan American Silver   
25,050  aQuantive, Inc. #*  699,146    Corporation #*  534,395 
28,410  Atheros Communications, Inc. #  679,851       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
8

Partner Small Cap Growth Portfolio             
Schedule of Investments as of March 30, 2007 (unaudited)           
 
Shares  Common Stock (95.9%)  Value                       Shares  Common Stock (95.9%)  Value 
 
Materials — continued    Telecommunications Services (2.5%)       
4,380  RTI International Metals, Inc. #*  $398,624    28,070  Cogent Communications   
9,890  Silgan Holdings, Inc.  505,478      Group, Inc. #*    $663,294 
23,530  Terra Industries, Inc. #*  411,775    47,756  NeuStar, Inc. #*  1,358,181 
  Total Materials  3,747,453    9,920  SBA Communications   
          Corporation #*  293,136 
        30,950  Time Warner Telecom, Inc. #*  642,832 
          Total Telecommunications 
          Services    2,957,443 
 
          Total Common Stock   
          (cost $99,653,679)  111,699,455 
 
        Interest  Maturity   
Shares  Collateral Held for Securities Loaned (25.4%)  Rate (+)  Date  Value 
29,539,800  Thrivent Financial Securities Lending Trust    5.350%  N/A  $29,539,800 
  Total Collateral Held for Securities Loaned   
  (cost $29,539,800)        29,539,800 
 
 
Shares or               
Principal        Interest  Maturity   
Amount  Short-Term Investments (4.2%)    Rate (+)  Date  Value 
$2,040,000  Paradigm Funding, LLC      5.420%  4/2/2007  $2,039,386 
2,835,525  Thrivent Money Market Portfolio      5.050  N/A  2,835,525 
  Total Short-Term Investments (at amortized cost)  4,874,911 
  Total Investments (cost $134,068,390) 125.5%  $146,114,166 
  Other Assets and Liabilities, Net (25.5%)    (29,676,790) 
  Total Net Assets 100.0%      $116,437,376 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

Definitions:

ADR — American Depository Receipts, which are certificates for shares of an underlying foreign security’s shares held by an issuing U.S. depository bank.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $15,228,500 
Gross unrealized depreciation  (3,182,724) 
Net unrealized appreciation (depreciation)  $12,045,776 
Cost for federal income tax purposes  $134,068,390 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
9

Partner Small Cap Value Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Shares  Common Stock (96.2%)  Value  Shares  Common Stock (96.2%)  Value 
 
Consumer Discretionary (12.1%)    91,200  Mariner Energy, Inc. #*  $1,744,656 
72,500  Aaron Rents, Inc. ±  $1,916,900  55,300  TETRA Technologies, Inc. #*  1,366,463 
49,800  Building Materials Holding      49,500  Todco #  1,996,335 
  Corporation *  901,878  40,300  W-H Energy Services, Inc. #*  1,883,622 
31,500  Cavco Industries, Inc. #*  1,100,925  47,000  Whiting Petroleum   
14,953  Courier Corporation *  584,214    Corporation #*  1,852,270 
35,500  CSS Industries, Inc. *  1,330,540    Total Energy  13,989,972 
45,000  Cutter & Buck, Inc.  533,250       
65,800  Dixie Group, Inc. #*  791,574  Financials (19.8%)   
36,000  Dorman Products, Inc. #  416,160  54,000  Ares Capital Corporation §  981,180 
13,200  Drew Industries, Inc. #*  378,576  30,000  Boston Private Financial   
45,500  Fred’s, Inc. *  668,850    Holdings, Inc. *  837,600 
22,500  Fuel Systems    50,000  Bristol West Holdings, Inc. *  1,108,500 
  Solutions, Inc. #*  416,700  120,200  Cedar Shopping Centers, Inc.  1,947,240 
87,000  Haverty Furniture    40,900  East West Bancorp, Inc. *  1,503,893 
  Companies, Inc. *  1,218,000  8,500  Employers Holdings, Inc. #  170,170 
65,000  Journal Register Company *  387,400  68,000  First Financial Fund, Inc.  969,000 
32,400  M/I Homes, Inc. *  860,220  47,000  First Republic Bank *  2,523,900 
31,000  Matthews International    64,000  Hercules Technology Growth   
  Corporation *  1,261,700    Capital, Inc. *  876,800 
13,000  Orient Express Hotels, Ltd. *  777,660  25,300  Home Bancshares, Inc. *  557,865 
42,000  RARE Hospitality    5,000  iShares Russell 2000 Value Fund  404,750 
  International, Inc. #*  1,263,780  9,500  Kilroy Realty Corporation  700,625 
67,900  Regent Communications, Inc. #  218,638  68,500  Kohlberg Capital Corporation #*  1,096,000 
32,900  Ruby Tuesday, Inc. *  940,940  48,400  LaSalle Hotel Properties *  2,243,824 
54,900  Saga Communications, Inc. #  534,177  2,800  Markel Corporation #*  1,357,524 
63,200  Shiloh Industries, Inc. *  712,896  56,300  Max Re Capital, Ltd.  1,434,524 
40,700  Stanley Furniture Company, Inc. * 846,560  33,500  Midland Company *  1,421,070 
48,000  Steak n Shake Company #*  804,960  40,000  National Health Realty, Inc. *  940,000 
102,000  Stein Mart, Inc. *  1,664,640  59,000  Net Bank, Inc. *  130,390 
37,000  Winnebago Industries, Inc. *  1,244,310  41,000  Ohio Casualty Corporation *  1,227,950 
  Total Consumer    33,100  Parkway Properties, Inc. *  1,729,475 
  Discretionary  21,775,448  14,100  Piper Jaffray Companies #  873,354 
      39,000  Potlatch Corporation *  1,785,420 
Consumer Staples (2.2%)    52,500  ProAssurance Corporation #*  2,685,375 
133,000  Alliance One International, Inc. #* 1,227,590  39,500  Sandy Spring Bancorp, Inc. *  1,368,280 
33,000  Casey’s General Stores, Inc. *  825,330  38,000  Seabright Insurance Holdings #*  699,200 
41,500  Nash Finch Company *  1,430,090  16,800  Strategic Hotel Capital, Inc. *  384,216 
22,700  Winn-Dixie Stores, Inc. #  400,655  31,400  SVB Financial Group #*  1,525,726 
  Total Consumer Staples  3,883,665  31,000  Washington Real Estate   
        Investment Trust *  1,160,020 
Energy (7.8%)    20,300  Wintrust Financial Corporation *  905,583 
22,800  Atwood Oceanics, Inc. #*  1,338,132    Total Financials  35,549,454 
53,700  Forest Oil Corporation #*  1,791,969       
108,100  Geomet, Inc. #*  953,442       
16,100  Lone Star Technologies, Inc. #  1,063,083       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
10

Partner Small Cap Value Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (96.2%)  Value    Shares  Common Stock (96.2%)  Value 
 
Health Care (6.2%)    107,000  Vitran Corporation, Inc. #  $2,102,550 
13,400  Analogic Corporation *  $842,592  45,450  Waste Connections, Inc. #  1,360,773 
21,300  Arrow International, Inc.  685,008  45,900  Woodward Governor   
61,000  Capital Senior Living        Company *  1,889,703 
  Corporation #*  708,210    Total Industrials  37,837,910 
40,000  Diversa Corporation #*  312,400       
58,000  Exelixis, Inc. #*  576,520  Information Technology (10.0%)   
73,800  Momenta Pharmaceuticals, Inc. #* 956,448  50,000  Advanced Energy   
30,600  Myriad Genetics, Inc. #*  1,054,476    Industries, Inc. #  1,052,000 
21,300  National Healthcare    22,900  ATMI, Inc. #*  700,053 
  Corporation *  1,085,874  121,000  Brooks Automation, Inc. #*  2,075,150 
64,500  Owens & Minor, Inc. *  2,369,085  66,000  Catapult Communications   
35,800  Pharmion Corporation #*  941,182    Corporation #*  642,840 
33,200  West Pharmaceutical    92,500  Entegris, Inc. #*  989,750 
  Services, Inc. *  1,541,476  100,000  GSI Group, Inc. #  991,000 
  Total Health Care  11,073,271  105,300  Lattice Semiconductor   
        Corporation #*  616,005 
Industrials (21.1%)    175,000  LookSmart, Ltd. #  670,250 
58,500  Accuride Corporation #*  854,100  50,400  Methode Electronics, Inc.  744,408 
20,300  Ameron International    122,500  MPS Group, Inc. #*  1,733,375 
  Corporation *  1,336,958  56,500  Progress Software Corporation #*  1,762,800 
47,000  Belden CDT, Inc. *  2,518,730  260,000  Safeguard Scientifics, Inc. #*  769,600 
68,000  Builders Firstsource, Inc. #*  1,092,760  44,200  SPSS, Inc. #*  1,595,620 
53,000  C&D Technologies, Inc. *  266,590  46,000  StarTek, Inc. *  450,340 
38,400  Circor International, Inc.  1,370,880  39,600  TNS, Inc. #  637,164 
44,000  Dollar Thrifty Automotive    40,900  Xyratex, Ltd. #  976,283 
  Group, Inc. #*  2,245,760  370,000  Zarlink Semiconductor, Inc. #*  765,900 
21,000  EDO Corporation *  550,200  44,800  Zygo Corporation #  717,248 
71,300  Electro Rent Corporation #*  1,026,720    Total Information   
31,000  Franklin Electric Company, Inc. *  1,441,500    Technology  17,889,786 
45,700  FTI Consulting, Inc. #*  1,535,063       
39,400  G & K Services, Inc. *  1,429,432  Materials (11.0%)   
65,100  Genesee & Wyoming, Inc. #*  1,732,311  39,000  Airgas, Inc.  1,643,850 
23,200  Genlyte Group, Inc. #  1,636,760  43,000  American Vanguard Corporation * 734,870 
78,000  Hub Group, Inc. #  2,261,220  31,600  AptarGroup, Inc.  2,114,988 
31,900  IDEX Corporation *  1,623,072  36,200  Arch Chemicals, Inc.  1,130,164 
48,000  Insituform Technologies, Inc. #*  997,920  20,800  Carpenter Technology   
61,500  Kirby Corporation #*  2,151,270    Corporation *  2,511,808 
21,400  LSI Industries, Inc. *  358,236  24,000  Chesapeake Corporation *  362,400 
23,000  Macquarie Infrastructure    10,600  Deltic Timber Corporation *  508,376 
  Company Trust *  903,900  30,600  Florida Rock Industries, Inc.  2,059,074 
61,000  McGrath Rentcorp *  1,931,870  62,800  Gibraltar Industries, Inc. *  1,420,536 
38,800  Nordson Corporation *  1,802,648  22,500  Innospec, Inc.  1,296,900 
56,400  Sterling Contruction    57,200  Metal Management, Inc.  2,642,640 
  Company, Inc. #*  1,074,984  18,700  Minerals Technologies, Inc. *  1,162,392 
60,000  Synagro Technologies, Inc. *  342,000       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
11

Partner Small Cap Value Portfolio             
Schedule of Investments as of March 30, 2007 (unaudited)           
 
Shares  Common Stock (96.2%)  Value  Shares  Common Stock (96.2%)  Value 
 
Materials — continued    Utilities (5.3%)       
70,000  Myers Industries, Inc.  $1,307,600    44,000  Black Hills Corporation *  $1,617,880 
55,000  Wausau-Mosinee Paper      69,400  Cleco Corporation  1,792,602 
  Corporation *  789,800    51,000  El Paso Electric Company #  1,343,850 
  Total Materials  19,685,398    8,600  Empire District Electric Company  213,280 
        51,000  Southwest Gas Corporation *  1,982,370 
Telecommunications Services (0.7%)      39,500  UniSource Energy Corporation  1,483,225 
120,000  Premiere Global      38,700  Vectren Corporation *  1,106,820 
  Services, Inc. #  1,346,400      Total Utilities  9,540,027 
  Total Telecommunications             
  Services  1,346,400      Total Common Stock   
          (cost $141,850,106)  172,571,331 
 
 
        Interest  Maturity   
Shares  Collateral Held for Securities Loaned (25.6%)  Rate (+)  Date  Value 
45,865,170  Thrivent Financial Securities Lending Trust    5.350%  N/A  $45,865,170 
    Total Collateral Held for Securities Loaned   
    (cost $45,865,170)        45,865,170 
 
 
        Interest  Maturity   
Shares  Short-Term Investments (3.6%)    Rate (+)  Date  Value 
6,552,117  Thrivent Money Market Portfolio    5.050%  N/A  $6,552,117 
    Total Short-Term Investments (at amortized cost)  6,552,117 
    Total Investments (cost $194,267,393) 125.4%  $224,988,618 
    Other Assets and Liabilities, Net (25.4%)    (45,542,494) 
    Total Net Assets 100.0%      $179,446,124 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

§ Denotes investments purchased on a when-issued basis.

± Designated as cover for long settling trades.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $36,072,119 
Gross unrealized depreciation  (5,350,894) 
Net unrealized appreciation (depreciation)  $30,721,225 
Cost for federal income tax purposes  $194,267,393 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
12

Small Cap Stock Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
 
Shares  Common Stock (95.2%)    Value  Shares  Common Stock (95.2%)  Value 
 
Consumer Discretionary (13.3%)      52,200  Flowers Foods, Inc.  $1,574,874 
19,200  Aftermarket Technology      56,000  Performance Food Group   
  Corporation #    $466,176    Company #*  1,728,720 
59,300  ArvinMeritor, Inc. *    1,082,225  32,900  Ralcorp Holdings, Inc. #  2,115,470 
39,600  Cache, Inc. #    702,900  75,950  Reddy Ice Holdings, Inc. *  2,292,171 
22,800  Children’s Place Retail Stores, Inc. #  1,271,328  15,800  Universal Corporation  969,330 
51,800  Coldwater Creek, Inc. #*    1,050,504    Total Consumer Staples  15,443,025 
17,600  Crocs, Inc. #    831,600       
20,400  Desarrolladora Homex ADR #*  1,182,180  Energy (5.5%)   
62,000  Domino’s Pizza, Inc.    2,013,140  36,100  Arena Resources, Inc. #*  1,809,332 
50,900  DreamWorks Animation      29,200  Denbury Resources, Inc. #  869,868 
  SKG, Inc. #    1,556,522  31,900  Dresser-Rand Group, Inc. #  971,674 
86,800  GameStop Corporation #    2,827,076  25,800  Dril-Quip, Inc. #  1,116,624 
63,900  Genesco, Inc. #*    2,653,767  18,300  Energy Transfer Partners, LP *  1,066,158 
110,600  Gentex Corporation *    1,797,250  57,300  Frontier Oil Corporation *  1,870,272 
51,100  Hearst-Argyle Television, Inc. *  1,389,409  84,400  Global Industries, Ltd. #  1,543,676 
133,000  Imax Corporation #*    670,320  47,400  Input/Output, Inc. #*  653,172 
53,600  Jackson Hewitt Tax Service, Inc. *  1,724,848  15,800  Lufkin Industries, Inc.  887,644 
61,025  Joseph A. Bank Clothiers, Inc. #*  2,157,234  46,800  Oil States International, Inc. #*  1,501,812 
28,600  Laureate Education, Inc. #    1,686,542  12,500  Penn Virginia Corporation  917,500 
44,300  Life Time Fitness, Inc. #*    2,277,463  105,497  Petrohawk Energy   
40,000  Meredith Corporation    2,295,600    Corporation #*  1,389,395 
55,400  Modine Manufacturing Company * 1,268,660  36,300  Petroleum Development   
77,300  New York & Company, Inc. #    1,220,567    Corporation #*  1,944,591 
32,900  Oxford Industries, Inc.    1,626,576  60,854  Range Resources Corporation *  2,032,524 
54,300  Pool Corporation *    1,943,940  36,700  Southwestern Energy Company #  1,503,966 
103,600  Quiksilver, Inc. #*    1,201,760  37,900  Superior Energy Services, Inc. #  1,306,413 
37,600  R.H. Donnelley Corporation #*  2,665,464  29,200  Teekay Shipping Corporation  1,580,012 
66,100  RARE Hospitality      33,100  Tesco Corporation #  878,805 
  International, Inc. #    1,988,949    Total Energy  23,843,438 
71,400  Scientific Games Corporation #*  2,344,062       
43,825  Shuffle Master, Inc. #*    799,806  Financials (15.8%)   
68,100  Sonic Corporation #*    1,517,268  49,100  Acadia Realty Trust  1,280,037 
51,200  Steiner Leisure, Ltd. #    2,302,976  38,850  Affiliated Managers Group, Inc. #* 4,209,396 
48,700  Talbots, Inc. *    1,150,294  29,300  Alabama National   
123,000  Texas Roadhouse, Inc. #*    1,752,750    BanCorporation *  2,074,733 
36,700  Tractor Supply Company #*    1,890,050  51,750  Argonaut Group, Inc. #  1,674,630 
63,400  WMS Industries, Inc. #*    2,487,816  87,100  Assured Guaranty, Ltd.  2,379,572 
62,900  Wolverine World Wide, Inc.    1,797,053  51,850  BioMed Realty Trust, Inc.  1,363,655 
  Total Consumer      26,018  BOK Financial Corporation *  1,288,672 
  Discretionary  57,594,075   61,400  CastlePoint Holdings, Ltd. *  1,003,890 
   
        81,900  Center Financial Corporation *  1,619,163 
Consumer Staples (3.6%)      33,600  Delphi Financial Group, Inc.  1,351,728 
121,200  Casey’s General Stores, Inc. *    3,031,212  42,500  Digital Realty Trust, Inc.  1,695,750 
38,700  Central Garden & Pet Company #*  568,890  63,600  Dollar Financial Corporation #*  1,609,080 
35,400  Dean Foods Company #    1,654,596  27,200  EastGroup Properties, Inc.  1,388,016 
69,100  Elizabeth Arden, Inc. #*    1,507,762       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
13

Small Cap Stock Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (95.2%)  Value    Shares  Common Stock (95.2%)  Value 
 
Financials — continued    41,700  Cytyc Corporation #  $1,426,557 
41,400  Endurance Specialty    16,000  Dade Behring Holdings, Inc.  701,600 
  Holdings, Ltd.  $1,479,636  114,800  Dexcom, Inc. #*  902,328 
80,500  FelCor Lodging Trust, Inc.  2,090,585  87,400  Diversa Corporation #*  682,594 
23,300  First Industrial Realty Trust, Inc. * 1,055,490  45,100  ev3, Inc. #*  888,470 
62,500  First State Bancorporation *  1,409,375  71,600  Five Star Quality Care, Inc. #*  736,048 
50,600  Glimcher Realty Trust *  1,367,212  39,600  HealthExtras, Inc. #  1,139,688 
32,100  Greenhill & Company, Inc. *  1,970,619  31,100  Hologic, Inc. #*  1,792,604 
58,950  HCC Insurance Holdings, Inc. *  1,815,660  21,600  Integra LifeSciences Holdings   
34,400  Hilb, Rogal and Hobbs Company  1,687,320    Corporation #*  984,528 
46,300  iShares Russell Microcap    35,500  inVentiv Health, Inc. #  1,359,295 
  Index Fund *  2,722,903  40,600  Inverness Medical   
47,456  Mercantile Bank Corporation *  1,541,371    Innovations, Inc. #*  1,777,468 
53,700  Nationwide Health    31,400  Kindred Healthcare, Inc. #*  1,029,292 
  Properties, Inc.  1,678,662  25,900  K-V Pharmaceutical Company #*  640,507 
120,433  Nexity Financial Corporation #  1,409,066  36,900  Kyphon, Inc. #  1,665,666 
62,300  Philadelphia Consolidated    33,900  LCA-Vision, Inc. *  1,396,341 
  Holding Corporation #  2,740,577  41,600  LHC Group, Inc. #*  1,349,088 
80,200  Platinum Underwriters    35,800  LifePoint Hospitals, Inc. #  1,368,276 
  Holdings, Ltd.  2,572,816  61,400  NuVasive, Inc. #*  1,458,250 
34,400  Portfolio Recovery    55,800  Omnicell, Inc. #*  1,167,336 
  Associates, Inc. #*  1,535,960  24,800  Orthofix International NV #  1,266,040 
33,700  Potlatch Corporation *  1,542,786  46,200  Owens & Minor, Inc. *  1,696,926 
122,200  PowerShares Zacks Micro    36,600  Pediatrix Medical Group, Inc. #  2,088,396 
  Cap Portfolio  2,224,040  58,500  PSS World Medical, Inc. #*  1,236,690 
51,800  ProAssurance Corporation #  2,649,570  33,200  Psychiatric Solutions, Inc. #*  1,338,292 
52,100  Senior Housing Property Trust *  1,245,190  13,000  Respironics, Inc. #  545,870 
9,300  SL Green Realty Corporation  1,275,774  39,000  STERIS Corporation  1,035,840 
21,200  Sovran Self Storage, Inc.  1,174,692  41,800  Symbion, Inc. #*  819,698 
33,500  Tower Group, Inc. *  1,079,370  34,400  Syneron Medical, Ltd. #*  930,520 
64,600  United Community Banks, Inc. *  2,118,234  47,000  Thoratec Corporation #*  982,300 
56,100  U-Store-It Trust  1,128,732  53,100  Trizetto Group, Inc. #*  1,062,531 
72,403  Washington Federal, Inc. *  1,698,574  28,900  Varian, Inc. #  1,683,714 
31,600  Washington Real Estate    45,300  VCA Antech, Inc. #  1,644,843 
  Investment Trust *  1,182,472  59,900  ViroPharma, Inc. #*  859,565 
29,100  Westamerica Bancorporation *  1,401,747  19,800  Wellcare Health Plans, Inc. #*  1,687,950 
  Total Financials  68,736,755  19,300  West Pharmaceutical   
        Services, Inc. *  896,099 
Health Care (10.8%)      Total Health Care  46,874,975 
31,500  Affymetrix, Inc. #*  947,205       
38,100  Allscripts Healthcare    Industrials (18.3%)   
  Solutions, Inc. #*  1,021,461  75,800  AirTran Holdings, Inc. #*  778,466 
44,100  American Medical Systems    64,600  American Commercial Lines, Inc. #* 2,031,670 
  Holdings, Inc. #*  933,597  53,700  Baldor Electric Company  2,026,638 
29,400  BioMarin Pharmaceutical, Inc. #*  507,444  34,400  BE Aerospace, Inc. #  1,090,480 
9,500  Bio-Rad Laboratories, Inc. #  663,480  48,375  Beacon Roofing Supply, Inc. #*  782,708 
25,400  Cubist Pharmaceuticals, Inc. #*  560,578  72,000  CLARCOR, Inc. *  2,289,600 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
14

Small Cap Stock Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (95.2%)  Value  Shares  Common Stock (95.2%)  Value 
 
Industrials — continued    27,600  CACI International, Inc. #*  $1,293,336 
30,400  Consolidated Graphics, Inc. #*  $2,251,120  154,000  CNET Networks, Inc. #*  1,341,340 
79,700  Dayton Superior Corporation #  824,098    31,231  Cymer, Inc. #  1,297,648 
64,700  DRS Technologies, Inc.  3,375,399  52,100  Cypress Semiconductor   
25,800  Flowserve Corporation  1,475,502    Corporation #*  966,455 
45,300  FTI Consulting, Inc. #  1,521,627    27,750  Diodes, Inc. #*  967,088 
18,300  Gardner Denver, Inc. #  637,755  173,100  ECI Telecom, Ltd. #  1,419,420 
49,300  GATX Corporation *  2,356,540  49,500  Emulex Corporation #  905,355 
118,688  Genesee & Wyoming, Inc. #  3,158,288  116,500  Entrust, Inc. #*  469,495 
37,900  Genlyte Group, Inc. #  2,673,845  47,579  Euronet Worldwide, Inc. #*  1,277,972 
47,100  Houston Wire & Cable    49,500  Fairchild Semiconductor   
  Company #  1,319,742    International, Inc. #  827,640 
66,900  Hub Group, Inc. #*  1,939,431  60,026  FLIR Systems, Inc. #*  2,141,127 
30,900  Huron Consulting Group, Inc. #*  1,879,956  51,500  Global Payments, Inc.  1,754,090 
70,600  IDEX Corporation  3,592,128  39,300  Hyperion Solutions   
47,800  Innerworkings, Inc. #  564,040    Corporation #  2,036,919 
140,800  Interface, Inc.  2,251,392  102,600  Informatica Corporation #*  1,377,918 
112,800  Interline Brands, Inc. #*  2,472,576  98,600  Insight Enterprises, Inc. #  1,772,828 
46,800  Jacobs Engineering Group, Inc. #  2,183,220  74,000  Integrated Device   
76,500  JB Hunt Transport Services, Inc.  2,007,360    Technology, Inc. #  1,141,080 
100,800  JetBlue Airways Corporation #*  1,160,208  170,800  Ixia #*  1,588,440 
86,800  Kforce, Inc. #  1,195,236  101,700  J2 Global Communication, Inc. #*  2,819,124 
61,000  Kirby Corporation #  2,133,780  45,500  Kronos, Inc. #*  2,434,250 
41,500  Landstar System, Inc.  1,902,360  134,000  Micrel, Inc. #*  1,476,680 
48,300  Manitowoc Company, Inc.  3,068,499  31,385  MoneyGram International, Inc. *  871,248 
76,100  McGrath Rentcorp *  2,410,087  173,500  MPS Group, Inc. #  2,455,025 
63,000  Pall Corporation  2,394,000  85,000  Nanometrics, Inc. #*  569,500 
46,000  Roper Industries, Inc. *  2,524,480  98,100  Packeteer, Inc. #*  1,218,402 
69,700  SkyWest, Inc. *  1,870,051  105,700  Parametric Technology   
83,800  Standard Parking Corporation #*  2,964,006    Corporation #*  2,017,813 
74,900  Ultrapetrol Bahamas, Ltd. #  1,256,822  104,500  Photronics, Inc. #*  1,624,975 
68,900  URS Corporation #  2,934,451  35,200  Polycom, Inc. #  1,173,216 
22,800  Washington Group    187,300  Powerwave Technologies, Inc. #*  1,065,737 
  International, Inc. #  1,514,376  68,500  Progress Software Corporation #  2,137,200 
127,750  Waste Connections, Inc. #  3,824,835  73,400  QLogic Corporation #  1,247,800 
55,300  Watson Wyatt Worldwide, Inc.  2,690,345  158,100  Sapient Corporation #*  1,084,566 
  Total Industrials  79,327,117  56,100  ScanSource, Inc. #*  1,505,724 
      92,600  Silicon Image, Inc. #  755,616 
Information Technology (17.5%)    111,500  STATS ChipPAC, Ltd. ADR #  1,340,230 
41,300  ADTRAN, Inc. *  1,005,655  40,000  Sybase, Inc. #  1,011,200 
73,194  Avnet, Inc. #*  2,645,231  192,700  TIBCO Software, Inc. #  1,641,804 
53,100  Avocent Corporation #  1,432,107  127,200  Trimble Navigation, Ltd. #*  3,414,048 
79,200  Axcelis Technologies, Inc. #*  605,088  53,000  Varian Semiconductor   
125,100  BEA Systems, Inc. #  1,449,909    Equipment Associates, Inc. #*  2,829,140 
58,400  Benchmark Electronics, Inc. #  1,206,544  66,100  ViaSat, Inc. #  2,179,317 
265,000  Brocade Communications #  2,522,800       
35,600  Business Objects SA ADR #*  1,288,364       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
15

Small Cap Stock Portfolio             
Schedule of Investments as of March 30, 2007 (unaudited)           
 
Shares  Common Stock (95.2%)  Value  Shares  Common Stock (95.2%)  Value 
 
Information Technology — continued    Telecommunications Services (1.2%)   
107,400  webMethods, Inc. #*  $772,206    60,700  Eschelon Telecom, Inc. #  $1,754,230 
151,400  Wind River Systems, Inc. #*  1,504,916      127,750  Iowa Telecommunications   
57,900  Zebra Technologies        Services, Inc. *    2,555,000 
  Corporation #*  2,235,519    39,900  Time Warner Telecom, Inc. #  828,723 
  Total Information        Total Telecommunications   
  Technology  76,119,105      Services    5,137,953 
 
Materials (6.4%)    Utilities (2.8%)     
59,000  Airgas, Inc.  2,486,850    39,800  AGL Resources, Inc.  1,700,256 
80,800  Albemarle Corporation  3,340,272    42,400  Cleco Corporation  1,095,192 
31,000  AptarGroup, Inc.  2,074,830    69,800  Piedmont Natural Gas   
32,516  Bemis Company, Inc.  1,085,709      Company, Inc. *  1,841,324 
24,643  Century Aluminum Company #  1,155,264    62,600  PNM Resources, Inc.  2,021,980 
68,700  Commercial Metals Company *  2,153,745    28,600  UniSource Energy Corporation  1,073,930 
31,600  Eagle Materials, Inc. *  1,410,308    73,500  Vectren Corporation *  2,102,100 
35,700  Lubrizol Corporation  1,839,621    76,500  Westar Energy, Inc.  2,105,280 
114,200  RPM International, Inc.  2,638,020      Total Utilities  11,940,062 
23,400  RTI International Metals, Inc. #*  2,129,634           
62,000  Silgan Holdings, Inc.  3,168,820      Total Common Stock   
71,000  Steel Dynamics, Inc.  3,067,200      (cost $347,193,066)  412,828,129 
16,700  Texas Industries, Inc. *  1,261,351           
  Total Materials  27,811,624           
 
 
        Interest  Maturity   
Shares  Collateral Held for Securities Loaned (25.3%)  Rate (+)  Date  Value 
109,732,961  Thrivent Financial Securities Lending Trust    5.350%  N/A  $109,732,961 
  Total Collateral Held for Securities Loaned   
  (cost $109,732,961)        109,732,961 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
16

Small Cap Stock Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares or         
Principal    Interest  Maturity   
Amount  Short-Term Investments (9.6%)  Rate (+)  Date  Value 
$2,000,000  Bryant Park Funding, LLC  5.300%  4/12/2007  $1,996,467 
3,000,000  Falcon Asset Securitization Corporation  5.270  4/13/2007  2,994,291 
900,000  Federal National Mortgage Association  5.080  7/16/2007  886,665 
5,935,000  Jupiter Securitization Company, LLC  5.420  4/2/2007  5,933,213 
7,635,000  Paradigm Funding, LLC  5.420  4/2/2007  7,632,701 
15,249,184  Thrivent Money Market Portfolio  5.050  N/A  15,249,184 
2,000,000  UBS Finance Corporation  5.295  4/3/2007  1,999,118 
5,000,000  Victory Receivables Corporation  5.320  4/4/2007  4,997,044 
  Total Short-Term Investments (cost $41,688,429)  41,688,683 
  Total Investments (cost $498,614,456) 130.1%  $564,249,773 
  Other Assets and Liabilities, Net (30.1%)    (130,550,129) 
  Total Net Assets 100.0%      $433,699,644 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

Definitions:

ADR — American Depository Receipts, which are certificated for shares of an underlying foreign security’s shares held by an issuing U.S. depository bank.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $71,412,538 
Gross unrealized depreciation  (5,777,221) 
Net unrealized appreciation (depreciation)  $65,635,317 
Cost for federal income tax purposes  $498,614,456 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
17

Small Cap Index Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Shares  Common Stock (99.2%)  Value  Shares  Common Stock (99.2%)  Value 
 
Consumer Discretionary (15.0%)    20,000  JAKKS Pacific, Inc. #*  $478,000 
9,600  4Kids Entertainment, Inc. #*  $181,632  17,630  Jo-Ann Stores, Inc. #*  480,418 
35,175  Aaron Rents, Inc.  930,027  12,975  Joseph A. Bank Clothiers, Inc. #*  458,666 
21,400  Arbitron, Inc. *  1,004,730  35,700  K2, Inc. #*  431,613 
8,700  Arctic Cat, Inc. *  169,563  18,200  Kellwood Company *  533,806 
10,600  Ashworth, Inc. #*  80,242  11,800  Keystone Automotive   
13,200  Audiovox Corporation #*  194,436    Industries, Inc. #*  397,660 
8,700  Bassett Furniture    19,200  K-Swiss, Inc. *  518,784 
  Industries, Inc. *  128,064  12,400  Landry’s Restaurants, Inc. *  367,040 
10,000  Blue Nile, Inc. #*  406,600  37,000  La-Z-Boy, Inc. *  458,060 
18,900  Bright Horizons Family    10,400  Lenox Group, Inc. #*  68,432 
  Solutions, Inc. #*  713,475  10,500  Libbey, Inc. *  147,210 
20,750  Brown Shoe Company, Inc.  871,500  47,300  Live Nation, Inc. #  1,043,438 
21,000  Building Materials Holding    32,700  LKQ Corporation #*  714,822 
  Corporation *  380,310  8,800  M/I Homes, Inc. *  233,640 
14,000  California Pizza Kitchen, Inc. #*  460,460  15,600  Marcus Corporation  362,856 
22,800  Cato Corporation *  533,292  13,400  MarineMax, Inc. #*  310,612 
24,025  CEC Entertainment, Inc. #  997,998  38,200  Men’s Wearhouse, Inc.  1,797,310 
55,200  Champion Enterprises, Inc. #*  485,760  15,800  Meritage Homes Corporation #*  507,496 
16,800  Children’s Place Retail    8,700  Midas, Inc. #*  187,659 
  Stores, Inc. #  936,768  19,400  Monaco Coach Corporation *  309,042 
26,825  Christopher & Banks    7,700  Monarch Casino &   
  Corporation *  522,283    Resort, Inc. #*  200,200 
50,300  CKE Restaurants, Inc. *  948,658  14,700  Movado Group, Inc. *  432,915 
11,500  Coachmen Industries, Inc. *  121,095  19,900  Multimedia Games, Inc. #*  236,810 
20,000  Coinstar, Inc. #  626,000  3,400  National Presto Industries, Inc. *  209,576 
16,000  Cost Plus, Inc. #*  160,000  22,700  Nautilus Group, Inc. *  350,261 
3,800  CPI Corporation  199,538  3,520  NVR, Inc. #*  2,340,800 
24,200  Crocs, Inc. #  1,143,450  17,000  O’Charley’s, Inc. #  327,930 
7,800  Deckers Outdoor Corporation #*  553,956  11,000  Oxford Industries, Inc.  543,840 
33,200  Dress Barn, Inc. #*  690,892  18,400  P.F. Chang’s China Bistro, Inc. #*  770,592 
13,500  Drew Industries, Inc. #*  387,180  22,900  Panera Bread Company #*  1,352,474 
22,950  Ethan Allen Interiors, Inc. *  811,053  16,100  Papa John’s   
30,200  Finish Line, Inc. *  380,520    International, Inc. #*  473,340 
46,200  Fleetwood Enterprises, Inc. #*  365,442  10,000  Peet’s Coffee & Tea, Inc. #*  276,200 
32,637  Fossil, Inc. #*  863,901  39,300  Pep Boys — Manny, Moe & Jack *  750,237 
28,950  Fred’s, Inc. *  425,565  17,500  PetMed Express, Inc. #*  207,375 
16,200  Genesco, Inc. #*  672,786  43,000  Pinnacle Entertainment, Inc. #*  1,250,010 
17,500  Group 1 Automotive, Inc. *  695,975  25,600  Polaris Industries, Inc. *  1,228,288 
21,200  Guitar Center, Inc. #*  956,544  36,212  Pool Corporation *  1,296,390 
22,800  Gymboree Corporation #  913,596  6,500  Pre-Paid Legal Services, Inc. #*  325,715 
16,500  Haverty Furniture    88,100  Quiksilver, Inc. #*  1,021,960 
  Companies, Inc. *  231,000  55,800  Radio One, Inc. #  360,468 
22,850  Hibbett Sports, Inc. #*  653,282  22,050  RARE Hospitality   
31,875  Hot Topic, Inc. #*  353,812    International, Inc. #  663,484 
11,500  IHOP Corporation *  674,475  15,200  RC2 Corporation #  613,928 
24,600  Jack in the Box, Inc. #*  1,700,598       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
18

Small Cap Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (99.2%)  Value  Shares  Common Stock (99.2%)  Value 
 
Consumer Discretionary — continued    14,100  Great Atlantic & Pacific Tea   
11,900  Red Robin Gourmet      Company, Inc. *  $467,838 
  Burgers, Inc. #*  $461,958  28,400  Hain Celestial Group, Inc. #*  853,988 
8,500  Russ Berrie and Company, Inc. #*  119,850  10,000  J & J Snack Foods Corporation *  394,900 
12,600  Ruth’s Chris Steak House, Inc. #  256,536    22,300  Lance, Inc. *  451,352 
36,050  Select Comfort Corporation #*  641,690  20,500  Longs Drug Stores Corporation  1,058,620 
25,225  Shuffle Master, Inc. #*  460,356  11,500  Mannatech, Inc. *  184,690 
19,900  Skechers USA, Inc. #*  668,043  9,600  Nash Finch Company *  330,816 
5,100  Skyline Corporation  172,074  40,800  NBTY, Inc. #  2,164,032 
21,800  Sonic Automotive, Inc. *  621,300  25,200  Performance Food Group   
49,052  Sonic Corporation #*  1,092,879    Company #*  777,924 
31,500  Stage Stores, Inc.  734,265  40,200  Playtex Products, Inc. #*  545,514 
13,900  Stamps.com, Inc. #  199,743  19,300  Ralcorp Holdings, Inc. #  1,240,990 
8,700  Standard Motor Products, Inc.  148,509  11,400  Sanderson Farms, Inc. *  422,484 
46,700  Standard Pacific Corporation *  974,629  15,800  Spartan Stores, Inc.  423,242 
20,517  Steak n Shake Company #  344,070  28,000  Spectrum Brands, Inc. #*  177,240 
19,400  Stein Mart, Inc. *  316,608  22,500  TreeHouse Foods, Inc. #  685,575 
26,300  Stride Rite Corporation *  404,757  30,800  United Natural Foods, Inc. #*  943,712 
13,400  Sturm, Ruger &    6,600  USANA Health Sciences, Inc. #*  309,342 
  Company, Inc. #*  180,230  12,470  WD-40 Company *  395,424 
16,700  Superior Industries      Total Consumer Staples  18,996,335 
  International, Inc. *  347,861       
25,000  Tractor Supply Company #*  1,287,500  Energy (6.2%)   
46,700  Triarc Companies, Inc. *  802,773  19,500  Atwood Oceanics, Inc. #*  1,144,455 
21,500  Tuesday Morning Corporation *  319,060  16,900  Bristow Group, Inc. #*  616,005 
23,100  Tween Brands, Inc. #*  825,132  34,800  Cabot Oil & Gas Corporation  2,342,736 
10,300  UniFirst Corporation *  395,211  14,700  Carbo Ceramics, Inc. *  684,285 
16,600  Universal Technical    17,400  Dril-Quip, Inc. #*  753,072 
  Institute, Inc. #*  383,128  65,814  Helix Energy Solutions   
7,000  Vertrue, Inc. #*  336,770    Group, Inc. #*  2,454,204 
22,600  Winnebago Industries, Inc. *  760,038  16,700  Hornbeck Offshore   
17,200  WMS Industries, Inc. #*  674,928    Services, Inc. #*  478,455 
40,200  Wolverine World Wide, Inc.  1,148,514  13,100  Hydril Company #  1,260,744 
35,300  Zale Corporation #*  931,214  50,800  Input/Output, Inc. #*  700,024 
  Total Consumer    22,100  Lone Star Technologies, Inc. #  1,459,263 
  Discretionary  64,575,441 10,700  Lufkin Industries, Inc. *  601,126 
 
      58,500  Massey Energy Company *  1,403,415 
Consumer Staples (4.4%)    40,000  Oceaneering   
63,300  Alliance One      International, Inc. #*  1,684,800 
  International, Inc. #  584,259  13,600  Penn Virginia Corporation  998,240 
36,400  Casey’s General Stores, Inc. ‡  910,364  10,600  Petroleum Development   
51,600  Central Garden & Pet Company #*  758,520    Corporation #*  567,842 
13,400  Chattem, Inc. #*  789,796  15,350  SEACOR Holdings, Inc. #*  1,510,440 
53,700  Corn Products International, Inc. *  1,911,183  45,300  St. Mary Land & Exploration   
26,400  Delta & Pine Land Company  1,087,680    Company *  1,661,604 
37,350  Flowers Foods, Inc. *  1,126,850  20,100  Stone Energy Corporation #  596,769 
      21,500  Swift Energy Company #*  898,055 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
19

Small Cap Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (99.2%)  Value  Shares  Common Stock (99.2%)  Value 
 
Energy — continued    17,200  Franklin Bank Corporation #*  $307,364 
52,150  TETRA Technologies, Inc. #*  $1,288,626  48,900  Fremont General Corporation *  338,877 
33,400  Unit Corporation #  1,689,706  38,000  Glacier Bancorp, Inc. *  913,520 
21,800  W-H Energy Services, Inc. #  1,018,932  29,900  Hanmi Financial Corporation *  569,894 
20,500  World Fuel Services      26,100  Hilb, Rogal and Hobbs Company  1,280,205 
  Corporation *  948,330  14,865  Independent Bank Corporation *  302,800 
  Total Energy  26,761,128  14,000  Infinity Property & Casualty   
        Corporation *  656,040 
Financials (15.6%)    46,900  Inland Real Estate Corporation *  860,146 
23,200  Acadia Realty Trust ‡  604,824  31,900  Investment Technology   
13,200  Anchor BanCorp      Group, Inc. #*  1,250,480 
  Wisconsin, Inc. *  374,220  13,700  Irwin Financial Corporation *  255,368 
43,700  Bank Mutual Corporation  496,869  23,600  Kilroy Realty Corporation *  1,740,500 
33,100  BankAtlantic Bancorp, Inc. *  362,776  38,500  LaBranche & Company, Inc. #*  314,160 
23,100  BankUnited Financial    12,600  LandAmerica Financial   
  Corporation *  489,951    Group, Inc. *  931,266 
26,500  Boston Private Financial    50,600  Lexington Corporate   
  Holdings, Inc. *  739,880    Properties Trust  1,069,178 
44,500  Brookline Bancorp, Inc. *  563,815  15,100  LTC Properties, Inc. *  391,241 
20,500  Cascade Bancorp *  531,770  20,300  MAF Bancorp, Inc.  839,202 
21,400  Cash America    35,700  Medical Properties Trust, Inc. *  524,433 
  International, Inc.  877,400  18,300  Mid-America Apartment   
22,300  Central Pacific Financial      Communities, Inc.  1,029,558 
  Corporation *  815,511  15,300  Nara Bancorp, Inc. *  267,903 
32,718  Chittenden Corporation  987,756  47,800  National Retail Properties, Inc. *  1,156,282 
33,300  Colonial Properties Trust  1,520,811  10,900  Parkway Properties, Inc. *  569,525 
21,800  Community Bank System, Inc. *  456,056  41,400  Philadelphia Consolidated   
23,900  Corus Bankshares, Inc. *  407,734    Holding Corporation #  1,821,186 
31,265  Delphi Financial Group, Inc.  1,257,791  13,400  Piper Jaffray Companies #  829,996 
19,975  Dime Community Bancshares *  264,269  11,600  Portfolio Recovery   
14,165  Downey Financial Corporation *  914,209    Associates, Inc. #*  517,940 
44,300  East West Bancorp, Inc. *  1,628,911  15,700  Presidential Life Corporation *  309,604 
17,300  EastGroup Properties, Inc. *  882,819  13,400  PrivateBancorp, Inc. *  489,904 
19,000  Entertainment Properties Trust  1,144,750  24,100  ProAssurance Corporation #*  1,232,715 
17,400  Essex Property Trust, Inc. *  2,252,952  25,000  Prosperity Bancshares, Inc. *  868,500 
19,950  Financial Federal Corporation *  525,084  23,264  Provident Bankshares   
60,000  First BanCorp  795,600    Corporation *  764,455 
19,800  First Cash Financial    11,700  PS Business Parks, Inc.  825,084 
  Services, Inc. #*  441,144  19,300  Rewards Network, Inc. #*  102,290 
45,500  First Commonwealth Financial    14,500  RLI Corporation  796,485 
  Corporation *  534,625  10,400  Safety Insurance Group, Inc. *  417,248 
23,200  First Financial Bancorp *  350,552  7,400  SCPIE Holdings, Inc. #*  167,980 
9,400  First Indiana Corporation  205,390  41,100  Selective Insurance Group, Inc.  1,046,406 
36,112  First Midwest Bancorp, Inc. *  1,327,116  53,700  Senior Housing Property Trust *  1,283,430 
22,300  First Republic Bank  1,197,510  53,800  South Financial Group, Inc. *  1,329,936 
11,900  FirstFed Financial Corporation #*  676,277  14,900  Sovran Self Storage, Inc.  825,609 
28,200  Flagstar Bancorp, Inc. *  336,990  13,700  Sterling Bancorp *  247,970 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
20

Small Cap Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (99.2%)  Value    Shares  Common Stock (99.2%)  Value 
 
Financials — continued    15,900  Cyberonics, Inc. #*  $298,602 
52,100  Sterling Bancshares, Inc. *  $582,478  9,300  Datascope Corporation *  336,567 
36,815  Sterling Financial Corporation  1,148,260  31,700  Dendrite International, Inc. #  496,422 
13,300  Stewart Information Services    17,300  Digene Corporation #*  733,693 
  Corporation *  555,807  13,700  Dionex Corporation #*  933,107 
37,700  Susquehanna Bancshares, Inc. *  874,263    16,900  DJO, Inc. #*  640,510 
17,727  SWS Group, Inc. *  439,794  22,397  Enzo Biochem, Inc. #*  337,747 
18,500  Tradestation Group, Inc. #  232,915  14,200  Genesis Healthcare   
9,000  Triad Guaranty, Inc. #*  372,690    Corporation #  896,162 
54,082  TrustCo Bank Corporation NY *  518,106  19,600  Gentiva Health Services, Inc. #  395,332 
71,800  UCBH Holdings, Inc. *  1,336,916  16,000  Greatbatch Technologies, Inc. #*  408,000 
42,000  Umpqua Holdings Corporation *  1,124,340  19,000  Haemonetics Corporation #*  888,250 
26,400  United Bankshares, Inc. *  924,792  21,500  HealthExtras, Inc. #*  618,770 
26,100  United Community Banks, Inc. *  855,819  25,200  Healthways, Inc. #*  1,178,100 
15,300  United Fire & Casual Company *  537,489  38,400  Hologic, Inc. #*  2,213,376 
47,800  Whitney Holding Corporation ‡  1,461,724  48,900  Hooper Holmes, Inc. #*  218,583 
11,300  Wilshire Bancorp, Inc. *  185,320  10,500  ICU Medical, Inc. #*  411,600 
18,100  Wintrust Financial Corporation *  807,441  22,400  IDEXX Laboratories, Inc. #*  1,962,912 
12,612  World Acceptance Corporation #* 503,849  49,675  Immucor, Inc. #  1,461,935 
26,700  Zenith National Insurance    14,300  Integra LifeSciences Holdings   
  Corporation *  1,262,109    Corporation #*  651,794 
  Total Financials  67,134,154  23,100  Invacare Corporation *  402,864 
      21,700  inVentiv Health, Inc. #*  830,893 
Health Care (12.2%)    8,800  Kendle International, Inc. #*  312,576 
35,100  Allscripts Healthcare    8,600  Kensey Nash Corporation #*  262,300 
  Solutions, Inc. #*  941,031  14,350  LCA-Vision, Inc. *  591,076 
24,300  Alpharma, Inc. *  585,144  15,400  Matria Healthcare, Inc. #*  405,944 
18,633  Amedisys, Inc. #*  604,279  30,600  Mentor Corporation *  1,407,600 
51,900  American Medical Systems    15,600  Meridian Bioscience, Inc.  433,056 
  Holdings, Inc. #*  1,098,723  19,700  Merit Medical Systems, Inc. #*  247,235 
37,700  AMERIGROUP Corporation #  1,146,080  57,400  MGI Pharma, Inc. #*  1,289,778 
25,000  AMN Healthcare    17,800  Noven Pharmaceuticals, Inc. #*  412,960 
  Services, Inc. #*‡  565,500  24,300  Odyssey Healthcare, Inc. #  319,059 
21,650  AmSurg Corporation #  530,208  19,100  Option Care, Inc. *  254,030 
10,000  Analogic Corporation *  628,800  12,700  Osteotech, Inc. #  97,028 
20,500  ArQule, Inc. #*  152,930  29,000  Owens & Minor, Inc. *  1,065,170 
19,800  ArthroCare Corporation #*  713,592  13,100  Palomar Medical   
17,000  BioLase Technology, Inc. #*  165,410    Technologies, Inc. #*  523,345 
11,500  Biosite, Inc. #*  965,655  19,700  PAREXEL International   
11,800  Bradley Pharmaceuticals, Inc. #*  226,442    Corporation #  708,609 
19,400  Cambrex Corporation  477,240  35,000  Pediatrix Medical Group, Inc. #‡  1,997,100 
31,300  Centene Corporation #*  656,987  13,300  Pharmnet Development Group #*  345,800 
19,200  Chemed Corporation  940,032  16,300  PolyMedica Corporation *  689,979 
20,250  CONMED Corporation #*  591,908  12,600  Possis Medical, Inc. #*  163,926 
32,400  Cooper Companies, Inc. *  1,575,288  48,600  PSS World Medical, Inc. #  1,027,404 
15,800  Cross Country Healthcare, Inc. #  288,034       
16,250  CryoLife, Inc. #*  136,662       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
21

Small Cap Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (99.2%)  Value  Shares  Common Stock (99.2%)  Value 
 
Health Care — continued    19,550  Ceradyne, Inc. #*  $1,070,167 
47,300  Regeneron    36,900  CLARCOR, Inc. *  1,173,420 
  Pharmaceuticals, Inc. #*  $1,022,626  8,400  Consolidated Graphics, Inc. #  622,020 
12,600  RehabCare Group, Inc. #  199,962  11,200  Cubic Corporation *  242,368 
52,800  Respironics, Inc. #*  2,217,072  31,800  Curtiss-Wright Corporation *  1,225,572 
33,500  Savient Pharmaceuticals, Inc. #*  402,670  11,900  EDO Corporation *  311,780 
21,300  Sciele Pharma, Inc. #*  504,384  22,900  EGL, Inc. #*  907,527 
40,200  Sierra Health Services, Inc. #*  1,655,034  22,900  EMCOR Group, Inc. #  1,350,642 
32,300  Sunrise Senior Living, Inc. #*  1,276,496  15,400  EnPro Industries, Inc. #*  555,170 
11,200  SurModics, Inc. #*  403,200  18,400  Esterline Technologies   
24,100  Theragenics Corporation #*  150,866    Corporation #*  755,688 
32,250  United Surgical Partners    21,900  Forward Air Corporation *  720,072 
  International, Inc. #  993,622  26,500  Frontier Airlines   
23,800  Viasys Healthcare, Inc. #*  808,962    Holdings, Inc. #*  159,265 
50,300  ViroPharma, Inc. #*  721,805  15,500  G & K Services, Inc.  562,340 
5,800  Vital Signs, Inc.  301,484  38,100  Gardner Denver, Inc. #*  1,327,785 
  Total Health Care  52,517,322  40,300  GenCorp, Inc. #*  557,752 
      18,930  Griffon Corporation #*  468,518 
Industrials (17.5%)    19,850  Healthcare Services   
16,500  A.O. Smith Corporation  630,630    Group, Inc. *  568,702 
14,900  A.S.V., Inc. #*  227,374  42,448  Heartland Express, Inc. *  674,074 
26,600  AAR Corporation #*  733,096  12,600  Heidrick & Struggles   
31,500  ABM Industries, Inc. ‡  831,285    International, Inc. #  610,470 
31,300  Acuity Brands, Inc. ‡  1,703,972  28,700  Hub Group, Inc. #  832,013 
17,500  Administaff, Inc. *‡  616,000  38,800  IDEX Corporation  1,974,144 
21,000  Albany International    19,700  Insituform Technologies, Inc. #*  409,563 
  Corporation *  754,740  37,600  Interface, Inc.  601,224 
7,000  Angelica Corporation *  192,780  18,600  John H. Harland Company *  952,878 
20,500  Apogee Enterprises, Inc. *  410,820  17,500  Kaman Corporation  407,925 
27,250  Applied Industrial    55,300  Kansas City Southern, Inc. #*  1,967,574 
  Technologies, Inc. *  668,442  20,400  Kaydon Corporation *  868,224 
8,800  Applied Signal    38,300  Kirby Corporation #*  1,339,734 
  Technology, Inc. *  157,784  41,650  Knight Transportation, Inc. *  742,203 
18,100  Arkansas Best Corporation *  643,455  36,500  Labor Ready, Inc. #*  693,135 
21,800  Armor Holdings, Inc. #*  1,467,794  40,400  Landstar System, Inc.  1,851,936 
13,600  Astec Industries, Inc. #  547,400  3,100  Lawson Products, Inc.  117,428 
29,700  Baldor Electric Company  1,120,878  41,336  Lennox International, Inc.  1,475,695 
28,800  Barnes Group, Inc. *  662,688  8,550  Lindsay Manufacturing   
32,125  Belden CDT, Inc. *  1,721,579    Company *  271,804 
21,100  Bowne & Company, Inc.  331,903  11,900  Lydall, Inc. #  189,091 
38,900  Brady Corporation *  1,213,680  21,600  MagneTek, Inc. #*  108,864 
35,600  Briggs & Stratton    44,800  Manitowoc Company, Inc.  2,846,151 
  Corporation *  1,098,260  23,900  Mesa Air Group, Inc. #*  179,967 
18,700  C&D Technologies, Inc. *  94,061  25,900  Mobile Mini, Inc. #*  693,602 
7,700  Cascade Corporation  460,537  30,550  Moog, Inc. #*  1,272,408 
9,500  CDI Corporation *  274,740  26,700  Mueller Industries, Inc.  803,670 
12,000  Central Parking Corporation *  266,160  14,500  NCI Building Systems, Inc. #*  692,230 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
22

Small Cap Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (99.2%)  Value  Shares  Common Stock (99.2%)  Value 
 
Industrials — continued    8,300  Bankrate, Inc. #*  $292,492 
20,150  Old Dominion Freight Line #*  $580,522  8,700  Bel Fuse, Inc. *  336,777 
23,800  On Assignment, Inc. #  295,358  22,100  Bell Microproducts, Inc. #*  141,440 
22,400  Regal-Beloit Corporation *  1,038,912  51,950  Benchmark Electronics, Inc. #  1,073,287 
12,200  Robbins & Myers, Inc.  454,938  12,600  Black Box Corporation *  460,404 
13,500  School Specialty, Inc. #*  487,485  30,200  Blackbaud, Inc.  737,484 
58,200  Shaw Group, Inc. #  1,819,914  10,400  Blue Coat Systems, Inc. #*  381,992 
26,500  Simpson Manufacturing    36,600  Brightpoint, Inc. #*  418,704 
  Company, Inc. *  817,260  54,607  Brooks Automation, Inc. #*  936,510 
46,400  SkyWest, Inc. *  1,244,912  17,300  Cabot Microelectronics   
40,900  Spherion Corporation #*  360,738    Corporation #*  579,723 
8,900  Standard Register Company *  112,585  22,200  CACI International, Inc. #*  1,040,292 
9,100  Standex International    19,600  Captaris, Inc. #  113,484 
  Corporation  259,441  14,800  Carreker Corporation #  118,696 
25,100  Teledyne Technologies, Inc. #*  939,744  7,300  Catapult Communications   
41,806  Tetra Tech, Inc. #*  796,822    Corporation #*  71,102 
29,000  Toro Company  1,485,960  35,200  C-COR, Inc. #*  487,872 
20,400  Tredegar Corporation *  464,916  28,300  Checkpoint Systems, Inc. #*  669,578 
11,800  Triumph Group, Inc. *  653,012  39,000  CIBER, Inc. #*  306,930 
21,400  United Stationers, Inc. #  1,282,288  32,200  Cognex Corporation *  697,774 
13,700  Universal Forest Products, Inc. *  678,835  22,600  Coherent, Inc. #*  717,324 
37,900  URS Corporation #*  1,614,161  16,500  Cohu, Inc. *  310,200 
12,400  Valmont Industries, Inc. *  717,092  16,700  Comtech Telecommunications   
15,300  Viad Corporation  590,580    Corporation #  646,791 
14,300  Vicor Corporation  143,286  20,100  Concur Technologies, Inc. #*  350,946 
9,300  Volt Information    25,900  CTS Corporation *  357,938 
  Sciences, Inc. #*  243,567  26,900  Cymer, Inc. #  1,117,695 
22,000  Wabash National Corporation *  339,240  23,000  Daktronics, Inc. *  631,120 
49,300  Waste Connections, Inc. #*  1,476,042  18,300  Digi International, Inc. #*  232,410 
17,650  Watsco, Inc. *  901,386  14,400  Diodes, Inc. #*  501,840 
30,600  Watson Wyatt Worldwide, Inc.  1,488,690  23,800  Ditech Networks, Inc. #*  193,256 
21,400  Watts Water Technologies, Inc. *  813,842  21,100  DSP Group, Inc. #  400,900 
21,200  Woodward Governor Company  872,804  34,000  eFunds Corporation #*  906,440 
  Total Industrials  74,959,185  21,100  Electro Scientific   
        Industries, Inc. #*  405,964 
Information Technology (17.1%)    41,800  Epicor Software Corporation #*  581,438 
18,700  Actel Corporation #*  308,924  10,600  EPIQ Systems, Inc. #*  216,028 
85,400  Adaptec, Inc. #*  330,498  26,300  Exar Corporation #‡  348,212 
25,600  Advanced Energy Industries, Inc. #  538,624  27,250  FactSet Research Systems, Inc.  1,712,662 
53,150  Aeroflex, Inc. #*  698,922  18,700  FEI Company #*  674,322 
22,200  Agilysys, Inc.  498,834  47,300  FLIR Systems, Inc. #*  1,687,191 
17,400  Altiris, Inc. #*  572,634  16,800  Gerber Scientific, Inc. #*  178,248 
22,700  Anixter International, Inc. #*  1,496,838  18,100  Gevity HR, Inc. *  357,294 
27,900  ANSYS, Inc. #*  1,416,483  36,300  Global Imaging Systems, Inc. #*  707,850 
25,400  ATMI, Inc. #*  776,478  53,900  Harmonic, Inc. #*  529,298 
29,613  Avid Technology, Inc. #*  1,032,901  18,800  Hutchinson Technology, Inc. #*  438,980 
73,200  Axcelis Technologies, Inc. #*  559,248       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
23

Small Cap Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (99.2%)  Value    Shares  Common Stock (99.2%)  Value 
 
Information Technology — continued    12,600  Planar Systems, Inc. #*  $109,242 
42,570  Hyperion Solutions    33,500  Plexus Corporation #  574,525 
  Corporation #  $2,206,403  29,400  Progress Software Corporation #*  917,280 
22,700  InfoSpace, Inc. #*  582,709  12,200  Quality Systems, Inc. *  488,000 
34,875  Insight Enterprises, Inc. #*  627,052    18,800  Radiant Systems, Inc. #*  244,964 
15,600  Inter-Tel, Inc. *  368,784  15,800  RadiSys Corporation #*  258,172 
15,200  Intevac, Inc. #*  400,824  12,700  Rogers Corporation #*  563,245 
18,500  Itron, Inc. #*  1,203,240  18,000  Rudolph Technologies, Inc. #*  313,920 
35,300  J2 Global Communication, Inc. #*  978,516  18,600  ScanSource, Inc. #*  499,224 
21,200  JDA Software Group, Inc. #*  318,636  46,600  Secure Computing Corporation #*  358,820 
32,200  Keane, Inc. #*  437,276  117,700  Skyworks Solutions, Inc. #*  676,775 
10,300  Keithley Instruments, Inc. *  157,487  18,800  Sonic Solutions, Inc. #*  265,080 
22,400  Komag, Inc. #*  733,152  14,300  SPSS, Inc. #*  516,230 
49,200  Kopin Corporation #*  166,296  16,300  Standard Microsystems   
22,787  Kronos, Inc. #*  1,219,104    Corporation #  497,802 
41,400  Kulicke and Soffa    8,300  StarTek, Inc. *  81,257 
  Industries, Inc. #  382,950  10,000  Supertex, Inc. #*  332,100 
16,200  Littelfuse, Inc. #*  657,720  21,400  Sykes Enterprises, Inc. #  390,336 
13,500  LoJack Corporation #  256,230  33,550  Symmetricom, Inc. #*  278,465 
19,600  Manhattan Associates, Inc. #  537,628  18,800  Synaptics, Inc. #*  480,904 
13,300  ManTech International    52,550  Take-Two Interactive   
  Corporation #  444,353    Software, Inc. #*  1,058,357 
15,600  MapInfo Corporation #  314,028  22,650  TALX Corporation *  750,394 
15,600  MAXIMUS, Inc.  537,888  29,400  Technitrol, Inc. *  769,986 
16,200  Mercury Computer    47,337  THQ, Inc. #*  1,618,452 
  Systems, Inc. #*  224,694  9,600  Tollgrade Communications, Inc. #  120,576 
26,300  Methode Electronics, Inc. *  388,451  85,200  Trimble Navigation, Ltd. #  2,286,768 
29,300  MICROS Systems, Inc. #  1,581,907  16,800  Ultratech, Inc. #*  228,648 
54,400  Microsemi Corporation #*  1,132,064  47,800  United Online, Inc. *  670,634 
20,400  MIVA, Inc. #*  78,336  39,550  Varian Semiconductor   
26,700  MKS Instruments, Inc. #  681,384    Equipment Associates, Inc. #  2,111,179 
13,200  MTS Systems Corporation  512,688  22,500  Veeco Instruments, Inc. #*  438,750 
32,500  Napster, Inc. #*  134,550  17,700  ViaSat, Inc. #*  583,569 
14,500  Neoware Systems, Inc. #*  146,015  31,700  WebEx Communications, Inc. #*  1,802,462 
24,700  NETGEAR, Inc. #*  704,691  32,300  Websense, Inc. #*  742,577 
18,300  Network Equipment    20,700  X-Rite, Inc. *  268,065 
  Technologies, Inc. #  177,510    Total Information   
21,600  Novatel Wireless, Inc. #*  346,464    Technology  73,576,557 
14,550  Park Electrochemical         
  Corporation *  394,596  Materials (5.9%)   
29,900  Paxar Corporation #‡  858,130  17,600  A. Schulman, Inc. *  414,656 
16,300  PC TEL, Inc. #*  165,771  9,000  A.M. Castle & Company *  264,240 
19,000  Pericom Semiconductor    15,800  AMCOL International   
  Corporation #  185,820    Corporation *  468,470 
18,600  Phoenix Technologies, Ltd. #*  116,250  25,000  AptarGroup, Inc.  1,673,250 
12,000  Photon Dynamics, Inc. #  151,320  17,500  Arch Chemicals, Inc.  546,350 
30,200  Photronics, Inc. #*  469,610  14,500  Brush Engineered Materials, Inc. #*  702,815 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
24

Small Cap Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (99.2%)  Value  Shares  Common Stock (99.2%)  Value 
 
Materials — continued    Telecommunications Services (0.2%)   
27,300  Buckeye Technologies, Inc. #*  $354,354  1  Citizens Communications   
21,000  Caraustar Industries, Inc. #*  131,880    Company  $2 
18,400  Carpenter Technology    14,500  CT Communications, Inc. *  349,450 
  Corporation *  2,221,984  32,400  General Communication, Inc. #*  453,600 
16,600  Century Aluminum Company #*  778,208    Total Telecommunications   
33,400  Chaparral Steel Company  1,942,878    Services  803,052 
14,500  Chesapeake Corporation *  218,950       
29,700  Cleveland-Cliffs, Inc. *  1,901,097  Utilities (5.1%)   
7,500  Deltic Timber Corporation *  359,700  22,133  ALLETE, Inc. *  1,031,840 
24,700  Georgia Gulf Corporation *  400,387  12,450  American States   
21,600  Gibraltar Industries, Inc. *  488,592    Water Company *  459,032 
43,700  H.B. Fuller Company  1,191,699  64,000  Atmos Energy Corporation  2,001,920 
30,500  Headwaters, Inc. #*  666,425  38,000  Avista Corporation  920,740 
18,100  MacDermid, Inc.  631,147  8,500  Cascade Natural Gas   
9,300  Material Sciences Corporation #  92,814    Corporation *  223,975 
19,663  Myers Industries, Inc.  367,305  7,500  Central Vermont Public   
10,800  Neenah Paper, Inc. *  429,192    Service Corporation  216,150 
21,400  OM Group, Inc. #  956,152  9,900  CH Energy Group, Inc. *  482,031 
30,300  OMNOVA Solutions, Inc. #  165,438  41,600  Cleco Corporation  1,074,528 
6,600  Penford Corporation  132,924  33,300  El Paso Electric Company #  877,455 
67,000  PolyOne Corporation #*  408,700  51,700  Energen Corporation  2,631,013 
11,800  Pope & Talbot, Inc. #*  79,650  3,900  Green Mountain Power   
7,300  Quaker Chemical Corporation *  173,813    Corporation  135,993 
26,675  Quanex Corporation *  1,129,686  15,600  Laclede Group, Inc. *  484,848 
24,800  Rock-Tenn Company  823,360  20,200  New Jersey Resources   
16,500  RTI International Metals, Inc. #*  1,501,665    Corporation *  1,011,010 
18,900  Ryerson, Inc. *  748,818  19,700  Northwest Natural Gas Company  899,699 
11,300  Schweitzer-Mauduit    53,900  Piedmont Natural Gas   
  International, Inc.  280,805    Company, Inc. *  1,421,882 
8,200  Steel Technologies, Inc. *  242,556  21,100  South Jersey Industries, Inc. *  802,855 
17,300  Texas Industries, Inc. *  1,306,669  77,832  Southern Union Company  2,365,314 
29,800  Tronox, Inc. *  416,604  30,400  Southwest Gas Corporation *  1,181,648 
32,300  Wausau-Mosinee Paper    76,500  UGI Corporation ‡  2,043,315 
  Corporation  463,828  18,066  UIL Holdings Corporation  626,890 
  Total Materials  25,077,061  25,600  UniSource Energy Corporation  961,280 
        Total Utilities  21,853,418 
 
        Total Common Stock   
        (cost $273,284,007)  426,253,653 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
25

Small Cap Index Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)         
 
      Interest  Maturity   
Shares  Collateral Held for Securities Loaned (25.6%)  Rate (+)  Date  Value 
109,960,875  Thrivent Financial Securities Lending Trust  5.350%  N/A  $109,960,875 
       
    Total Collateral Held for Securities Loaned   
    (cost $109,960,875)      109,960,875 
 
 
Shares or             
Principal      Interest  Maturity   
Amount  Short-Term Investments (0.7%)  Rate (+)  Date  Value 
$650,000  Federal National Mortgage Association ‡  5.080%  7/16/2007  $640,369 
2,426,390  Thrivent Money Market Portfolio  5.050  N/A  2,426,390 
    Total Short-Term Investments (cost $3,066,576)  3,066,759 
    Total Investments (cost $386,311,458) 125.5%  $539,281,287 
    Other Assets and Liabilities, Net (25.5%)    (109,561,053) 
    Total Net Assets 100.0%      $429,720,234 
 
 
    Number of    Notional     
    Contracts  Expiration  Principal    Unrealized 
Futures    Long/(Short)  Date  Amount  Value  Gain/(Loss) 
Russell 2000 Index Futures  11  June 2007  $4,370,855  $4,444,000  $73,145 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

‡ At March 30, 2007, $640,369 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open financial futures contracts. In addition, $11,801,785 of investments were earmarked as collateral to cover open financial futures contracts.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $176,744,342 
Gross unrealized depreciation  (23,774,513) 
Net unrealized appreciation (depreciation)  $152,969,829 
Cost for federal income tax purposes  $386,311,458 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
26

Mid Cap Growth Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Shares  Common Stock (95.8%)  Value  Shares  Common Stock (95.8%)  Value 
 
Consumer Discretionary (14.5%)    71,300  Diamond Offshore   
76,900  Chipotle Mexican Grill, Inc. #*  $4,775,490    Drilling, Inc.  $5,771,735 
201,300  Circuit City Stores, Inc. *  3,730,089  36,500  GlobalSantaFe Corporation  2,251,320 
55,100  Clear Channel Outdoor    25,900  National Oilwell Varco, Inc. #  2,014,761 
  Holdings, Inc. #*  1,449,681  142,400  Peabody Energy Corporation  5,730,176 
310,300  Coldwater Creek, Inc. #*  6,292,884  37,000  Range Resources Corporation *  1,235,800 
200,500  Corinthian Colleges, Inc. #*  2,756,875  85,800  Southwestern Energy Company #* 3,516,084 
42,700  Crocs, Inc. #*  2,017,575  84,000  Toreador Resources   
136,100  DeVry, Inc.  3,994,535    Corporation #*  1,524,600 
73,000  DreamWorks Animation    62,500  Ultra Petroleum Corporation #*  3,320,625 
  SKG, Inc. #*  2,232,340  95,088  XTO Energy, Inc.  5,211,773 
58,000  Federated Department      Total Energy  42,448,533 
  Stores, Inc.  2,612,900       
26,200  Focus Media Holding,    Financials (8.1%)   
  Ltd. ADR #  2,055,652  36,950  Affiliated Managers   
57,400  Harrah’s Entertainment, Inc.  4,847,430    Group, Inc. #*  4,003,532 
118,200  Hilton Hotels Corporation  4,250,472  50,700  AllianceBernstein Holding, LP  4,486,950 
126,100  Iconix Brand Group, Inc. #*  2,572,440  141,500  Annaly Mortgage   
151,000  International Game Technology  6,097,380    Management, Inc. *  2,190,420 
66,100  ITT Educational Services, Inc. #  5,386,489    102,100  Assurant, Inc. *  5,475,623 
189,300  Leapfrog Enterprises, Inc. #*  2,025,510  6,700  Chicago Mercantile Exchange   
24,500  Panera Bread Company #*  1,446,970    Holdings, Inc. *  3,567,482 
230,000  Quiksilver, Inc. #*  2,668,000  221,100  E*TRADE Financial Corporation # 4,691,742 
102,700  Scientific Games Corporation #*  3,371,641  80,800  East West Bancorp, Inc.  2,971,016 
110,500  Shuffle Master, Inc. #*  2,016,625  65,200  Highland Distressed   
198,900  Staples, Inc.  5,139,576    Opportunities, Inc. #*  936,924 
24,800  Starwood Hotels & Resorts    91,400  Lazard, Ltd.  4,586,452 
  Worldwide, Inc.  1,608,280  55,450  Legg Mason, Inc.  5,223,944 
226,300  Texas Roadhouse, Inc. #*  3,224,775  58,000  Nasdaq Stock Market, Inc. #*  1,705,780 
101,400  Tween Brands, Inc. #*  3,622,008  78,700  PartnerRe, Ltd. *  5,394,098 
63,600  Under Armour, Inc. #*  3,262,680  86,200  Portfolio Recovery   
178,000  Urban Outfitters, Inc. #*  4,718,780    Associates, Inc. #*  3,848,830 
80,500  Volcom, Inc. #  2,765,980  74,600  T. Rowe Price Group, Inc.  3,520,374 
189,400  XM Satellite Radio      Total Financials  52,603,167 
  Holdings, Inc. #*  2,447,048       
  Total Consumer    Health Care (19.7%)   
  Discretionary  93,390,105  9,950  Accuray, Inc. #  221,288 
      162,800  Advanced Medical   
Consumer Staples (1.0%)      Optics, Inc. #*  6,056,160 
157,300  Coca-Cola Enterprises, Inc. *  3,185,325  129,400  Affymetrix, Inc. #*  3,891,058 
80,100  Whole Foods Market, Inc. *  3,592,485  24,200  Allergan, Inc. *  2,681,844 
  Total Consumer Staples  6,777,810  127,700  Amylin Pharmaceuticals, Inc. #*  4,770,872 
      37,400  Barr Pharmaceuticals, Inc. #  1,733,490 
Energy (6.6%)    43,300  Biogen Idec, Inc. #  1,921,654 
67,100  Baker Hughes, Inc.  4,437,323  187,400  BioMarin Pharmaceutical, Inc. #*  3,234,524 
118,400  Cameron International    71,600  C.R. Bard, Inc.  5,692,916 
  Corporation #  7,434,336  47,100  Cephalon, Inc. #*  3,353,991 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
27

Mid Cap Growth Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (95.8%)  Value  Shares  Common Stock (95.8%)  Value 
 
Health Care — continued    66,000  Jacobs Engineering   
53,800  Community Health      Group, Inc. #  $3,078,900 
  Systems, Inc. #  $1,896,450  118,250  Joy Global, Inc.  5,072,925 
44,400  Covance, Inc. #  2,634,696  23,300  Manitowoc Company, Inc.  1,480,249 
79,350  Coventry Health Care, Inc. #  4,447,568  69,200  Monster Worldwide, Inc. #  3,278,004 
150,600  Cubist Pharmaceuticals, Inc. #*  3,323,742  106,300  Precision Castparts Corporation  11,060,517 
30,250  DaVita, Inc. #  1,612,930  54,200  Roper Industries, Inc.  2,974,496 
114,100  Endo Pharmaceutical    103,800  Spirit Aerosystems   
  Holdings, Inc. #  3,354,540    Holdings, Inc. #  3,306,030 
40,400  Forest Laboratories, Inc. #  2,078,176  62,800  Stericycle, Inc. #*  5,118,200 
86,000  Foxhollow Technologies, Inc. #*  1,796,540  60,900  Textron, Inc.  5,468,820 
153,800  Gen-Probe, Inc. #  7,240,904  89,200  URS Corporation #  3,799,028 
82,400  Genzyme Corporation #  4,945,648  77,600  US Airways Group, Inc. #  3,529,248 
83,700  Hologic, Inc. #*  4,824,468  85,400  UTI Worldwide, Inc. *  2,099,132 
61,400  Hospira, Inc. #  2,511,260    Total Industrials  76,989,294 
51,700  Intuitive Surgical, Inc. #*~  6,285,169       
110,000  Kyphon, Inc. #*  4,965,400  Information Technology (24.5%)   
119,700  Mannkind Corporation #*  1,711,710  386,566  Activision, Inc. #  7,321,560 
59,800  Manor Care, Inc. *  3,250,728  209,664  Adobe Systems, Inc. #  8,742,989 
143,300  NuVasive, Inc. #*  3,403,375  63,300  Akamai Technologies, Inc. #*  3,159,936 
58,400  Patterson Companies, Inc. #  2,072,616  39,300  Alliance Data Systems   
131,800  PDL BioPharma, Inc. #*  2,860,060    Corporation #  2,421,666 
133,100  Pharmaceutical Product    25,200  Amphenol Corporation  1,627,164 
  Development, Inc.  4,484,139  124,600  aQuantive, Inc. #*  3,477,586 
38,000  Psychiatric Solutions, Inc. #*  1,531,780  40,400  ATMI, Inc. #*  1,235,028 
30,200  ResMed, Inc. #*  1,521,174  501,900  BEA Systems, Inc. #  5,817,021 
161,000  St. Jude Medical, Inc. #  6,055,210  162,600  Broadcom Corporation #  5,214,582 
160,200  Thermo Electron Corporation #  7,489,350  216,400  Cadence Design Systems, Inc. #*  4,557,384 
34,200  Varian Medical Systems, Inc. #  1,630,998  45,200  China GrenTech Corporation,   
125,800  VCA Antech, Inc. #  4,567,798    Ltd. ADR #*  504,884 
43,400  Vertex Pharmaceuticals, Inc. #  1,216,936  120,300  CIENA Corporation #*  3,362,385 
  Total Health Care  127,271,162  307,100  CNET Networks, Inc. #*  2,674,841 
      91,700  Cogent, Inc. #*  1,233,365 
Industrials (11.9%)    27,550  Cognizant Technology   
94,500  American Reprographics      Solutions Corporation #  2,431,838 
  Company #*  2,909,655  166,700  Corning, Inc. #  3,790,758 
48,500  BE Aerospace, Inc. #  1,537,450  140,800  Cree, Inc. #*  2,317,568 
47,800  C.H. Robinson Worldwide, Inc. *  2,282,450  262,900  Emulex Corporation #  4,808,441 
38,300  Corporate Executive    85,400  F5 Networks, Inc. #*  5,694,472 
  Board Company  2,909,268    76,800  FormFactor, Inc. #*  3,436,800 
51,020  Expeditors International of    375,900  Integrated Device   
  Washington, Inc. *  2,108,146    Technology, Inc. #  5,796,378 
87,900  Flowserve Corporation  5,027,001  240,100  Intersil Corporation  6,360,249 
87,300  Foster Wheeler, Ltd. #  5,097,447  54,800  Jabil Circuit, Inc. *  1,173,268 
39,800  Huron Consulting Group, Inc. #  2,421,432  262,862  JDS Uniphase Corporation #*  4,003,388 
40,300  ITT Corporation  2,430,896  69,840  KLA-Tencor Corporation *  3,723,869 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
28

Mid Cap Growth Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)         
 
Shares  Common Stock (95.8%)  Value  Shares  Common Stock (95.8%)  Value 
 
Information Technology — continued    Materials (3.6%)     
135,500  L-1 Identity Solutions, Inc. #*  $2,237,105  26,200  Air Products and   
290,300  Marvell Technology      Chemicals, Inc.  $1,935,918 
  Group, Ltd. #  4,879,943    24,400  Allegheny Technologies, Inc. *  2,603,236 
63,800  Maxim Integrated    169,900  Bemis Company, Inc.  5,672,961 
  Products, Inc.  1,875,720  67,400  Celanese Corporation  2,078,616 
107,600  McAfee, Inc. #  3,129,008  42,800  Florida Rock Industries, Inc.  2,880,012 
149,300  NAVTEQ Corporation #*  5,150,850  131,400  Praxair, Inc.    8,272,944 
162,000  Network Appliance, Inc. #  5,916,240    Total Materials  23,443,687 
196,400  Nuance Communications, Inc. #*  3,006,884         
66,600  OpNext, Inc. #  985,014  Telecommunications Services (5.9%)   
189,400  Opsware, Inc. #*  1,373,150  86,742  American Tower Corporation #*  3,378,601 
429,300  Powerwave Technologies, Inc. #*  2,442,717  45,900  Cellcom Israel, Ltd. #  837,216 
141,200  SanDisk Corporation #  6,184,560  762,521  Level 3 Communications, Inc. #* 4,651,378 
136,100  STEC, Inc. #*  958,144  155,100  NeuStar, Inc. #*  4,411,044 
159,700  Symantec Corporation #  2,762,810  106,900  NII Holdings, Inc. #*  7,929,842 
90,300  Synopsys, Inc. #  2,368,569  173,400  Rogers Communications, Inc.  5,680,584 
222,800  Tellabs, Inc. #  2,205,720  189,200  SBA Communications   
66,100  THQ, Inc. #*  2,259,959    Corporation #*  5,590,860 
150,600  VeriSign, Inc. #  3,783,072  274,800  Time Warner Telecom, Inc. #  5,707,596 
111,800  VistaPrint, Ltd. #*  4,281,940    Total Telecommunications   
257,000  Western Digital Corporation #  4,320,170    Services    38,187,121 
129,400  Xilinx, Inc.  3,329,462         
  Total Information      Total Common Stock   
  Technology  158,338,457    (cost $555,493,716)  619,449,336 
 
 
      Interest  Maturity   
Shares  Collateral Held for Securities Loaned (25.2%)  Rate (+)  Date  Value 
162,468,913  Thrivent Financial Securities Lending Trust  5.350%  N/A  $162,468,913 
         
    Total Collateral Held for Securities Loaned   
    (cost $162,468,913)        162,468,913 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
29

Mid Cap Growth Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)         
 
Shares or             
Principal      Interest  Maturity   
Amount  Short-Term Investments (3.2%)  Rate (+)  Date  Value 
$6,820,000  BP Capital Markets plc    5.400%  4/2/2007  $6,817,954 
13,732,603  Thrivent Money Market Portfolio  5.050    N/A  13,732,603 
       
    Total Short-Term Investments (at amortized cost)  20,550,557 
    Total Investments (cost $738,513,186) 124.2%  $802,468,806 
    Other Assets and Liabilities, Net (24.2%)    (156,477,587) 
    Total Net Assets 100.0%      $645,991,219 
 
 
    Number of  Exercise  Expiration    Unrealized 
Call Options Written  Contracts  Price  Date  Value  Gain/(Loss) 
Intuitive Surgical, Inc.  103  $120.00  April 2007  ($75,087)  $13,364 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

~ All or a portion of the security was earmarked as collateral to cover options.

Definitions:

ADR — American Depository Receipts, which are certificated for shares of an underlying foreign security’s shares held by an issuing U.S. depository bank.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $84,661,356 
Gross unrealized depreciation  (20,705,736) 
Net unrealized appreciation (depreciation)  $63,955,620 
Cost for federal income tax purposes  $738,513,186 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
30

Mid Cap Growth Portfolio II
Schedule of Investments as of March 30, 2007 (unaudited)
 
Shares  Common Stock (97.4%)  Value  Shares  Common Stock (97.4%)  Value 
 
Consumer Discretionary (14.7%)    6,900  Peabody Energy Corporation  $277,656 
3,700  Chipotle Mexican Grill, Inc. #*  $229,770    1,800  Range Resources Corporation *  60,120 
9,800  Circuit City Stores, Inc. *  181,594  4,100  Southwestern Energy Company #*  168,018 
2,700  Clear Channel Outdoor    4,100  Toreador Resources Corporation #*  74,415 
  Holdings, Inc. #*  71,037  3,000  Ultra Petroleum Corporation #*  159,390 
15,000  Coldwater Creek, Inc. #*  304,200  4,633  XTO Energy, Inc.  253,935 
9,700  Corinthian Colleges, Inc. #*  133,375    Total Energy  2,042,655 
2,000  Crocs, Inc. #*  94,500       
6,500  DeVry, Inc. *  190,775  Financials (8.2%)   
3,500  DreamWorks Animation    1,790  Affiliated Managers Group, Inc. #*  193,946 
  SKG, Inc. #*  107,030  2,400  AllianceBernstein Holding, LP *  212,400 
2,800  Federated Department Stores, Inc. *  126,140  6,800  Annaly Mortgage   
1,300  Focus Media Holding, Ltd. ADR #  101,998    Management, Inc. *  105,264 
2,700  Harrah’s Entertainment, Inc.  228,015  4,900  Assurant, Inc. *  262,787 
5,800  Hilton Hotels Corporation  208,568  300  Chicago Mercantile Exchange   
6,100  Iconix Brand Group, Inc. #*  124,440    Holdings, Inc.  159,738 
7,290  International Game Technology  294,370  10,800  E*TRADE Financial Corporation #*  229,176 
3,200  ITT Educational Services, Inc. #*  260,768  3,900  East West Bancorp, Inc. *  143,403 
9,100  Leapfrog Enterprises, Inc. #*  97,370  3,200  Highland Distressed   
1,200  Panera Bread Company #*  70,872    Opportunities, Inc. #  45,984 
11,100  Quiksilver, Inc. #*  128,760  4,400  Lazard, Ltd.  220,792 
4,900  Scientific Games Corporation #*  160,867  2,695  Legg Mason, Inc.  253,896 
5,400  Shuffle Master, Inc. #*  98,550  2,800  Nasdaq Stock Market, Inc. #*  82,348 
9,700  Staples, Inc. *  250,648  3,800  PartnerRe, Ltd. *  260,452 
1,200  Starwood Hotels & Resorts    4,200  Portfolio Recovery   
  Worldwide, Inc.  77,820    Associates, Inc. #*  187,530 
11,000  Texas Roadhouse, Inc. #*  156,750  3,600  T. Rowe Price Group, Inc.  169,884 
4,900  Tween Brands, Inc. #  175,028    Total Financials  2,527,600 
3,100  Under Armour, Inc. #*  159,030       
8,500  Urban Outfitters, Inc. #*  225,335  Health Care (20.0%)   
4,000  Volcom, Inc. #  137,440  500  Accuray, Inc. #*  11,120 
9,200  XM Satellite Radio Holdings, Inc. #*  118,864  7,900  Advanced Medical Optics, Inc. #*  293,880 
  Total Consumer    6,200  Affymetrix, Inc. #*  186,434 
  Discretionary  4,513,914   1,200  Allergan, Inc.  132,984 
   
      6,200  Amylin Pharmaceuticals, Inc. #*  231,632 
Consumer Staples (1.1%)    1,800  Barr Pharmaceuticals, Inc. #  83,430 
7,700  Coca-Cola Enterprises, Inc. *  155,925  2,100  Biogen Idec, Inc. #  93,198 
3,800  Whole Foods Market, Inc. *  170,430  9,000  BioMarin Pharmaceutical, Inc. #*  155,340 
  Total Consumer Staples  326,355  3,400  C.R. Bard, Inc. *  270,334 
      2,300  Cephalon, Inc. #*  163,783 
Energy (6.7%)    2,600  Community Health   
3,200  Baker Hughes, Inc.  211,616    Systems, Inc. #*  91,650 
5,700  Cameron International    2,200  Covance, Inc. #  130,548 
  Corporation #  357,903  3,850  Coventry Health Care, Inc. #*  215,792 
3,400  Diamond Offshore Drilling, Inc. *  275,230  7,400  Cubist Pharmaceuticals, Inc. #*  163,318 
1,800  GlobalSantaFe Corporation *  111,024  1,450  DaVita, Inc. #  77,314 
1,200  National Oilwell Varco, Inc. #  93,348       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
31

Mid Cap Growth Portfolio II         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (97.4%)  Value  Shares  Common Stock (97.4%)  Value 
 
Health Care — continued    3,100  Stericycle, Inc. #*  $252,650 
5,600  Endo Pharmaceutical    2,900  Textron, Inc.  260,420 
  Holdings, Inc. #  $164,640    4,300  URS Corporation #  183,137 
1,900  Forest Laboratories, Inc. #*  97,736  3,700  US Airways Group, Inc. #  168,276 
4,100  Foxhollow Technologies, Inc. #*  85,649  4,100  UTI Worldwide, Inc. *  100,778 
7,400  Gen-Probe, Inc. #*  348,392    Total Industrials  3,705,080 
3,940  Genzyme Corporation #  236,479       
4,000  Hologic, Inc. #*  230,560  Information Technology (24.9%)   
3,000  Hospira, Inc. #  122,700  18,666  Activision, Inc. #*  353,534 
2,500  Intuitive Surgical, Inc. #*~  303,925  10,046  Adobe Systems, Inc. #  418,918 
5,300  Kyphon, Inc. #*  239,242  3,000  Akamai Technologies, Inc. #*  149,760 
5,800  Mannkind Corporation #*  82,940  1,920  Alliance Data Systems   
2,900  Manor Care, Inc. *  157,644    Corporation #*  118,310 
7,000  NuVasive, Inc. #*  166,250  1,180  Amphenol Corporation *  76,193 
2,800  Patterson Companies, Inc. #  99,372  6,000  aQuantive, Inc. #*  167,460 
6,500  PDL BioPharma, Inc. #*  141,050  1,900  ATMI, Inc. #  58,083 
6,400  Pharmaceutical Product    24,300  BEA Systems, Inc. #  281,637 
  Development, Inc.  215,616  7,700  Broadcom Corporation #  246,939 
1,900  Psychiatric Solutions, Inc. #*  76,589  10,300  Cadence Design Systems, Inc. #*  216,918 
1,400  ResMed, Inc. #*  70,518  2,100  China GrenTech Corporation,   
7,700  St. Jude Medical, Inc. #  289,597    Ltd. ADR #*  23,457 
7,660  Thermo Electron Corporation #  358,105  5,800  CIENA Corporation #*  162,110 
1,700  Varian Medical Systems, Inc. #  81,073  14,700  CNET Networks, Inc. #*  128,037 
6,000  VCA Antech, Inc. #  217,860  4,500  Cogent, Inc. #*  60,525 
2,100  Vertex Pharmaceuticals, Inc. #  58,884  1,300  Cognizant Technology   
  Total Health Care  6,145,578    Solutions Corporation #  114,751 
      8,000  Corning, Inc. #*  181,920 
Industrials (12.1%)    6,800  Cree, Inc. #*  111,928 
4,500  American Reprographics    12,500  Emulex Corporation #*  228,625 
  Company #*  138,555  4,100  F5 Networks, Inc. #  273,388 
2,300  BE Aerospace, Inc. #  72,910  3,800  FormFactor, Inc. #*  170,050 
2,400  C.H. Robinson Worldwide, Inc. *  114,600  18,200  Integrated Device   
1,850  Corporate Executive Board      Technology, Inc. #  280,644 
  Company *  140,526  11,600  Intersil Corporation  307,284 
2,500  Expeditors International of    2,600  Jabil Circuit, Inc. *  55,666 
  Washington, Inc.  103,300  12,587  JDS Uniphase Corporation #*  191,700 
4,300  Flowserve Corporation  245,917  3,400  KLA-Tencor Corporation  181,288 
4,200  Foster Wheeler, Ltd. #  245,238  6,700  L-1 Identity Solutions, Inc. #*  110,617 
1,900  Huron Consulting Group, Inc. #  115,596  14,040  Marvell Technology Group, Ltd. #  236,012 
1,900  ITT Corporation  114,608  3,100  Maxim Integrated Products, Inc. *  91,140 
3,200  Jacobs Engineering Group, Inc. #  149,280  5,200  McAfee, Inc. #  151,216 
5,650  Joy Global, Inc. *  242,385  7,300  NAVTEQ Corporation #*  251,850 
1,100  Manitowoc Company, Inc.  69,883  7,800  Network Appliance, Inc. #  284,856 
3,260  Monster Worldwide, Inc. #  154,426  9,600  Nuance Communications, Inc. #*  146,976 
5,100  Precision Castparts Corporation  530,657  3,200  OpNext, Inc. #*  47,328 
2,600  Roper Industries, Inc.  142,688  9,000  Opsware, Inc. #*  65,250 
5,000  Spirit Aerosystems Holdings, Inc. # 159,250    21,100  Powerwave Technologies, Inc. #*  120,059 

The accompanying Notes to Schedule of Investments are an integral part of this schedule.

32

Mid Cap Growth Portfolio II           
Schedule of Investments as of March 30, 2007 (unaudited)           
 
Shares  Common Stock (97.4%)  Value  Shares  Common Stock (97.4%)  Value 
 
Information Technology — continued    Telecommunications Services (6.0%)   
6,800  SanDisk Corporation #*  $297,840  4,080  American Tower Corporation #*  $158,916 
6,500  STEC, Inc. #*  45,760    2,250  Cellcom Israel, Ltd. #  41,040 
7,800  Symantec Corporation #  134,940  36,597  Level 3 Communications, Inc. #*  223,242 
4,300  Synopsys, Inc. #  112,789    7,500  NeuStar, Inc. #*  213,300 
10,800  Tellabs, Inc. #  106,920  5,200  NII Holdings, Inc. #*  385,736 
3,200  THQ, Inc. #*  109,408  8,400  Rogers Communications, Inc. *  275,184 
7,200  VeriSign, Inc. #  180,864  9,000  SBA Communications   
5,400  VistaPrint, Ltd. #*  206,820    Corporation #*  265,950 
12,400  Western Digital Corporation #  208,444  13,200  Time Warner Telecom, Inc. #*  274,164 
6,200  Xilinx, Inc. *  159,526    Total Telecommunications   
  Total Information      Services    1,837,532 
  Technology  7,627,740         
        Total Common Stock   
Materials (3.7%)      (cost $25,753,290)  29,857,643 
1,300  Air Products and Chemicals, Inc.  96,057         
1,200  Allegheny Technologies, Inc. *  128,028         
8,100  Bemis Company, Inc.  270,459         
3,200  Celanese Corporation  98,688         
2,100  Florida Rock Industries, Inc.  141,309         
6,300  Praxair, Inc.  396,648         
  Total Materials  1,131,189         
 
      Interest  Maturity   
Shares  Collateral Held for Securities Loaned (25.5%)  Rate (+)  Date  Value 
7,827,403  Thrivent Financial Securities Lending Trust  5.350%  N/A  $7,827,403 
  Total Collateral Held for Securities Loaned   
  (cost $7,827,403)        7,827,403 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
33

Mid Cap Growth Portfolio II           
Schedule of Investments as of March 30, 2007 (unaudited)         
      Interest  Maturity   
Shares  Short-Term Investments (1.7%)  Rate (+)  Date  Value 
523,158  Thrivent Money Market Portfolio  5.050%  N/A  $523,158 
       
    Total Short-Term Investments (at amortized cost)  523,158 
    Total Investments (cost $34,103,851) 124.6%  $38,208,204 
    Other Assets and Liabilities, Net (24.6%)    (7,538,588) 
    Total Net Assets 100.0%      $30,669,616 
 
 
    Number of  Exercise  Expiration    Unrealized 
Call Options Written  Contracts  Price  Date  Value  Gain/(Loss) 
Intuitive Surgical, Inc.  6  $120.00  April 2007  ($4,374)  $778 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

~ All or a portion of the security was earmarked as collateral to cover options.

Definitions:

ADR — American Depository Receipts, which are certificates for shares of an underlying foreign security’s shares held by an issuing U.S. depository bank.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $4,958,737 
Gross unrealized depreciation  (854,384) 
 
Net unrealized appreciation (depreciation)  $4,104,353 
Cost for federal income tax purposes  $34,103,851 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
34

Partner Mid Cap Value Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Shares  Common Stock (96.3%)  Value  Shares  Common Stock (96.3%)  Value 
 
Consumer Discretionary (8.0%)    8,837  Everest Re Group, Ltd.  $849,854 
12,799  Autoliv, Inc.  $730,951  10,668  First Horizon National   
7,524  Boyd Gaming Corporation *  358,443    Corporation *  443,042 
123,335  Charter Communications, Inc. #*  344,105  12,551  Highwoods Properties, Inc.  495,639 
12,369  D.R. Horton, Inc.  272,118  4,134  Home Properties, Inc.  218,317 
25,490  H&R Block, Inc. *  536,310  23,929  Hudson City Bancorp, Inc.  327,349 
9,011  Johnson Controls, Inc.  852,621  9,096  iStar Financial, Inc.  425,966 
17,397  Lennar Corporation  734,327  41,171  KeyCorp  1,542,677 
34,039  Newell Rubbermaid, Inc.  1,058,273  4,797  Lazard, Ltd.  240,713 
9,383  Ross Stores, Inc.  322,775  13,601  Liberty Property Trust *  662,641 
9,373  Williams-Sonoma, Inc. *  332,367  4,971  Lincoln National Corporation  336,984 
  Total Consumer    4,085  M&T Bank Corporation  473,166 
  Discretionary  5,542,290  11,997  Mack-Cali Realty Corporation  571,417 
      4,974  MGIC Investment Corporation *  293,068 
Consumer Staples (5.0%)    15,138  Northern Trust Corporation  910,399 
14,673  Clorox Company  934,523  9,962  PartnerRe, Ltd. *  682,795 
5,125  Pepsi Bottling Group, Inc.  163,436  9,069  Pennsylvania Real Estate   
4,530  Reynolds American, Inc. *  282,717    Investment Trust  402,029 
15,310  Safeway, Inc.  560,958  6,310  PMI Group, Inc.  285,338 
7,437  Smithfield Foods, Inc. #*  222,738  2,803  Radian Group, Inc.  153,829 
33,678  SUPERVALU, Inc. *  1,315,799  5,382  RenaissanceRe Holdings, Ltd.  269,853 
  Total Consumer Staples  3,480,171  2,992  Torchmark Corporation  196,245 
      13,632  UnumProvident Corporation *  313,945 
Energy (10.6%)    15,588  Webster Financial Corporation  748,380 
6,211  BJ Services Company  173,287  10,242  Zions Bancorporation  865,654 
22,332  EOG Resources, Inc.  1,593,165    Total Financials  18,616,342 
68,325  Range Resources Corporation *  2,282,055       
24,184  Ultra Petroleum Corporation #*  1,284,896  Health Care (5.3%)   
6,800  W-H Energy Services, Inc. #  317,832  7,102  Charles River Laboratories   
59,760  Williams Companies, Inc.  1,700,770    International, Inc. #  328,539 
  Total Energy  7,352,005  9,876  Coventry Health Care, Inc. #  553,550 
      13,295  Health Net, Inc. #  715,404 
Financials (26.8%)    28,529  IMS Health, Inc.  846,170 
17,537  Ambac Financial Group, Inc.  1,515,021  19,084  MedImmune, Inc. #*  694,467 
15,584  Apartment Investment &    21,848  PerkinElmer, Inc.  529,159 
  Management Company *  899,041    Total Health Care  3,667,289 
6,833  Assurant, Inc. *  366,454       
6,637  Bear Stearns Companies, Inc.  997,873  Industrials (7.4%)   
15,614  Brandywine Realty Trust *  521,664  6,600  Alliant Techsystems, Inc. #*  580,272 
14,011  CIT Group, Inc.  741,462  86,736  Allied Waste Industries, Inc. #  1,092,006 
3,710  City National Corporation  273,056  8,029  American Standard   
9,568  Commerce Bancshares, Inc. *  462,230    Companies, Inc.  425,698 
5,260  Developers Diversified Realty    10,208  Avis Budget Group, Inc. #  278,883 
  Corporation  330,854  6,446  Carlisle Companies, Inc. *  276,727 
6,674  E*TRADE Financial Corporation #  141,622  17,290  Cooper Industries, Ltd.  777,877 
8,052  Eaton Vance Corporation  286,973  6,120  Landstar System, Inc.  280,541 
7,688  Equity Residential REIT  370,792  4,179  Norfolk Southern Corporation  211,457 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
35

Partner Mid Cap Value Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (96.3%)  Value    Shares  Common Stock (96.3%)  Value 
 
Industrials — continued    Telecommunications Services (1.5%)   
17,906  Republic Services, Inc.  $498,145  18,284  Embarq Corporation  $1,030,303 
10,725  Rockwell Collins, Inc.  717,824    Total Telecommunications   
  Total Industrials  5,139,430    Services  1,030,303 
 
Information Technology (7.3%)    Utilities (15.9%)   
73,617  Activision, Inc. #  1,394,306  10,582  AGL Resources, Inc.  452,063 
17,346  Amphenol Corporation  1,120,031  9,520  American Electric Power   
70,307  BearingPoint, Inc. #*  538,552    Company, Inc.  464,100 
31,694  LSI Corporation #*  330,885  11,706  CMS Energy Corporation  208,367 
50,267  Seagate Technology  1,171,221  2,216  Constellation Energy Group, Inc.  192,681 
13,919  Tessera Technologies, Inc. #*  553,141  39,981  DPL, Inc. *  1,243,009 
  Total Information    31,460  Edison International, Inc.  1,545,630 
  Technology  5,108,136  22,119  Entergy Corporation  2,320,727 
      9,685  FirstEnergy Corporation  641,534 
Materials (8.5%)    11,897  Northeast Utilities   
15,699  Agrium, Inc.  601,743    Service Company  389,865 
6,745  Air Products and Chemicals, Inc.  498,388  31,560  PG&E Corporation  1,523,401 
15,933  Airgas, Inc.  671,576  35,042  PPL Corporation  1,433,218 
4,583  Albemarle Corporation  189,461  2,852  Sierra Pacific Resources #  49,568 
21,987  Celanese Corporation  678,079  11,506  Wisconsin Energy Corporation  558,271 
28,882  Chemtura Corporation  315,680    Total Utilities  11,022,434 
31,548  Commercial Metals Company  989,030       
22,266  MeadWestvaco Corporation  686,683    Total Common Stock   
15,674  Packaging Corporation of      (cost $59,307,967)  66,836,232 
  America *  382,446       
8,677  Steel Dynamics, Inc.  374,846       
4,940  United States Steel Corporation  489,900       
  Total Materials  5,877,832       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
36

Partner Mid Cap Value Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
    Interest  Maturity   
Shares  Collateral Held for Securities Loaned (18.4%)  Rate (+)  Date  Value 
12,752,670  Thrivent Financial Securities Lending Trust  5.350%  N/A  $12,752,670 
  Total Collateral Held for Securities Loaned   
  (cost $12,752,670)      12,752,670 
 
 
    Interest  Maturity   
Shares  Short-Term Investments (3.5%)  Rate (+)  Date  Value 
2,402,373  Thrivent Money Market Portfolio  5.050%  N/A  $2,402,373 
  Total Short-Term Investments (at amortized cost)  2,402,373 
  Total Investments (cost $74,463,010) 118.2%  $81,991,275 
  Other Assets and Liabilities, Net (18.2%)    (12,601,472) 
  Total Net Assets 100.0%      $69,389,803 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

Definitions:

REIT — Real Estate Investment Trust, is a company that buys, develops, manages and/or sells real estate assets.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $8,101,674 
Gross unrealized depreciation  (573,409) 
Net unrealized appreciation (depreciation)  $7,528,265 
Cost for federal income tax purposes  $74,463,010 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
37

Thrivent Mid Cap Stock Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
 
Shares  Common Stock (93.4%)  Value  Shares  Common Stock (93.4%)  Value 
 
Consumer Discretionary (8.5%)    56,200  Eaton Vance Corporation  $2,002,968 
31,500  Advance Auto Parts, Inc.  $1,214,325  40,400  Endurance Specialty Holdings, Ltd. 1,443,896 
29,000  Darden Restaurants, Inc.  1,194,510  76,233  Fidelity National Financial, Inc. *  1,830,354 
21,500  Gannett Company, Inc. *  1,210,235  47,200  General Growth Properties, Inc.  3,047,704 
99,500  Goodyear Tire & Rubber    158,100  HCC Insurance Holdings, Inc. *  4,869,480 
  Company #*  3,103,405  32,200  Leucadia National Corporation *  947,324 
12,100  Harman International      173,000  New York Community   
  Industries, Inc.  1,162,568    Bancorp, Inc. *  3,043,070 
43,800  Marvel Entertainment, Inc. #  1,215,450  69,200  Old Republic International   
257,300  Newell Rubbermaid, Inc.  7,999,457    Corporation  1,530,704 
118,600  Royal Caribbean Cruises, Ltd. *  5,000,176  26,000  PartnerRe, Ltd. *  1,782,040 
499,000  Service Corporation    46,200  Philadelphia Consolidated   
  International  5,918,140    Holding Corporation #  2,032,338 
170,800  Tupperware Corporation *  4,258,044  153,900  PMI Group, Inc.  6,959,358 
49,000  Viacom, Inc. #  2,014,390  25,600  Protective Life Corporation  1,127,424 
  Total Consumer    50,100  Rayonier, Inc. REIT  2,154,300 
  Discretionary  34,290,700     19,000  SEI Investments Company  1,144,370 
   
      138,900  U-Store-It Trust  2,794,668 
Consumer Staples (8.0%)    67,400  W.R. Berkley Corporation  2,232,288 
105,900  Avon Products, Inc.  3,945,834  40,000  Westamerica Bancorporation *  1,926,800 
140,800  Clorox Company  8,967,552  37,700  Whitney Holding Corporation  1,152,866 
273,000  Flowers Foods, Inc. *  8,236,410  18,700  Zions Bancorporation  1,580,524 
72,600  Hershey Company *  3,968,316    Total Financials  68,369,235 
81,800  Hormel Foods Corporation  3,042,142       
127,000  Pepsi Bottling Group, Inc.  4,050,030  Health Care (11.1%)   
  Total Consumer Staples  32,210,284   30,800  Aetna, Inc.  1,348,732 
   
      44,900  Affymetrix, Inc. #*  1,350,143 
Energy (0.7%)    77,400  Applera Corporation (Celera   
12,400  Devon Energy Corporation  858,328    Group) #  1,099,080 
33,500  Dresser-Rand Group, Inc. #  1,020,410  30,300  Beckman Coulter, Inc.  1,935,867 
19,100  Newfield Exploration Company #  796,661  27,100  Cephalon, Inc. #*  1,929,791 
  Total Energy  2,675,399  35,400  Coventry Health Care, Inc. #  1,984,170 
      78,400  Cytyc Corporation #  2,682,064 
Financials (17.0%)    48,706  Dade Behring Holdings, Inc.  2,135,758 
47,900  A.G. Edwards, Inc.  3,313,722  21,100  DaVita, Inc. #  1,125,052 
16,350  Affiliated Managers Group, Inc. #*  1,771,522  36,500  Hologic, Inc. #  2,103,860 
45,400  American Capital Strategies, Ltd. *  2,011,674  47,300  Hospira, Inc. #  1,934,570 
38,000  AmeriCredit Corporation #*  868,680  123,100  Human Genome Sciences, Inc. #*  1,307,322 
35,000  Associated Banc-Corp  1,176,000  50,500  ImClone Systems, Inc. #*  2,058,885 
36,800  Assurant, Inc. *  1,973,584  82,100  IMS Health, Inc.  2,435,086 
19,800  Bear Stearns Companies, Inc.  2,976,930  16,300  Intuitive Surgical, Inc. #*  1,981,591 
49,800  Brown & Brown, Inc. *  1,345,596  19,800  Invitrogen Corporation #*  1,260,270 
14,300  City National Corporation  1,052,480  27,400  LifePoint Hospitals, Inc. #  1,047,228 
85,300  Colonial BancGroup, Inc.  2,111,175  88,100  Lincare Holdings, Inc. #  3,228,865 
28,400  Commerce Bancshares, Inc. *  1,372,004  30,300  Omnicare, Inc. *  1,205,031 
38,600  Cullen/Frost Bankers, Inc.  2,019,938  33,900  Patterson Companies, Inc. #*  1,203,111 
130,700  E*TRADE Financial Corporation #  2,773,454  32,500  ResMed, Inc. #*  1,637,025 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
38

Mid Cap Stock Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (93.4%)  Value  Shares  Common Stock (93.4%)  Value 
 
Health Care — continued    128,000  Juniper Networks, Inc. #  $2,519,040 
21,900  Shire Pharmaceuticals Group    108,000  Marvell Technology Group, Ltd. # 1,815,480 
  plc ADR *  $1,355,610  53,000  McAfee, Inc. #  1,541,240 
70,600  St. Jude Medical, Inc. #  2,655,266  31,300  MEMC Electronic   
22,900  Universal Health Services, Inc.  1,311,254    Materials, Inc. #  1,896,154 
25,900  Varian Medical Systems, Inc. #*  1,235,171  26,200  NDS Group plc ADR #*  1,308,428 
35,800  Vertex Pharmaceuticals, Inc. #  1,003,832  41,200  Paychex, Inc.  1,560,244 
  Total Health Care  44,554,634  30,500  SanDisk Corporation #*  1,335,900 
      54,900  Synopsys, Inc. #  1,440,027 
Industrials (6.2%)    198,400  Tellabs, Inc. #  1,964,160 
131,100  AMR Corporation #*  3,991,995  121,900  Teradyne, Inc. #  2,016,226 
50,600  Cenveo, Inc. #  1,229,580  44,700  Varian Semiconductor   
30,500  ChoicePoint, Inc. #  1,141,615    Equipment Associates, Inc. #*  2,386,086 
21,300  Cintas Corporation  768,930  121,200  VeriSign, Inc. #  3,044,544 
36,200  FTI Consulting, Inc. #  1,215,958  99,600  Vishay Intertechnology, Inc. #  1,392,408 
45,600  JB Hunt Transport Services, Inc.  1,196,544  88,000  Western Digital Corporation #  1,479,280 
16,400  Manpower, Inc.  1,209,828  142,200  Wind River Systems, Inc. #  1,413,468 
537,200  Southwest Airlines Company *  7,896,840  119,300  Xilinx, Inc.  3,069,589 
63,700  Stericycle, Inc. #*  5,191,550    Total Information   
19,000  WESCO International, Inc. #  1,192,820    Technology  66,660,085 
  Total Industrials  25,035,660       
      Materials (16.3%)   
Information Technology (16.6%)    28,800  Albemarle Corporation  1,190,592 
97,200  ADC Telecommunications, Inc. #  1,627,128  174,100  Ball Corporation  7,982,485 
15,700  Amphenol Corporation  1,013,749  247,200  Bemis Company, Inc.  8,254,008 
56,800  Arrow Electronics, Inc. #  2,144,200  445,500  Crown Holdings, Inc. #  10,896,932 
407,600  Brocade Communications #  3,880,352  15,200  Freeport-McMoRan Copper &   
80,800  Cadence Design Systems, Inc. #  1,701,648    Gold, Inc.  1,006,088 
14,300  CDW Corporation  878,449  170,200  Lubrizol Corporation  8,770,406 
35,400  CIENA Corporation #*  989,430  46,100  Newmont Mining Corporation  1,935,739 
313,600  Compuware Corporation #  2,976,064  368,100  Owens-Illinois, Inc. #  9,485,937 
26,700  Diebold, Inc.  1,273,857  93,700  Pactiv Corporation #  3,161,438 
115,500  Emulex Corporation #  2,112,495  42,000  Pan American Silver Corporation # 1,242,780 
49,700  Fair Isaac Corporation  1,922,396  16,800  PPG Industries, Inc.  1,181,208 
39,045  Fidelity National Information    78,600  Sealed Air Corporation *  2,483,760 
  Services, Inc.  1,774,986  153,400  Silgan Holdings, Inc.  7,840,274 
27,800  FormFactor, Inc. #*  1,244,050    Total Materials  65,431,647 
126,800  Gartner Group, Inc. #  3,036,860       
29,300  Harris Corporation  1,492,835  Telecommunications Services (1.4%)   
150,800  Informatica Corporation #*  2,025,244  360,000  Cincinnati Bell, Inc. #  1,692,000 
88,400  Integrated Device    53,200  NII Holdings, Inc. #*  3,946,376 
  Technology, Inc. #  1,363,128    Total Telecommunications   
51,400  International Rectifier      Services  5,638,376 
  Corporation #*  1,963,994       
115,400  Intersil Corporation  3,056,946       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
39

Mid Cap Stock Portfolio             
Schedule of Investments as of March 30, 2007 (unaudited)           
 
Shares  Common Stock (93.4%)  Value  Shares  Common Stock (93.4%)  Value 
 
Utilities (7.6%)      95,200  SCANA Corporation  $4,109,784 
39,600  AGL Resources, Inc.  $1,691,712    51,000  Vectren Corporation *  1,458,600 
26,600  Alliant Energy Corporation  1,192,212    63,200  WGL Holdings, Inc. *  2,021,136 
404,500  CMS Energy Corporation  7,200,100    71,200  Wisconsin Energy Corporation 3,454,624 
28,900  MDU Resources Group, Inc.  830,586      Total Utilities  30,625,978 
41,400  Northeast Utilities             
  Service Company  1,356,678      Total Common Stock   
45,300  Pepco Holdings, Inc.  1,314,606      (cost $342,832,496)  375,491,998 
146,600  PPL Corporation  5,995,940           
 
        Interest  Maturity   
Shares  Collateral Held for Securities Loaned (16.9%)  Rate (+)  Date  Value 
67,921,431  Thrivent Financial Securities Lending Trust    5.350%  N/A  $67,921,431 
    Total Collateral Held for Securities Loaned   
    (cost $67,921,431)        67,921,431 
 
 
Shares or               
Principal        Interest  Maturity   
Amount  Short-Term Investments (5.1%)    Rate (+)  Date  Value 
$5,245,000  BP Capital Markets plc      5.400%  4/2/2007  $5,243,426 
3,000,000  Solitaire Funding, LLC      5.260  4/2/2007  2,999,123 
12,381,185  Thrivent Money Market Portfolio    5.050  N/A  12,381,185 
         
    Total Short-Term Investments (at amortized cost)  20,623,734 
    Total Investments (cost $431,377,661) 115.4%  $464,037,163 
    Other Assets and Liabilities, Net (15.4%)    (62,074,910) 
    Total Net Assets 100.0%      $401,962,253 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

Definitions:

ADR — American Depository Receipts, which are certificates for shares of an underlying foreign security’s shares held by an issuing U.S. depository bank.

REIT — Real Estate Investment Trust, is a company that buys, develops, manages and/or sells real estate assets.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $37,559,313 
Gross unrealized depreciation  (4,899,811) 
Net unrealized appreciation (depreciation)  $32,659,502 
Cost for federal income tax purposes  $431,377,661 

The accompanying Notes to Schedule of Investments are an integral part of this schedule.

40

Mid Cap Index Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
 
Shares  Common Stock (97.2%)  Value  Shares  Common Stock (97.2%)  Value 
 
Consumer Discretionary (14.3%)    6,390  Lee Enterprises, Inc.  $192,020 
6,433  99 Cents Only Stores #*  $94,758  4,700  M.D.C. Holdings, Inc. *  225,929 
14,500  Advance Auto Parts, Inc.  558,975  3,500  Media General, Inc. *  133,560 
7,300  Aeropostale, Inc. #  293,679  4,660  Modine Manufacturing Company *  106,714 
27,580  American Eagle Outfitters, Inc. ‡  827,124  7,470  Mohawk Industries, Inc. #*  612,914 
7,900  American Greetings Corporation *  183,359  8,300  Netflix, Inc. #*  192,477 
9,850  AnnTaylor Stores Corporation #  381,983  15,600  O’Reilly Automotive, Inc. #  516,360 
10,300  Applebee’s International, Inc.  255,234  10,280  OSI Restaurant Partners, Inc. *  406,060 
9,730  ArvinMeritor, Inc. *  177,572  9,500  Pacific Sunwear of California, Inc. #  197,885 
1,580  Bandag, Inc. *  80,090  9,000  Payless ShoeSource, Inc. #*  298,800 
6,970  Barnes & Noble, Inc.  274,966  18,700  PETsMART, Inc.  616,352 
5,300  Beazer Homes USA, Inc. *  153,859  7,500  Phillips-Van Heusen Corporation  441,000 
12,210  Belo Corporation  227,961  6,100  Regis Corporation *  246,257 
3,630  Blyth, Inc.  76,629  9,600  Rent-A-Center, Inc. #  268,608 
5,010  Bob Evans Farms, Inc.  185,120  19,260  Ross Stores, Inc.  662,544 
8,100  Borders Group, Inc. *  165,402  8,100  Ruby Tuesday, Inc. *  231,660 
7,960  BorgWarner, Inc.  600,343  5,900  Ryland Group, Inc. *  248,921 
5,800  Boyd Gaming Corporation *  276,312  19,050  Saks, Inc.  397,002 
16,855  Brinker International, Inc.  551,158  3,710  Scholastic Corporation #  115,381 
8,460  Callaway Golf Company *  133,330  9,300  Scientific Games Corporation #*  305,319 
13,000  Career Education Corporation #*  396,500  7,820  Sotheby’s Holdings, Inc. *  347,834 
29,400  CarMax, Inc. #  721,476  2,000  Strayer Education, Inc.  250,000 
5,090  Catalina Marketing Corporation  160,742  4,900  Thor Industries, Inc. *  193,011 
3,500  CBRL Group, Inc. *  162,050  6,900  Timberland Company #  179,607 
16,900  Charming Shoppes, Inc. #  218,855  17,400  Toll Brothers, Inc. #  476,412 
10,700  Cheesecake Factory, Inc. #  285,155  8,400  Tupperware Corporation *  209,412 
24,200  Chico’s FAS, Inc. #*  591,206  15,400  Urban Outfitters, Inc. #*  408,254 
12,820  Claire’s Stores, Inc. *  411,778  6,680  Valassis Communications, Inc. #*  114,829 
8,400  Coldwater Creek, Inc. #*  170,352  770  Washington Post Company  587,895 
11,900  Corinthian Colleges, Inc. #*  163,625  9,770  Westwood One, Inc. *  67,120 
8,120  DeVry, Inc.  238,322  15,380  Williams-Sonoma, Inc. *  545,375 
5,200  Dick’s Sporting Goods, Inc. #*  302,952    Total Consumer   
14,060  Dollar Tree Stores, Inc. #  537,654    Discretionary  23,347,685 
4,000  Entercom Communications         
  Corporation *  112,720  Consumer Staples (2.5%)   
21,400  Foot Locker, Inc.  503,970  11,200  Alberto-Culver Company  256,256 
6,740  Furniture Brands International, Inc. *  106,357  8,840  BJ’s Wholesale Club, Inc. #  299,057 
20,800  GameStop Corporation #  677,456  9,010  Church & Dwight Company, Inc. *  453,654 
19,720  Gentex Corporation *  320,450  7,750  Energizer Holdings, Inc. #  661,308 
13,200  Hanesbrands, Inc. #  387,948  8,300  Hansen Natural Corporation #*  314,404 
6,500  Harte-Hanks, Inc.  179,335  10,130  Hormel Foods Corporation  376,735 
5,000  Hovnanian Enterprises, Inc. #*  125,800  7,776  J.M. Smucker Company *  414,616 
5,070  International Speedway Corporation  262,119  3,240  Lancaster Colony Corporation  143,176 
4,500  ITT Educational Services, Inc. #  366,705  8,510  PepsiAmericas, Inc.  189,943 
6,100  John Wiley and Sons, Inc.  230,336  5,110  Ruddick Corporation *  153,709 
7,130  Laureate Education, Inc. #  420,456  13,700  Smithfield Foods, Inc. #*  410,315 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
41

Mid Cap Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (97.2%)  Value  Shares  Common Stock (97.2%)  Value 
 
Consumer Staples — continued    17,300  Eaton Vance Corporation  $616,572 
3,742  Tootsie Roll Industries, Inc. *  $112,145  8,910  Everest Re Group, Ltd.  856,875 
3,640  Universal Corporation  223,314  30,405  Fidelity National Financial, Inc. *  730,024 
  Total Consumer Staples  4,008,632   13,300  First American Corporation *  674,576 
 
      15,100  First Niagara Financial Group, Inc.  210,041 
Energy (7.9%)    11,180  FirstMerit Corporation *  236,010 
19,500  Arch Coal, Inc. *  598,455  7,160  Greater Bay Bancorp  192,532 
15,460  Cameron International    7,070  Hanover Insurance Group, Inc.  326,068 
  Corporation #  970,733  15,350  HCC Insurance Holdings, Inc. *  472,780 
11,500  Cimarex Energy Company  425,730  7,900  Highwoods Properties, Inc.  311,971 
16,500  Denbury Resources, Inc. #  491,535  6,060  Horace Mann Educators Corporation  124,533 
7,400  Encore Acquisition Company #  179,006  12,900  Hospitality Properties Trust  603,720 
9,300  FMC Technologies, Inc. #  648,768  9,900  IndyMac Bancorp, Inc. *  317,295 
7,600  Forest Oil Corporation #*  253,612  9,040  Investors Financial Services   
15,000  Frontier Oil Corporation  489,600    Corporation  525,676 
17,560  Grant Prideco, Inc. #  875,190  14,400  Jefferies Group, Inc. *  416,880 
14,320  Hanover Compressor Company #*  318,620  22,270  Leucadia National Corporation *  655,183 
14,180  Helmerich & Payne, Inc.  430,221  12,500  Liberty Property Trust *  609,000 
17,800  Newfield Exploration Company #  742,438  9,126  Longview Fibre Company  224,773 
23,400  Noble Energy, Inc.  1,395,810  9,900  Macerich Company  914,364 
4,100  Overseas Shipholding Group, Inc. *  256,660  9,300  Mack-Cali Realty Corporation  442,959 
21,500  Patterson-UTI Energy, Inc.  482,460  5,000  Mercury General Corporation *  265,200 
16,900  Pioneer Natural Resources Company  728,559  14,300  New Plan Excel Realty Trust, Inc. *  472,329 
9,900  Plains Exploration &    38,711  New York Community   
  Production Company #  446,886    Bancorp, Inc. *  680,926 
8,100  Pogo Producing Company *  389,610  10,900  Nuveen Investments *  515,570 
22,720  Pride International, Inc. #  683,872  8,330  Ohio Casualty Corporation  249,484 
7,600  Quicksilver Resources, Inc. #*  302,252  31,750  Old Republic International   
23,200  Southwestern Energy Company #  950,736    Corporation  702,310 
11,000  Superior Energy Services, Inc. #  379,170  11,980  PMI Group, Inc.  541,736 
7,900  Tidewater, Inc. *  462,782  1  PNC Financial Services Group, Inc.  54 
  Total Energy  12,902,705   5,308  Potlatch Corporation *  242,991 
   
      9,670  Protective Life Corporation  425,867 
Financials (16.5%)    11,020  Radian Group, Inc.  604,778 
10,420  A.G. Edwards, Inc.  720,856  12,725  Raymond James Financial, Inc.  378,696 
13,600  AMB Property Corporation ‡  799,544  10,708  Rayonier, Inc. REIT  460,444 
9,735  American Financial Group, Inc.  331,379  9,500  Regency Centers Corporation  793,725 
16,090  AmeriCredit Corporation #*  367,817  8,670  SEI Investments Company  522,194 
13,600  Arthur J. Gallagher & Company *  385,288  7,400  StanCorp Financial Group, Inc.  363,858 
17,993  Associated Banc-Corp  604,565  4,830  SVB Financial Group #*  234,690 
11,670  Astoria Financial Corporation  310,305  15,620  TCF Financial Corporation  411,743 
7,000  Bank of Hawaii Corporation  371,210  18,600  UDR, Inc. *  569,532 
15,800  Brown & Brown, Inc. *  426,916  5,600  Unitrin, Inc.  263,592 
7,300  Cathay General Bancorp *  248,054  23,275  W.R. Berkley Corporation  770,868 
5,620  City National Corporation  413,632  11,540  Waddell & Reed Financial, Inc.  269,113 
21,100  Colonial BancGroup, Inc.  522,225  12,227  Washington Federal, Inc.  286,845 
8,400  Cullen/Frost Bankers, Inc.  439,572  7,930  Webster Financial Corporation  380,719 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
42

Mid Cap Index Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (97.2%)    Value  Shares  Common Stock (97.2%)  Value 
 
Financials — continued      7,400  Universal Health Services, Inc.  $423,724 
10,500  Weingarten Realty Investors    $499,380  12,910  Valeant Pharmaceuticals   
4,220  Westamerica Bancorporation *  203,277    International *  223,214 
9,580  Wilmington Trust Corporation  403,989  4,200  Varian, Inc. #  244,692 
  Total Financials  26,917,105  11,500  VCA Antech, Inc. #  417,565 
 
        4,500  Ventana Medical Systems, Inc. #*  188,550 
Health Care (10.8%)      17,420  Vertex Pharmaceuticals, Inc. #  488,457 
8,206  Advanced Medical Optics, Inc. #*  305,263  4,600  Wellcare Health Plans, Inc. #  392,150 
9,300  Affymetrix, Inc. #*    279,651    Total Health Care  17,655,312 
5,970  Apria Healthcare Group, Inc. #*  192,532       
8,530  Beckman Coulter, Inc.    544,982  Industrials (15.2%)   
9,000  Cephalon, Inc. #*    640,890  12,460  Adesa, Inc. ‡  344,270 
9,100  Cerner Corporation #*    495,495  12,530  AGCO Corporation #  463,234 
9,300  Charles River Laboratories      12,500  AirTran Holdings, Inc. #*  128,375 
  International, Inc. #    430,218  5,540  Alaska Air Group, Inc. #  211,074 
12,900  Community Health Systems, Inc. #  454,725  6,060  Alexander & Baldwin, Inc.  305,666 
8,710  Covance, Inc. #    516,851  4,500  Alliant Techsystems, Inc. #*  395,640 
15,700  Cytyc Corporation #    537,097  14,570  AMETEK, Inc.  503,248 
20,880  Dentsply International, Inc.    683,820  13,920  Avis Budget Group, Inc. #  380,294 
7,920  Edwards Lifesciences Corporation #*  401,544  6,660  Brink’s Company  422,577 
7,100  Gen-Probe, Inc. #    334,268  8,540  Carlisle Companies, Inc.  366,622 
33,300  Health Management      10,486  ChoicePoint, Inc. #  392,491 
  Associates, Inc. *    361,971  6,430  Con-way, Inc.  320,471 
15,380  Health Net, Inc. #    827,598  9,700  Copart, Inc. #  271,697 
12,200  Henry Schein, Inc. #    673,196  5,200  Corporate Executive   
8,450  Hillenbrand Industries, Inc.    501,676    Board Company  394,992 
5,100  Intuitive Surgical, Inc. #*    620,007  7,100  Crane Company  286,982 
6,400  Invitrogen Corporation #    407,360  7,100  Deluxe Corporation *  238,063 
7,800  LifePoint Hospitals, Inc. #    298,116  9,400  Donaldson Company, Inc.  339,340 
12,020  Lincare Holdings, Inc. #    440,533  5,500  DRS Technologies, Inc.  286,935 
4,400  Martek Biosciences Corporation #*  90,728  8,220  Dun & Bradstreet Corporation  749,664 
7,600  Medicis Pharmaceutical      29,440  Expeditors International of   
  Corporation *    234,232    Washington, Inc.  1,216,461 
43,647  Millennium Pharmaceuticals, Inc. #  495,830  17,260  Fastenal Company *  604,963 
16,720  Omnicare, Inc. *    664,954  6,700  Federal Signal Corporation  103,984 
4,900  Par Pharmaceutical      7,730  Flowserve Corporation  442,079 
  Companies, Inc. #*    123,088  7,220  GATX Corporation  345,116 
15,860  PDL BioPharma, Inc. #*    344,162  9,100  Graco, Inc.  356,356 
10,450  Perrigo Company    184,547  4,760  Granite Construction, Inc.  263,038 
14,200  Pharmaceutical Product      11,700  Harsco Corporation  524,862 
  Development, Inc.    478,398  8,890  Herman Miller, Inc.  297,726 
7,400  Psychiatric Solutions, Inc. #    298,294  6,530  HNI Corporation *  299,923 
10,500  ResMed, Inc. #*    528,885  8,230  Hubbell, Inc. *  397,015 
15,150  Sepracor, Inc. #*    706,444  16,120  Jacobs Engineering Group, Inc. #  751,998 
9,000  STERIS Corporation    239,040  14,240  JB Hunt Transport Services, Inc.  373,658 
5,400  Techne Corporation #    308,340  24,475  JetBlue Airways Corporation #*  281,707 
12,100  Triad Hospitals, Inc. #*    632,225  15,050  Joy Global, Inc.  645,645 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
43

Mid Cap Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (97.2%)  Value  Shares  Common Stock (97.2%)  Value 
 
Industrials — continued    11,708  Broadridge Financial   
3,120  Kelly Services, Inc.  $100,464    Solutions, LLC #  $230,648 
5,370  Kennametal, Inc.  363,066  38,480  Cadence Design Systems, Inc. #‡  810,389 
5,940  Korn/Ferry International #*  136,264  8,270  CDW Corporation  508,026 
5,800  Lincoln Electric Holdings, Inc.  345,448    19,400  Ceridian Corporation #  675,896 
11,670  Manpower, Inc.  860,896  11,980  CheckFree Corporation #*  444,338 
4,200  Mine Safety Appliances Company *  176,652  8,150  CommScope, Inc. #*  349,635 
7,400  MSC Industrial Direct    10,600  Cree, Inc. #*  174,476 
  Company, Inc.  345,432  6,170  CSG Systems International, Inc. #  154,373 
7,400  Navigant Consulting, Inc. #*  146,224  25,460  Cypress Semiconductor   
4,590  Nordson Corporation  213,251    Corporation #*  472,283 
10,100  Oshkosh Truck Corporation  535,300  9,030  Diebold, Inc.  430,821 
13,660  Pentair, Inc. *  425,646  7,710  DST Systems, Inc. #*  579,792 
18,780  Precision Castparts Corporation  1,954,063  5,570  Dycom Industries, Inc. #*  145,154 
16,310  Quanta Services, Inc. #*  411,338  5,600  F5 Networks, Inc. #  373,408 
23,100  Republic Services, Inc.  642,642  7,850  Fair Isaac Corporation  303,638 
4,232  Rollins, Inc.  97,378  17,000  Fairchild Semiconductor   
12,000  Roper Industries, Inc.  658,560    International, Inc. #  284,240 
1,000  Sequa Corporation #*  119,770  7,100  Gartner Group, Inc. #  170,045 
8,160  SPX Corporation *  572,832  9,400  Global Payments, Inc.  320,164 
6,000  Stericycle, Inc. #  489,000  18,400  Harris Corporation ‡  937,480 
7,360  Swift Transportation    4,910  Imation Corporation *  198,266 
  Company, Inc. #  229,338  19,600  Ingram Micro, Inc. #  378,476 
5,440  Teleflex, Inc.  370,301  26,950  Integrated Device   
7,100  Thomas & Betts Corporation #  346,622    Technology, Inc. #  415,569 
12,900  Timken Company  390,999  9,950  International Rectifier   
10,995  Trinity Industries, Inc. *  460,910    Corporation #*  380,190 
9,120  United Rentals, Inc. #*  250,800  18,600  Intersil Corporation  492,714 
6,900  Werner Enterprises, Inc. *  125,373  10,560  Jack Henry & Associates, Inc.  253,968 
7,800  YRC Worldwide, Inc. #*  313,716  11,480  KEMET Corporation #  87,822 
  Total Industrials  24,788,451   19,600  Lam Research Corporation #  927,864 
   
      15,850  Lattice Semiconductor   
Information Technology (15.3%)      Corporation #  92,722 
54,600  3Com Corporation #  213,486  7,140  Macrovision Corporation #  178,857 
34,388  Activision, Inc. #  651,309  21,920  McAfee, Inc. #  637,434 
9,390  Acxiom Corporation  200,852  23,100  MEMC Electronic Materials, Inc. #  1,399,398 
8,580  ADTRAN, Inc.  208,923  11,670  Mentor Graphics Corporation #  190,688 
2,900  Advent Software, Inc. #*  101,123  7,750  Micrel, Inc. #  85,405 
9,100  Alliance Data Systems Corporation #  560,742  29,660  Microchip Technology, Inc.  1,053,820 
12,200  Amphenol Corporation  787,754  11,500  MoneyGram International, Inc.  319,240 
21,500  Andrew Corporation #  227,685  14,060  MPS Group, Inc. #  198,949 
16,870  Arrow Electronics, Inc. #  636,842  7,875  National Instruments Corporation  206,561 
59,020  Atmel Corporation #  296,871  5,690  Newport Corporation #*  93,145 
17,620  Avnet, Inc. #  636,787  14,000  Palm, Inc. #*  253,820 
7,080  Avocent Corporation #  190,948  15,600  Parametric Technology   
16,600  BISYS Group, Inc. #  190,236    Corporation #  297,804 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
44

Mid Cap Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (97.2%)  Value  Shares  Common Stock (97.2%)  Value 
 
Information Technology — continued    12,000  Steel Dynamics, Inc.  $518,400 
12,420  Polycom, Inc. #  $413,959  14,060  Valspar Corporation  391,290 
17,860  Powerwave Technologies, Inc. #*  101,623  9,600  Worthington Industries, Inc. *  197,568 
26,540  RF Micro Devices, Inc. #*  165,344    Total Materials  9,756,232 
10,090  Semtech Corporation #  136,013       
7,600  Silicon Laboratories, Inc. #  227,392  Telecommunications Services (0.8%)   
5,600  SRA International, Inc. #*  136,416  34,010  Cincinnati Bell, Inc. #  159,847 
12,580  Sybase, Inc. #  318,022  8,900  NeuStar, Inc. #  253,116 
19,880  Synopsys, Inc. #‡  521,452  14,320  Telephone and Data Systems, Inc.  853,758 
7,580  Tech Data Corporation #  271,440    Total Telecommunications   
5,220  Transaction Systems      Services  1,266,721 
  Architects, Inc. #  169,076       
18,952  TriQuint Semiconductor, Inc. #  94,760  Utilities (7.9%)   
14,600  UTStarcom, Inc. #*  121,034  10,880  AGL Resources, Inc.  464,794 
13,600  ValueClick, Inc. #  355,368  15,900  Alliant Energy Corporation ‡  712,638 
25,420  Vishay Intertechnology, Inc. #  355,372  18,266  Aqua America, Inc. *  410,072 
30,200  Western Digital Corporation #  507,662  51,580  Aquila, Inc. #‡  215,604 
10,350  Wind River Systems, Inc. #  102,879  4,700  Black Hills Corporation *  172,819 
9,400  Zebra Technologies Corporation #*  362,934  15,630  DPL, Inc. *  485,937 
  Total Information    12,200  Duquesne Light Holdings, Inc. *  241,438 
  Technology  24,928,659 21,950  Energy East Corporation  534,702 
 
      16,700  Equitable Resources, Inc.  806,944 
Materials (6.0%)    11,850  Great Plains Energy, Inc. *  384,532 
10,790  Airgas, Inc.  454,798  11,380  Hawaiian Electric Industries, Inc. *  295,766 
10,820  Albemarle Corporation  447,299  6,030  IDACORP, Inc. *  204,055 
7,640  Bowater, Inc. *  181,985  24,925  MDU Resources Group, Inc.  716,344 
8,790  Cabot Corporation  419,547  11,500  National Fuel Gas Company *  497,490 
33,100  Chemtura Corporation  361,783  21,170  Northeast Utilities Service Company 693,741 
16,200  Commercial Metals Company  507,870  14,840  NSTAR *  521,181 
5,860  Cytec Industries, Inc.  329,566  12,590  OGE Energy Corporation  488,492 
6,000  Ferro Corporation  129,660  15,200  ONEOK, Inc.  684,000 
6,700  Florida Rock Industries, Inc.  450,843  26,443  Pepco Holdings, Inc.  767,376 
5,300  FMC Corporation  399,779  10,475  PNM Resources, Inc.  338,342 
6,280  Glatfelter Company  93,635  16,160  Puget Energy, Inc.  414,989 
14,300  Louisiana-Pacific Corporation  286,858  16,130  SCANA Corporation  696,332 
9,460  Lubrizol Corporation  487,474  30,400  Sierra Pacific Resources #  528,352 
29,440  Lyondell Chemical Company  882,317  10,690  Vectren Corporation *  305,734 
6,220  Martin Marietta Materials, Inc.  840,944  12,120  Westar Energy, Inc.  333,542 
2,780  Minerals Technologies, Inc. *  172,805  6,910  WGL Holdings, Inc. *  220,982 
10,100  Olin Corporation  171,094  16,170  Wisconsin Energy Corporation  784,568 
11,400  Packaging Corporation of America *  278,160    Total Utilities  12,920,766 
8,800  Reliance Steel &         
  Aluminum Company  425,920    Total Common Stock   
16,400  RPM International, Inc.  378,840    (cost $113,839,996)  158,492,268 
6,000  Scotts Company *  264,180       
6,430  Sensient Technologies Corporation  165,765       
13,780  Sonoco Products Company  517,852       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
45

Mid Cap Index Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)         
 
      Interest  Maturity   
Shares  Collateral Held for Securities Loaned (24.3%)  Rate (+)  Date  Value 
39,512,303  Thrivent Financial Securities Lending Trust  5.350%  N/A  $39,512,303 
    Total Collateral Held for Securities Loaned   
    (cost $39,512,303)        39,512,303 
 
 
Shares or             
Principal      Interest  Maturity   
Amount  Short-Term Investments (2.5%)  Rate (+)    Date  Value 
$300,000  Federal National Mortgage Association ‡  5.080%  7/16/2007  $295,555 
3,721,237  Thrivent Money Market Portfolio  5.050  N/A  3,721,237 
    Total Short-Term Investments (cost $4,016,707)  4,016,792 
    Total Investments (cost $157,369,006) 124.0%  $202,021,363 
    Other Assets and Liabilities, Net (24.0%)    (39,118,276) 
    Total Net Assets 100.0%      $162,903,087 
 
 
    Number of    Notional     
    Contracts  Expiration  Principal    Unrealized 
Futures    Long/(Short)  Date  Amount  Value  Gain/(Loss) 
S&P 400 Index Mini-Futures  53  June 2007  $4,480,291  $4,535,740  $55,449 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

‡ At March 30, 2007, $295,555 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open financial futures contracts. In addition, $4,807,047 of investments were earmarked as collateral to cover open financial futures contracts.

Definitions:

REIT — Real Estate Investment Trust, is a company that buys, develops, manages and/or sells real estate assets.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $48,771,418 
Gross unrealized depreciation  (4,119,061) 
Net unrealized appreciation (depreciation)  $44,652,357 
Cost for federal income tax purposes  $157,369,006 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
46

Partner International Stock Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Shares  Common Stock (97.5%)  Value (^)  Shares  Common Stock (97.5%)  Value (^) 
 
Australia (4.0%)    175,600  Lundin Mining Corporation #  $1,954,491 
228,737  Australia & New Zealand    73,000  Metro, Inc.  2,307,926 
  Banking Group, Ltd.  $5,489,114  212,400  Oilexco, Inc. #  1,574,832 
121,364  BHP Billiton, Ltd.  2,939,888  91,300  Royal Bank of Canada #  4,547,207 
100,335  Caltex Australia, Ltd.  1,930,379  39,500  Teck Cominco, Ltd.  2,753,881 
325,333  Computershare, Ltd.  2,851,738    Total Canada  39,371,389 
66,985  Macquarie Bank Limited  4,477,068       
314,873  Paladin Resources, Ltd. #  2,457,762  Cayman Islands (0.2%)   
189,063  QBE Insurance Group, Ltd.  4,815,592  575,000  Kingboard Chemical   
21,369  Rio Tinto, Ltd. *  1,360,067    Holdings, Ltd.  2,414,522 
432,914  Seek, Ltd.  2,517,585    Total Cayman Islands  2,414,522 
150,834  Suncorp-Metway, Ltd.  2,532,740       
684,100  Westpac Banking Corporation *  14,567,527  Denmark (0.3%)   
238,667  Woolworths, Ltd.  5,241,269  41,883  Novo Nordisk AS  3,818,773 
188,159  WorleyParsons, Ltd.  4,192,997    Total Denmark  3,818,773 
171,437  Zinifex, Ltd. *  2,182,018       
  Total Australia  57,555,744  Finland (0.5%)   
      88,081  Elisa Oyj  2,552,219 
Austria (0.7%)    47,585  Kesko Oyj *  2,548,022 
224,770  Immofinanz Immobilien    107,033  Nokia Oyj  2,466,220 
  Anlagen AG #  3,614,696    Total Finland  7,566,461 
23,818  Raiffeisen International Bank         
  Holding AG  3,377,743  France (7.1%)   
46,543  Voestalpine AG  3,377,128  57,806  Air France — KLM  2,643,903 
 
  Total Austria  10,369,567  491,800  Axa SA *  20,914,771 
      57,121  BNP Paribas SA *  5,974,478 
Belgium (0.7%)    157,700  Carrefour SA *  11,558,782 
56,266  InBev NV  4,082,622  11,704  Compagnie Generale de   
26,308  KBC Groep NV  3,276,098    Geophysique-Veritas #  2,463,472 
17,064  Umicore  3,045,801  34,147  Groupe Danone  5,586,825 
  Total Belgium  10,404,521  37,634  Kaufman & Broad SA  2,839,522 
      18,489  Lafarge SA  2,904,939 
Bermuda (0.2%)    31,587  Nexity  2,714,043 
126,759  Jardine Matheson Holdings, Ltd.  2,678,836  1  Pernod Ricard SA  81 
  Total Bermuda  2,678,836    50,205  Sanofi-Aventis *  4,368,472 
      140,100  Schneider Electric SA *  17,857,136 
Canada (2.7%)    26,491  Societe Generale *  4,580,459 
80,500  AGF Management, Ltd.  2,395,128  119,563  Total SA *  8,352,624 
53,800  Agrium, Inc. #  2,066,722  39,135  Vinci SA  6,102,362 
75,200  Bank of Nova Scotia COM NPV #  3,464,606  61,976  Vivendi Universal SA  2,525,857 
91,100  Canadian National Railway      Total France  101,387,726 
  Company #  4,018,027       
88,800  EnCana Corporation #  4,491,919       
65,800  Fortis, Inc.  1,596,412       
37,400  Husky Energy, Inc.  2,612,979       
83,800  Imperial Oil, Ltd. #  3,106,661       
45,100  Inmet Mining Corporation  2,480,598       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
47

Partner International Stock Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (97.5%)  Value (^)  Shares  Common Stock (97.5%)  Value (^) 
 
Germany (8.6%)    149,284  Geox SPA  $2,608,183 
271,200  Adidas AG *  $14,802,354    135,325  Indesit Company SPA  2,884,903 
15,661  Allianz AG  3,204,030  1,940,959  UniCredito Italiano SPA *  18,481,891 
77,146  Bayer AG *  4,939,333    Total Italy  69,824,768 
49,004  Bayerische Motoren Werke AG  2,890,889       
144,363  Celesio AG  9,074,447  Japan (18.3%)   
29,287  Deutsche Bank AG  3,943,526  189,000  Air Water, Inc.  2,316,002 
23,988  Deutsche Boerse AG  5,497,270  68,800  Aisin Seiki Company, Ltd.  2,403,413 
457,900  Deutsche Post AG-REG  13,823,124  5,739  Ardepro Company, Ltd.  2,051,184 
52,635  E.ON AG  7,165,286  74,500  Asahi Pretec Corporation  1,861,858 
18,335  Fresenius Medical Care AG    682,400  Bridgestone Corporation *  13,561,094 
  & Company  2,671,509  123,600  Canon, Inc.  6,636,609 
27,101  MAN AG  3,160,698  120,300  Casio Computer Company, Ltd. *  2,622,201 
195,900  Metro AG *  13,877,811  243,000  Chiba Bank, Ltd.  2,135,714 
2,604  Porsche AG  3,988,030  277,100  Daito Trust Construction   
15,844  RWE AG  1,674,928    Company, Ltd. *  12,982,639 
26,456  Salzgitter AG  3,874,949  59,600  Eisai Company, Ltd. *  2,856,223 
25,959  SAP AG  1,157,013  970  Geo Corporation *  1,965,832 
232,866  Siemens AG  24,939,494  92,100  Hitachi Construction   
27,740  Wincor Nixdorf AG  2,604,151    Machinery Company, Ltd.  2,480,892 
  Total Germany  123,288,842  58,600  Joint Corporation  2,213,418 
      223,900  Komatsu, Ltd.  4,689,157 
Greece (0.2%)    97,000  Kyocera Corporation *  9,113,009 
67,394  Intralot SA Integrated    94,800  Makita Corporation  3,511,460 
  Lottery Systems & Services  2,046,937  89,600  Matsuda Sangyo Company, Ltd.  2,251,971 
  Total Greece  2,046,937  331,000  Meiji Dairies Corporation  2,593,711 
      168,000  Mitsubishi Estate Company, Ltd.  5,494,277 
Hong Kong (1.5%)    1,686  Mitsubishi UFJ Financial   
319,400  Esprit Holdings, Ltd.  3,742,725    Group, Inc.  18,995,686 
866,000  Hengan International Group    324,000  Mitsui Osk Lines, Ltd.  3,587,446 
  Company, Ltd.  2,534,470  546  Mizuho Financial Group, Inc.  3,507,326 
1,073,600  Swire Pacific, Ltd.  12,041,949  128,900  Mori Seiki Company, Ltd.  3,055,747 
357,889  Vtech Holdings, Ltd.  2,575,189  655,800  Nikon Corporation *  13,764,061 
  Total Hong Kong  20,894,333  14,200  Nintendo Company, Ltd.  4,120,297 
      87,652  Nippon Seiki Company, Ltd.  2,044,636 
Ireland (0.7%)    719,000  Nippon Steel Corporation *  5,048,926 
91,065  Allied Irish Banks plc  2,699,531  377,500  Nippon Suisan Kaisha, Ltd.  2,461,889 
179,067  Anglo Irish Bank Corporation plc 3,831,139  266,000  NSK, Ltd. *  2,529,004 
111,304  Kingspan Group plc  2,950,240  462  NTT Data Corporation *  2,339,277 
  Total Ireland  9,480,910  91,000  Olympus Corporation  3,103,941 
      12,890  ORIX Corporation  3,344,496 
Italy (4.9%)    113,000  Ricoh Company, Ltd.  2,535,815 
49,271  Banca Italease SPA *  3,158,149  58,600  Shin-Etsu Chemical   
79,416  Buzzi Unicem SPA  2,419,642    Company, Ltd.  3,565,423 
384,679  Enel SPA  4,119,601  51,300  Sumco Corporation  2,123,784 
596,830  Eni SPA  19,421,610  957,900  Sumitomo Corporation *  17,164,785 
556,600  Finmeccanica SPA *  16,730,789       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
48

Partner International Stock Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (97.5%)  Value (^)  Shares  Common Stock (97.5%)  Value (^) 
 
Japan — continued    South Korea (1.6%)   
829  Sumitomo Mitsui Financial    21,535  Korea Zinc Company, Ltd.  $2,286,313 
  Group, Inc.  $7,505,349    40,155  KT&G Corporation  2,620,399 
89,000  Sumitomo Realty & Development  176,000  LG Electronics, Inc.  11,968,812 
  Co., Ltd.  3,361,548  10,973  Samsung Electronics Company, Ltd. 6,542,361 
1,693,400  Sumitomo Trust and Banking      Total South Korea  23,417,885 
  Company, Ltd. *  17,568,728       
339,300  Takeda Pharmaceutical    Spain (5.0%)   
  Company, Ltd. *  22,217,068  59,214  Actividades de Construccion y   
57,500  Tocalo Company, Ltd.  1,589,377    Servicios SA *  3,616,840 
403,800  Toyota Motor Corporation *  25,859,724  539,300  Banco Bilbao Vizcaya   
142,600  Urban Corporation  2,085,818    Argentaria SA *  13,242,459 
70,400  Yakult Honsha Company, Ltd.  1,797,024  134,851  Banco Santander Central   
95,500  Yamaha Motor Company, Ltd.  2,667,363    Hispano SA  2,407,323 
  Total Japan  261,685,202  62,104  Grupo Catalana Occidente SA  2,691,005 
      186,600  Iberdrola SA *  8,839,122 
Netherlands (4.5%)    77,545  Industria de Diseno Textil SA   
338,400  ABN AMRO Holding NV  14,580,809    (Inditex)  4,843,279 
52,580  Akzo Nobel NV  3,993,853  159,700  Repsol YPF SA *  5,381,246 
18,838  Apothekers Cooperatie OPG U.A. 2,363,110  1,235,423  Telefonica SA  27,357,540 
123,089  Arcelor Mittal  6,545,191  54,683  Union Fenosa SA  2,958,141 
142,222  ASML Holding NV #  3,519,225    Total Spain  71,336,955 
66,414  Furgo NV  3,372,555       
62,337  Heineken NV  3,259,261  Sweden (2.0%)   
489,798  ING Groep NV  20,721,478  59,500  Alfa Laval AB  3,078,390 
31,905  Sligro Food Group NV  2,471,380  43,050  Modern Times Group AB  2,514,052 
107,909  Wolters Kluwer NV  3,237,256  123,727  Peab AB  3,721,522 
  Total Netherlands  64,064,118  78,100  Swedbank AB  2,737,503 
      4,555,200  Telefonaktiebolaget LM Ericsson * 16,887,405 
Norway (1.3%)      Total Sweden  28,938,872 
96,350  Aker Kvaerner ASA  2,171,652       
108,800  Cermaq ASA  2,036,162  Switzerland (8.0%)   
394,600  Ementor ASA #  3,472,854  162,244  ABB, Ltd.  2,791,539 
44,160  Orkla ASA  3,093,023  11,448  Actelion, Ltd. #  2,667,980 
134,150  Petroleum Geo-Services ASA #  3,444,424  1,645  Geberit AG  2,543,862 
173,000  Tandberg ASA #  3,576,779  15,100  Givaudan SA *  14,011,643 
  Total Norway  17,794,894  94,457  Logitech International SA #  2,633,642 
      62,753  Nestle SA *  24,452,498 
Singapore  (3.5%)    196,005  Novartis AG  10,949,570 
688,000  Keppel Land, Ltd.  4,283,902  32,075  Phonak Holding AG  2,462,495 
3,714,000  MMI Holdings, Ltd.  4,072,377  51,338  Roche Holding AG  9,119,115 
9,156,350  Singapore    73,721  Swatch Group AG  19,529,992 
  Telecommunications, Ltd.  19,767,143  180,000  Swiss Reinsurance Company *  16,469,659 
1,339,400  United Overseas Bank, Ltd.  18,515,095  51,159  UBS AG  3,050,583 
809,000  United Overseas Land, Ltd.  2,717,284  12,546  Zurich Financial Services AG  3,627,850 
  Total Singapore  49,355,801    Total Switzerland  114,310,428 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
49

Partner International Stock Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (97.5%)  Value (^)  Shares  Common Stock (97.5%)  Value (^) 
 
Taiwan (1.0%)    1,324,100  Lloyds TSB Group plc  $14,623,723 
1,372,200  Taiwan Semiconductor    411,783  Man Group plc  4,501,902 
  Manufacturing Company,    339,532  Marks and Spencer Group plc  4,521,748 
  Ltd. ADR *  $14,751,150  290,000  Michael Page International plc  3,060,008 
 
  Total Taiwan  14,751,150  357,261  National Grid plc  5,637,511 
      948,500  Pearson plc  16,317,671 
United Kingdom (20.0%)    134,799  Punch Taverns plc  3,310,002 
142,853  Admiral Group plc  3,233,616  98,667  Reckitt Benckiser plc  5,145,071 
241,176  Antofagasta Holdings plc  2,461,447  37,124  Rio Tinto plc  2,119,794 
424,041  AstraZeneca plc  22,858,246  463,054  Royal Bank of Scotland   
300,570  Barclays plc  4,261,742    Group plc  18,126,714 
135,782  BG Group plc  1,958,552  139,569  Royal Dutch Shell plc  4,641,699 
73,618  BHP Billiton plc  1,635,589  138,881  Royal Dutch Shell plc  4,620,157 
230,326  BP Amoco plc  2,489,352  171,636  Scottish & Southern Energy plc  5,222,469 
277,910  British Airways plc #  2,662,457  210,057  Tesco plc  1,838,226 
132,658  British Land Company plc  4,001,197  553,160  Unilever plc  16,704,409 
1,427,800  British Sky Broadcasting    142,377  United Busines Media plc  2,221,888 
  Group plc  15,871,281  5,739,187  Vodafone Group plc  15,344,025 
917,665  BT Group plc  5,491,725  488,670  William Morrison   
584,434  Centricia plc  4,458,466    Supermarkets plc  2,969,233 
80,896  Chemring Group plc  2,962,430  1,279,019  WPP Group plc  19,419,092 
936,868  GlaxoSmithKline plc  25,858,810  78,444  Xstrata plc  4,028,459 
354,272  HBOS plc  7,323,852    Total United Kingdom  286,205,261 
228,845  Inchcape plc  2,571,872       
495,110  International Power plc  3,869,593    Total Common Stock   
122,034  Keller Group plc  2,216,039    (cost $1,169,483,482)  1,392,963,895 
2,850,700  Kingfisher plc  15,645,194       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
50

Partner International Stock Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
 
    Interest  Maturity   
Shares  Collateral Held for Securities Loaned (20.6%)  Rate (+)  Date  Value 
294,084,811  Thrivent Financial Securities Lending Trust  5.350%  N/A  $294,084,811 
  Total Collateral Held for Securities Loaned   
  (cost $294,084,811)      294,084,811 
 
 
Shares or         
Principal    Interest  Maturity   
Amount  Short-Term Investments (3.0%)  Rate (+)  Date  Value 
$3,000,000  Amsterdam Funding Corporation  5.350%  4/5/2007  $2,997,771 
29,285,000  GOVCO, Inc.  5.400  4/2/2007  29,276,214 
4,425,000  Paradigm Funding, LLC  5.420  4/2/2007  4,423,668 
6,098,732  Thrivent Money Market Portfolio  5.050  N/A  6,098,732 
  Total Short-Term Investments (at amortized cost)  42,796,385 
  Total Investments (cost $1,506,364,678) 121.1%  $1,729,845,091 
  Other Assets and Liabilities, Net (21.1%)    (301,597,959) 
  Total Net Assets 100.0%      $1,428,247,132 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

^ Security is fair valued.

Definitions:

ADR — American Depository Receipts, which are certificates for shares of an underlying foreign security’s shares held by an issuing U.S. depository bank.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $232,502,086 
Gross unrealized depreciation  (9,021,673) 
Net unrealized appreciation (depreciation)  $223,480,413 
Cost for federal income tax purposes  $1,506,364,678 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
51

Partner All Cap Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Shares  Common Stock (97.2%)  Value  Shares  Common Stock (97.2%)  Value 
 
Consumer Discretionary (10.6%)      7,800  Ultra Petroleum Corporation #*  $414,414 
7,100  Abercrombie & Fitch Company *  $537,328  18,900  Valero Energy Corporation  1,218,861 
28,800  Applebee’s International, Inc.  713,664      Total Energy  10,168,984 
9,200  Best Buy Company, Inc.  448,224       
24,000  EchoStar Communications    Financials (20.5%)   
  Corporation #  1,042,320  20,500  ACE, Ltd.  1,169,730 
16,800  Federated Department Stores, Inc. 756,840  17,200  American Express Company  970,080 
353  Gemstar-TV Guide    12,700  Aon Corporation  482,092 
  International, Inc. #  1,479  59,000  Bank of America Corporation  3,010,180 
11,500  J.C. Penney Company, Inc.    440  Berkshire Hathaway, Inc. #  1,601,600 
  (Holding Company)  944,840  2,400  Chicago Mercantile Exchange   
10,300  KB Home *  439,501    Holdings, Inc. *  1,277,904 
6,155  Liberty Media Corporation –    25,800  Chubb Corporation  1,333,086 
  Capital #  680,681  17,700  Citigroup, Inc.  908,718 
31,200  News Corporation  721,344  9,700  Endurance Specialty Holdings, Ltd.  346,678 
7,600  NIKE, Inc.  807,576  41,700  Federal National Mortgage   
11,700  Penn National Gaming, Inc. #*  496,314    Association  2,275,986 
16,400  PETsMART, Inc.  540,544  8,100  GFI Group, Inc. #*  550,557 
34,300  Staples, Inc.  886,312  12,700  HCC Insurance Holdings, Inc.  391,160 
51,300  Time Warner, Inc.  1,011,636  36,700  Hudson City Bancorp, Inc.  502,056 
5,600  Wynn Resorts, Ltd. *  531,216  18,700  Merrill Lynch & Company, Inc.  1,527,229 
  Total Consumer    7,000  PartnerRe, Ltd. *  479,780 
  Discretionary  10,559,819  13,600  PNC Financial Services Group, Inc.  978,792 
      16,400  Prudential Financial, Inc.  1,480,264 
Consumer Staples (8.0%)    16,500  SLM Corporation  674,850 
5,000  Altria Group, Inc.  439,050  9,600  Willis Group Holdings, Ltd. *  379,968 
7,200  Bunge, Ltd. *  591,984    Total Financials  20,340,710 
16,000  Corn Products International, Inc.  569,440       
38,200  CVS/Caremark Corporation  1,304,148  Health Care (12.0%)   
15,400  General Mills, Inc.  896,588  9,000  Advanced Magnetics, Inc. #*  542,430 
16,600  Kimberly-Clark Corporation  1,136,934  52,914  Auxilium Pharmaceuticals, Inc. #*  776,778 
51,300  Playtex Products, Inc. #  696,141  25,000  Baxter International, Inc.  1,316,750 
36,000  Procter & Gamble Company  2,273,760  7,500  Biogen Idec, Inc. #  332,850 
  Total Consumer Staples  7,908,045  10,750  Cardinal Health, Inc.  784,212 
      27,100  Gilead Sciences, Inc. #  2,073,150 
Energy (10.2%)    123,900  Inyx, Inc. #*  315,945 
14,400  Cameron International    6,100  Johnson & Johnson  367,586 
  Corporation #  904,176  11,750  Medco Health Solutions, Inc. #  852,228 
13,700  EOG Resources, Inc.  977,358  5,500  Merck & Company, Inc.  242,935 
24,000  Exxon Mobil Corporation  1,810,800  54,900  Panacos Pharmaceuticals, Inc. #*  254,187 
9,400  GlobalSantaFe Corporation  579,792  8,600  Pfizer, Inc.  217,236 
3,600  Holly Corporation  213,480  15,100  Pharmaceutical Product   
30,100  Pioneer Natural      Development, Inc.  508,719 
  Resources Company  1,297,611  44,200  Theravance, Inc. #*  1,303,900 
9,300  Schlumberger, Ltd.  642,630  21,450  Thermo Electron Corporation #  1,002,788 
15,400  Southwestern Energy Company #  631,092  19,300  UnitedHealth Group, Inc.  1,022,321 
18,100  Transocean, Inc. #  1,478,770    Total Health Care  11,914,015 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
52

Partner All Cap Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (97.2%)  Value  Shares  Common Stock (97.2%)  Value 
 
Industrials (10.8%)    Materials (3.4%)   
11,100  Boeing Company  $986,901  16,900  Monsanto Company  $928,824 
7,100  Bucyrus International, Inc.  365,650  64,000  Mosaic Company #*  1,706,240 
15,100  Deere & Company  1,640,464  11,000  Praxair, Inc.  692,560 
3,200  Excel Maritime Carriers, Ltd. #  55,136    Total Materials  3,327,624 
5,600  Fluor Corporation  502,432       
9,300  General Dynamics Corporation  710,520  Telecommunications Services (3.8%)   
36,500  General Electric Company  1,290,640  19,700  American Tower Corporation #  767,315 
10,400  Jacobs Engineering Group, Inc. #  485,160  75,412  AT&T, Inc.  2,973,495 
5,200  Manitowoc Company, Inc.  330,356    Total Telecommunications   
12,500  Precision Castparts Corporation  1,300,625    Services  3,740,810 
11,900  Raytheon Company  624,274       
24,200  Shaw Group, Inc. #*  756,734  Utilities (3.1%)   
5,100  Terex Corporation #  365,976  14,400  Constellation Energy   
7,100  Textron, Inc.  637,580    Group, Inc.  1,252,080 
26,100  UAP Holding Corporation *  674,685  12,500  ITC Holdings Corporation  541,125 
  Total Industrials  10,727,133  15,900  Public Service Enterprise   
        Group, Inc.  1,320,336 
Information Technology (14.8%)      Total Utilities  3,113,541 
15,400  Apple Computer, Inc. #  1,430,814       
73,900  Cisco Systems, Inc. #  1,886,667    Total Common Stock   
7,500  Diodes, Inc. #*  261,375    (cost $83,662,630)  96,440,150 
19,000  FormFactor, Inc. #*  850,250       
5,100  Google, Inc. #  2,336,616       
70,800  Hewlett-Packard Company  2,841,912       
27,800  Intuit, Inc. #  760,608       
19,900  Microsoft Corporation  554,613       
93,000  Oracle Corporation #  1,686,090       
28,900  QUALCOMM, Inc.  1,232,874       
26,500  Texas Instruments, Inc.  797,650       
  Total Information         
  Technology  14,639,469       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
53

Partner All Cap Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
    Interest  Maturity   
Shares  Collateral Held for Securities Loaned (7.7%)  Rate (+)  Date  Value 
7,663,396  Thrivent Financial Securities Lending Trust  5.350%  N/A  $7,663,396 
  Total Collateral Held for Securities Loaned   
  (cost $7,663,396)      7,663,396 
 
 
    Interest  Maturity   
Shares  Short-Term Investments (2.8%)  Rate (+)  Date  Value 
2,748,175  Thrivent Money Market Portfolio  5.050%  N/A  $2,748,175 
  Total Short-Term Investments (at amortized cost)  2,748,175 
  Total Investments (cost $94,074,201) 107.7%  $106,851,721 
  Other Assets and Liabilities, Net (7.7%)    (7,639,983) 
  Total Net Assets 100.0%      $99,211,738 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $13,781,240 
Gross unrealized depreciation  (1,003,720) 
 
Net unrealized appreciation (depreciation)  $12,777,520 
Cost for federal income tax purposes  $94,074,201 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
54

Large Cap Growth Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
 
Shares  Common Stock (97.6%)  Value  Shares  Common Stock (97.6%)  Value 
 
Consumer Discretionary (12.5%)    Energy (5.9%)   
78,200  Aeropostale, Inc. #  $3,145,986  102,650  Cameron International   
177,300  Best Buy Company, Inc.  8,638,056    Corporation #*  $6,445,394 
29,700  Chico’s FAS, Inc. #*  725,571  107,600  Devon Energy Corporation  7,448,072 
270,800  Coach, Inc. #  13,553,540  162,700  Diamond OffshoreDrilling, Inc. *  13,170,565 
780,900  Comcast Corporation #  19,889,523  231,350  Exxon Mobil Corporation  17,455,358 
196,200  D.R. Horton, Inc.  4,316,400  65,100  FMC Technologies, Inc. #*  4,541,376 
182,900  Darden Restaurants, Inc.  7,533,651  144,300  GlobalSantaFe Corporation *  8,900,424 
361,350  International Game Technology  14,591,313  158,000  Oceaneering International, Inc. #*  6,654,960 
70,750  J.C. Penney Company, Inc.    22,900  Petroleo Brasileiro SA ADR  2,278,779 
  (Holding Company)  5,812,820  206,150  Range Resources Corporation *  6,885,410 
254,532  Kohl’s Corporation #  19,499,697  502,850  Schlumberger, Ltd. *  34,746,935 
124,000  Las Vegas Sands Corporation #  10,739,640  80,300  Suncor Energy, Inc.  6,130,905 
685,600  Lowe’s Companies, Inc.  21,589,544  135,000  Valero Energy Corporation  8,706,150 
243,950  Marriott International, Inc.  11,943,792  245,283  XTO Energy, Inc.  13,443,961 
196,700  McGraw-Hill Companies, Inc.  12,368,496    Total Energy  136,808,289 
195,600  Melco PBL Entertainment         
  Macau, Ltd. ADR #  3,156,984  Financials (12.3%)   
641,900  News Corporation *  15,707,293  158,081  ACE, Ltd.  9,020,102 
111,950  Royal Caribbean Cruises, Ltd. *  4,719,812  96,300  AFLAC, Inc.  4,531,878 
1,371,250  Sirius Satellite Radio, Inc. #*  4,388,000  129,800  AllianceBernstein Holding, LP *  11,487,300 
647,800  Staples, Inc.  16,739,152  400,450  American Express Company  22,585,380 
550,350  Starbucks Corporation #  17,258,976  58,800  Bear Stearns Companies, Inc.  8,840,580 
199,500  Starwood Hotels & Resorts    197,500  CB Richard Ellis Group, Inc. #  6,750,550 
  Worldwide, Inc.  12,937,575  639,800  Charles Schwab Corporation  11,701,942 
162,000  Talbots, Inc. *  3,826,440  40,400  Chicago Mercantile Exchange   
382,300  Target Corporation  22,655,098    Holdings, Inc.  21,511,384 
241,100  Viacom, Inc. #  9,911,621  303,400  Citigroup, Inc.  15,576,556 
322,690  Walt Disney Company  11,110,217  76,850  Franklin Resources, Inc.  9,285,786 
74,400  Wynn Resorts, Ltd. *  7,057,584  207,800  Goldman Sachs Group, Inc.  42,937,714 
115,200  Yum! Brands, Inc.  6,653,952  269,700  Highland Distressed   
  Total Consumer      Opportunities, Inc. #*  3,875,589 
  Discretionary  290,470,733  115,800  International Securities   
        Exchange Holdings, Inc. *  5,651,040 
Consumer Staples (6.8%)    246,650  J.P. Morgan Chase & Company  11,932,927 
305,050  Altria Group, Inc.  26,786,440  112,300  Lazard, Ltd. *  5,635,214 
41,500  Andersons, Inc. *  1,842,600  136,850  Legg Mason, Inc.  12,892,638 
171,400  Archer-Daniels-Midland Company 6,290,380  138,250  Lehman Brothers Holdings, Inc.  9,687,178 
118,700  Campbell Soup Company *  4,623,365  155,300  Morgan Stanley  12,231,428 
369,150  Colgate-Palmolive Company  24,655,528  151,100  Northern Trust Corporation  9,087,154 
369,100  CVS/Caremark Corporation  12,601,074  75,400  Prudential Financial, Inc.  6,805,604 
639,250  PepsiCo, Inc.  40,630,730  215,800  State Street Corporation  13,973,050 
368,800  Walgreen Company  16,924,232  179,900  T. Rowe Price Group, Inc.  8,489,481 
331,400  Wal-Mart Stores, Inc.  15,559,230    336,476  TD Ameritrade Holding   
183,300  Whole Foods Market, Inc. *  8,221,005    Corporation #*  5,006,763 
 
  Total Consumer Staples  158,134,584  260,850  UBS AG  15,502,316 
        Total Financials  284,999,554 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
55

Large Cap Growth Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)         
 
Shares  Common Stock (97.6%)  Value  Shares  Common Stock (97.6%)    Value 
 
Health Care (16.6%)    184,100  UAL Corporation #*    $7,027,097 
186,250  Abbott Laboratories  $10,392,750  72,800  Union Pacific Corporation    7,392,840 
151,200  Aetna, Inc.  6,621,048  387,250  United Technologies     
115,800  Alcon, Inc.  15,264,756    Corporation    25,171,250 
158,250  Allergan, Inc.  17,537,265  66,850  URS Corporation #    2,847,142 
335,400  Amgen, Inc. #  18,742,152    Total Industrials  241,055,552 
216,600  Amylin Pharmaceuticals, Inc. #*  8,092,176         
245,700  Baxter International, Inc.  12,941,019  Information Technology (26.7%)     
122,500  Becton, Dickinson and Company 9,419,025  320,028  Accenture, Ltd.    12,333,879 
92,400  Cardinal Health, Inc.  6,740,580  624,700  Adobe Systems, Inc. #    26,049,990 
239,950  Celgene Corporation #*  12,587,777  180,650  Akamai Technologies, Inc. #    9,018,048 
73,400  Cephalon, Inc. #*  5,226,814  576,950  Apple Computer, Inc. #    53,604,424 
63,550  CIGNA Corporation  9,066,043  206,000  aQuantive, Inc. #*    5,749,460 
88,600  Express Scripts, Inc. #  7,151,792  585,357  BEA Systems, Inc. #    6,784,288 
345,350  Genentech, Inc. #  28,360,142  379,100  Broadcom Corporation #    12,157,737 
278,415  Genzyme Corporation #  16,710,468  2,440,150  Cisco Systems, Inc. #    62,297,030 
471,000  Gilead Sciences, Inc. #  36,031,500  283,150  Citrix Systems, Inc. #*    9,069,294 
81,150  Intuitive Surgical, Inc. #*  9,865,406  134,550  Cognizant Technology     
340,450  Johnson & Johnson  20,515,517    Solutions Corporation #    11,876,728 
111,750  Medco Health Solutions, Inc. #*  8,105,228  97,800  Cognos, Inc. #    3,852,342 
319,150  Medtronic, Inc.  15,657,499  673,950  Corning, Inc. #    15,325,623 
235,500  Merck & Company, Inc.  10,402,035  704,550  eBay, Inc. #    23,355,832 
436,700  Schering-Plough Corporation *  11,140,217  402,070  Electronic Arts, Inc. #    20,248,245 
185,100  St. Jude Medical, Inc. #  6,961,611  571,050  EMC Corporation #    7,909,042 
267,650  Teva Pharmaceutical    450,200  Emulex Corporation #    8,234,158 
  Industries, Ltd. ADR  10,018,140  51,700  F5 Networks, Inc. #*    3,447,356 
287,800  Thermo Electron Corporation #  13,454,650  140,700  First Data Corporation    3,784,830 
504,900  UnitedHealth Group, Inc.  26,744,553  154,102  Google, Inc. #    70,603,372 
261,400  Wyeth  13,077,842  605,400  Hewlett-Packard Company    24,300,756 
198,000  Zimmer Holdings, Inc. #*  16,911,180  177,900  Informatica Corporation #*    2,389,197 
  Total Health Care  383,739,185  147,150  Infosys Technologies, Ltd. ADR *  7,394,288 
      598,050  Intel Corporation    11,440,696 
Industrials (10.4%)    234,800  Intersil Corporation    6,219,852 
280,950  Boeing Company  24,979,264  408,800  Marvell Technology     
176,050  Burlington Northern      Group, Ltd. #*    6,871,928 
  Santa Fe Corporation  14,159,702  263,600  Maxim Integrated Products, Inc.  7,749,840 
83,000  Caterpillar, Inc.  5,563,490  1,460,550  Microsoft Corporation    40,705,528 
182,000  Cooper Industries, Ltd.  8,188,180  313,550  Network Appliance, Inc. #*    11,450,846 
184,450  Danaher Corporation *  13,178,952  156,100  Nokia Oyj ADR    3,577,812 
117,200  Deere & Company  12,732,608  198,200  NVIDIA Corporation #    5,704,196 
149,100  FedEx Corporation  16,017,813  42,850  OpNext, Inc. #    633,752 
136,150  Foster Wheeler, Ltd. #*  7,949,798  1,124,500  Oracle Corporation #    20,387,185 
204,850  General Dynamics Corporation  15,650,540  1,021,900  QUALCOMM, Inc.    43,594,254 
1,436,050  General Electric Company  50,778,728  48,700  Research in Motion, Ltd. #    6,647,063 
111,750  Monster Worldwide, Inc. #  5,293,598  78,100  SAP AG ADR *    3,487,165 
158,850  Precision Castparts Corporation  16,528,342  172,400  Sirf Technology Holdings, Inc. #*  4,785,824 
144,800  Raytheon Company  7,596,208         

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
56

Large Cap Growth Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)         
 
Shares  Common Stock (97.6%)  Value  Shares  Common Stock (97.6%)  Value 
 
Information Technology — continued  Telecommunications Services (3.7%)   
144,700  Telefonaktiebolaget LM    95,700  ALLTEL Corporation  $5,933,400 
  Ericsson ADR  $5,366,923  470,350  America Movil SA de CV ADR  22,478,026 
538,300  Texas Instruments, Inc.  16,202,830    405,400  American Tower Corporation #*  15,790,330 
333,300  TIBCO Software, Inc. #  2,839,716  27,500  Aruba Networks, Inc. #*  403,425 
150,350  Xilinx, Inc. *  3,868,506  428,000  AT&T, Inc.    16,876,040 
549,250  Yahoo!, Inc. #  17,186,032  262,750  NII Holdings, Inc. #*  19,490,795 
  Total Information    163,850  Tim Participacoes SA ADR #  5,321,848 
  Technology  618,505,867    Total Telecommunications   
        Services    86,293,864 
Materials (2.7%)           
182,300  Air Products and Chemicals, Inc. * 13,470,147    Total Common Stock   
72,700  Allegheny Technologies, Inc.  7,756,363    (cost $1,989,359,309)  2,261,254,119 
91,650  Cytec Industries, Inc.  5,154,396         
161,900  Freeport-McMoRan Copper &           
  Gold, Inc.  10,716,161         
439,400  Monsanto Company  24,149,424         
  Total Materials  61,246,491         
 
 
 
      Interest  Maturity   
Shares  Collateral Held for Securities Loaned (8.1%)  Rate (+)  Date  Value 
188,228,978  Thrivent Financial Securities Lending Trust  5.350%  N/A  $188,228,978 
         
    Total Collateral Held for Securities Loaned   
    (cost $188,228,978)      188,228,978 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
57

Large Cap Growth Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares or         
Principal    Interest  Maturity   
Amount  Short-Term Investments (2.5%)  Rate (+)  Date  Value 
$4,000,000  Amsterdam Funding Corporation  5.350%  4/5/2007  $3,997,028 
3,400,000  Cofco Capital Company  5.350  4/3/2007  3,398,484 
8,405,965  Thrivent Money Market Portfolio  5.050  N/A  8,405,965 
31,535,000  Toyota Motor Credit Corporation  5.400  4/2/2007  31,525,540 
10,000,000  Victory Receivables Corporation  5.340  4/3/2007  9,995,550 
  Total Short-Term Investments (at amortized cost)  57,322,567 
  Total Investments (cost $2,234,910,854) 108.2%  $2,506,805,664 
  Other Assets and Liabilities, Net (8.2%)    (190,668,110) 
  Total Net Assets 100.0%      $2,316,137,554 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

Definitions:

ADR — American Depository Receipts, which are certificates for shares of an underlying foreign security’s shares held by an issuing U.S. depository bank.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $348,739,863 
Gross unrealized depreciation  (76,845,053) 
Net unrealized appreciation (depreciation)  $271,894,810 
Cost for federal income tax purposes  $2,234,910,854 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
58

Large Cap Growth Portfolio II
Schedule of Investments as of March 30, 2007 (unaudited)
Shares  Common Stock (98.3%)  Value  Shares  Common Stock (98.3%)  Value 
 
Consumer Discretionary (12.6%)    Energy (6.0%)   
1,200  Aeropostale, Inc. #  $48,276  1,500  Cameron International   
2,655  Best Buy Company, Inc.  129,352    Corporation #  $94,185 
400  Chico’s FAS, Inc. #*  9,772  1,550  Devon Energy Corporation  107,291 
4,050  Coach, Inc. #  202,702  2,400  Diamond Offshore Drilling, Inc.  194,280 
11,600  Comcast Corporation #  295,452  3,400  Exxon Mobil Corporation  256,530 
2,900  D.R. Horton, Inc. *  63,800  1,000  FMC Technologies, Inc. #*  69,760 
2,800  Darden Restaurants, Inc. *  115,332  2,200  GlobalSantaFe Corporation  135,696 
5,400  International Game Technology  218,052  2,400  Oceaneering International, Inc. #*  101,088 
1,100  J.C. Penney Company, Inc.    400  Petroleo Brasileiro SA ADR  39,804 
  (Holding Company) *  90,376  3,100  Range Resources Corporation  103,540 
3,805  Kohl’s Corporation #  291,501  7,500  Schlumberger, Ltd.  518,250 
1,800  Las Vegas Sands Corporation #  155,898  1,200  Suncor Energy, Inc.  91,620 
10,200  Lowe’s Companies, Inc.  321,198  2,000  Valero Energy Corporation  128,980 
3,600  Marriott International, Inc.  176,256  3,666  XTO Energy, Inc.  200,933 
2,900  McGraw-Hill Companies, Inc. *  182,352    Total Energy  2,041,957 
2,950  Melco PBL Entertainment         
  Macau, Ltd. ADR #  47,613  Financials (12.4%)   
9,500  News Corporation *  232,465  2,385  ACE, Ltd.  136,088 
1,700  Royal Caribbean Cruises, Ltd.  71,672  1,400  AFLAC, Inc.  65,884 
20,600  Sirius Satellite Radio, Inc. #*  65,920  1,900  AllianceBernstein Holding, LP  168,150 
9,830  Staples, Inc.  254,007  5,980  American Express Company  337,272 
8,200  Starbucks Corporation #  257,152  900  Bear Stearns Companies, Inc.  135,315 
3,010  Starwood Hotels & Resorts    2,900  CB Richard Ellis Group, Inc. #*  99,122 
  Worldwide, Inc.  195,198  9,550  Charles Schwab Corporation  174,670 
2,400  Talbots, Inc. *  56,688  600  Chicago Mercantile Exchange   
5,670  Target Corporation  336,004    Holdings, Inc. *  319,476 
3,600  Viacom, Inc. #  147,996  4,500  Citigroup, Inc.  231,030 
4,910  Walt Disney Company  169,051  1,100  Franklin Resources, Inc.  132,913 
1,100  Wynn Resorts, Ltd. *  104,346  3,100  Goldman Sachs Group, Inc.  640,553 
1,700  Yum! Brands, Inc.  98,192  4,250  Highland Distressed   
  Total Consumer      Opportunities, Inc. #*  61,072 
  Discretionary  4,336,623  1,700  International Securities   
        Exchange Holdings, Inc. *  82,960 
Consumer Staples (6.8%)    3,700  J.P. Morgan Chase & Company  179,006 
4,500  Altria Group, Inc.  395,145  1,650  Lazard, Ltd.  82,797 
650  Andersons, Inc. *  28,860  2,050  Legg Mason, Inc.  193,130 
2,600  Archer-Daniels-Midland Company  95,420  2,100  Lehman Brothers Holdings, Inc.  147,147 
1,800  Campbell Soup Company  70,110  2,300  Morgan Stanley  181,148 
5,450  Colgate-Palmolive Company  364,006  2,300  Northern Trust Corporation  138,322 
5,500  CVS/Caremark Corporation  187,770  1,100  Prudential Financial, Inc.  99,286 
9,520  PepsiCo, Inc.  605,091  3,250  State Street Corporation  210,438 
5,500  Walgreen Company  252,395  2,700  T. Rowe Price Group, Inc.  127,413 
4,900  Wal-Mart Stores, Inc.  230,055  5,049  TD Ameritrade Holding   
2,700  Whole Foods Market, Inc. *  121,095    Corporation #*  75,129 
  Total Consumer Staples  2,349,947  4,000  UBS AG  237,720 
        Total Financials  4,256,041 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
59

Large Cap Growth Portfolio II         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (98.3%)  Value  Shares  Common Stock (98.3%)  Value 
 
Health Care (16.7%)    2,700  UAL Corporation #*  $103,059 
2,800  Abbott Laboratories  $156,240  1,100  Union Pacific Corporation  111,705 
2,250  Aetna, Inc.  98,528  5,750  United Technologies Corporation  373,750 
1,700  Alcon, Inc.  224,094  950  URS Corporation #  40,460 
2,400  Allergan, Inc.  265,968    Total Industrials  3,602,606 
5,010  Amgen, Inc. #  279,959       
3,200  Amylin Pharmaceuticals, Inc. #*  119,552  Information Technology (26.9%)   
3,700  Baxter International, Inc.  194,879  4,772  Accenture, Ltd.  183,913 
1,800  Becton, Dickinson and Company  138,402  9,200  Adobe Systems, Inc. #  383,640 
1,400  Cardinal Health, Inc.  102,130  2,800  Akamai Technologies, Inc. #*  139,776 
3,600  Celgene Corporation #*  188,856  8,600  Apple Computer, Inc. #  799,026 
1,100  Cephalon, Inc. #*  78,331  3,100  aQuantive, Inc. #*  86,521 
1,000  CIGNA Corporation  142,660  8,649  BEA Systems, Inc. #  100,242 
1,300  Express Scripts, Inc. #  104,936  5,650  Broadcom Corporation #  181,196 
5,150  Genentech, Inc. #  422,918  36,170  Cisco Systems, Inc. #  923,420 
4,169  Genzyme Corporation #  250,223  4,250  Citrix Systems, Inc. #*  136,128 
7,000  Gilead Sciences, Inc. #  535,500  2,050  Cognizant Technology   
1,200  Intuitive Surgical, Inc. #*  145,884    Solutions Corporation #  180,954 
4,930  Johnson & Johnson  297,082  1,500  Cognos, Inc. #  59,085 
1,700  Medco Health Solutions, Inc. #*  123,301  9,980  Corning, Inc. #  226,945 
4,770  Medtronic, Inc.  234,016  10,460  eBay, Inc. #  346,749 
3,600  Merck & Company, Inc.  159,012  6,000  Electronic Arts, Inc. #  302,160 
6,500  Schering-Plough Corporation  165,815  8,500  EMC Corporation #  117,725 
2,800  St. Jude Medical, Inc. #  105,308  6,700  Emulex Corporation #  122,543 
4,000  Teva Pharmaceutical    800  F5 Networks, Inc. #*  53,344 
  Industries, Ltd. ADR  149,720  2,100  First Data Corporation  56,490 
4,300  Thermo Electron Corporation #*  201,025  2,300  Google, Inc. #  1,053,767 
7,500  UnitedHealth Group, Inc.  397,275  9,100  Hewlett-Packard Company  365,274 
3,880  Wyeth  194,116  2,700  Informatica Corporation #*  36,261 
2,900  Zimmer Holdings, Inc. #*  247,689  2,150  Infosys Technologies, Ltd. ADR *  108,038 
  Total Health Care  5,723,419  8,900  Intel Corporation  170,257 
      3,500  Intersil Corporation  92,715 
Industrials (10.5%)    6,200  Marvell Technology Group, Ltd. #  104,222 
4,200  Boeing Company  373,422  3,900  Maxim Integrated Products, Inc.  114,660 
2,700  Burlington Northern Santa Fe    21,670  Microsoft Corporation  603,943 
  Corporation  217,161  4,700  Network Appliance, Inc. #  171,644 
1,100  Caterpillar, Inc.  73,733  2,300  Nokia Oyj ADR  52,716 
2,800  Cooper Industries, Ltd.  125,972  3,000  NVIDIA Corporation #  86,340 
2,770  Danaher Corporation *  197,916  750  OpNext, Inc. #  11,092 
1,700  Deere & Company *  184,688  16,800  Oracle Corporation #  304,584 
2,270  FedEx Corporation  243,866  15,250  QUALCOMM, Inc.  650,565 
2,100  Foster Wheeler, Ltd. #  122,619  700  Research in Motion, Ltd. #  95,543 
3,100  General Dynamics Corporation  236,840  1,200  SAP AG ADR *  53,580 
21,260  General Electric Company  751,754  2,600  Sirf Technology Holdings, Inc. #*  72,176 
1,700  Monster Worldwide, Inc. #  80,529  2,200  Telefonaktiebolaget LM   
2,400  Precision Castparts Corporation  249,720    Ericsson ADR  81,598 
2,200  Raytheon Company  115,412  8,000  Texas Instruments, Inc.  240,800 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
60

Large Cap Growth Portfolio II         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (98.3%)  Value  Shares  Common Stock (98.3%)  Value 
 
Information Technology — continued    Telecommunications Services (3.7%)   
5,000  TIBCO Software, Inc. #  $42,600  1,400  ALLTEL Corporation  $86,800 
2,300  Xilinx, Inc. *  59,179  7,000  America Movil SA de CV ADR  334,530 
8,100  Yahoo!, Inc. #  253,449  6,000  American Tower Corporation #  233,700 
  Total Information    450  Aruba Networks, Inc. #  6,602 
  Technology  9,224,860  6,400  AT&T, Inc.  252,352 
      3,950  NII Holdings, Inc. #*  293,011 
Materials (2.7%)    2,400  Tim Participacoes SA ADR #  77,952 
2,700  Air Products and Chemicals, Inc.  199,503    Total Telecommunications   
1,100  Allegheny Technologies, Inc. *  117,359    Services  1,284,947 
1,400  Cytec Industries, Inc.  78,736       
2,450  Freeport-McMoRan Copper &      Total Common Stock   
  Gold, Inc.  162,166    (cost $29,258,230)  33,740,900 
6,600  Monsanto Company  362,736       
  Total Materials  920,500       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
61

Large Cap Growth Portfolio II       
Schedule of Investments as of March 30, 2007 (unaudited)       
    Interest  Maturity   
Shares  Collateral Held for Securities Loaned (9.1%)  Rate (+)  Date  Value 
3,106,453  Thrivent Financial Securities Lending Trust  5.350%  N/A  $3,106,453 
  Total Collateral Held for Securities Loaned   
  (cost $3,106,453)      3,106,453 
 
 
    Interest  Maturity   
Shares  Short-Term Investments (1.9%)  Rate (+)  Date  Value 
640,592  Thrivent Money Market Portfolio  5.050%  N/A  $640,592 
  Total Short-Term Investments (at amortized cost)  640,592 
  Total Investments (cost $33,005,275) 109.3%  $37,487,945 
  Other Assets and Liabilities, Net (9.3%)    (3,184,798) 
  Total Net Assets 100.0%      $34,303,147 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

Definitions:

ADR — American Depository Receipts, which are certificated for shares of an underlying foreign security’s shares held by an issuing U.S. depository bank.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $5,184,397 
Gross unrealized depreciation  (701,727) 
Net unrealized appreciation (depreciation)  $4,482,670 
Cost for federal income tax purposes  $33,005,275 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
62

Partner Growth Stock Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Shares  Common Stock (98.6%)  Value  Shares  Common Stock (98.6%)  Value 
 
Consumer Discretionary (12.9%)    15,300  Exxon Mobil Corporation  $1,154,385 
31,700  Amazon.com, Inc. #*  $1,261,343  8,900  Murphy Oil Corporation  475,260 
10,400  Bed Bath & Beyond, Inc. #  417,768  33,300  Schlumberger, Ltd.  2,301,030 
5,700  Carnival Corporation  267,102    20,526  Total SA *  1,433,938 
15,900  Clear Channel      Total Energy  7,209,357 
  Communications, Inc. *  557,136       
6,200  Coach, Inc. #  310,310  Financials (18.6%)   
3,000  EchoStar Communications    28,600  American Express Company  1,613,040 
  Corporation #  130,290  30,100  American International   
22,900  Grupo Televisia SA ADR  682,420    Group, Inc.  2,023,322 
8,100  Harman International    46,618  Anglo Irish Bank Corporation plc  997,392 
  Industries, Inc.  778,248  47,400  Charles Schwab Corporation  866,946 
9,700  Home Depot, Inc.  356,378  900  Chicago Mercantile Exchange   
16,100  International Game Technology  650,118    Holdings, Inc.  479,214 
21,100  Kohl’s Corporation #  1,616,471  25,200  Citigroup, Inc.  1,293,768 
16,400  Lennar Corporation  692,244  25,600  Countrywide Financial   
8,906  Liberty Media Corporation —      Corporation  861,184 
  Capital #  984,915  52,800  E*TRADE Financial Corporation # 1,120,416 
26,033  Liberty Media Corporation —    14,178  Erste Bank der oesterreichischen   
  Interactive #  620,106    Sparkassen AG  1,104,293 
20,900  Lowe’s Companies, Inc.  658,141  10,200  Franklin Resources, Inc.  1,232,466 
13,500  Marriott International, Inc.  660,960  3,800  Goldman Sachs Group, Inc.  785,194 
4,700  MGM MIRAGE #  326,744  8,200  Legg Mason, Inc.  772,522 
2,800  NIKE, Inc.  297,528  12,300  Morgan Stanley  968,748 
24,800  PETsMART, Inc.  817,408  13,500  Northern Trust Corporation  811,890 
26,500  Target Corporation  1,570,390  13,600  Prudential Financial, Inc.  1,227,536 
20,900  Viacom, Inc. #  859,199  16,800  SLM Corporation  687,120 
4,500  Wynn Resorts, Ltd. *  426,870  22,000  State Street Corporation  1,424,500 
  Total Consumer    39,000  UBS AG  2,325,548 
  Discretionary  14,942,089  100,100  UniCredito Italiano SPA  953,156 
        Total Financials  21,548,255 
Consumer Staples (7.3%)         
71,537  CVS/Caremark Corporation  2,442,273  Health Care (16.2%)   
8,097  InBev NV  587,513  18,400  Aetna, Inc.  805,736 
15,800  PepsiCo, Inc.  1,004,248  25,800  Amgen, Inc. #  1,441,704 
17,237  Procter & Gamble Company  1,088,689  10,600  Celgene Corporation #  556,076 
11,300  Reckitt Benckiser plc  589,248  9,300  Eli Lilly and Company  499,503 
12,000  SYSCO Corporation  405,960  16,200  Genentech, Inc. #  1,330,344 
12,100  Walgreen Company  555,269  16,500  Gilead Sciences, Inc. #  1,262,250 
10,000  Wal-Mart de Mexico ADR  428,007  7,500  Humana, Inc. #  435,150 
22,100  Wal-Mart Stores, Inc.  1,037,595  20,600  Medco Health Solutions, Inc. #  1,494,118 
7,700  Whole Foods Market, Inc. *  345,345  30,400  Medtronic, Inc.  1,491,424 
  Total Consumer Staples  8,484,147  25,954  Novartis AG  1,449,887 
      6,455  Roche Holding AG *  1,146,595 
Energy (6.2%)    9,100  Sepracor, Inc. #*  424,333 
17,000  Baker Hughes, Inc.  1,124,210  6,700  St. Jude Medical, Inc. #  251,987 
10,100  EOG Resources, Inc.  720,534  12,400  Stryker Corporation  822,368 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
63

Partner Growth Stock Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (98.6%)  Value  Shares  Common Stock (98.6%)  Value 
 
Health Care — continued    44,200  EMC Corporation #  $612,170 
42,500  UnitedHealth Group, Inc.  $2,251,225  4,900  Google, Inc. #  2,244,984 
24,400  WellPoint, Inc. #  1,978,840  39,600  Hon Hai Precision Industry   
14,400  Wyeth  720,432    Company, Ltd.  535,709 
4,700  Zimmer Holdings, Inc. #  401,427  22,500  Intel Corporation  430,425 
 
  Total Health Care  18,763,399    14,600  Intuit, Inc. #  399,456 
      41,800  Juniper Networks, Inc. #*  822,624 
Industrials (9.8%)    65,400  Marvell Technology Group, Ltd. #  1,099,374 
24,000  Danaher Corporation  1,714,800  28,900  Maxim Integrated Products, Inc.  849,660 
4,200  Deere & Company  456,288  80,975  Microsoft Corporation  2,256,773 
18,200  Expeditors International of    18,200  QUALCOMM, Inc.  776,412 
  Washington, Inc.  752,024  334  Samsung Electronics Company, Ltd. 199,139 
9,000  Fastenal Company *  315,450  245,100  Telefonaktiebolaget LM Ericsson *  908,655 
6,000  General Dynamics Corporation  458,400  33,200  Xilinx, Inc. *  854,236 
133,500  General Electric Company  4,720,560  19,800  Yahoo!, Inc. #  619,542 
10,400  Joy Global, Inc.  446,160    Total Information   
90,800  Southwest Airlines Company  1,334,760    Technology  25,393,793 
35,400  Tyco International, Ltd.  1,116,870       
  Total Industrials  11,315,312  Materials (1.4%)   
      36,287  BHP Billiton, Ltd. *  879,006 
Information Technology (21.9%)    12,700  Monsanto Company  697,992 
53,300  Accenture, Ltd.  2,054,182    Total Materials  1,576,998 
17,000  Adobe Systems, Inc. #  708,900       
30,600  Amdocs, Ltd. #  1,116,288  Telecommunications Services (4.3%)   
22,800  Analog Devices, Inc.  786,372  31,900  America Movil SA de CV ADR  1,524,501 
8,000  Apple Computer, Inc. #  743,280  19,600  American Tower Corporation #  763,420 
25,000  Applied Materials, Inc.  458,000  35,000  Crown Castle International   
30,200  ASML Holding NV ADR #*  747,450    Corporation #  1,124,550 
20,500  Autodesk, Inc. #  770,800  48,000  Rogers Communications, Inc.  1,572,480 
28,700  Automatic Data Processing, Inc.  1,389,080    Total Telecommunications   
60,300  Cisco Systems, Inc. #  1,539,459    Services  4,984,951 
33,700  Corning, Inc. #  766,338       
16,000  Dell, Inc. #  371,360    Total Common Stock   
31,100  eBay, Inc. #  1,030,965    (cost $88,973,689)  114,218,301 
6,000  Electronic Arts, Inc. #  302,160       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
64

Partner Growth Stock Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
    Interest  Maturity   
Shares  Collateral Held for Securities Loaned (8.0%)  Rate (+)  Date  Value 
9,287,140  Thrivent Financial Securities Lending Trust  5.350%  N/A  $9,287,140 
  Total Collateral Held for Securities Loaned   
  (cost $9,287,140)      9,287,140 
 
 
    Interest  Maturity   
Shares  Short-Term Investments (1.5%)  Rate (+)  Date  Value 
1,762,785  Thrivent Money Market Portfolio  5.050%  N/A  $1,762,784 
  Total Short-Term Investments (at amortized cost)  1,762,784 
  Total Investments (cost $100,023,613) 108.1%  $125,268,225 
  Other Assets and Liabilities, Net (8.1%)    (9,427,139) 
  Total Net Assets 100.0%      $115,841,086 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

Definitions:

ADR — American Depository Receipts, which are certificated for shares of an underlying foreign security’s shares held by an issuing U.S. depository bank.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $26,533,336 
Gross unrealized depreciation  (1,288,724) 
Net unrealized appreciation (depreciation)  $25,244,612 
Cost for federal income tax purposes  $100,023,613 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
65

Large Cap Value Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Shares  Common Stock (97.8%)  Value  Shares  Common Stock (97.8%)  Value 
 
Consumer Discretionary (9.6%)    376,000  Exxon Mobil Corporation  $28,369,201 
34,400  BorgWarner, Inc.  $2,594,448  147,600  Occidental Petroleum   
65,150  CBS Corporation  1,992,938    Corporation  7,278,156 
324,150  Comcast Corporation #  8,411,692  140,500  Schlumberger, Ltd.  9,708,550 
52,300  Darden Restaurants, Inc.  2,154,237    162,200  Total SA ADR  11,318,316 
52,800  Federated Department      Total Energy  83,226,704 
  Stores, Inc.  2,378,640       
33,700  Gannett Company, Inc.  1,896,973  Financials (27.6%)   
62,400  J.C. Penney Company, Inc.    44,900  ACE, Ltd.  2,561,994 
  (Holding Company)  5,126,784  172,700  Allstate Corporation  10,372,362 
94,560  Liberty Media Corporation –    248,100  American International   
  Capital #  10,457,390    Group, Inc.  16,677,282 
101,500  Liberty Media Corporation –    354,950  Bank of America Corporation  18,109,549 
  Interactive #  2,417,730  103,000  Chubb Corporation  5,322,010 
87,500  Mattel, Inc.  2,412,375  414,245  Citigroup, Inc.  21,267,338 
91,900  McDonald’s Corporation  4,140,095  56,200  City National Corporation *  4,136,320 
353,200  News Corporation  8,165,984  75,600  Countrywide Financial   
20,500  NIKE, Inc.  2,178,330    Corporation  2,543,184 
73,400  Office Depot, Inc. #  2,579,276  20,800  Everest Re Group, Ltd.  2,000,336 
65,300  Sherwin-Williams Company  4,312,412  102,875  Federal Home Loan Mortgage   
34,700  Target Corporation  2,056,322    Corporation  6,120,034 
272,200  Time Warner, Inc.  5,367,784  68,900  Federal National Mortgage   
146,900  TJX Companies, Inc.  3,960,424    Association  3,760,562 
158,200  Visteon Corporation #  1,351,028  26,000  Goldman Sachs Group, Inc.  5,372,380 
154,600  Walt Disney Company  5,322,878  25,915  Hartford Financial Services   
  Total Consumer      Group, Inc.  2,476,956 
  Discretionary  79,277,740  520,452  J.P. Morgan Chase & Company  25,179,468 
      39,100  Lehman Brothers Holdings, Inc.  2,739,737 
Consumer Staples (8.4%)    137,600  Mellon Financial Corporation  5,936,064 
214,500  Altria Group, Inc.  18,835,245  139,900  Merrill Lynch & Company, Inc.  11,425,633 
97,200  Anheuser-Busch Companies, Inc.  4,904,712  118,100  Morgan Stanley  9,301,556 
249,700  ConAgra Foods, Inc.  6,220,027  37,000  PMI Group, Inc.  1,673,140 
26,100  Diageo plc ADR  2,112,795  86,800  PNC Financial Services   
149,400  Estee Lauder Companies, Inc. *  7,298,190    Group, Inc.  6,246,996 
131,200  General Mills, Inc.  7,638,464  157,700  Principal Financial Group, Inc.  9,441,499 
87,745  Kimberly-Clark Corporation  6,009,655  47,500  Prudential Financial, Inc.  4,287,350 
147,700  Kroger Company  4,172,525  20,700  Simon Property Group, Inc.  2,302,875 
60,100  Safeway, Inc.  2,202,064  187,700  State Street Corporation  12,153,575 
75,900  Unilever NV  2,217,798  169,200  Travelers Companies, Inc.  8,759,484 
35,000  UST, Inc. *  2,029,300  139,100  U.S. Bancorp  4,864,327 
126,100  Wal-Mart Stores, Inc.  5,920,395  170,933  Wachovia Corporation  9,409,862 
  Total Consumer Staples  69,561,170  107,313  Washington Mutual, Inc.  4,333,299 
      259,790  Wells Fargo & Company  8,944,570 
Energy (10.1%)      Total Financials  227,719,742 
94,440  Apache Corporation  6,676,908       
143,366  Chevron Corporation  10,603,349       
135,658  ConocoPhillips  9,272,224       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
66

Large Cap Value Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (97.8%)    Value  Shares  Common Stock (97.8%)  Value 
 
Health Care (9.2%)      121,000  International Business   
199,000  Abbott Laboratories    $11,104,200    Machines Corporation  $11,405,460 
48,900  Aetna, Inc.    2,141,331  206,200  Microsoft Corporation  5,746,794 
104,000  Baxter International, Inc.    5,477,680  157,700  Molex, Inc.  4,447,140 
83,325  Johnson & Johnson    5,021,164  104,700  Motorola, Inc.  1,850,049 
129,000  McKesson Corporation    7,551,660  103,990  Nokia Oyj ADR  2,383,451 
91,400  Merck & Company, Inc.    4,037,138  140,000  Oracle Corporation #  2,538,200 
49,000  Novartis AG ADR    2,676,870  92,700  Symantec Corporation #  1,603,710 
738,000  Pfizer, Inc.    18,641,880  193,000  Tellabs, Inc. #  1,910,700 
235,100  Sanofi-Aventis ADR    10,229,201    Total Information   
38,000  UnitedHealth Group, Inc.    2,012,860    Technology  64,980,946 
26,100  WellPoint, Inc. #    2,116,710       
92,700  Wyeth    4,637,781  Materials (4.2%)   
  Total Health Care    75,648,475  136,495  Alcoa, Inc.  4,627,180 
        75,900  Dow Chemical Company  3,480,774 
Industrials (12.2%)      172,000  E.I. du Pont de Nemours   
44,000  Armstrong World        and Company  8,501,960 
  Industries, Inc. #*    2,237,400  86,540  International Paper Company  3,150,056 
60,300  Avery Dennison Corporation *  3,874,878  278,900  MeadWestvaco Corporation  8,601,276 
108,700  CSX Corporation    4,353,435  67,400  Praxair, Inc.  4,243,504 
43,900  Deere & Company    4,769,296  39,500  Rohm and Haas Company  2,042,940 
121,600  Emerson Electric Company    5,239,744    Total Materials  34,647,690 
164,400  Flowserve Corporation    9,402,036       
25,600  General Dynamics Corporation  1,955,840  Telecommunications Services (5.9%)   
375,600  General Electric Company    13,281,216  32,700  ALLTEL Corporation  2,027,400 
138,700  Honeywell International, Inc.  6,388,522  552,323  AT&T, Inc.  21,778,096 
107,400  Lockheed Martin Corporation  10,419,948  271,302  Sprint Nextel Corporation  5,143,886 
29,700  Northrop Grumman Corporation  2,204,334  216,800  Time Warner Telecom, Inc. #  4,502,936 
78,700  Parker-Hannifin Corporation  6,792,597  405,255  Verizon Communications, Inc.  15,367,270 
165,300  Republic Services, Inc.    4,598,646    Total Telecommunications   
292,200  Steelcase, Inc. *    5,811,858    Services  48,819,588 
129,800  Tyco International, Ltd.    4,095,190       
26,500  Union Pacific Corporation    2,691,075    Utilities (2.7%)   
96,200  United Technologies Corporation 6,253,000  58,000  Entergy Corporation  6,085,360 
177,500  Waste Management, Inc.    6,107,775  137,200  Exelon Corporation  9,427,012 
 
  Total Industrials  100,476,790   102,300  FirstEnergy Corporation *  6,776,352 
          Total Utilities  22,288,724 
Information Technology (7.9%)           
157,200  Accenture, Ltd.    6,058,488    Total Common Stock   
361,500  AMIS Holdings, Inc. #    3,958,425    (cost $687,414,230)  806,647,569 
90,440  Applied Materials, Inc.    1,656,861       
98,900  Cisco Systems, Inc. #    2,524,917       
75,900  Dell, Inc. #    1,761,639       
207,400  Hewlett-Packard Company    8,325,036       
95,350  Hyperion Solutions Corporation #  4,941,990       
202,200  Intel Corporation    3,868,086       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
67

Large Cap Value Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
    Interest  Maturity   
Shares  Collateral Held for Securities Loaned (2.2%)  Rate (+)  Date  Value 
18,428,535  Thrivent Financial Securities Lending Trust  5.350%  N/A  $18,428,535 
  Total Collateral Held for Securities Loaned   
  (cost $18,428,535)      18,428,535 
 
 
Shares or         
Principal    Interest  Maturity   
Amount  Short-Term Investments (2.1%)  Rate (+)  Date  Value 
$5,845,000  Paradigm Funding, LLC  5.420%  4/2/2007  $5,843,240 
11,105,340  Thrivent Money Market Portfolio  5.050  N/A  11,105,340 
  Total Short-Term Investments (at amortized cost)  16,948,580 
  Total Investments (cost $722,791,345) 102.1%  $842,024,684 
  Other Assets and Liabilities, Net (2.1%)    (17,169,436) 
  Total Net Assets 100.0%      $824,855,248 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

Definitions:

ADR — American Depository Receipts, which are certificated for shares of an underlying foreign security’s shares held by an issuing U.S. depository bank.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $126,687,626 
Gross unrealized depreciation  (7,454,287) 
Net unrealized appreciation (depreciation)  $119,233,339 
Cost for federal income tax purposes  $722,791,345 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
68

Large Cap Stock Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Shares  Common Stock (93.3%)  Value  Shares  Common Stock (93.3%)  Value 
 
Consumer Discretionary (9.2%)    131,800  Walgreen Company  $6,048,302 
53,900  AnnTaylor Stores Corporation #  $2,090,242  131,200  Wal-Mart Stores, Inc.  6,159,840 
13,800  Best Buy Company, Inc.  672,336    Total Consumer Staples  84,312,717 
25,600  Carnival Corporation  1,199,616       
253,400  Comcast Corporation #  6,454,098  Energy (9.7%)   
53,200  Darden Restaurants, Inc.  2,191,308  28,600  Apache Corporation  2,022,020 
124,500  Dollar General Corporation  2,633,175  60,800  BJ Services Company  1,696,320 
27,400  Family Dollar Stores, Inc.  811,588  15,300  Cameron International   
65,300  Genuine Parts Company  3,199,700    Corporation #  960,687 
130,900  Home Depot, Inc.  4,809,266  42,100  Chesapeake Energy Corporation *  1,300,048 
32,600  Johnson Controls, Inc.  3,084,612  157,519  Chevron Corporation ‡  11,650,105 
55,300  Kohl’s Corporation #  4,236,533  138,730  ConocoPhillips  9,482,196 
95,000  Lowe’s Companies, Inc.  2,991,550  15,400  Diamond Offshore Drilling, Inc. *  1,246,630 
114,600  McDonald’s Corporation  5,162,730  422,600  Exxon Mobil Corporation  31,885,170 
56,600  McGraw-Hill Companies, Inc.  3,559,008  18,200  National Oilwell Varco, Inc. #  1,415,778 
27,200  Newell Rubbermaid, Inc.  845,648  31,100  Noble Energy, Inc.  1,855,115 
242,000  News Corporation  5,595,040  93,500  Occidental Petroleum   
24,200  NIKE, Inc.  2,571,492    Corporation  4,610,485 
36,800  Nordstrom, Inc.  1,948,192  95,000  Schlumberger, Ltd.  6,564,500 
58,800  Office Depot, Inc. #  2,066,232  25,000  Total SA ADR  1,744,500 
29,100  Omnicom Group, Inc.  2,979,258  20,600  Transocean, Inc. #  1,683,020 
29,500  Stanley Works  1,633,120  61,400  Weatherford International, Ltd. #  2,769,140 
159,550  Staples, Inc.  4,122,772  63,700  XTO Energy, Inc.  3,491,397 
28,200  Starwood Hotels & Resorts      Total Energy  84,377,111 
  Worldwide, Inc.  1,828,770       
57,900  Target Corporation  3,431,154  Financials (19.7%)   
180,600  Time Warner, Inc.  3,561,432  12,200  Ambac Financial Group, Inc.  1,053,958 
199,900  Walt Disney Company  6,882,557  47,700  American Capital Strategies, Ltd. *  2,113,587 
  Total Consumer    78,500  American Express Company  4,427,400 
  Discretionary  80,561,429  189,700  American International   
        Group, Inc.  12,751,634 
Consumer Staples (9.7%)    40,020  Ameriprise Financial, Inc.  2,286,743 
143,200  Altria Group, Inc. ‡  12,574,392  30,600  Aon Corporation  1,161,576 
26,000  Anheuser-Busch Companies, Inc.  1,311,960  288,200  Bank of America Corporation ‡  14,703,964 
91,900  Archer-Daniels-Midland    40,200  Bank of New York Company, Inc.  1,630,110 
  Company  3,372,730  4,800  Bear Stearns Companies, Inc.  721,680 
157,700  Coca-Cola Company  7,569,600  25,000  Chubb Corporation  1,291,750 
74,400  Colgate-Palmolive Company  4,969,176  81,400  CIT Group, Inc.  4,307,688 
132,598  CVS/Caremark Corporation  4,526,896  291,600  Citigroup, Inc.  14,970,744 
23,100  Diageo plc ADR  1,869,945  48,100  Federal Home Loan Mortgage   
62,100  General Mills, Inc.  3,615,462    Corporation  2,861,469 
14,700  Kimberly-Clark Corporation  1,006,803  64,600  Federal National Mortgage   
109,400  Kroger Company  3,090,550    Association  3,525,868 
148,800  PepsiCo, Inc.  9,457,728  18,900  Franklin Resources, Inc.  2,283,687 
204,900  Procter & Gamble Company  12,941,484  22,800  Goldman Sachs Group, Inc.  4,711,164 
26,500  Reynolds American, Inc. *  1,653,865       
113,100  Safeway, Inc.  4,143,984       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
69

Large Cap Stock Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (93.3%)  Value  Shares  Common Stock (93.3%)  Value 
 
Financials — continued    21,000  St. Jude Medical, Inc. #  $789,810 
53,600  Hartford Financial Services    19,100  Stryker Corporation  1,266,712 
  Group, Inc.  $5,123,088  87,700  UnitedHealth Group, Inc.  4,645,469 
296,196  J.P. Morgan Chase & Company  14,329,962  65,200  WellPoint, Inc. #  5,287,720 
67,800  KeyCorp  2,540,466  54,200  Wyeth  2,711,626 
67,300  Lehman Brothers Holdings, Inc.  4,715,711    Total Health Care  94,704,958 
64,400  Lincoln National Corporation  4,365,676       
41,400  Loews Corporation  1,880,802  Industrials (10.2%)   
66,800  Marshall & Ilsley Corporation  3,093,508  30,300  3M Company  2,315,829 
35,300  MBIA, Inc.  2,311,797  47,100  Boeing Company  4,187,661 
67,600  Mellon Financial Corporation  2,916,264  48,700  Burlington Northern Santa Fe   
31,200  Merrill Lynch & Company, Inc.  2,548,104    Corporation  3,916,941 
79,400  MetLife, Inc.  5,014,110  58,700  Caterpillar, Inc.  3,934,661 
97,900  Morgan Stanley  7,710,604  84,400  Cooper Industries, Ltd.  3,797,156 
42,500  PNC Financial Services    8,200  Deere & Company  890,848 
  Group, Inc.  3,058,725  56,300  Dover Corporation  2,748,003 
44,800  Principal Financial Group, Inc.  2,682,176  77,300  Emerson Electric Company  3,330,857 
31,700  ProLogis Trust  2,058,281  21,100  FedEx Corporation  2,266,773 
67,402  Prudential Financial, Inc.  6,083,705  44,100  General Dynamics Corporation  3,369,240 
23,900  Simon Property Group, Inc.  2,658,875  667,400  General Electric Company  23,599,264 
46,700  Travelers Companies, Inc.  2,417,659  47,300  Goodrich Corporation  2,435,004 
111,500  U.S. Bancorp  3,899,155  61,700  Honeywell International, Inc.  2,841,902 
46,000  W.R. Berkley Corporation  1,523,520  62,200  Ingersoll-Rand Company  2,697,614 
115,976  Wachovia Corporation  6,384,479  31,900  Lockheed Martin Corporation  3,094,938 
275,900  Wells Fargo & Company  9,499,237  34,200  Manpower, Inc.  2,522,934 
  Total Financials  171,618,926  27,700  Parker-Hannifin Corporation  2,390,787 
      14,300  Precision Castparts Corporation  1,487,915 
Health Care (10.9%)    40,000  Raytheon Company  2,098,400 
142,900  Abbott Laboratories  7,973,820  12,100  Textron, Inc.  1,086,580 
68,300  AmerisourceBergen Corporation  3,602,825  18,600  Union Pacific Corporation  1,888,830 
63,200  Amgen, Inc. #  3,531,616  40,900  United Parcel Service, Inc.  2,867,090 
80,500  Baxter International, Inc.  4,239,935  106,400  United Technologies Corporation  6,916,000 
24,800  Cardinal Health, Inc.  1,809,160  35,900  WESCO International, Inc. #  2,253,802 
52,800  Forest Laboratories, Inc. #  2,716,032    Total Industrials  88,939,029 
47,000  Gilead Sciences, Inc. #  3,595,500       
26,400  GlaxoSmithKline plc ADR  1,458,864  Information Technology (14.5%)   
31,500  Henry Schein, Inc. #*  1,738,170  59,800  Accenture, Ltd.  2,304,692 
203,300  Johnson & Johnson  12,250,858  88,600  Adobe Systems, Inc. #  3,694,620 
11,900  Laboratory Corporation of    41,500  Alliance Data Systems   
  America Holdings #*  864,297    Corporation #*  2,557,230 
80,800  McKesson Corporation  4,730,032  63,500  Amdocs, Ltd. #  2,316,480 
78,100  Medco Health Solutions, Inc. #  5,664,593  48,600  Apple Computer, Inc. #  4,515,426 
92,300  Medtronic, Inc.  4,528,238  146,000  Applied Materials, Inc.  2,674,720 
126,600  Merck & Company, Inc.  5,591,922  47,800  Arrow Electronics, Inc. #  1,804,450 
26,800  Novartis AG ADR  1,464,084  23,900  Broadcom Corporation #  766,473 
422,800  Pfizer, Inc.  10,679,928  102,200  Brocade Communications #  972,944 
139,700  Schering-Plough Corporation  3,563,747  454,700  Cisco Systems, Inc. #  11,608,491 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
70

Large Cap Stock Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (93.3%)  Value  Shares  Common Stock (93.3%)  Value 
 
Information Technology — continued    Materials (3.1%)   
65,500  Citrix Systems, Inc. #  $2,097,965  56,600  Air Products and   
116,900  Corning, Inc. #  2,658,306    Chemicals, Inc. ‡  $4,182,174 
59,200  Dell, Inc. #  1,374,032  37,700  Ball Corporation  1,728,545 
14,400  Google, Inc. #  6,597,504  63,600  Dow Chemical Company  2,916,696 
46,100  Harris Corporation  2,348,795  95,800  E.I. du Pont de Nemours   
234,000  Hewlett-Packard Company  9,392,760    and Company  4,735,394 
56,100  Integrated Device    19,500  Nucor Corporation  1,270,035 
  Technology, Inc. #  865,062  21,900  PPG Industries, Inc.  1,539,789 
433,900  Intel Corporation  8,300,507  52,500  Praxair, Inc.  3,305,400 
95,600  International Business    54,200  Rohm and Haas Company  2,803,224 
  Machines Corporation  9,011,256  52,100  Sigma-Aldrich Corporation  2,163,192 
39,400  International Rectifier    38,900  Temple-Inland, Inc.  2,323,886 
  Corporation #  1,505,474    Total Materials  26,968,335 
65,900  Intersil Corporation  1,745,691       
19,700  MEMC Electronic Materials, Inc. #  1,193,426  Telecommunications Services (3.3%)   
577,300  Microsoft Corporation  16,089,351  24,500  ALLTEL Corporation  1,519,000 
91,200  Molex, Inc.  2,571,840  500,315  AT&T, Inc. ‡  19,727,420 
116,500  Motorola, Inc.  2,058,555    197,600  Verizon Communications, Inc.  7,492,992 
46,400  NCR Corporation #  2,216,528    Total Telecommunications   
56,100  Network Appliance, Inc. #  2,048,772    Services  28,739,412 
165,900  Oracle Corporation #  3,007,767       
66,000  Paychex, Inc.  2,499,420  Utilities (3.0%)   
138,300  QUALCOMM, Inc.  5,899,878  70,600  American Electric Power   
180,900  Texas Instruments, Inc.  5,445,090    Company, Inc.  3,441,750 
86,940  Western Digital Corporation #  1,461,461  63,300  FirstEnergy Corporation  4,192,992 
73,000  Yahoo!, Inc. #  2,284,170  65,100  FPL Group, Inc.  3,982,167 
  Total Information    31,200  ONEOK, Inc.  1,404,000 
  Technology  125,889,136  62,000  PG&E Corporation *  2,992,740 
      72,100  PPL Corporation  2,948,890 
      51,400  Sempra Energy  3,135,914 
      63,200  TXU Corporation  4,051,120 
        Total Utilities  26,149,573 
 
        Total Common Stock   
        (cost $691,865,293)  812,260,626 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
71

Large Cap Stock Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
    Interest  Maturity   
Shares  Collateral Held for Securities Loaned (1.0%)  Rate (+)  Date  Value 
8,387,656  Thrivent Financial Securities Lending Trust  5.350%  N/A  $8,387,656 
  Total Collateral Held for Securities Loaned   
  (cost $8,387,656)      8,387,656 
 
 
Shares or         
Principal    Interest  Maturity   
Amount  Short-Term Investments (6.5%)  Rate (+)  Date  Value 
$5,500,000  Amsterdam Funding Corporation  5.350%  4/5/2007  $5,495,913 
3,000,000  Falcon Asset Securitization Corporation  5.270  4/13/2007  2,994,291 
2,180,000  Federal National Mortgage Association ‡  5.080  7/16/2007  2,147,699 
3,000,000  Regency Markets No. 1, LLC  5.250  4/16/2007  2,993,000 
21,360,000  Three Pillars Funding Corporation  5.420  4/2/2007  21,353,568 
16,355,013  Thrivent Money Market Portfolio  5.050  N/A  16,355,013 
5,000,000  UBS Finance Corporation  5.295  4/3/2007  4,997,794 
  Total Short-Term Investments (cost $56,336,663)  56,337,278 
  Total Investments (cost $756,589,612) 100.8%  $876,985,560 
  Other Assets and Liabilities, Net (0.8%)    (7,137,172) 
  Total Net Assets 100.0%      $869,848,388 

  Number of    Notional     
  Contracts  Expiration  Principal    Unrealized 
Futures  Long/(Short)  Date  Amount  Value  Gain/(Loss) 
S&P 500 Index Futures  86  June 2007  $30,539,763  $30,770,800  $231,037 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

‡ At March 30, 2007, $2,147,699 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open financial futures contracts. In addition, $38,285,056 of investments were earmarked as collateral to cover open financial futures contracts.

Definitions:

ADR — American Depository Receipts, which are certificates for shares of an underlying foreign security’s shares held by an issuing U.S. depository bank.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $128,707,044 
Gross unrealized depreciation  (8,311,096) 
Net unrealized appreciation (depreciation)  $120,395,948 
Cost for federal income tax purposes  $756,589,612 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
72

Large Cap Index Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Shares  Common Stock (97.9%)  Value  Shares  Common Stock (97.9%)  Value 
 
Consumer Discretionary (10.3%)    25,100  Interpublic Group of   
4,800  Abercrombie & Fitch Company  $363,264    Companies, Inc. #  $308,981 
16,600  Amazon.com, Inc. #*  660,514  12,000  J.C. Penney Company, Inc.   
7,600  Apollo Group, Inc. #  333,640    (Holding Company)  985,920 
8,100  AutoNation, Inc. #  172,044  10,500  Johnson Controls, Inc.  993,510 
2,700  AutoZone, Inc. #  345,978  5,900  Jones Apparel Group, Inc.  181,307 
15,100  Bed Bath & Beyond, Inc. #  606,567  4,200  KB Home *  179,214 
21,625  Best Buy Company, Inc.  1,053,570  17,500  Kohl’s Corporation #  1,340,675 
5,900  Big Lots, Inc. #*  184,552  9,600  Leggett & Platt, Inc.  217,632 
3,700  Black & Decker Corporation  301,994  7,300  Lennar Corporation  308,133 
4,900  Brunswick Corporation *  156,065  18,304  Limited Brands, Inc.  477,002 
23,700  Carnival Corporation  1,110,582  5,700  Liz Claiborne, Inc.  244,245 
39,472  CBS Corporation  1,207,448  81,600  Lowe’s Companies, Inc.  2,569,584 
6,500  Centex Corporation  271,570  17,600  Marriott International, Inc.  861,696 
7,700  Circuit City Stores, Inc.  142,681  21,050  Mattel, Inc.  580,348 
26,600  Clear Channel    64,500  McDonald’s Corporation  2,905,725 
  Communications, Inc. *  932,064  19,000  McGraw-Hill Companies, Inc.  1,194,720 
19,800  Coach, Inc. #  990,990  2,100  Meredith Corporation  120,519 
166,716  Comcast Corporation #  4,326,268  7,800  New York Times Company *  183,378 
14,600  D.R. Horton, Inc.  321,200  14,973  Newell Rubbermaid, Inc.  465,511 
7,850  Darden Restaurants, Inc.  323,342  125,700  News Corporation  2,906,184 
3,300  Dillard’s, Inc. *  108,009  10,100  NIKE, Inc.  1,073,226 
41,500  DIRECTV Group, Inc. #  957,405  12,200  Nordstrom, Inc.  645,868 
16,715  Dollar General Corporation  353,522  14,800  Office Depot, Inc. #  520,072 
3,700  Dow Jones & Company, Inc. *  127,539  4,200  OfficeMax, Inc.  221,508 
4,500  E.W. Scripps Company *  201,060  8,900  Omnicom Group, Inc.  911,182 
15,400  Eastman Kodak Company *  347,424  3,300  Polo Ralph Lauren Corporation  290,895 
8,200  Family Dollar Stores, Inc.  242,884  11,300  Pulte Homes, Inc.  298,998 
28,068  Federated Department Stores, Inc.  1,264,463  7,400  RadioShack Corporation  200,022 
101,400  Ford Motor Company *  800,046  4,532  Sears Holdings Corporation #  816,485 
8,200  Fortune Brands, Inc.  646,324  6,000  Sherwin-Williams Company  396,240 
12,600  Gannett Company, Inc.  709,254  3,300  Snap-On, Inc.  158,730 
28,162  Gap, Inc.  484,668  4,500  Stanley Works  249,120 
30,300  General Motors Corporation *  928,392  38,375  Staples, Inc.  991,610 
9,200  Genuine Parts Company  450,800  40,200  Starbucks Corporation #  1,260,672 
9,600  Goodyear Tire & Rubber    11,500  Starwood Hotels & Resorts   
  Company #*  299,424    Worldwide, Inc.  745,775 
17,200  H&R Block, Inc.  361,888  46,000  Target Corporation  2,725,960 
13,800  Harley-Davidson, Inc.  810,750  7,200  Tiffany & Company  327,456 
3,500  Harman International    204,550  Time Warner, Inc.  4,033,726 
  Industries, Inc.  336,280  24,300  TJX Companies, Inc.  655,128 
9,900  Harrah’s Entertainment, Inc.  836,055  9,600  Tribune Company *  308,256 
8,650  Hasbro, Inc.  247,563  5,000  VF Corporation  413,100 
20,800  Hilton Hotels Corporation  747,968  37,072  Viacom, Inc. #  1,524,030 
109,400  Home Depot, Inc.  4,019,356  109,747  Walt Disney Company  3,778,589 
11,600  IAC InterActiveCorp #  437,436  4,700  Wendy’s International, Inc.  147,110 
18,100  International Game Technology  730,878  4,358  Whirlpool Corporation *  370,021 

The accompanying Notes to Schedule of Investments are an integral part of this schedule.

73

Large Cap Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (97.9%)  Value  Shares  Common Stock (97.9%)  Value 
 
Consumer Discretionary — continued    Energy (9.9%)     
10,072  Wyndham Worldwide    24,772  Anadarko Petroleum Corporation $1,064,701 
  Corporation #  $343,959  17,720  Apache Corporation  1,252,804 
14,040  Yum! Brands, Inc.  810,950    17,100  Baker Hughes, Inc.  1,130,823 
  Total Consumer    15,700  BJ Services Company  438,030 
  Discretionary  71,496,693  21,900  Chesapeake Energy Corporation * 676,272 
 
      115,596  Chevron Corporation  8,549,480 
Consumer Staples (9.4%)    88,049  ConocoPhillips  6,018,149 
112,500  Altria Group, Inc.  9,878,625  9,700  CONSOL Energy, Inc.  379,561 
40,800  Anheuser-Busch Companies, Inc.  2,058,768  23,800  Devon Energy Corporation  1,647,436 
34,968  Archer-Daniels-Midland Company 1,283,326  37,418  El Paso Corporation  541,438 
23,600  Avon Products, Inc.  879,336  8,100  ENSCO International, Inc.  440,640 
4,400  Brown-Forman Corporation  288,464  13,000  EOG Resources, Inc.  927,420 
11,800  Campbell Soup Company  459,610  305,208  Exxon Mobil Corporation  23,027,943 
8,200  Clorox Company  522,258  53,500  Halliburton Company  1,698,090 
107,900  Coca-Cola Company  5,179,200  14,400  Hess Corporation  798,768 
15,000  Coca-Cola Enterprises, Inc.  303,750  5,800  Kinder Morgan, Inc.  617,410 
27,500  Colgate-Palmolive Company  1,836,725  18,534  Marathon Oil Corporation  1,831,715 
27,000  ConAgra Foods, Inc.  672,570  10,000  Murphy Oil Corporation  534,000 
11,400  Constellation Brands, Inc. #  241,452  15,000  Nabors Industries, Ltd. #  445,050 
24,200  Costco Wholesale Corporation  1,302,928  9,400  National Oilwell Varco, Inc. #  731,226 
82,544  CVS/Caremark Corporation  2,818,052  7,200  Noble Corporation  566,496 
7,000  Dean Foods Company #  327,180  44,900  Occidental Petroleum   
6,300  Estee Lauder Companies, Inc. *  307,755    Corporation  2,214,019 
18,600  General Mills, Inc.  1,082,892  14,100  Peabody Energy Corporation  567,384 
17,500  H.J. Heinz Company  824,600  6,100  Rowan Companies, Inc.  198,067 
9,300  Hershey Company  508,338  63,100  Schlumberger, Ltd.  4,360,210 
13,500  Kellogg Company  694,305  10,700  Smith International, Inc.  514,135 
24,392  Kimberly-Clark Corporation  1,670,608  33,604  Spectra Energy Corporation  882,777 
37,900  Kroger Company  1,070,675  6,500  Sunoco, Inc.  457,860 
7,000  McCormick & Company, Inc.  269,640  15,611  Transocean, Inc. #  1,275,419 
2,600  Molson Coors Brewing Company  246,012  32,300  Valero Energy Corporation  2,083,027 
7,100  Pepsi Bottling Group, Inc.  226,419  18,100  Weatherford International, Ltd. #  816,310 
87,770  PepsiCo, Inc.  5,578,661  32,000  Williams Companies, Inc.  910,720 
169,160  Procter & Gamble Company  10,684,146  19,700  XTO Energy, Inc.  1,079,757 
9,200  Reynolds American, Inc. *  574,172    Total Energy  68,677,137 
23,600  Safeway, Inc.  864,704       
39,300  Sara Lee Corporation  664,956  Financials (21.2%)   
11,081  SUPERVALU, Inc.  432,935  17,500  ACE, Ltd.  998,550 
33,000  SYSCO Corporation  1,116,390  26,400  AFLAC, Inc. ‡  1,242,384 
13,500  Tyson Foods, Inc.  262,035  33,082  Allstate Corporation ‡  1,986,905 
8,700  UST, Inc. *  504,426  5,500  Ambac Financial Group, Inc.  475,145 
53,600  Walgreen Company  2,459,704  63,900  American Express Company  3,603,960 
131,800  Wal-Mart Stores, Inc.  6,188,010  139,440  American International   
7,500  Whole Foods Market, Inc.  336,375    Group, Inc.  9,373,157 
11,775  William Wrigley Jr. Company  599,701  12,800  Ameriprise Financial, Inc.  731,392 
  Total Consumer Staples  65,219,703  15,925  Aon Corporation  604,513 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
74

Large Cap Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (97.9%)  Value  Shares  Common Stock (97.9%)  Value 
 
Financials — continued    12,200  Kimco Realty Corporation  $594,628 
5,400  Apartment Investment &    7,000  Legg Mason, Inc.  659,470 
  Management Company  $311,526  28,200  Lehman Brothers Holdings, Inc.  1,975,974 
11,900  Archstone-Smith Trust  645,932  14,894  Lincoln National Corporation  1,009,671 
4,400  Avalonbay Communities, Inc.  572,000  24,100  Loews Corporation  1,094,863 
239,718  Bank of America Corporation  12,230,412  4,300  M&T Bank Corporation  498,069 
40,500  Bank of New York Company, Inc.  1,642,275  29,600  Marsh & McLennan   
29,100  BB&T Corporation  1,193,682    Companies, Inc.  866,984 
6,331  Bear Stearns Companies, Inc.  951,866  13,800  Marshall & Ilsley Corporation  639,078 
6,500  Boston Properties, Inc.  763,100  7,250  MBIA, Inc.  474,802 
21,973  Capital One Financial Corporation 1,658,083    22,400  Mellon Financial Corporation  966,336 
10,100  CB Richard Ellis Group, Inc. #  345,218  47,400  Merrill Lynch & Company, Inc.  3,871,158 
55,025  Charles Schwab Corporation  1,006,407  40,300  MetLife, Inc.  2,544,945 
1,900  Chicago Mercantile Exchange    4,500  MGIC Investment Corporation *  265,140 
  Holdings, Inc.  1,011,674  12,500  Moody’s Corporation  775,750 
22,000  Chubb Corporation  1,136,740  57,050  Morgan Stanley  4,493,258 
9,338  Cincinnati Financial Corporation  395,931  31,800  National City Corporation  1,184,550 
10,300  CIT Group, Inc.  545,076  10,300  Northern Trust Corporation  619,442 
262,739  Citigroup, Inc.  13,489,020  9,600  Plum Creek Timber Company, Inc.  378,432 
8,550  Comerica, Inc.  505,476  18,500  PNC Financial Services   
10,100  Commerce Bancorp, Inc. *  337,138    Group, Inc.  1,331,439 
7,000  Compass Bancshares, Inc.  481,600  14,400  Principal Financial Group, Inc.  862,128 
31,600  Countrywide Financial    39,900  Progressive Corporation  870,618 
  Corporation  1,063,024  13,700  ProLogis Trust  889,541 
6,800  Developers Diversified Realty    25,100  Prudential Financial, Inc.  2,265,526 
  Corporation  427,720  6,600  Public Storage, Inc.  624,822 
22,900  E*TRADE Financial Corporation #  485,938  11,590  Realogy Corporation #  343,180 
15,700  Equity Residential REIT  757,211  39,177  Regions Financial Corporation  1,385,690 
37,100  Federal Home Loan Mortgage    5,700  SAFECO Corporation  378,651 
  Corporation  2,207,079  11,800  Simon Property Group, Inc.  1,312,750 
51,800  Federal National Mortgage    22,000  SLM Corporation  899,800 
  Association  2,827,244  19,410  Sovereign Bancorp, Inc.  493,790 
4,800  Federated Investors, Inc.  176,256  17,800  State Street Corporation  1,152,550 
29,894  Fifth Third Bancorp *  1,156,599  19,000  SunTrust Banks, Inc.  1,577,760 
6,900  First Horizon National    17,600  Synovus Financial Corporation  569,184 
  Corporation *  286,557  14,168  T. Rowe Price Group, Inc.  668,588 
8,900  Franklin Resources, Inc.  1,075,387  5,300  Torchmark Corporation  347,627 
23,700  Genworth Financial, Inc.  828,078  36,181  Travelers Companies, Inc.  1,873,090 
22,000  Goldman Sachs Group, Inc.  4,545,860  94,885  U.S. Bancorp  3,318,128 
17,100  Hartford Financial Services    18,424  UnumProvident Corporation *  424,305 
  Group, Inc.  1,634,418  7,000  Vornado Realty Trust  835,380 
28,000  Host Marriott Corporation  736,680  102,093  Wachovia Corporation  5,620,220 
26,600  Hudson City Bancorp, Inc.  363,888  47,653  Washington Mutual, Inc.  1,924,232 
12,671  Huntington Bancshares, Inc.  276,861  181,100  Wells Fargo & Company  6,235,273 
186,193  J.P. Morgan Chase & Company  9,008,017  9,900  XL Capital, Ltd.  692,604 
10,200  Janus Capital Group, Inc.  213,282  5,900  Zions Bancorporation  498,668 
21,300  KeyCorp  798,111    Total Financials  147,415,466 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
75

Large Cap Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (97.9%)  Value  Shares  Common Stock (97.9%)  Value 
 
Health Care (11.6%)    15,900  Stryker Corporation  $1,054,488 
82,700  Abbott Laboratories ‡  $4,614,660  25,300  Tenet Healthcare Corporation #*  162,679 
27,596  Aetna, Inc.  1,208,429    22,500  Thermo Electron Corporation #  1,051,875 
8,200  Allergan, Inc.  908,724  72,600  UnitedHealth Group, Inc.  3,845,622 
10,100  AmerisourceBergen Corporation  532,775  6,800  Varian Medical Systems, Inc. #  324,292 
62,540  Amgen, Inc. #  3,494,735  5,400  Waters Corporation #  313,200 
9,900  Applera Corporation (Applied    5,500  Watson Pharmaceuticals, Inc. #  145,365 
  Biosystems Group)  292,743  32,800  WellPoint, Inc. #  2,660,080 
5,900  Barr Pharmaceuticals, Inc. #  273,465  72,100  Wyeth  3,607,163 
3,100  Bausch & Lomb, Inc.  158,596  12,650  Zimmer Holdings, Inc. #  1,080,436 
34,800  Baxter International, Inc.  1,832,916    Total Health Care  80,987,762 
13,100  Becton, Dickinson and Company  1,007,259       
18,300  Biogen Idec, Inc. #  812,154  Industrials (10.7%)   
13,050  Biomet, Inc.  554,494  39,300  3M Company  3,003,699 
63,450  Boston Scientific Corporation #  922,563  13,700  Allied Waste Industries, Inc. #  172,483 
108,200  Bristol-Myers Squibb Company  3,003,632  9,400  American Standard   
5,700  C.R. Bard, Inc.  453,207    Companies, Inc.  498,388 
21,375  Cardinal Health, Inc.  1,559,306  5,000  Avery Dennison Corporation  321,300 
20,200  Celgene Corporation #  1,059,692  42,260  Boeing Company  3,757,337 
5,200  CIGNA Corporation  741,832  19,192  Burlington Northern Santa Fe   
8,500  Coventry Health Care, Inc. #  476,425    Corporation  1,543,613 
52,800  Eli Lilly and Company  2,835,888  9,200  C.H. Robinson Worldwide, Inc.  439,300 
7,200  Express Scripts, Inc. #  581,184  34,600  Caterpillar, Inc.  2,319,238 
17,000  Forest Laboratories, Inc. #  874,480  7,300  Cintas Corporation  263,530 
14,100  Genzyme Corporation #  846,282  9,800  Cooper Industries, Ltd.  440,902 
24,900  Gilead Sciences, Inc. #  1,904,850  23,400  CSX Corporation  937,170 
8,280  Hospira, Inc. #  338,652  2,700  Cummins, Inc.  390,744 
8,900  Humana, Inc. #  516,378  12,800  Danaher Corporation  914,560 
10,500  IMS Health, Inc.  311,430  12,100  Deere & Company  1,314,544 
155,140  Johnson & Johnson  9,348,736  11,000  Dover Corporation  536,910 
13,000  King Pharmaceuticals, Inc. #  255,710  7,900  Eaton Corporation  660,124 
6,600  Laboratory Corporation of    42,700  Emerson Electric Company  1,839,943 
  America Holdings #*  479,358  6,700  Equifax, Inc.  244,215 
4,100  Manor Care, Inc.  222,876  16,460  FedEx Corporation  1,768,298 
15,742  McKesson Corporation  921,537  4,800  Fluor Corporation *  430,656 
15,343  Medco Health Solutions, Inc. #  1,112,828  21,700  General Dynamics Corporation  1,657,880 
12,700  MedImmune, Inc. #  462,153  551,200  General Electric Company ‡  19,490,432 
61,700  Medtronic, Inc.  3,027,002  6,900  Goodrich Corporation  355,212 
116,100  Merck & Company, Inc.  5,128,137  42,875  Honeywell International, Inc.  1,974,822 
3,000  Millipore Corporation #*  217,410  22,100  Illinois Tool Works, Inc.  1,140,360 
13,200  Mylan Laboratories, Inc.  279,048  16,500  Ingersoll-Rand Company  715,605 
7,400  Patterson Companies, Inc. #  262,626  9,800  ITT Corporation  591,136 
6,600  PerkinElmer, Inc.  159,852  6,700  L-3 Communications   
379,853  Pfizer, Inc.  9,595,087    Holdings, Inc.  586,049 
8,600  Quest Diagnostics, Inc.  428,882  19,000  Lockheed Martin Corporation  1,843,380 
79,700  Schering-Plough Corporation  2,033,147  20,900  Masco Corporation  572,660 
18,384  St. Jude Medical, Inc. #  691,422  6,800  Monster Worldwide, Inc. #  322,116 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
76

Large Cap Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (97.9%)  Value  Shares  Common Stock (97.9%)  Value 
 
Industrials — continued    7,400  Convergys Corporation #  $188,034 
21,200  Norfolk Southern Corporation  $1,072,720  84,100  Corning, Inc. #  1,912,434 
18,698  Northrop Grumman Corporation  1,387,766  121,700  Dell, Inc. #  2,824,657 
13,225  PACCAR, Inc.  970,715  60,900  eBay, Inc. #  2,018,835 
6,600  Pall Corporation  250,800    16,600  Electronic Arts, Inc. #  835,976 
6,250  Parker-Hannifin Corporation  539,438  27,500  Electronic Data Systems   
11,900  Pitney Bowes, Inc.  540,141    Corporation  761,200 
11,800  R.R. Donnelley & Sons Company  431,762  112,986  EMC Corporation #  1,564,856 
23,900  Raytheon Company  1,253,794  8,800  Fidelity National Information   
9,100  Robert Half International, Inc.  336,791    Services, Inc.  400,048 
8,900  Rockwell Automation, Inc.  532,843  40,280  First Data Corporation  1,083,532 
9,200  Rockwell Collins, Inc.  615,756  9,200  Fiserv, Inc. #  488,152 
3,400  Ryder System, Inc.  167,756  11,600  Google, Inc. #  5,314,656 
42,200  Southwest Airlines Company  620,340  143,486  Hewlett-Packard Company  5,759,528 
5,600  Terex Corporation #  401,856  309,100  Intel Corporation  5,913,083 
6,800  Textron, Inc.  610,640  80,700  International Business   
105,907  Tyco International, Ltd.  3,341,366    Machines Corporation  7,606,782 
14,500  Union Pacific Corporation  1,472,475  18,300  Intuit, Inc. #  500,688 
57,100  United Parcel Service, Inc.  4,002,710  10,000  Jabil Circuit, Inc.  214,100 
53,300  United Technologies Corporation  3,464,500  11,262  JDS Uniphase Corporation #*  171,520 
3,900  W.W. Grainger, Inc.  301,236  30,500  Juniper Networks, Inc. #  600,240 
28,499  Waste Management, Inc.  980,651  10,700  KLA-Tencor Corporation  570,524 
  Total Industrials  74,342,662  5,100  Lexmark International, Inc. #*  298,146 
      16,100  Linear Technology Corporation  508,599 
Information Technology (14.6%)    41,700  LSI Corporation #*  435,348 
6,485  ADC Telecommunications, Inc. #  108,559  17,200  Maxim Integrated Products, Inc.  505,680 
31,500  Adobe Systems, Inc. #‡  1,313,550  40,400  Micron Technology, Inc. #  488,032 
29,700  Advanced Micro Devices, Inc. #*  387,882  461,900  Microsoft Corporation  12,873,153 
5,500  Affiliated Computer Services, Inc. #  323,840  7,800  Molex, Inc.  219,960 
21,615  Agilent Technologies, Inc. #  728,209  128,090  Motorola, Inc.  2,263,350 
19,200  Altera Corporation #  383,808  15,200  National Semiconductor   
17,800  Analog Devices, Inc.  613,922    Corporation  366,928 
46,200  Apple Computer, Inc. #  4,292,442  9,500  NCR Corporation #  453,815 
74,800  Applied Materials, Inc.  1,370,336  19,800  Network Appliance, Inc. #  723,096 
12,400  Autodesk, Inc. #  466,240  18,100  Novell, Inc. #  130,682 
29,500  Automatic Data Processing, Inc.  1,427,800  6,900  Novellus Systems, Inc. #  220,938 
24,276  Avaya, Inc. #  286,700  19,000  NVIDIA Corporation #  546,820 
10,900  BMC Software, Inc. #  335,611  213,837  Oracle Corporation #  3,876,865 
25,200  Broadcom Corporation #  808,164  18,100  Paychex, Inc.  685,447 
22,012  CA, Inc.  570,331  11,400  PMC-Sierra, Inc. #*  79,914 
4,757  CIENA Corporation #*  132,958  8,700  QLogic Corporation #  147,900 
323,800  Cisco Systems, Inc. #  8,266,614  88,800  QUALCOMM, Inc.  3,788,208 
9,600  Citrix Systems, Inc. #  307,488  7,249  Sabre Holdings Corporation  237,405 
7,700  Cognizant Technology    12,100  SanDisk Corporation #  529,980 
  Solutions Corporation #  679,679  28,500  Sanmina-SCI Corporation #  103,170 
9,300  Computer Sciences Corporation #  484,809  48,500  Solectron Corporation #  152,775 
17,400  Compuware Corporation #  165,126  193,000  Sun Microsystems, Inc. #  1,159,930 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
77

Large Cap Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (97.9%)  Value  Shares  Common Stock (97.9%)  Value 
 
Information Technology — continued    5,000  Vulcan Materials Company  $582,400 
49,524  Symantec Corporation #  $856,765  11,300  Weyerhaeuser Company  844,562 
4,400  Tektronix, Inc.  123,904    Total Materials  20,970,294 
23,400  Tellabs, Inc. #  231,660       
10,200  Teradyne, Inc. #  168,708  Telecommunications Services (3.6%)   
77,300  Texas Instruments, Inc.  2,326,730  19,300  ALLTEL Corporation  1,196,600 
18,600  Unisys Corporation #  156,798  334,739  AT&T, Inc. ‡  13,198,759 
13,100  VeriSign, Inc. #  329,072  6,000  CenturyTel, Inc.  271,140 
41,380  Western Union Company  908,291  18,200  Citizens Communications   
50,800  Xerox Corporation #  858,012    Company  272,090 
17,700  Xilinx, Inc.  455,421  8,101  Embarq Corporation  456,491 
65,400  Yahoo!, Inc. #  2,046,366  84,072  Qwest Communications   
  Total Information      International, Inc. #*  755,807 
  Technology  101,440,781  155,520  Sprint Nextel Corporation  2,948,659 
      155,996  Verizon Communications, Inc.  5,915,368 
Materials (3.0%)    25,607  Windstream Corporation  376,167 
11,700  Air Products and Chemicals, Inc. 864,513      Total Telecommunications   
46,564  Alcoa, Inc.  1,578,520    Services  25,391,081 
5,369  Allegheny Technologies, Inc.  572,819         
3,000  Ashland, Inc.  196,800  Utilities (3.6%)   
5,600  Ball Corporation  256,760  35,600  AES Corporation #  766,112 
5,800  Bemis Company, Inc.  193,662  8,900  Allegheny Energy, Inc. #  437,346 
51,393  Dow Chemical Company  2,356,883  11,100  Ameren Corporation  558,330 
49,511  E.I. du Pont de Nemours    21,360  American Electric Power   
  and Company  2,447,329    Company, Inc.  1,041,300 
4,600  Eastman Chemical Company  291,318  17,173  CenterPoint Energy, Inc.  308,084 
9,600  Ecolab, Inc.  412,800  12,000  CMS Energy Corporation  213,600 
19,997  Freeport-McMoRan Copper &    13,900  Consolidated Edison, Inc.  709,734 
  Gold, Inc.  1,323,588  9,600  Constellation Energy   
6,400  Hercules, Inc. #  125,056    Group, Inc.  834,720 
4,200  International Flavors &    18,647  Dominion Resources, Inc.  1,655,294 
  Fragrances, Inc.  198,324  9,500  DTE Energy Company  455,050 
24,171  International Paper Company  879,824  67,308  Duke Energy Corporation  1,365,679 
9,981  MeadWestvaco Corporation  307,814  20,204  Dynegy, Inc. #  187,089 
29,078  Monsanto Company  1,598,127  17,500  Edison International, Inc.  859,775 
24,148  Newmont Mining Corporation  1,013,975  10,700  Entergy Corporation  1,122,644 
16,100  Nucor Corporation  1,048,593  35,924  Exelon Corporation  2,468,338 
7,200  Pactiv Corporation #  242,928  17,200  FirstEnergy Corporation  1,139,328 
8,800  PPG Industries, Inc.  618,728  21,700  FPL Group, Inc.  1,327,389 
17,100  Praxair, Inc.  1,076,616  4,215  Integrys Energy Group, Inc. *  233,975 
7,813  Rohm and Haas Company  404,088  9,500  KeySpan Corporation  390,925 
8,552  Sealed Air Corporation  270,243  2,600  Nicor, Inc. *  125,892 
7,100  Sigma-Aldrich Corporation  294,792  14,709  NiSource, Inc.  359,488 
5,600  Temple-Inland, Inc.  334,544  18,900  PG&E Corporation  912,303 
6,400  United States Steel Corporation  634,688  5,400  Pinnacle West Capital Corporation 260,550 
      20,700  PPL Corporation  846,630 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
78

Large Cap Index Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)         
 
Shares  Common Stock (97.9%)  Value  Shares  Common Stock (97.9%)  Value 
 
Utilities — continued      11,300  TECO Energy, Inc.  $194,473 
13,820  Progress Energy, Inc.  $697,081    24,534  TXU Corporation  1,572,629 
13,500  Public Service Enterprise    21,905  Xcel Energy, Inc. *  540,834 
  Group, Inc.  1,121,040    Total Utilities  25,468,322 
4,800  Questar Corporation  428,208         
14,175  Sempra Energy  864,817    Total Common Stock   
40,100  Southern Company  1,469,665    (cost $519,454,159)  681,409,901 
 
 
      Interest  Maturity   
Shares  Collateral Held for Securities Loaned (1.9%)  Rate (+)  Date  Value 
13,177,616  Thrivent Financial Securities Lending Trust  5.350%  N/A  $13,177,616 
    Total Collateral Held for Securities Loaned   
    (cost $13,177,616)      13,177,616 
 
 
Shares or             
Principal      Interest  Maturity   
Amount  Short-Term Investments (0.5%)  Rate (+)  Date  Value 
$1,100,000  Federal National Mortgage Association ‡  5.080%  7/16/2007  $1,083,701 
2,211,964  Thrivent Money Market Portfolio  5.050  N/A  2,211,964 
    Total Short-Term Investments (cost $3,295,355)  3,295,665 
    Total Investments (cost $535,927,130) 100.3%  $697,883,182 
    Other Assets and Liabilities, Net (0.3%)    (2,017,347) 
    Total Net Assets 100.0%      $695,865,835 
 
 
    Number of    Notional     
    Contracts  Expiration  Principal    Unrealized 
Futures    Long/(Short)  Date  Amount  Value  Gain/(Loss) 
S&P 500 Index Futures  40  June 2007 $14,278,825 $14,312,000  $33,175 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

‡ At March 30, 2007, $1,083,701 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open financial futures contracts. In addition, $18,330,288 of investments were earmarked as collateral to cover open financial futures contracts.

Definitions:

REIT — Real Estate Investment Trust, is a company that buys, develops, manages and/or sells real estate assets.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $218,946,871 
Gross unrealized depreciation  (56,990,819) 
Net unrealized appreciation (depreciation)  $161,956,052 
Cost for federal income tax purposes  $535,927,130 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
79

Real Estate Securities Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
 
Shares  Common Stock (98.2%)  Value  Shares  Common Stock (98.2%)  Value 
 
Consumer Discretionary (2.9%)    5,000  Healthcare Realty Trust, Inc. *  $186,500 
93,500  Hilton Hotels Corporation *  $3,362,260  60,000  Highwoods Properties, Inc.  2,369,400 
109,400  Starwood Hotels & Resorts    35,000  Home Properties, Inc.  1,848,350 
  Worldwide, Inc.  7,094,590  23,000  Hospitality Properties Trust *  1,076,400 
  Total Consumer    560,856  Host Marriott Corporation *  14,756,121 
  Discretionary  10,456,850  15,000  Inland Real Estate Corporation * 275,100 
      38,000  iStar Financial, Inc. *  1,779,540 
Financials (95.3%)    31,500  Kilroy Realty Corporation  2,323,125 
51,700  Alexandria Real Estate    239,528  Kimco Realty Corporation  11,674,595 
  Equities, Inc. *  5,189,129  25,000  Land Securities Group plc  1,056,469 
110,000  AMB Property Corporation  6,466,900  52,138  LaSalle Hotel Properties  2,417,118 
74,000  Apartment Investment &    57,200  Liberty Property Trust *  2,786,784 
  Management Company  4,269,060  87,000  Macerich Company  8,035,320 
228,607  Archstone-Smith Trust  12,408,788  56,500  Mack-Cali Realty Corporation  2,691,095 
100,000  Avalonbay Communities, Inc.  13,000,000  47,200  Maguire Properties, Inc.  1,678,432 
61,500  BioMed Realty Trust, Inc.  1,617,450  30,000  Medical Properties Trust, Inc. *  440,700 
135,000  Boston Properties, Inc.  15,849,000  16,000  Mitsubishi Estate Company, Ltd. 523,264 
104,300  Brandywine Realty Trust  3,484,663  40,000  Mitsui Fudosan Company, Ltd.  1,169,334 
55,700  BRE Properties, Inc. *  3,517,455  70,000  Nationwide Health   
35,000  British Land Company plc  1,055,661    Properties, Inc. *  2,188,200 
177,900  Brookfield Properties Corporation 7,169,370  35,000  New Plan Excel Realty   
72,600  Camden Property Trust  5,104,506    Trust, Inc. *  1,156,050 
50,000  CBL & Associates    32,700  Post Properties, Inc. *  1,495,371 
  Properties, Inc. *  2,242,000  285,000  ProLogis Trust  18,505,050 
89,200  Corporate Office    138,460  Public Storage, Inc.  13,108,008 
  Properties Trust *  4,074,656  101,800  Regency Centers Corporation  8,505,390 
116,200  Developers Diversified    54,000  Senior Housing Property Trust *  1,290,600 
  Realty Corporation *  7,308,980  250,000  Simon Property Group, Inc.  27,812,502 
30,000  DiamondRock    83,694  SL Green Realty Corporation  11,481,074 
  Hospitality Company  570,000  251,087  SPDR DJ Wilshire   
40,600  Digital Realty Trust, Inc.  1,619,940    International Real Estate ETF  16,948,372 
61,600  Douglas Emmett, Inc.  1,572,648  31,600  Strategic Hotel Capital, Inc. *  722,692 
75,000  Duke Realty Corporation *  3,260,250  54,000  Sun Hung Kai Properties, Ltd.  624,052 
28,000  EastGroup Properties, Inc.  1,428,840  60,000  Sunstone Hotel Investors, Inc.  1,635,600 
9,600  Entertainment Properties Trust  578,400  20,000  Tanger Factory Outlet   
32,500  Equity Lifestyle Properties, Inc.  1,755,325    Centers, Inc. *  807,800 
275,000  Equity Residential REIT  13,263,250  57,100  Taubman Centers, Inc.  3,311,229 
41,400  Essex Property Trust, Inc. *  5,360,472  150,000  UDR, Inc. *  4,593,000 
57,400  Extra Space Storage, Inc. *  1,087,156  45,000  U-Store-It Trust  905,400 
70,500  Federal Realty Investment Trust  6,388,710  110,000  Ventas, Inc.  4,634,300 
35,000  Forest City Enterprises *  2,316,300  135,100  Vornado Realty Trust  16,122,834 
219,800  General Growth      45,000  Weingarten Realty Investors *  2,140,200 
  Properties, Inc. *  14,192,486  100,000  Westfield Group  1,661,761 
95,000  GPT Group  379,377    Total Financials  347,523,673 
77,300  Health Care Property         
  Investors, Inc.  2,785,119    Total Common Stock   
33,500  Health Care REIT, Inc.  1,470,650    (cost $247,325,709)  357,980,523 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
80

Real Estate Securities Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
    Interest  Maturity   
Shares  Collateral Held for Securities Loaned (11.1%)  Rate (+)  Date  Value 
40,445,016  Thrivent Financial Securities Lending Trust  5.350%  N/A  $40,445,016 
  Total Collateral Held for Securities Loaned   
  (cost $40,445,016)      40,445,016 
 
 
    Interest  Maturity   
Shares  Short-Term Investments (1.5%)  Rate (+)  Date  Value 
5,627,788  Thrivent Money Market Portfolio  5.050%  N/A  $5,627,788 
  Total Short-Term Investments (at amortized cost)  5,627,788 
  Total Investments (cost $293,398,513) 110.8%  $404,053,327 
  Other Assets and Liabilities, Net (10.8%)    (39,261,119) 
  Total Net Assets 100.0%      $364,792,208 

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

Definitions:

ETF — Exchange Traded Fund

REIT — Real Estate Investment Trust, is a company that buys, develops, manages and/or sells real estate assets.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $111,075,697 
Gross unrealized depreciation  (420,883) 
Net unrealized appreciation (depreciation)  $110,654,814 
Cost for federal income tax purposes  $293,398,513 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
81

Balanced Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
 
Shares  Common Stock (63.6%)  Value  Shares  Common Stock (63.6%)  Value 
 
Consumer Discretionary (6.7%)    9,000  International Game Technology  $363,420 
2,400  Abercrombie & Fitch Company  $181,632    12,500  Interpublic Group of   
8,300  Amazon.com, Inc. #*  330,257    Companies, Inc. #*  153,875 
3,700  Apollo Group, Inc. #  162,430  6,000  J.C. Penney Company, Inc.   
4,100  AutoNation, Inc. #  87,084    (Holding Company)  492,960 
1,400  AutoZone, Inc. #  179,396  5,200  Johnson Controls, Inc.  492,024 
7,600  Bed Bath & Beyond, Inc. #  305,292  3,000  Jones Apparel Group, Inc.  92,190 
10,875  Best Buy Company, Inc.  529,830  2,100  KB Home *  89,607 
2,900  Big Lots, Inc. #*  90,712  8,800  Kohl’s Corporation #±  674,168 
1,800  Black & Decker Corporation  146,916  4,900  Leggett & Platt, Inc. *  111,083 
2,500  Brunswick Corporation  79,625  3,700  Lennar Corporation  156,177 
11,900  Carnival Corporation  557,634  9,162  Limited Brands, Inc.  238,762 
19,762  CBS Corporation  604,520  2,800  Liz Claiborne, Inc.  119,980 
3,200  Centex Corporation *  133,696  40,800  Lowe’s Companies, Inc.  1,284,792 
3,800  Circuit City Stores, Inc.  70,414  8,900  Marriott International, Inc.  435,744 
13,300  Clear Channel    10,525  Mattel, Inc.  290,174 
  Communications, Inc. *  466,032  32,300  McDonald’s Corporation  1,455,115 
9,900  Coach, Inc. #±  495,495  9,500  McGraw-Hill Companies, Inc.  597,360 
83,465  Comcast Corporation #  2,165,917  1,100  Meredith Corporation  63,129 
7,300  D.R. Horton, Inc. ±  160,600  4,000  New York Times Company *  94,040 
3,900  Darden Restaurants, Inc.  160,641  7,526  Newell Rubbermaid, Inc.  233,983 
1,700  Dillard’s, Inc. *  55,641  63,000  News Corporation  1,456,560 
20,800  DIRECTV Group, Inc. #  479,856  5,000  NIKE, Inc.  531,300 
8,322  Dollar General Corporation  176,010  6,100  Nordstrom, Inc.  322,934 
1,900  Dow Jones & Company, Inc. *  65,493  7,400  Office Depot, Inc. #  260,036 
2,300  E.W. Scripps Company *  102,764  2,000  OfficeMax, Inc.  105,480 
7,700  Eastman Kodak Company *  173,712  4,400  Omnicom Group, Inc.  450,472 
4,100  Family Dollar Stores, Inc.  121,442  1,700  Polo Ralph Lauren Corporation  149,855 
14,100  Federated Department    5,700  Pulte Homes, Inc. *  150,822 
  Stores, Inc.  635,205  3,700  RadioShack Corporation *  100,011 
50,800  Ford Motor Company *  400,812  2,280  Sears Holdings Corporation #*  410,765 
4,100  Fortune Brands, Inc.  323,162  3,000  Sherwin-Williams Company  198,120 
6,400  Gannett Company, Inc.  360,256  1,600  Snap-On, Inc.  76,960 
14,100  Gap, Inc.  242,661  2,300  Stanley Works *  127,328 
15,100  General Motors Corporation *  462,664  19,300  Staples, Inc. ‡  498,712 
4,700  Genuine Parts Company  230,300  20,200  Starbucks Corporation #‡  633,472 
4,800  Goodyear Tire & Rubber    5,700  Starwood Hotels & Resorts   
  Company #*  149,712    Worldwide, Inc.  369,645 
8,700  H&R Block, Inc. *  183,048  23,000  Target Corporation  1,362,980 
7,000  Harley-Davidson, Inc.  411,250  3,600  Tiffany & Company  163,728 
1,800  Harman International    102,450  Time Warner, Inc.  2,020,314 
  Industries, Inc.  172,944  12,200  TJX Companies, Inc.  328,912 
5,000  Harrah’s Entertainment, Inc.  422,250  4,800  Tribune Company *  154,128 
4,400  Hasbro, Inc. ±  125,928  2,500  VF Corporation  206,550 
10,400  Hilton Hotels Corporation  373,984  18,662  Viacom, Inc. #  767,195 
54,800  Home Depot, Inc.  2,013,352  54,987  Walt Disney Company ±  1,893,202 
5,900  IAC InterActiveCorp #*  222,489  2,400  Wendy’s International, Inc. *  75,120 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
82

Balanced Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (63.6%)  Value  Shares  Common Stock (63.6%)  Value 
 
Consumer Discretionary — continued    3,800  Whole Foods Market, Inc. *  $170,430 
2,059  Whirlpool Corporation *  $174,813  5,925  William Wrigley Jr. Company  301,760 
5,032  Wyndham Worldwide      Total Consumer Staples  32,682,587 
  Corporation #  171,843       
7,160  Yum! Brands, Inc.  413,562  Energy (6.4%)   
  Total Consumer    12,436  Anadarko Petroleum Corporation  534,499 
  Discretionary  35,826,460   8,868  Apache Corporation  626,968 
   
      8,520  Baker Hughes, Inc.  563,428 
Consumer Staples (6.1%)    7,800  BJ Services Company  217,620 
56,300  Altria Group, Inc. ±  4,943,703  11,100  Chesapeake Energy Corporation * 342,768 
20,500  Anheuser-Busch Companies, Inc. ±  1,034,430  57,874  Chevron Corporation ±  4,280,361 
17,541  Archer-Daniels-Midland Company  643,755  44,082  ConocoPhillips  3,013,005 
11,800  Avon Products, Inc. ±  439,668  4,900  CONSOL Energy, Inc.  191,737 
2,300  Brown-Forman Corporation *  150,788  11,900  Devon Energy Corporation ±  823,718 
5,900  Campbell Soup Company  229,805  18,786  El Paso Corporation  271,833 
4,200  Clorox Company  267,498  4,000  ENSCO International, Inc.  217,600 
54,100  Coca-Cola Company ±  2,596,800  6,500  EOG Resources, Inc.  463,710 
7,600  Coca-Cola Enterprises, Inc.  153,900  152,872  Exxon Mobil Corporation ±  11,534,192 
13,700  Colgate-Palmolive Company  915,023  26,800  Halliburton Company  850,632 
13,600  ConAgra Foods, Inc.  338,776  7,200  Hess Corporation  399,384 
5,700  Constellation Brands, Inc. #  120,726  3,000  Kinder Morgan, Inc.  319,350 
12,200  Costco Wholesale Corporation  656,848  9,261  Marathon Oil Corporation  915,265 
41,405  CVS/Caremark Corporation  1,413,567  5,100  Murphy Oil Corporation  272,340 
3,500  Dean Foods Company #*  163,590  7,400  Nabors Industries, Ltd. #  219,558 
3,200  Estee Lauder Companies, Inc. *  156,320  4,700  National Oilwell Varco, Inc. #  365,613 
9,200  General Mills, Inc.  535,624  3,600  Noble Corporation  283,248 
8,750  H.J. Heinz Company  412,300  22,500  Occidental Petroleum Corporation 1,109,475 
4,700  Hershey Company *  256,902  7,100  Peabody Energy Corporation  285,704 
6,900  Kellogg Company  354,867  3,100  Rowan Companies, Inc.  100,657 
12,180  Kimberly-Clark Corporation  834,208  31,600  Schlumberger, Ltd. ‡  2,183,560 
19,100  Kroger Company  539,575  5,400  Smith International, Inc. *  259,470 
3,500  McCormick & Company, Inc.  134,820  16,821  Spectra Energy Corporation  441,888 
1,300  Molson Coors Brewing Company  123,006  3,300  Sunoco, Inc.  232,452 
3,600  Pepsi Bottling Group, Inc.  114,804  7,836  Transocean, Inc. #  640,201 
43,920  PepsiCo, Inc.  2,791,555  16,200  Valero Energy Corporation  1,044,738 
84,692  Procter & Gamble Company  5,349,147  9,000  Weatherford International, Ltd. #  405,900 
4,600  Reynolds American, Inc. *  287,086  16,000  Williams Companies, Inc.  455,360 
11,800  Safeway, Inc. ‡  432,352  9,800  XTO Energy, Inc.  537,138 
19,700  Sara Lee Corporation ‡  333,324    Total Energy  34,403,372 
5,569  SUPERVALU, Inc. *  217,581       
16,500  SYSCO Corporation  558,195  Financials (13.7%)   
6,800  Tyson Foods, Inc. *  131,988  8,700  ACE, Ltd.  496,422 
4,300  UST, Inc. *  249,314  13,200  AFLAC, Inc. ±  621,192 
26,800  Walgreen Company  1,229,852  16,696  Allstate Corporation ±  1,002,762 
66,000  Wal-Mart Stores, Inc. ±  3,098,700  2,950  Ambac Financial Group, Inc.  254,850 
      32,000  American Express Company  1,804,800 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
83

Balanced Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (63.6%)  Value    Shares  Common Stock (63.6%)  Value 
 
Financials — continued    93,198  J.P. Morgan Chase & Company  $4,508,919 
69,802  American International    5,100  Janus Capital Group, Inc. *  106,641 
  Group, Inc. ±  $4,692,090  10,700  KeyCorp  400,929 
6,440  Ameriprise Financial, Inc.  367,982  6,200  Kimco Realty Corporation  302,188 
7,950  Aon Corporation ±  301,782  3,600  Legg Mason, Inc.  339,156 
2,700  Apartment Investment &    14,100  Lehman Brothers Holdings, Inc.  987,987 
  Management Company  155,763  7,411  Lincoln National Corporation  502,401 
6,000  Archstone-Smith Trust  325,680  12,200  Loews Corporation  554,246 
2,200  Avalonbay Communities, Inc.  286,000  2,200  M&T Bank Corporation  254,826 
120,107  Bank of America Corporation ±  6,127,859  14,800  Marsh & McLennan   
20,400  Bank of New York Company, Inc.  827,220    Companies, Inc.  433,492 
14,500  BB&T Corporation  594,790  7,000  Marshall & Ilsley Corporation *  324,170 
3,178  Bear Stearns Companies, Inc.  477,812  3,700  MBIA, Inc.  242,313 
3,100  Boston Properties, Inc.  363,940  11,100  Mellon Financial Corporation  478,854 
10,965  Capital One Financial Corporation 827,419  23,700  Merrill Lynch & Company, Inc.  1,935,579 
5,000  CB Richard Ellis Group, Inc. #  170,900  20,300  MetLife, Inc.  1,281,945 
27,525  Charles Schwab Corporation  503,432  2,400  MGIC Investment Corporation *  141,408 
900  Chicago Mercantile Exchange    6,200  Moody’s Corporation  384,772 
  Holdings, Inc.  479,214  28,590  Morgan Stanley  2,251,748 
10,900  Chubb Corporation ±  563,203  16,000  National City Corporation  596,000 
4,751  Cincinnati Financial Corporation  201,442  5,100  Northern Trust Corporation ±  306,714 
5,100  CIT Group, Inc. ±  269,892  4,900  Plum Creek Timber Company, Inc. 193,158 
131,589  Citigroup, Inc.  6,755,779  9,200  PNC Financial Services   
4,400  Comerica, Inc.  260,128    Group, Inc.  662,121 
5,100  Commerce Bancorp, Inc. *  170,238  7,100  Principal Financial Group, Inc.  425,077 
3,600  Compass Bancshares, Inc.  247,680  19,900  Progressive Corporation  434,218 
15,798  Countrywide Financial Corporation 531,445  6,800  ProLogis Trust  441,524 
3,400  Developers Diversified Realty    12,500  Prudential Financial, Inc.  1,128,250 
  Corporation  213,860  3,300  Public Storage, Inc.  312,411 
11,400  E*TRADE Financial Corporation #  241,908  5,790  Realogy Corporation #*  171,442 
7,800  Equity Residential REIT  376,194  19,600  Regions Financial Corporation  693,252 
18,600  Federal Home Loan Mortgage    2,900  SAFECO Corporation  192,647 
  Corporation  1,106,514  5,900  Simon Property Group, Inc.  656,375 
26,000  Federal National Mortgage    11,000  SLM Corporation  449,900 
  Association  1,419,080  9,880  Sovereign Bancorp, Inc. *  251,347 
2,400  Federated Investors, Inc.  88,128  8,900  State Street Corporation  576,275 
14,916  Fifth Third Bancorp *  577,100  9,500  SunTrust Banks, Inc.  788,880 
3,400  First Horizon National    8,850  Synovus Financial Corporation  286,209 
  Corporation *  141,202  7,100  T. Rowe Price Group, Inc.  335,049 
4,400  Franklin Resources, Inc.  531,652  2,700  Torchmark Corporation  177,093 
11,800  Genworth Financial, Inc.  412,292  18,125  Travelers Companies, Inc.  938,331 
11,000  Goldman Sachs Group, Inc.  2,272,930  47,521  U.S. Bancorp ±  1,661,809 
8,600  Hartford Financial Services    9,258  UnumProvident Corporation  213,212 
  Group, Inc.  821,988  3,500  Vornado Realty Trust  417,690 
14,200  Host Marriott Corporation  373,602  51,123  Wachovia Corporation  2,814,321 
13,300  Hudson City Bancorp, Inc.  181,944  23,781  Washington Mutual, Inc.  960,277 
6,516  Huntington Bancshares, Inc. *  142,375  90,720  Wells Fargo & Company  3,123,490 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
84

Balanced Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (63.6%)  Value  Shares  Common Stock (63.6%)  Value 
 
Financials — continued      3,400  PerkinElmer, Inc.  $82,348 
4,800  XL Capital, Ltd.  $335,808  190,251  Pfizer, Inc.  4,805,740 
3,000  Zions Bancorporation  253,560  4,300  Quest Diagnostics, Inc.  214,441 
 
  Total Financials  73,810,499  39,900  Schering-Plough Corporation ‡  1,017,849 
      9,180  St. Jude Medical, Inc. #  345,260 
Health Care (7.5%)    8,000  Stryker Corporation  530,560 
41,400  Abbott Laboratories ±  2,310,120  12,650  Tenet Healthcare Corporation #*  81,340 
13,956  Aetna, Inc.  611,133  11,200  Thermo Electron Corporation #  523,600 
4,100  Allergan, Inc.  454,362  36,300  UnitedHealth Group, Inc.  1,922,811 
5,000  AmerisourceBergen Corporation  263,750  3,400  Varian Medical Systems, Inc. #  162,146 
31,352  Amgen, Inc. #  1,751,950  2,800  Waters Corporation #  162,400 
4,900  Applera Corporation (Applied    2,800  Watson Pharmaceuticals, Inc. #  74,004 
  Biosystems Group)  144,893  16,500  WellPoint, Inc. #  1,338,150 
2,800  Barr Pharmaceuticals, Inc. #  129,780  36,100  Wyeth  1,806,083 
1,600  Bausch & Lomb, Inc. *  81,856  6,290  Zimmer Holdings, Inc. #  537,229 
17,500  Baxter International, Inc.  921,725    Total Health Care  40,570,682 
6,500  Becton, Dickinson and Company  499,785       
9,130  Biogen Idec, Inc. #  405,189  Industrials (6.9%)   
6,550  Biomet, Inc.  278,310  19,700  3M Company  1,505,671 
31,750  Boston Scientific Corporation #  461,645  6,900  Allied Waste Industries, Inc. #  86,871 
54,200  Bristol-Myers Squibb Company  1,504,592  4,600  American Standard   
2,700  C.R. Bard, Inc.  214,677    Companies, Inc.  243,892 
10,775  Cardinal Health, Inc. ±  786,036  2,500  Avery Dennison Corporation  160,650 
10,100  Celgene Corporation #  529,846  21,128  Boeing Company ±  1,878,490 
2,700  CIGNA Corporation  385,182  9,692  Burlington Northern Santa Fe   
4,250  Coventry Health Care, Inc. #  238,212    Corporation  779,528 
26,400  Eli Lilly and Company  1,417,944  4,600  C.H. Robinson Worldwide, Inc.  219,650 
3,600  Express Scripts, Inc. #±  290,592  17,300  Caterpillar, Inc.  1,159,619 
8,500  Forest Laboratories, Inc. #  437,240  3,700  Cintas Corporation  133,570 
7,100  Genzyme Corporation #  426,142  5,100  Cooper Industries, Ltd.  229,449 
12,400  Gilead Sciences, Inc. #  948,600  11,700  CSX Corporation  468,585 
4,230  Hospira, Inc. #  173,007  1,400  Cummins, Inc.  202,608 
4,500  Humana, Inc. #  261,090  6,400  Danaher Corporation  457,280 
5,200  IMS Health, Inc.  154,232  6,000  Deere & Company  651,840 
77,706  Johnson & Johnson  4,682,564  5,500  Dover Corporation  268,455 
6,533  King Pharmaceuticals, Inc. #  128,504  3,900  Eaton Corporation  325,884 
3,300  Laboratory Corporation of    21,400  Emerson Electric Company  922,126 
  America Holdings #  239,679  3,400  Equifax, Inc. ±  123,930 
2,100  Manor Care, Inc.  114,156  8,240  FedEx Corporation  885,223 
7,880  McKesson Corporation  461,295  2,300  Fluor Corporation *  206,356 
7,755  Medco Health Solutions, Inc. #  562,470  10,800  General Dynamics Corporation  825,120 
6,300  MedImmune, Inc. #*  229,257  276,100  General Electric Company ‡  9,762,896 
30,900  Medtronic, Inc.  1,515,954  3,400  Goodrich Corporation  175,032 
58,100  Merck & Company, Inc.  2,566,277  21,437  Honeywell International, Inc.  987,388 
1,600  Millipore Corporation #*  115,952  11,200  Illinois Tool Works, Inc.  577,920 
6,500  Mylan Laboratories, Inc.  137,410  8,200  Ingersoll-Rand Company  355,634 
3,700  Patterson Companies, Inc. #  131,313  5,000  ITT Corporation  301,600 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
85

Balanced Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (63.6%)  Value  Shares  Common Stock (63.6%)  Value 
 
Industrials — continued    4,800  Citrix Systems, Inc. #  $153,744 
3,400  L-3 Communications    3,800  Cognizant Technology   
  Holdings, Inc.  $297,398    Solutions Corporation #  335,426 
9,600  Lockheed Martin Corporation  931,392  4,600  Computer Sciences Corporation #  239,798 
10,500  Masco Corporation  287,700    8,800  Compuware Corporation #  83,512 
3,500  Monster Worldwide, Inc. #  165,795  3,700  Convergys Corporation #  94,017 
10,700  Norfolk Southern Corporation  541,420  42,100  Corning, Inc. #  957,354 
9,306  Northrop Grumman Corporation  690,691  61,000  Dell, Inc. #±  1,415,810 
6,600  PACCAR, Inc.  484,440  30,500  eBay, Inc. #  1,011,075 
3,400  Pall Corporation  129,200  8,300  Electronic Arts, Inc. #±  417,988 
3,200  Parker-Hannifin Corporation  276,192  13,800  Electronic Data Systems   
6,100  Pitney Bowes, Inc.  276,879    Corporation  381,984 
5,900  R.R. Donnelley & Sons Company  215,881  56,524  EMC Corporation #  782,857 
11,900  Raytheon Company  624,274  4,300  Fidelity National Information   
4,500  Robert Half International, Inc.  166,545    Services, Inc.  195,478 
4,500  Rockwell Automation, Inc.  269,415  20,162  First Data Corporation  542,358 
4,500  Rockwell Collins, Inc.  301,185  4,650  Fiserv, Inc. #  246,729 
1,800  Ryder System, Inc.  88,812  5,800  Google, Inc. #  2,657,328 
21,080  Southwest Airlines Company  309,876  71,861  Hewlett-Packard Company  2,884,501 
2,800  Terex Corporation #  200,928  154,800  Intel Corporation  2,961,324 
3,400  Textron, Inc.  305,320  40,400  International Business   
53,163  Tyco International, Ltd.  1,677,293    Machines Corporation  3,808,104 
7,300  Union Pacific Corporation  741,315  9,100  Intuit, Inc. #  248,976 
28,700  United Parcel Service, Inc.  2,011,870  5,000  Jabil Circuit, Inc. *  107,050 
26,800  United Technologies Corporation  1,742,000  5,600  JDS Uniphase Corporation #*  85,288 
2,000  W.W. Grainger, Inc.  154,480  15,200  Juniper Networks, Inc. #  299,136 
14,230  Waste Management, Inc.  489,654  5,300  KLA-Tencor Corporation *  282,596 
  Total Industrials  37,275,222  2,600  Lexmark International, Inc. #*  151,996 
      8,000  Linear Technology Corporation  252,720 
Information Technology (9.5%)    21,200  LSI Corporation #*  221,328 
3,128  ADC Telecommunications, Inc. #  52,363  8,600  Maxim Integrated Products, Inc.  252,840 
15,800  Adobe Systems, Inc. #±  658,860  20,200  Micron Technology, Inc. #  244,016 
14,900  Advanced Micro Devices, Inc. #*  194,594  231,400  Microsoft Corporation ±  6,449,118 
2,700  Affiliated Computer Services, Inc. #  158,976  3,850  Molex, Inc.  108,570 
10,863  Agilent Technologies, Inc. #  365,974  64,121  Motorola, Inc.  1,133,018 
9,600  Altera Corporation #  191,904  7,700  National Semiconductor   
8,900  Analog Devices, Inc.  306,961    Corporation  185,878 
23,100  Apple Computer, Inc. #  2,146,221  4,800  NCR Corporation #  229,296 
37,500  Applied Materials, Inc.  687,000  9,900  Network Appliance, Inc. #  361,548 
6,200  Autodesk, Inc. #±  233,120  9,100  Novell, Inc. #  65,702 
14,700  Automatic Data Processing, Inc.  711,480  3,300  Novellus Systems, Inc. #*  105,666 
12,139  Avaya, Inc. #  143,362  9,600  NVIDIA Corporation #  276,288 
5,400  BMC Software, Inc. #±  166,266  107,159  Oracle Corporation #  1,942,793 
12,650  Broadcom Corporation #  405,686  9,150  Paychex, Inc.  346,510 
11,075  CA, Inc. *  286,953  5,700  PMC-Sierra, Inc. #*  39,957 
2,314  CIENA Corporation #*  64,676  4,400  QLogic Corporation #  74,800 
162,200  Cisco Systems, Inc. #±  4,140,966  44,400  QUALCOMM, Inc.  1,894,104 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
86

Balanced Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (63.6%)  Value  Shares  Common Stock (63.6%)  Value 
 
Information Technology — continued    3,600  Sigma-Aldrich Corporation  $149,472 
3,685  Sabre Holdings Corporation  $120,684    2,800  Temple-Inland, Inc.  167,272 
6,100  SanDisk Corporation #*  267,180  3,200  United States Steel Corporation  317,344 
14,300  Sanmina-SCI Corporation #‡  51,766  2,600  Vulcan Materials Company *  302,848 
24,400  Solectron Corporation #  76,860  5,600  Weyerhaeuser Company  418,544 
96,700  Sun Microsystems, Inc. #  581,167    Total Materials  10,556,784 
24,772  Symantec Corporation #  428,556       
2,200  Tektronix, Inc.  61,952  Telecommunications Services (2.4%)   
11,800  Tellabs, Inc. #  116,820  9,600  ALLTEL Corporation  595,200 
5,100  Teradyne, Inc. #  84,354  167,679  AT&T, Inc. ±  6,611,583 
38,700  Texas Instruments, Inc.  1,164,870  3,050  CenturyTel, Inc.  137,830 
9,300  Unisys Corporation #  78,399  9,200  Citizens Communications   
6,500  VeriSign, Inc. #  163,280    Company *  137,540 
20,662  Western Union Company  453,531  3,998  Embarq Corporation  225,313 
25,400  Xerox Corporation #  429,006  42,118  Qwest Communications   
8,900  Xilinx, Inc.  228,997    International, Inc. #*  378,641 
32,700  Yahoo!, Inc. #  1,023,183  77,869  Sprint Nextel Corporation ‡  1,476,396 
  Total Information    78,070  Verizon Communications, Inc.  2,960,414 
  Technology  50,774,548  12,717  Windstream Corporation  186,813 
        Total Telecommunications   
Materials (2.0%)      Services  12,709,730 
5,900  Air Products and Chemicals, Inc.  435,951       
23,264  Alcoa, Inc.  788,650  Utilities (2.4%)   
2,681  Allegheny Technologies, Inc.  286,036  17,800  AES Corporation #  383,056 
1,500  Ashland, Inc.  98,400  4,500  Allegheny Energy, Inc. #  221,130 
2,900  Ball Corporation ±  132,965  5,700  Ameren Corporation  286,710 
3,000  Bemis Company, Inc.  100,170  10,640  American Electric Power   
25,677  Dow Chemical Company ±  1,177,547    Company, Inc.  518,700 
24,819  E.I. du Pont de Nemours    8,624  CenterPoint Energy, Inc. *  154,715 
  and Company  1,226,803  6,100  CMS Energy Corporation  108,580 
2,400  Eastman Chemical Company  151,992  7,000  Consolidated Edison, Inc.  357,420 
4,900  Ecolab, Inc.  210,700  4,800  Constellation Energy Group, Inc.  417,360 
10,245  Freeport-McMoRan Copper &    9,415  Dominion Resources, Inc.  835,770 
  Gold, Inc.  678,103  4,900  DTE Energy Company  234,710 
3,300  Hercules, Inc. #±  64,482  33,742  Duke Energy Corporation  684,625 
2,200  International Flavors &    10,209  Dynegy, Inc. #  94,535 
  Fragrances, Inc.  103,884  8,700  Edison International, Inc.  427,431 
12,121  International Paper Company  441,204  5,300  Entergy Corporation ±  556,076 
4,980  MeadWestvaco Corporation  153,583  17,974  Exelon Corporation ±  1,234,994 
14,566  Monsanto Company  800,547  8,600  FirstEnergy Corporation  569,664 
12,017  Newmont Mining Corporation  504,594  10,900  FPL Group, Inc.  666,753 
8,000  Nucor Corporation  521,040  2,107  Integrys Energy Group, Inc. *  116,960 
3,600  Pactiv Corporation #  121,464  4,800  KeySpan Corporation  197,520 
4,500  PPG Industries, Inc.  316,395  1,300  Nicor, Inc. *  62,946 
8,700  Praxair, Inc.  547,752  7,434  NiSource, Inc.  181,687 
3,911  Rohm and Haas Company  202,277  9,400  PG&E Corporation  453,738 
4,328  Sealed Air Corporation  136,765  2,800  Pinnacle West Capital Corporation  135,100 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
87

Balanced Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)         
 
Shares  Common Stock (63.6%)  Value  Shares  Common Stock (63.6%)  Value 
 
Utilities — continued      5,700  TECO Energy, Inc.  $98,097 
10,300  PPL Corporation  $421,270  12,240  TXU Corporation  784,584 
6,991  Progress Energy, Inc.  352,626  11,010  Xcel Energy, Inc. *  271,837 
6,800  Public Service Enterprise      Total Utilities  12,776,413 
  Group, Inc.  564,672         
2,400  Questar Corporation  214,104    Total Common Stock   
7,087  Sempra Energy  432,378    (cost $247,020,120)  341,386,297 
20,100  Southern Company *  736,665         
 
 
Principal        Interest  Maturity   
Amount  Long-Term Fixed Income (41.1%)    Rate  Date  Value 
 
Asset-Backed Securities (6.8%)           
$2,000,000  Americredit Automobile Receivables Trust ±†    5.400%  4/6/2007  $1,999,990 
2,000,000  Bear Stearns Asset-Backed Securities, Inc. †    5.560  4/25/2007  2,000,764 
1,118,459  Bear Stearns Mortgage Funding Trust †    5.460  4/25/2007  1,117,955 
537,825  California Infrastructure PG&E Company    6.480  12/26/2009  541,076 
556,699  Countrywide Asset-Backed Certificates †    5.400  4/25/2007  556,663 
2,000,000  Countrywide Asset-Backed Certificates    5.549  4/25/2036  1,994,940 
750,000  Countrywide Home Loans Asset-Backed Securities    6.085  6/25/2021  760,538 
2,000,000  Credit Based Asset Servicing and Securitization, LLC †    5.430  4/25/2007  1,998,910 
1,000,000  Credit Based Asset Servicing and Securitization, LLC    5.501  12/25/2036  997,670 
2,500,000  DaimlerChrysler Master Owner Trust †    5.370  4/15/2007  2,500,760 
73,289  FBR Securitization Trust, LLC †      5.440  4/25/2007  73,282 
517,272  First Franklin Mortgage Loan Asset-Backed Certificates †  5.420  4/25/2007  517,315 
1,000,000  First Franklin Mortgage Loan Asset-Backed Certificates †  5.430  4/25/2007  999,787 
933,151  First Horizon ABS Trust †      5.450  4/25/2007  932,390 
1,520,734  First Horizon ABS Trust †      5.480  4/25/2007  1,519,508 
1,500,000  Ford Credit Floor Plan Master Owner Trust †    5.500  4/15/2007  1,501,092 
294,913  Fremont Home Loan Trust †      5.480  4/25/2007  294,935 
2,000,000  GE Dealer Floorplan Master Note Trust †    5.360  4/20/2007  2,000,826 
1,500,000  GMAC Mortgage Corporation Loan Trust †    5.390  4/25/2007  1,498,364 
2,500,000  GMAC Mortgage Corporation Loan Trust ±†    5.410  4/25/2007  2,499,505 
1,370,426  IndyMac Seconds Asset-Backed Trust †    5.490  4/25/2007  1,369,336 
245,756  Massachusetts RRB Special Purpose Trust    3.780  9/15/2010  242,921 
725,939  Master Asset-Backed Securities Trust †    5.400  4/25/2007  726,048 
1,626,841  National Collegiate Student Loan Trust †    5.380  4/25/2007  1,627,934 
220,994  Option One Mortgage Loan Trust †    5.480  4/25/2007  221,026 
239,428  Popular ABS Mortgage Pass-Through Trust †    5.430  4/25/2007  239,431 
675,381  Popular ABS Mortgage Pass-Through Trust †    5.450  4/25/2007  675,508 
640,312  Residential Asset Securities Corporation †    5.400  4/25/2007  640,394 
78,789  Residential Asset Securities Corporation †    5.430  4/25/2007  78,782 
764,541  SLM Student Loan Trust †      5.370  4/25/2007  764,769 
321,224  Specialty Underwriting and Residential Finance Trust †    5.440  4/25/2007  321,250 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
88

Balanced Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest    Maturity   
Amount  Long-Term Fixed Income (41.1%)  Rate    Date  Value 
Asset-Backed Securities — continued       
$2,000,000  Textron Financial Floorplan Master Note Trust †  5.440%  4/13/2007  $2,003,078 
1,500,000  Wachovia Asset Securitization, Inc. †  5.460  4/25/2007  1,500,000 
  Total Asset-Backed Securities    36,716,747 
 
Basic Materials (0.2%)       
250,000  Alcan, Inc.  5.000  6/1/2015  239,791 
225,000  Alcan, Inc.  6.125  12/15/2033  218,786 
550,000  Weyerhaeuser Company  6.750  3/15/2012  577,734 
  Total Basic Materials      1,036,311 
 
Capital Goods (0.4%)       
350,000  Boeing Capital Corporation *  6.100  3/1/2011  363,259 
225,000  Caterpillar, Inc.  4.500  6/15/2009  222,361 
800,000  General Electric Company  5.000  2/1/2013  793,941 
300,000  John Deere Capital Corporation  7.000  3/15/2012  324,259 
225,000  Northrop Grumman Corporation  7.125  2/15/2011  240,620 
225,000  United Technologies Corporation  6.050  6/1/2036  230,546 
  Total Capital Goods      2,174,986 
 
Commercial Mortgage-Backed Securities (5.1%)       
1,000,000  Banc of America Commercial Mortgage, Inc.  5.118  7/11/2043  997,946 
2,500,000  Bear Stearns Commercial Mortgage Securities, Inc. §  5.470  3/15/2022  2,500,000 
400,000  Bear Stearns Commercial Mortgage Securities, Inc.  3.869  2/11/2041  391,198 
1,985,731  Chase Mortgage Finance Corporation  4.579  2/25/2037  1,954,608 
1,115,552  Citigroup Commercial Mortgage Trust †  5.390  4/15/2007  1,115,560 
293,523  Commercial Mortgage Pass-Through Certificates †  5.420  4/15/2007  293,525 
2,000,000  Commercial Mortgage Pass-Through Certificates †  5.450  4/15/2007  1,999,988 
500,000  Credit Suisse First Boston Mortgage Securities Corporation  4.829  11/15/2037  485,111 
2,000,000  Crown Castle International Corporation  5.245  11/15/2036  2,004,518 
200,000  General Electric Commercial Mortgage Corporation  4.641  9/10/2013  195,498 
1,500,000  GMAC Commercial Mortgage Securities, Inc.  4.547  12/10/2041  1,463,643 
1,000,000  Greenwich Capital Commercial Funding Corporation  5.317  6/10/2036  1,003,255 
400,000  J.P. Morgan Chase Commercial Mortgage       
  Securities Corporation  4.654  1/12/2037  390,693 
1,500,000  J.P. Morgan Chase Commercial Mortgage       
  Securities Corporation  5.336  5/15/2047  1,490,620 
1,960,585  J.P. Morgan Mortgage Trust  5.012  7/25/2035  1,949,084 
1,000,000  LB-UBS Commercial Mortgage Trust  3.086  5/15/2027  977,354 
1,555,804  Merrill Lynch Mortgage Investors, Inc.  4.877  6/25/2035  1,548,907 
1,572,857  Nationslink Funding Corporation  6.316  1/20/2031  1,591,329 
1,828,938  Thornburg Mortgage Securities Trust †  5.410  4/25/2007  1,824,843 
938,750  Thornburg Mortgage Securities Trust †  5.430  4/25/2007  938,052 
935,391  Washington Mutual Asset Securities Corporation  3.830  1/25/2035  908,446 
1,499,240  Zuni Mortgage Loan Trust †  5.450  4/25/2007  1,497,719 
  Total Commercial Mortgage-Backed Securities  27,521,897 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
89

Balanced Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest    Maturity   
Amount  Long-Term Fixed Income (41.1%)  Rate    Date  Value 
Communications Services (1.4%)       
$225,000  British Telecom plc  8.625%  12/15/2010  $251,158 
225,000  British Telecom plc  9.125  12/15/2030  308,928 
450,000  Cingular Wireless, Inc.  6.500  12/15/2011  474,079 
200,000  Comcast Corporation  5.500  3/15/2011  202,188 
500,000  Cox Communications, Inc.  7.750  11/1/2010  540,372 
115,000  Cox Communications, Inc.  6.450  12/1/2036  115,747 
225,000  Deutsche Telekom International Finance BV  8.000  6/15/2010  243,904 
400,000  Deutsche Telekom International Finance BV  5.250  7/22/2013  394,702 
225,000  France Telecom SA  7.750  3/1/2011  245,133 
450,000  New Cingular Wireless Services, Inc. ±  7.875  3/1/2011  492,398 
500,000  News America, Inc. *  4.750  3/15/2010  495,250 
225,000  News America, Inc.  6.400  12/15/2035  223,802 
500,000  SBC Communications, Inc.  5.875  2/1/2012  513,147 
600,000  Sprint Capital Corporation  7.625  1/30/2011  645,077 
450,000  Sprint Capital Corporation  6.900  5/1/2019  466,013 
550,000  Telecom Italia Capital SA  5.250  11/15/2013  533,248 
425,000  Tele-Communications, Inc. (TCI Group)  7.875  8/1/2013  475,914 
1,000,000  Verizon Global Funding Corporation  7.250  12/1/2010  1,068,120 
  Total Communications Services    7,689,180 
 
Consumer Cyclical (0.5%)       
650,000  AOL Time Warner, Inc. ±  6.875  5/1/2012  692,652 
500,000  DaimlerChrysler North American Holdings Corporation  6.500  11/15/2013  526,584 
500,000  Johnson Controls, Inc.  7.125  7/15/2017  549,078 
450,000  Wal-Mart Stores, Inc.  7.550  2/15/2030  541,661 
500,000  Walt Disney Company *  5.625  9/15/2016  510,820 
  Total Consumer Cyclical    2,820,795 
 
Consumer Non-Cyclical (0.8%)       
225,000  Boston Scientific Corporation  7.000  11/15/2035  218,228 
800,000  Bunge Limited Finance Corporation  5.350  4/15/2014  771,278 
425,000  Coca-Cola HBC Finance BV  5.125  9/17/2013  419,641 
482,000  General Mills, Inc.  6.000  2/15/2012  498,557 
250,000  GlaxoSmithKline Capital, Inc.  5.375  4/15/2034  240,860 
500,000  Kraft Foods, Inc.  6.250  6/1/2012  519,552 
500,000  Kroger Company  4.950  1/15/2015  471,556 
500,000  WellPoint, Inc.  5.000  12/15/2014  485,184 
450,000  Wyeth  6.000  2/15/2036  447,515 
  Total Consumer Non-Cyclical    4,072,371 
 
Energy (0.3%)       
500,000  Burlington Resources, Inc.  6.500  12/1/2011  528,869 
800,000  Conoco Funding Company  6.350  10/15/2011  840,312 
250,000  PennzEnergy Company  10.125  11/15/2009  276,844 
  Total Energy      1,646,025 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
90

Balanced Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest    Maturity   
Amount  Long-Term Fixed Income (41.1%)  Rate    Date  Value 
Financials (3.1%)       
$450,000  Allstate Corporation ±  5.000%  8/15/2014  $439,823 
250,000  Associates Corporation of North America ±  6.250  11/1/2008  254,255 
225,000  BAC Capital Trust XI  6.625  5/23/2036  238,081 
675,000  Bank of America Corporation *  4.750  8/15/2013  655,516 
1,350,000  Bank One Corporation ±  5.900  11/15/2011  1,387,329 
700,000  BB&T Corporation  6.500  8/1/2011  734,992 
900,000  BNP Paribas SA  5.186  6/29/2015  861,863 
900,000  Capital One Financial Corporation  5.250  2/21/2017  858,678 
650,000  CIT Group, Inc.  4.750  12/15/2010  639,987 
650,000  Credit Suisse First Boston USA, Inc. *  3.875  1/15/2009  637,221 
675,000  Goldman Sachs Group, Inc.  6.600  1/15/2012  712,557 
425,000  Household Finance Corporation  4.750  5/15/2009  421,344 
500,000  HSBC Finance Corporation  5.000  6/30/2015  481,160 
650,000  Lehman Brothers Holdings, Inc.  3.950  11/10/2009  632,993 
450,000  Merrill Lynch & Company, Inc.  5.000  2/3/2014  439,157 
350,000  MetLife, Inc. *  5.000  6/15/2015  339,801 
1,100,000  Morgan Stanley Dean Witter & Company  6.750  4/15/2011  1,163,442 
1,500,000  Preferred Term Securities XXIII, Ltd. †  5.550  6/22/2007  1,499,766 
425,000  ProLogis Trust  5.500  3/1/2013  429,311 
500,000  Prudential Financial, Inc.  4.750  6/13/2015  476,122 
225,000  Prudential Financial, Inc.  5.700  12/14/2036  215,372 
400,000  Residential Capital Corporation  6.500  4/17/2013  396,202 
450,000  Student Loan Marketing Corporation  4.000  1/15/2010  437,949 
450,000  Union Planters Corporation  4.375  12/1/2010  440,331 
425,000  Wachovia Bank NA *  4.875  2/1/2015  409,855 
500,000  Washington Mutual Bank FA  5.500  1/15/2013  498,976 
900,000  Wells Fargo & Company  4.200  1/15/2010  880,515 
  Total Financials      16,582,598 
 
Foreign (1.6%)       
1,500,000  Canadian Government *  5.250  11/5/2008  1,509,396 
300,000  Codelco, Inc. ±  6.375  11/30/2012  315,571 
625,000  European Investment Bank  3.000  6/16/2008  610,459 
450,000  Export-Import Bank of Korea  4.125  2/10/2009  441,639 
1,200,000  Inter-American Development Bank  5.375  11/18/2008  1,209,136 
1,000,000  Ontario Electricity Financial Corporation  7.450  3/31/2013  1,126,548 
425,000  Pemex Project Funding Master Trust  9.125  10/13/2010  475,788 
250,000  Petro-Canada, Ltd.  8.600  1/15/2010  276,006 
500,000  Province of Newfoundland  8.650  10/22/2022  668,158 
600,000  Province of Quebec  4.875  5/5/2014  593,081 
750,000  Republic of Italy *  4.375  6/15/2013  723,298 
900,000  United Mexican States *  5.625  1/15/2017  907,200 
  Total Foreign      8,856,280 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
91

Balanced Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal        Interest    Maturity   
Amount  Long-Term Fixed Income (41.1%)  Rate    Date  Value 
Mortgage-Backed Securities (11.8%)       
$9,845  Federal Home Loan Mortgage Corporation       
  Gold  15-Yr. Pass Through  6.500%  4/1/2009  $9,904 
12,074  Federal Home Loan Mortgage Corporation       
  Gold  15-Yr. Pass Through  7.500  8/1/2010  12,321 
3,614  Federal Home Loan Mortgage Corporation       
  Gold  15-Yr. Pass Through  7.000  11/1/2010  3,685 
48,785  Federal Home Loan Mortgage Corporation       
  Gold  15-Yr. Pass Through  7.000  2/1/2011  49,744 
35,236  Federal Home Loan Mortgage Corporation       
  Gold  15-Yr. Pass Through  6.000  5/1/2012  35,746 
4,590  Federal Home Loan Mortgage Corporation       
  Gold  15-Yr. Pass Through  8.000  6/1/2012  4,787 
11,399  Federal Home Loan Mortgage Corporation       
  Gold  15-Yr. Pass Through  7.000  8/1/2012  11,751 
26,426  Federal Home Loan Mortgage Corporation       
  Gold  15-Yr. Pass Through  6.500  11/1/2012  27,061 
15,732  Federal Home Loan Mortgage Corporation       
  Gold  15-Yr. Pass Through  6.500  8/1/2013  16,118 
86,068  Federal Home Loan Mortgage Corporation       
  Gold  15-Yr. Pass Through  6.000  2/1/2014  87,655 
131,825  Federal Home Loan Mortgage Corporation       
  Gold  15-Yr. Pass Through  5.500  4/1/2014  132,618 
139,788  Federal Home Loan Mortgage Corporation       
  Gold  15-Yr. Pass Through  6.000  4/1/2014  142,390 
56,424  Federal Home Loan Mortgage Corporation       
  Gold  15-Yr. Pass Through  6.500  6/1/2014  57,843 
49,931  Federal Home Loan Mortgage Corporation       
  Gold  15-Yr. Pass Through  7.500  9/1/2014  51,691 
1,369,857  Federal Home Loan Mortgage Corporation       
  Gold  15-Yr. Pass Through  5.500  12/1/2017  1,376,085 
22,710  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  6.500  4/1/2024  23,301 
58,771  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  9.000  11/1/2024  63,686 
2,975  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  9.000  4/1/2025  3,222 
4,825  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  7.000  9/1/2025  5,018 
5,795  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  8.500  9/1/2025  6,221 
19,076  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  8.000  1/1/2026  20,141 
4,502  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  6.500  5/1/2026  4,626 
11,896  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  7.000  5/1/2026  12,374 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
92

Balanced Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal        Interest    Maturity   
Amount  Long-Term Fixed Income (41.1%)  Rate    Date  Value 
Mortgage-Backed Securities — continued       
$26,321  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  6.000%  7/1/2026  $26,738 
1,372  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  7.500  7/1/2026  1,439 
1,425  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  7.500  8/1/2026  1,494 
9,834  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  8.000  11/1/2026  10,376 
4,948  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  7.500  1/1/2027  5,189 
12,165  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  6.500  2/1/2027  12,549 
13,012  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  7.000  2/1/2027  13,534 
19,915  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  8.000  3/1/2027  21,012 
9,344  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  7.500  4/1/2027  9,798 
4,825  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  7.000  5/1/2027  5,019 
23,504  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  8.000  6/1/2027  24,796 
8,762  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  8.500  7/1/2027  9,418 
10,506  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  7.000  9/1/2027  10,928 
14,715  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  8.000  10/1/2027  15,523 
13,643  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  7.500  11/1/2027  14,305 
6,390  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  6.500  12/1/2027  6,591 
14,071  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  7.500  12/1/2027  14,754 
46,024  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  7.000  3/1/2028  47,885 
52,117  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  6.500  6/1/2028  53,758 
21,843  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  7.000  10/1/2028  22,727 
65,864  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  6.500  11/1/2028  67,938 
5,434  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  6.500  1/1/2029  5,605 
97,238  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  6.000  3/1/2029  98,739 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
93

Balanced Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest    Maturity   
Amount  Long-Term Fixed Income (41.1%)  Rate    Date  Value 
Mortgage-Backed Securities — continued       
$52,836  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  6.500%  4/1/2029  $54,468 
88,958  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  6.000  5/1/2029  90,332 
84,265  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  7.000  5/1/2029  87,689 
36,700  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  6.500  7/1/2029  37,833 
59,319  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  6.500  8/1/2029  61,152 
15,166  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  7.000  9/1/2029  15,783 
22,889  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  7.000  10/1/2029  23,819 
10,100  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  7.500  11/1/2029  10,583 
9,508  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  7.000  1/1/2030  9,895 
64,721  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  7.500  1/1/2030  67,700 
13,756  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  8.000  8/1/2030  14,480 
69,649  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  6.000  3/1/2031  70,639 
251,503  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  6.000  6/1/2031  255,078 
200,594  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  6.000  1/1/2032  203,446 
818,982  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  6.000  10/1/2032  829,825 
7,000,000  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through §  5.000  4/1/2037  6,763,750 
4,050,000  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through §  6.000  4/1/2037  4,081,639 
5,511  Federal National Mortgage Association       
  Conventional 15-Yr. Pass Through  9.000  4/1/2010  5,803 
4,127  Federal National Mortgage Association       
  Conventional 15-Yr. Pass Through  6.000  2/1/2011  4,193 
8,580  Federal National Mortgage Association       
  Conventional 15-Yr. Pass Through  8.000  5/1/2011  8,867 
11,854  Federal National Mortgage Association       
  Conventional 15-Yr. Pass Through  7.000  6/1/2011  12,225 
5,191  Federal National Mortgage Association       
  Conventional 15-Yr. Pass Through  6.500  7/1/2011  5,308 
5,028  Federal National Mortgage Association       
  Conventional 15-Yr. Pass Through  7.500  7/1/2011  5,139 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
94

Balanced Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal        Interest    Maturity   
Amount  Long-Term Fixed Income (41.1%)  Rate    Date  Value 
Mortgage-Backed Securities — continued       
$38,062  Federal National Mortgage Association       
  Conventional  15-Yr.  Pass Through  6.500%  5/1/2012  $38,988 
13,879  Federal National Mortgage Association       
  Conventional  15-Yr.  Pass Through  6.500  7/1/2012  14,217 
36,355  Federal National Mortgage Association       
  Conventional  15-Yr.  Pass Through  7.000  10/1/2012  37,502 
6,548  Federal National Mortgage Association       
  Conventional  15-Yr.  Pass Through  7.000  12/1/2012  6,754 
25,448  Federal National Mortgage Association       
  Conventional  15-Yr.  Pass Through  6.500  6/1/2013  26,079 
75,285  Federal National Mortgage Association       
  Conventional  15-Yr.  Pass Through  6.000  11/1/2013  76,695 
122,763  Federal National Mortgage Association       
  Conventional  15-Yr.  Pass Through  5.500  12/1/2013  123,560 
43,315  Federal National Mortgage Association       
  Conventional  15-Yr.  Pass Through  6.000  12/1/2013  44,067 
28,470  Federal National Mortgage Association       
  Conventional  15-Yr.  Pass Through  7.500  4/1/2015  29,341 
13,950,000  Federal National Mortgage Association       
  Conventional  15-Yr.  Pass Through §  5.000  4/1/2022  13,753,835 
8,923  Federal National Mortgage Association       
  Conventional  30-Yr.  Pass Through  10.500  8/1/2020  9,933 
6,244  Federal National Mortgage Association       
  Conventional  30-Yr.  Pass Through  9.500  4/1/2025  6,900 
1,498  Federal National Mortgage Association       
  Conventional  30-Yr.  Pass Through  7.500  9/1/2025  1,572 
5,863  Federal National Mortgage Association       
  Conventional  30-Yr.  Pass Through  8.500  11/1/2025  6,302 
3,587  Federal National Mortgage Association       
  Conventional  30-Yr.  Pass Through  7.000  1/1/2026  3,743 
16,151  Federal National Mortgage Association       
  Conventional  30-Yr.  Pass Through  6.500  2/1/2026  16,601 
6,499  Federal National Mortgage Association       
  Conventional  30-Yr.  Pass Through  7.000  3/1/2026  6,769 
9,664  Federal National Mortgage Association       
  Conventional  30-Yr.  Pass Through  6.500  4/1/2026  9,933 
1,660  Federal National Mortgage Association       
  Conventional  30-Yr.  Pass Through  8.500  5/1/2026  1,785 
4,549  Federal National Mortgage Association       
  Conventional  30-Yr.  Pass Through  7.500  7/1/2026  4,772 
24,185  Federal National Mortgage Association       
  Conventional  30-Yr.  Pass Through  7.500  8/1/2026  25,372 
2,251  Federal National Mortgage Association       
  Conventional  30-Yr.  Pass Through  8.000  8/1/2026  2,386 
10,788  Federal National Mortgage Association       
  Conventional  30-Yr.  Pass Through  7.000  11/1/2026  11,236 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
95

Balanced Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal        Interest    Maturity   
Amount  Long-Term Fixed Income (41.1%)  Rate    Date  Value 
Mortgage-Backed Securities — continued       
$4,257  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  8.000%  11/1/2026  $4,512 
1,519  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  7.500  12/1/2026  1,593 
2,273  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  7.500  2/1/2027  2,385 
8,891  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  7.000  3/1/2027  9,260 
9,568  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  7.500  5/1/2027  10,036 
15,585  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  6.500  7/1/2027  16,081 
10,657  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  7.000  7/1/2027  11,103 
5,071  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  8.000  7/1/2027  5,378 
13,332  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  7.500  8/1/2027  13,984 
51,364  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  8.000  9/1/2027  54,474 
13,982  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  7.000  10/1/2027  14,566 
39,430  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  7.500  12/1/2027  41,358 
7,120  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  8.000  12/1/2027  7,551 
19,985  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  6.500  2/1/2028  20,620 
14,167  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  7.000  2/1/2028  14,759 
147,025  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  6.500  7/1/2028  151,696 
36,018  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  7.000  8/1/2028  37,539 
84,151  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  6.500  11/1/2028  86,825 
3,148  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  7.000  11/1/2028  3,281 
139,278  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  6.000  12/1/2028  141,402 
48,174  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  7.000  12/1/2028  50,209 
53,664  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  6.000  3/1/2029  54,454 
77,286  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  6.500  6/1/2029  79,696 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
96

Balanced Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest    Maturity   
Amount  Long-Term Fixed Income (41.1%)  Rate    Date  Value 
Mortgage-Backed Securities — continued       
$100,565  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  6.000%  7/1/2029  $102,044 
29,939  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  6.500  7/1/2029  30,873 
88,316  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  7.500  8/1/2029  92,576 
105,004  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  6.000  11/1/2029  106,548 
87,322  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  7.000  11/1/2029  91,010 
28,169  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  8.500  4/1/2030  30,304 
12,516  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  7.500  8/1/2030  13,099 
156,501  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  6.500  7/1/2031  161,201 
72,340  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  6.500  10/1/2031  74,512 
84,617  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  6.500  12/1/2031  87,158 
106,874  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  6.500  5/1/2032  109,879 
594,480  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through  6.500  7/1/2032  611,197 
29,400,000  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through §  5.500  4/1/2037  29,087,614 
3,019  Government National Mortgage Association       
  15-Yr. Pass Through  6.500  5/15/2009  3,055 
15,530  Government National Mortgage Association       
  15-Yr. Pass Through  6.000  4/15/2011  15,788 
3,708  Government National Mortgage Association       
  15-Yr. Pass Through  6.500  6/15/2011  3,796 
8,107  Government National Mortgage Association       
  15-Yr. Pass Through  7.500  7/15/2011  8,342 
21,134  Government National Mortgage Association       
  15-Yr. Pass Through  7.000  4/15/2012  21,843 
121,696  Government National Mortgage Association       
  15-Yr. Pass Through  6.000  7/15/2014  123,941 
4,269  Government National Mortgage Association       
  30-Yr. Pass Through  9.500  12/15/2024  4,706 
13,729  Government National Mortgage Association       
  30-Yr. Pass Through  9.500  1/15/2025  15,152 
36,203  Government National Mortgage Association       
  30-Yr. Pass Through  9.000  3/15/2025  39,223 
2,998  Government National Mortgage Association       
  30-Yr. Pass Through  7.500  8/15/2025  3,133 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
97

Balanced Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal      Interest    Maturity   
Amount  Long-Term Fixed Income (41.1%)  Rate    Date  Value 
Mortgage-Backed Securities — continued       
$38,487  Government National Mortgage Association       
  30-Yr. Pass Through  7.000%  1/15/2026  $40,277 
4,670  Government National Mortgage Association       
  30-Yr. Pass Through  6.500  3/15/2026  4,801 
26,507  Government National Mortgage Association       
  30-Yr. Pass Through  7.000  4/15/2026  27,740 
7,004  Government National Mortgage Association       
  30-Yr. Pass Through  8.000  4/15/2026  7,434 
25,533  Government National Mortgage Association       
  30-Yr. Pass Through  6.000  5/15/2026  25,972 
23,039  Government National Mortgage Association       
  30-Yr. Pass Through  7.000  5/15/2026  24,111 
8,223  Government National Mortgage Association       
  30-Yr. Pass Through  7.500  5/15/2026  8,593 
37,780  Government National Mortgage Association       
  30-Yr. Pass Through  7.000  6/15/2026  39,537 
7,590  Government National Mortgage Association       
  30-Yr. Pass Through  8.500  6/15/2026  8,155 
3,358  Government National Mortgage Association       
  30-Yr. Pass Through  8.500  7/15/2026  3,608 
24,407  Government National Mortgage Association       
  30-Yr. Pass Through  8.000  9/15/2026  25,907 
9,715  Government National Mortgage Association       
  30-Yr. Pass Through  7.500  10/15/2026  10,152 
7,641  Government National Mortgage Association       
  30-Yr. Pass Through  8.000  11/15/2026  8,110 
3,164  Government National Mortgage Association       
  30-Yr. Pass Through  8.500  11/15/2026  3,400 
5,100  Government National Mortgage Association       
  30-Yr. Pass Through  9.000  12/15/2026  5,529 
2,648  Government National Mortgage Association       
  30-Yr. Pass Through  7.500  1/15/2027  2,767 
34,246  Government National Mortgage Association       
  30-Yr. Pass Through  7.500  4/15/2027  35,785 
9,471  Government National Mortgage Association       
  30-Yr. Pass Through  8.000  6/20/2027  10,014 
3,897  Government National Mortgage Association       
  30-Yr.  Pass Through  8.000  8/15/2027  4,136 
95,050  Government National Mortgage Association       
  30-Yr. Pass Through  6.500  10/15/2027  97,887 
39,596  Government National Mortgage Association       
  30-Yr. Pass Through  7.000  10/15/2027  41,438 
43,660  Government National Mortgage Association       
  30-Yr. Pass Through  7.000  11/15/2027  45,693 
15,227  Government National Mortgage Association       
  30-Yr. Pass Through  6.500  7/15/2028  15,681 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
98

Balanced Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest    Maturity   
Amount  Long-Term Fixed Income (41.1%)  Rate    Date  Value 
Mortgage-Backed Securities — continued       
$109,749  Government National Mortgage Association       
  30-Yr. Pass Through  7.000%  7/15/2028  $114,808 
17,839  Government National Mortgage Association       
  30-Yr. Pass Through  7.500  7/15/2028  18,637 
121,368  Government National Mortgage Association       
  30-Yr. Pass Through  6.500  9/15/2028  124,989 
102,945  Government National Mortgage Association       
  30-Yr. Pass Through  6.000  12/15/2028  104,691 
86,798  Government National Mortgage Association       
  30-Yr. Pass Through  6.500  1/15/2029  89,383 
243,365  Government National Mortgage Association       
  30-Yr. Pass Through  6.500  3/15/2029  250,611 
56,280  Government National Mortgage Association       
  30-Yr. Pass Through  6.500  4/15/2029  57,956 
36,837  Government National Mortgage Association       
  30-Yr. Pass Through  7.000  4/15/2029  38,538 
167,985  Government National Mortgage Association       
  30-Yr. Pass Through  6.000  6/15/2029  170,785 
65,832  Government National Mortgage Association       
  30-Yr. Pass Through  7.000  6/15/2029  68,872 
10,038  Government National Mortgage Association       
  30-Yr. Pass Through  7.500  8/15/2029  10,484 
24,728  Government National Mortgage Association       
  30-Yr. Pass Through  8.000  5/15/2030  26,240 
56,398  Government National Mortgage Association       
  30-Yr. Pass Through  7.000  9/15/2031  58,976 
111,432  Government National Mortgage Association       
  30-Yr. Pass Through  6.500  2/15/2032  114,545 
  Total Mortgage-Backed Securities    63,052,089 
 
Technology (0.1%)       
500,000  International Business Machines Corporation *  7.500  6/15/2013  562,100 
  Total Technology      562,100 
 
Transportation (0.3%)       
425,000  CSX Corporation  5.500  8/1/2013  422,047 
450,000  FedEx Corporation  3.500  4/1/2009  435,952 
500,000  Union Pacific Corporation  6.500  4/15/2012  524,129 
  Total Transportation      1,382,128 
 
U.S. Government (8.1%)       
1,000,000  Federal Home Loan Bank  2.750  3/14/2008  978,638 
1,000,000  Federal Home Loan Bank  5.925  4/9/2008  1,008,564 
2,000,000  Federal Home Loan Bank  4.100  6/13/2008  1,979,262 
2,000,000  Federal Home Loan Bank  4.500  10/14/2008  1,988,072 
2,500,000  Federal Home Loan Bank  4.625  11/21/2008  2,489,135 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
99

Balanced Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest    Maturity   
Amount  Long-Term Fixed Income (41.1%)  Rate    Date  Value 
U.S. Government — continued       
$1,000,000  Federal Home Loan Bank  3.750%  8/18/2009  $975,993 
3,000,000  Federal Home Loan Mortgage Corporation  5.750  4/15/2008  3,021,558 
1,000,000  Federal National Mortgage Association  5.250  1/15/2009  1,005,872 
1,300,000  Federal National Mortgage Association *  5.000  2/13/2017  1,297,404 
1,500,000  Federal National Mortgage Association  5.625  4/17/2028  1,547,732 
1,000,000  Federal National Mortgage Association  7.125  1/15/2030  1,241,519 
1,000,000  Resolution Funding Corporation  8.625  1/15/2021  1,336,329 
5,400,000  U.S. Treasury Bonds *  7.250  5/15/2016  6,424,947 
925,000  U.S. Treasury Bonds *  8.875  2/15/2019  1,263,926 
650,000  U.S. Treasury Bonds  7.875  2/15/2021  844,390 
600,000  U.S. Treasury Bonds *  8.000  11/15/2021  792,937 
400,000  U.S. Treasury Bonds *  7.250  8/15/2022  500,281 
250,000  U.S. Treasury Bonds *  7.625  11/15/2022  323,555 
625,000  U.S. Treasury Bonds *  7.125  2/15/2023  775,928 
750,000  U.S. Treasury Bonds *  6.250  8/15/2023  861,035 
1,100,000  U.S. Treasury Bonds *‡  7.500  11/15/2024  1,431,632 
500,000  U.S. Treasury Bonds *  6.875  8/15/2025  616,640 
1,275,000  U.S. Treasury Bonds *  5.250  11/15/2028  1,330,582 
1,450,000  U.S. Treasury Bonds *  6.125  8/15/2029  1,686,418 
1,000,000  U.S. Treasury Notes *  3.375  2/15/2008  986,680 
3,700,000  U.S. Treasury Notes *  6.000  8/15/2009  3,815,481 
750,000  U.S. Treasury Notes *  4.750  5/15/2014  756,767 
1,700,000  U.S. Treasury Notes *  4.500  2/15/2016  1,682,735 
275,000  U.S. Treasury Notes *  4.625  2/15/2017  274,441 
  Total U.S. Government      43,238,453 
 
Utilities (0.6%)       
225,000  Commonwealth Edison Company  5.900  3/15/2036  208,831 
450,000  Duke Capital Corporation  7.500  10/1/2009  473,452 
450,000  FirstEnergy Corporation  6.450  11/15/2011  471,672 
425,000  Oncor Electric Delivery Company  6.375  1/15/2015  442,239 
225,000  Oneok Partners, LP  6.650  10/1/2036  231,173 
300,000  Progress Energy, Inc.  7.000  10/30/2031  332,044 
700,000  Public Service Company of Colorado  7.875  10/1/2012  788,137 
225,000  Southern California Edison Company  5.000  1/15/2014  220,928 
225,000  Xcel Energy, Inc.  6.500  7/1/2036  236,514 
  Total Utilities      3,404,990 
  Total Long-Term Fixed Income (cost $218,671,726)  220,756,950 
 
 
    Interest    Maturity   
Shares  Collateral Held for Securities Loaned (7.7%)  Rate (+)    Date  Value 
41,095,629  Thrivent Financial Securities Lending Trust  5.350%  N/A  $41,095,629 
  Total Collateral Held for Securities Loaned   
  (cost $41,095,629)      41,095,629 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
100

Balanced Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)         
 
Shares or             
Principal      Interest  Maturity   
Amount  Short-Term Investments (5.5%)  Rate (+)  Date  Value 
$2,050,000  Corporate Receivables Corporation Funding, LLC  5.300%  4/16/2007  $2,045,171 
500,000  Federal National Mortgage Association ‡  5.080  7/16/2007  492,592 
4,648,000  Golden Funding Corporation    5.280  4/17/2007  4,636,411 
1,625,000  Regency Markets No. 1, LLC    5.350  4/13/2007  1,621,861 
8,640,000  Three Pillars Funding Corporation  5.420  4/2/2007  8,637,398 
12,230,029  Thrivent Money Market Portfolio  5.050  N/A  12,230,029 
       
    Total Short-Term Investments (cost $29,663,321)  29,663,462 
    Total Investments (cost $536,450,796) 117.9%  $632,902,338 
    Other Assets and Liabilities, Net (17.9%)    (96,003,654) 
    Total Net Assets 100.0%      $536,898,684 
 
 
    Number of    Notional     
    Contracts  Expiration  Principal    Unrealized 
Futures    Long/(Short)  Date  Amount  Value  Gain/(Loss) 
S&P 500 Index Futures  28  June 2007  $9,922,640  $10,018,400  $95,760 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

† Denotes variable rate obligations for which the current yield and next scheduled reset date are shown.

§ Denotes investments purchased on a when-issued basis.

± Designated as cover for long settling trades.

‡ At March 30, 2007, $1,143,334 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open financial futures contracts. In addition, $16,083,042 of investments were earmarked as collateral to cover open financial futures contracts.

Definitions:

REIT — Real Estate Investment Trust, is a company that buys, develops, manages and/or sells real estate assets.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $128,938,270 
Gross unrealized depreciation  (32,486,728) 
Net unrealized appreciation (depreciation)  $96,451,542 
Cost for federal income tax purposes  $536,450,796 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
101

High Yield Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (94.3%)  Rate  Date  Value 
 
Basic Materials (11.5%)       
$2,180,000  AK Steel Corporation ‡  7.750%  6/15/2012  $2,215,425 
2,130,000  Aleris International, Inc. ‡  9.000  12/15/2014  2,247,150 
2,740,000  Aleris International, Inc. ±  10.000  12/15/2016  2,863,300 
1,740,000  Appleton Papers, Inc.  8.125  6/15/2011  1,787,850 
3,800,000  Arch Western Finance, LLC ‡  6.750  7/1/2013  3,738,250 
2,580,000  BCP Caylux Holdings Luxembourg SCA  9.625  6/15/2014  2,930,674 
2,250,000  Buckeye Technologies, Inc.  8.000  10/15/2010  2,238,750 
3,810,000  Chaparral Steel Company  10.000  7/15/2013  4,248,150 
3,810,000  Crystal US Holdings 3, LLC/Crystal US       
  Sub 3 Corporation *>  Zero Coupon  10/1/2009  3,530,117 
3,550,000  Domtar, Inc. *  7.125  8/1/2015  3,532,250 
3,270,000  Drummond Company, Inc.  7.375  2/15/2016  3,139,200 
2,475,000  Equistar Chemicals, LP  10.625  5/1/2011  2,611,125 
4,270,000  FMG Finance, Pty. Ltd. *  10.625  9/1/2016  4,910,500 
4,300,000  Freeport-McMoRan Copper & Gold, Inc.  8.375  4/1/2017  4,649,375 
1,140,000  General Cable Corporation  7.125  4/1/2017  1,147,125 
2,150,000  Georgia-Pacific Corporation  8.125  5/15/2011  2,257,500 
1,070,000  Georgia-Pacific Corporation  7.000  1/15/2015  1,075,350 
2,660,000  Georgia-Pacific Corporation  7.125  1/15/2017  2,666,650 
5,280,000  Graphic Packaging International Corporation *  9.500  8/15/2013  5,616,600 
4,250,000  Griffin Coal Mining Company, Pty. Ltd.  9.500  12/1/2016  4,483,750 
3,490,000  Huntsman International, LLC  7.875  11/13/2014  3,607,788 
1,920,000  Jefferson Smurfit Corporation *  8.250  10/1/2012  1,920,000 
3,520,000  Lyondell Chemical Company *  10.500  6/1/2013  3,854,400 
4,020,000  Lyondell Chemical Company  8.250  9/15/2016  4,301,400 
1,130,000  MacDermid, Inc. §  9.500  4/15/2017  1,158,250 
2,270,000  Mosaic Global Holdings, Inc., Convertible  7.375  12/1/2014  2,366,475 
2,850,000  PNA Group, Inc.  10.750  9/1/2016  3,063,750 
1,140,000  PNA Intermediate Holdings Corporation †  12.360  5/15/2007  1,168,500 
2,078,000  Rockwood Specialties, Inc.  10.625  5/15/2011  2,192,290 
3,800,000  Ryerson, Inc.  8.250  12/15/2011  3,838,000 
2,700,000  Smurfit-Stone Container Enterprises, Inc.  8.000  3/15/2017  2,639,250 
1,970,000  Southern Copper Corporation  7.500  7/27/2035  2,123,420 
4,210,000  Terra Capital, Inc.  7.000  2/1/2017  4,188,950 
  Total Basic Materials    98,311,564 
 
Capital Goods (9.0%)       
3,180,000  Ahern Rentals, Inc. ‡  9.250  8/15/2013  3,319,126 
4,830,000  Allied Waste North America, Inc. *±  7.875  4/15/2013  5,011,125 
1,910,000  Ashtead Capital, Inc. ±  9.000  8/15/2016  2,034,150 
3,280,000  Ball Corporation *  6.625  3/15/2018  3,259,500 
3,220,000  Berry Plastics Holding Corporation  8.875  9/15/2014  3,292,450 
1,000,000  Browning-Ferris Industries, Inc. *  9.250  5/1/2021  1,085,000 
1,000,000  Browning-Ferris Industries, Inc.  7.400  9/15/2035  960,000 
2,370,000  Case New Holland, Inc.  9.250  8/1/2011  2,488,500 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
102

High Yield Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (94.3%)  Rate  Date  Value 
Capital Goods — continued       
$2,630,000  Case New Holland, Inc. *  7.125%  3/1/2014  $2,735,200 
2,710,000  Crown Americas, Inc.  7.625  11/15/2013  2,787,912 
2,710,000  Crown Americas, Inc.  7.750  11/15/2015  2,818,400 
3,400,000  Da-Lite Screen Company, Inc.  9.500  5/15/2011  3,553,000 
2,850,000  Fastentech, Inc.  11.500  5/1/2011  3,024,562 
2,470,000  Graham Packaging Company, Inc. *  9.875  10/15/2014  2,519,400 
1,090,000  K&F Acquisition, Inc. ±  7.750  11/15/2014  1,158,125 
1,150,000  Legrand SA  8.500  2/15/2025  1,351,250 
1,335,000  Mueller Group, Inc.  10.000  5/1/2012  1,441,800 
3,224,000  Mueller Holdings, Inc. >  Zero Coupon  4/15/2009  2,933,840 
2,340,000  Norcraft Companies, LP/Norcraft       
  Finance Corporation  9.000  11/1/2011  2,410,200 
2,342,000  Owens-Brockway Glass Container, Inc.  8.875  2/15/2009  2,388,840 
1,630,000  Owens-Brockway Glass Container, Inc.  8.250  5/15/2013  1,699,275 
3,150,000  Owens-Illinois, Inc. *  7.500  5/15/2010  3,197,250 
4,550,000  Plastipak Holdings, Inc.  8.500  12/15/2015  4,823,000 
3,700,000  RBS Global, Inc./Rexnord Corporation  9.500  8/1/2014  3,848,000 
1,110,000  RBS Global, Inc./Rexnord Corporation *  11.750  8/1/2016  1,191,862 
2,140,000  Rental Services Corporation  9.500  12/1/2014  2,279,100 
1,840,000  TransDigm, Inc.  7.750  7/15/2014  1,899,800 
3,000,000  United Rentals North America, Inc.  6.500  2/15/2012  2,992,500 
4,180,000  United Rentals North America, Inc. *  7.000  2/15/2014  4,169,550 
  Total Capital Goods    76,672,717 
 
Communications Services (18.8%)       
448,000  American Cellular Corporation  10.000  8/1/2011  474,320 
3,960,000  American Tower Corporation *  7.125  10/15/2012  4,078,800 
2,300,000  American Towers, Inc. ±  7.250  12/1/2011  2,369,000 
1,710,000  Block Communications, Inc.  8.250  12/15/2015  1,735,650 
2,410,700  CCH I, LLC  11.000  10/1/2015  2,501,101 
2,900,000  CCH II LLC/ CCH II Capital Corporation *  10.250  10/1/2013  3,168,250 
3,270,000  Centennial Communications Corporation *  8.125  2/1/2014  3,376,275 
3,060,000  Charter Communications Holdings, LLC  8.750  11/15/2013  3,167,100 
4,345,000  Citizens Communications Company *  9.250  5/15/2011  4,844,675 
2,690,000  Cricket Communications, Inc.  9.375  11/1/2014  2,851,400 
1,660,000  Dex Media West, LLC/Dex Media West       
  Finance Company  9.875  8/15/2013  1,811,475 
4,360,000  Dobson Cellular Systems  9.875  11/1/2012  4,752,400 
3,220,000  Idearc, Inc.  8.000  11/15/2016  3,312,575 
2,280,000  Intelsat Bermuda, Inc. †  8.872  7/15/2007  2,325,600 
1,640,000  Intelsat Bermuda, Inc.  9.250  6/15/2016  1,816,300 
9,380,000  Intelsat Bermuda, Inc.  11.250  6/15/2016  10,646,301 
4,320,000  Intelsat Intermediate, Inc. >  Zero Coupon  2/1/2010  3,585,600 
3,250,000  Intelsat Subsidiary Holding Company, Ltd.  8.625  1/15/2015  3,477,500 
1,050,000  Kabel Deutschland GmbH *  10.625  7/1/2014  1,170,750 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
103

High Yield Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest    Maturity   
Amount  Long-Term Fixed Income (94.3%)  Rate  Date  Value 
Communications Services — continued       
$2,170,000  Lamar Media Corporation    6.625%  8/15/2015  $2,115,750 
5,330,000  Level 3 Financing, Inc. *  9.250  11/1/2014  5,476,575 
2,270,000  Level 3 Financing, Inc.  8.750  2/15/2017  2,287,025 
2,680,000  MetroPCS Wireless, Inc.  9.250  11/1/2014  2,834,100 
5,445,000  Morris Publishing Group, LLC  7.000  8/1/2013  5,199,975 
5,330,000  NTL Cable plc  9.125  8/15/2016  5,623,150 
3,260,000  PRIMEDIA, Inc. †  10.735  5/15/2007  3,374,100 
4,880,000  Qwest Communications International, Inc.  7.250  2/15/2011  4,995,900 
1,630,000  Qwest Communications International, Inc.  7.500  2/15/2014  1,678,900 
1,110,000  Qwest Corporation †  8.605  6/15/2007  1,209,900 
8,820,000  Qwest Corporation  7.875  9/1/2011  9,371,250 
1,650,000  Qwest Corporation  7.625  6/15/2015  1,761,375 
11,900,000  R.H. Donnelley Corporation  6.875  1/15/2013  11,572,750 
3,270,000  R.H. Donnelley Corporation  8.875  1/15/2016  3,474,375 
4,540,000  Readers Digest Association, Inc.  9.000  2/15/2017  4,369,750 
3,820,000  Rogers Wireless Communications, Inc.  7.500  3/15/2015  4,139,925 
2,180,000  Rural Cellular Corporation *  9.750  1/15/2010  2,245,400 
2,180,000  Rural Cellular Corporation *  9.875  2/1/2010  2,299,900 
4,300,000  Time Warner Telecom Holdings, Inc.  9.250  2/15/2014  4,601,000 
4,540,000  Umbrella Acquisition *  9.750  3/15/2015  4,522,975 
4,970,000  Valor Telecommunications Enterprises, LLC  7.750  2/15/2015  5,355,175 
5,360,000  Videotron Ltee  6.875  1/15/2014  5,413,600 
600,000  Windstream Corporation  8.125  8/1/2013  649,500 
1,720,000  Windstream Corporation  8.625  8/1/2016  1,881,250 
2,100,000  Windstream Corporation  7.000  3/15/2019  2,100,000 
 
  Total Communications Services    160,018,672 
 
Consumer Cyclical (21.5%)       
1,980,000  Allied Security Escrow Corporation ±  11.375  7/15/2011  2,019,600 
4,730,000  American Casino & Entertainment Properties, LLC ‡  7.850  2/1/2012  4,919,200 
4,350,000  Beazer Homes USA, Inc. *  8.625  5/15/2011  4,252,125 
2,950,000  Beazer Homes USA, Inc. *  8.125  6/15/2016  2,773,000 
6,250,000  Bon-Ton Stores, Inc. *  10.250  3/15/2014  6,710,938 
1,310,000  Boyd Gaming Corporation  7.125  2/1/2016  1,283,800 
3,380,000  Buffalo Thunder Development Authority  9.375  12/15/2014  3,447,600 
3,240,000  Buffets, Inc.  12.500  11/1/2014  3,369,600 
3,390,000  Buhrmann U.S., Inc.  7.875  3/1/2015  3,390,000 
5,810,000  Burlington Coat Factory Warehouse Corporation *  11.125  4/15/2014  5,926,200 
3,590,000  Circus & Eldorado Joint Venture/Silver Legacy       
  Capital Corporation  10.125  3/1/2012  3,760,525 
2,130,000  Dollarama Group, LP †  11.120  6/15/2007  2,151,300 
6,230,000  Dollarama Group, LP *  8.875  8/15/2012  6,494,775 
4,050,000  Ford Motor Credit Company *†  9.810  4/16/2007  4,293,782 
1,350,000  Ford Motor Credit Company  9.750  9/15/2010  1,422,012 
2,680,000  Ford Motor Credit Company *  7.000  10/1/2013  2,491,293 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
104

High Yield Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (94.3%)  Rate  Date  Value 
Consumer Cyclical — continued       
$5,350,000  Ford Motor Credit Company  8.000%  12/15/2016  $5,148,000 
5,020,000  Gaylord Entertainment Company  6.750  11/15/2014  4,888,225 
7,660,000  General Motors Corporation *  8.250  7/15/2023  6,894,000 
5,960,000  Group 1 Automotive, Inc. *  8.250  8/15/2013  6,183,500 
3,730,000  Hanesbrands, Inc. †  8.735  6/15/2007  3,799,938 
4,200,000  Harrah’s Operating Company, Inc. *  6.500  6/1/2016  3,720,948 
3,210,000  Jean Coutu Group (PJC), Inc. *  7.625  8/1/2012  3,402,854 
5,360,000  K. Hovnanian Enterprises, Inc. *  7.500  5/15/2016  4,998,200 
3,940,000  KB Home  6.250  6/15/2015  3,531,225 
3,880,000  Majestic Star Casino, LLC  9.500  10/15/2010  4,069,150 
8,190,000  MGM MIRAGE *  5.875  2/27/2014  7,616,700 
4,550,000  Mohegan Tribal Gaming Authority  6.375  7/15/2009  4,527,250 
3,180,000  NCL Corporation  10.625  7/15/2014  3,148,200 
3,220,000  NCO Group, Inc. †  10.230  5/15/2007  3,228,050 
1,655,000  Norcraft Holdings, LP/Norcraft       
  Capital Corporation *>  Zero Coupon  9/1/2008  1,489,500 
2,800,000  Perry Ellis International, Inc.  8.875  9/15/2013  2,870,000 
3,600,000  Pokagon Gaming Authority  10.375  6/15/2014  3,969,000 
4,730,000  Poster Financial Group, Inc.  8.750  12/1/2011  4,919,200 
5,240,000  Rite Aid Corporation *  8.625  3/1/2015  4,964,900 
2,650,000  Sally Holdings, LLC *  10.500  11/15/2016  2,722,875 
3,550,000  Seminole Hard Rock Entertainment †  7.848  6/15/2007  3,621,000 
2,100,000  Service Corporation International §  6.750  4/1/2015  2,097,375 
3,210,000  Six Flags, Inc. *  9.625  6/1/2014  3,017,400 
6,940,000  Station Casinos, Inc.  6.875  3/1/2016  6,358,775 
6,510,000  Tunica Biloxi Gaming Authority  9.000  11/15/2015  6,916,875 
2,960,000  Turning Stone Resort Casino Enterprise  9.125  9/15/2014  3,041,400 
2,130,000  United Auto Group, Inc.  7.750  12/15/2016  2,151,300 
4,315,000  Universal City Florida Holding Company I/II *†  10.110  5/1/2007  4,449,844 
3,810,000  Warnaco, Inc.  8.875  6/15/2013  4,043,362 
3,848,000  WMG Holdings Corporation >  Zero Coupon  12/15/2009  2,943,720 
  Total Consumer Cyclical    183,438,516 
 
Consumer Non-Cyclical (8.1%)       
2,370,000  Coventry Health Care, Inc.  6.125  1/15/2015  2,399,390 
2,170,000  Elan Finance Corporation, Ltd.  7.750  11/15/2011  2,132,025 
2,170,000  Elan Finance plc/Elan Finance Corporation †  9.360  5/15/2007  2,207,975 
3,140,000  HCA, Inc.  6.750  7/15/2013  2,896,650 
5,870,000  HCA, Inc.  9.250  11/15/2016  6,332,262 
4,350,000  IASIS Healthcare, LLC (IASIS Capital Corporation)  8.750  6/15/2014  4,502,250 
3,730,000  Jarden Corporation  7.500  5/1/2017  3,767,300 
5,310,000  Jostens Holding Corporation *>  Zero Coupon  12/1/2008  4,911,750 
3,950,000  Michael Foods, Inc.  8.000  11/15/2013  4,009,250 
2,720,000  Smithfield Foods, Inc.  8.000  10/15/2009  2,835,600 
2,715,000  Stater Brothers Holdings, Inc. *  8.125  6/15/2012  2,796,450 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
105

High Yield Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (94.3%)  Rate  Date  Value 
Consumer Non-Cyclical — continued       
$3,410,000  Sun Healthcare Group, Inc. §  9.125%  4/15/2015  $3,495,250 
2,680,000  Supervalu, Inc.  7.500  11/15/2014  2,793,900 
4,610,000  Triad Hospitals, Inc.  7.000  5/15/2012  4,782,875 
2,680,000  Triad Hospitals, Inc.  7.000  11/15/2013  2,797,250 
4,080,000  US Oncology Holdings, Inc. †  10.580  9/17/2007  4,161,600 
2,230,000  US Oncology, Inc.  9.000  8/15/2012  2,380,525 
3,810,000  Vanguard Health Holding Company II, LLC  9.000  10/1/2014  3,857,625 
4,340,000  Ventas Realty, LP/Ventas Capital Corporation *  6.500  6/1/2016  4,443,075 
1,508,000  Warner Chilcott Corporation  8.750  2/1/2015  1,572,090 
  Total Consumer Non-Cyclical    69,075,092 
 
Energy (4.5%)       
3,230,000  CHC Helicopter Corporation  7.375  5/1/2014  3,141,175 
1,980,000  Chesapeake Energy Corporation *  6.375  6/15/2015  1,970,100 
3,470,000  Chesapeake Energy Corporation ±  6.250  1/15/2018  3,426,625 
1,140,000  Compagnie Generale de Geophysique-Veritas  7.750  5/15/2017  1,188,450 
3,805,000  Denbury Resources, Inc. *  7.500  12/15/2015  3,843,050 
2,690,000  Hornbeck Offshore Services, Inc.  6.125  12/1/2014  2,545,412 
1,755,000  Magnum Hunter Resources, Inc.  9.600  3/15/2012  1,838,362 
4,525,000  Ocean Rig Norway AS  8.375  7/1/2013  4,796,500 
4,270,000  OPTI Canada, Inc.  8.250  12/15/2014  4,440,800 
3,140,000  PetroHawk Energy Corporation *  9.125  7/15/2013  3,344,100 
2,950,000  Pioneer Natural Resources Company  5.875  7/15/2016  2,744,910 
1,140,000  Pioneer Natural Resources Company *  6.650  3/15/2017  1,127,723 
3,800,000  Western Oil Sands, Inc. *  8.375  5/1/2012  4,246,500 
  Total Energy      38,653,707 
 
Financials (3.5%)       
2,150,000  ACE Cash Express, Inc. ‡  10.250  10/1/2014  2,214,500 
2,470,000  FTI Consulting, Inc. *  7.625  6/15/2013  2,562,625 
10,410,000  General Motors Acceptance Corporation  6.875  9/15/2011  10,420,087 
1,700,000  Goldman Sachs Group, Inc., Convertible  1.000  3/7/2012  1,680,450 
1,700,000  Goldman Sachs Group, Inc., Convertible  1.000  3/28/2014  1,640,109 
1,700,000  Lehman Brothers Holdings, Inc., Convertible  1.000  3/29/2014  1,685,550 
6,600,000  Leucadia National Corporation  7.125  3/15/2017  6,558,750 
1,700,000  Morgan Stanley Dean Witter & Company, Convertible ¿  20.250  8/27/2007  1,641,860 
1,610,000  Wells Fargo & Company, Convertible *†  5.110  5/1/2007  1,606,039 
  Total Financials      30,009,970 
 
Technology (4.8%)       
3,250,000  Avago Technologies Finance Pte †  10.860  6/1/2007  3,404,375 
2,100,000  Avago Technologies Finance Pte  10.125  12/1/2013  2,273,250 
1,725,000  Electronic Data Systems Corporation, Convertible *  3.875  7/15/2023  1,815,562 
3,440,000  Freescale Semiconductor, Inc. *  8.875  12/15/2014  3,444,300 
2,220,000  Intel Corporation, Convertible  2.950  12/15/2035  1,920,300 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
106

High Yield Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (94.3%)  Rate  Date  Value 
Technology — continued       
$2,290,000  Nortel Networks, Ltd. †  9.610%  4/16/2007  $2,450,300 
1,600,000  NXP BV/NXP Funding, LLC †  8.110  4/15/2007  1,646,000 
4,780,000  NXP BV/NXP Funding, LLC *  9.500  10/15/2015  4,935,350 
6,900,000  Seagate Technology HDD Holdings  6.800  10/1/2016  6,934,500 
2,180,000  SunGard Data Systems, Inc. *  10.250  8/15/2015  2,378,925 
1,502,157  UGS Capital Corporation II †  10.348  6/1/2007  1,528,445 
5,070,000  UGS Corporation  10.000  6/1/2012  5,545,312 
2,730,000  Unisys Corporation *  6.875  3/15/2010  2,730,000 
  Total Technology      41,006,619 
 
Transportation (3.5%)       
2,270,000  Continental Airlines, Inc. §  7.339  4/19/2014  2,292,700 
3,359,836  Continental Airlines, Inc.  7.875  7/2/2018  3,494,229 
2,670,000  Delta Air Lines, Inc. =  7.920  11/18/2010  2,730,075 
2,220,000  Hertz Corporation  8.875  1/1/2014  2,392,050 
3,700,000  Hertz Corporation *  10.500  1/1/2016  4,218,000 
1,287,000  H-Lines Finance Holding Corporation >  Zero Coupon  4/1/2008  1,222,650 
2,443,000  Horizon Lines, LLC  9.000  11/1/2012  2,565,150 
3,220,000  Kansas City Southern de Mexico SA de CV  7.625  12/1/2013  3,256,225 
3,730,000  Navios Maritime Holdings, Inc. *  9.500  12/15/2014  3,883,862 
3,500,000  Windsor Petroleum Transport Corporation >  7.840  1/15/2021  3,804,171 
  Total Transportation    29,859,112 
 
Utilities (9.1%)       
1,700,000  AES Corporation ‡  8.875  2/15/2011  1,827,500 
4,340,000  AES Corporation ‡  8.750  5/15/2013  4,622,100 
2,950,000  Colorado Interstate Gas Company ‡  6.800  11/15/2015  3,137,275 
1,820,000  Consumers Energy Company  6.300  2/1/2012  1,838,200 
2,870,000  Copano Energy, LLC  8.125  3/1/2016  2,970,450 
2,720,000  Dynegy Holdings, Inc.  6.875  4/1/2011  2,726,800 
2,690,000  Dynegy Holdings, Inc.  8.375  5/1/2016  2,797,600 
2,230,000  Edison Mission Energy  7.500  6/15/2013  2,302,475 
2,480,000  Edison Mission Energy  7.750  6/15/2016  2,585,400 
4,250,000  El Paso Production Holding Company  7.750  6/1/2013  4,441,250 
2,350,000  Midwest Generation, LLC  8.750  5/1/2034  2,549,750 
1,910,000  Mirant North America, LLC  7.375  12/31/2013  1,957,750 
4,460,000  Mission Energy Holding Company  13.500  7/15/2008  4,861,400 
8,460,000  NRG Energy, Inc.  7.375  2/1/2016  8,692,650 
2,250,000  Pacific Energy Partners, LP/Pacific Energy       
  Finance Corporation  7.125  6/15/2014  2,349,720 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
107

High Yield Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (94.3%)  Rate   Date  Value 
Utilities — continued       
$2,725,000  Reliant Energy Resources Corporation  6.750%  12/15/2014  $2,878,281 
3,790,000  SemGroup, LP  8.750  11/15/2015  3,846,850 
4,190,000  Southern Natural Gas Company  7.350  2/15/2031  4,634,161 
2,383,000  Southern Star Central Corporation  6.750  3/1/2016  2,383,000 
7,990,000  Williams Companies, Inc. *>  8.125  3/15/2012  8,689,125 
2,470,000  Williams Companies, Inc.  8.750  3/15/2032  2,846,675 
2,400,000  Williams Partners, LP  7.250  2/1/2017  2,538,000 
  Total Utilities      77,476,412 
  Total Long-Term Fixed Income (cost $781,264,140)  804,522,381 
 
 
Shares  Preferred Stock (0.9%)      Value 
105,000  Chevy Chase Preferred Capital Corporation, Convertible #*      $5,674,200 
5,040  NRG Energy, Inc., Convertible #      1,638,252 
  Total Preferred Stock (cost $6,516,250)    7,312,452 
 
 
Shares  Common Stock (<0.1%)      Value 
30  Pliant Corporation # ^      $0 
121,520  TVMAX Holdings, Inc. #      12,152 
6,932  XO Communications, Inc., Stock Warrants #      1,733 
6,932  XO Communications, Inc., Stock Warrants #      3,605 
9,243  XO Communications, Inc., Stock Warrants #      8,319 
4,621  XO Holdings, Inc., Stock Warrants #*      23,706 
80,000  ZSC Specialty Chemical plc, Preferred Stock Warrants # ^ƒ      0 
80,000  ZSC Specialty Chemical plc, Stock Warrants # ^ƒ      0 
  Total Common Stock (cost $6,566,208)    49,515 
 
 
    Interest  Maturity   
Shares  Collateral Held for Securities Loaned (16.6%)  Rate (+)  Date  Value 
141,363,287  Thrivent Financial Securities Lending Trust  5.350%  N/A  $141,363,287 
  Total Collateral Held for Securities Loaned   
  (cost $141,363,287)      141,363,287 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
108

High Yield Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)         
 
Shares or           
Principal      Interest  Maturity   
Amount  Short-Term Investments (3.0%)    Rate (+)  Date  Value 
$600,000  Federal National Mortgage Association    5.085%  7/16/2007  $591,110 
9,140,524  Thrivent Money Market Portfolio    5.050  N/A  9,140,524 
15,435,000  Toyota Motor Credit Corporation    5.400  4/2/2007  15,430,370 
  Total Short-Term Investments (at amortized cost)  25,162,004 
  Total Investments (cost $960,871,711) 114.8%  $978,409,639 
  Other Assets and Liabilities, Net (14.8%)    (126,331,721) 
  Total Net Assets 100.0%      $852,077,918 
 
 
        Notional   
    Buy/Sell  Termination  Principal  Unrealized 
Swaps    Protection  Date  Amount  Gain/(Loss) 
Dow Jones CDX North America High Yield Index         
Series 7 at 3.25%  Buy  December 2011  ($14,300,000)  ($14,002) 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

^ Security is fair valued.

> Denotes step coupon bonds for which the current interest rate and next scheduled reset date are shown.

† Denotes variable rate obligations for which the current yield and next scheduled reset date are shown.

§ Denotes investments purchased on a when-issued basis.

‡ At March 30, 2007, $16,428,763 and $8,909,800 of investments were earmarked as collateral to cover swap contracts and an unfunded loan commitment, respectively.

ƒ Denotes restricted securities. Restricted securities are investment securities which cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities High Yield Portfolio owned as of March 30, 2007.

  Acquisition   
Security  Date  Cost 
ZSC Specialty Chemical plc, Preferred Warrants  6/24/1999  $47,568 
ZSC Specialty Chemical plc, Stock Warrants  6/24/1999  111,712 

= In bankruptcy.

¿ These securities are Equity-Linked Structured Securities.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $28,499,120 
Gross unrealized depreciation  (10,961,192) 
Net unrealized appreciation (depreciation)  $17,537,928 
Cost for federal income tax purposes  $960,871,711 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
109

Diversified Income Plus Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Shares  Common Stock (44.6%)  Value  Shares  Common Stock (44.6%)  Value 
 
Consumer Discretionary (3.2%)    14,200  Citigroup, Inc.  $729,028 
4,100  Bandag, Inc. *  $207,829    5,700  Colonial Properties Trust  260,319 
100  Courier Corporation  3,907  6,900  Comerica, Inc.  407,928 
400  Family Dollar Stores, Inc.  11,848  10,700  Commerce Group, Inc. *  321,428 
11,200  Genuine Parts Company  548,800  7,300  Community Bank System, Inc.  152,716 
2,400  Haverty Furniture    3,900  Community Banks, Inc. *  93,093 
  Companies, Inc.  33,600  30,200  Corus Bankshares, Inc. *  515,212 
18,800  La-Z-Boy, Inc. *  232,744  3,200  Developers Diversified   
13,200  Leggett & Platt, Inc.  299,244    Realty Corporation  201,280 
19,600  McDonald’s Corporation  882,980  2,900  DiamondRock   
6,000  Polaris Industries, Inc. *  287,880    Hospitality Company  55,100 
25,800  ServiceMaster Company  397,062  1,600  Digital Realty Trust, Inc.  63,840 
9,500  Stanley Works  525,920  2,700  Douglas Emmett, Inc.  68,931 
6,300  Talbots, Inc. *  148,806  5,800  Duke Realty Corporation  252,126 
8,500  VF Corporation  702,270  11,300  Eagle Hospitality Properties   
  Total Consumer      Trust, Inc.  125,995 
  Discretionary  4,282,890  2,300  Entertainment Properties Trust  138,575 
      900  Equity One, Inc.  23,850 
Consumer Staples (1.7%)    6,500  Equity Residential REIT  313,495 
10,200  Altria Group, Inc. ±  895,662  3,600  Extra Space Storage, Inc. *  68,184 
100  Clorox Company  6,369  123,400  F.N.B. Corporation *  2,079,290 
9,800  Kimberly-Clark Corporation  671,202  7,400  Feldman Mall Properties, Inc.  89,836 
1,900  Lancaster Colony Corporation *  83,961  37,794  Fiduciary/Claymore MLP   
9,000  Universal Corporation  552,150    Opportunity Fund  919,528 
  Total Consumer Staples  2,209,344  17,200  Fifth Third Bancorp  665,468 
      10,500  First Bancorp  224,490 
Energy (1.0%)    3,000  First Busey Corporation  64,290 
9,500  Chevron Corporation  702,620  108,100  First Commonwealth Financial   
16,700  Kayne Anderson MLP      Corporation *  1,270,175 
  Investment Company *  588,174  10,900  First Indiana Corporation  238,165 
  Total Energy  1,290,794  6,900  First Industrial Realty Trust, Inc. *  312,570 
      96,900  FirstMerit Corporation *  2,045,559 
Financials (27.2%)    8,900  Franklin Street   
32,600  American Financial Realty Trust *  328,608    Properties Corporation  170,702 
5,400  Apartment Investment &    4,700  General Growth Properties, Inc.  303,479 
  Management Company  311,526  3,900  Getty Realty Corporation  112,086 
3,000  Archstone-Smith Trust  162,840  9,800  Glimcher Realty Trust *  264,796 
43,600  Arthur J. Gallagher & Company *  1,235,188  21,525  Harleysville National Corporation *  383,576 
22,900  Ashford Hospitality Trust  273,426  8,600  Health Care Property   
400  Avalonbay Communities, Inc.  52,000    Investors, Inc.  309,858 
29,100  Bank of America Corporation ±  1,484,682  7,100  Health Care REIT, Inc.  311,690 
6,400  BB&T Corporation  262,528  13,000  Healthcare Realty Trust, Inc. *  484,900 
700  Boston Properties, Inc.  82,180  800  Highland Hospitality Corporation  14,240 
4,000  Brandywine Realty Trust  133,640  2,400  Highwoods Properties, Inc.  94,776 
100  Camden Property Trust  7,031  1,700  Home Properties, Inc.  89,777 
29  Capital One Financial Corporation  2,188  12,900  Hospitality Properties Trust  603,720 
1,100  CBL & Associates Properties, Inc. *  49,324  14,500  Host Marriott Corporation *  381,495 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
110

Diversified Income Plus Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (44.6%)  Value  Shares  Common Stock (44.6%)  Value 
 
Financials — continued    1,100  Valley National Bancorp  $27,775 
33,800  HRPT Properties Trust *  $415,740  2,900  Ventas, Inc.  122,177 
2,200  Inland Real Estate Corporation  40,348    4,400  Vornado Realty Trust  525,096 
7,100  iStar Financial, Inc.  332,493  34,800  Washington Mutual, Inc.  1,405,224 
2,222  Kimco Realty Corporation  108,300  900  Washington Real Estate   
18,900  Lexington Corporate      Investment Trust *  33,678 
  Properties Trust *  399,357  100  Weingarten Realty Investors  4,756 
5,800  Liberty Property Trust  282,576  25,100  Wells Fargo & Company  864,193 
300  Macerich Company  27,708  2,600  WesBanco, Inc.  80,262 
3,800  Mack-Cali Realty Corporation  180,994    Total Financials  35,946,881 
1,100  Maguire Properties, Inc.  39,116       
17,700  Medical Properties Trust, Inc.  260,013  Health Care (1.4%)   
5,700  Mercury General Corporation  302,328  14,500  Merck & Company, Inc.  640,465 
35,800  Municipal Mortgage &    5,700  Meridian Bioscience, Inc. *  158,232 
  Equity, LLC  1,020,300  40,000  Pfizer, Inc.  1,010,400 
16,000  National City Corporation  596,000    Total Health Care  1,809,097 
52,900  National penn Bancshares, Inc. *  999,810       
6,400  National Retail Properties, Inc.  154,816  Industrials (2.2%)   
7,500  Nationwide Health Properties, Inc.  234,450  2,300  A.O. Smith Corporation  87,906 
3,500  New Plan Excel Realty Trust, Inc. *  115,605  4,700  ABM Industries, Inc.  124,033 
2,500  Nuveen Investments  118,250  4,500  Avery Dennison Corporation  289,170 
56,900  Old National Bancorp *  1,034,442  2,100  Badger Meter, Inc. *  55,755 
11,900  Omega Financial Corporation  339,269  6,100  Brady Corporation  190,320 
24,500  Omega Healthcare Investors, Inc.  420,175  18,600  Briggs & Stratton Corporation *  573,810 
3,800  Park National Corporation *  359,024  8,500  Gorman-Rupp Company  272,255 
4,000  Pennsylvania Real Estate    12,600  Masco Corporation  345,240 
  Investment Trust  177,320  7,500  McGrath Rentcorp  237,525 
2,900  ProLogis Trust  188,297  700  NACCO Industries, Inc.  96,187 
156  Public Storage, Inc.  14,769  10,800  Pitney Bowes, Inc.  490,212 
2,300  Rayonier, Inc. REIT  98,900  3,100  Tennant Company  97,619 
9,300  Realty Income Corporation  262,260    Total Industrials  2,860,032 
24,829  Regions Financial Corporation  878,202       
7,800  Senior Housing Property Trust  186,420  Information Technology (<0.1%)   
4,900  Simon Property Group, Inc.  545,125  1,800  Linear Technology Corporation *  56,862 
8,900  Sky Financial Group, Inc.  239,054    Total Information   
335  SL Green Realty Corporation  45,955    Technology  56,862 
25,500  Spirit Finance Corporation *  379,950       
24,400  Sterling Bancorp  441,640  Materials (1.7%)   
500  Strategic Hotel Capital, Inc.  11,435  1,900  Albemarle Corporation  78,546 
9,900  Sun Communities, Inc.  307,098  4,300  Bemis Company, Inc.  143,577 
19,100  Susquehanna Bancshares, Inc.  442,929  6,200  PPG Industries, Inc.  435,922 
12,163  Tortoise Energy    38,500  RPM International, Inc.  889,350 
  Infrastructure Corporation  470,708  18,300  Sonoco Products Company  687,714 
17,300  U.S. Bancorp  604,981    Total Materials  2,235,109 
3,800  UDR, Inc. *  116,356       
4,000  U-Store-It Trust *  80,480       

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
111

Diversified Income Plus Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares  Common Stock (44.6%)  Value  Shares  Preferred Stock (1.0%)  Value 
 
Telecommunications Services (0.8%)                        Consumer Cyclical (0.2%)   
28,500  AT&T, Inc. ±  $1,123,755  210 Morgan Stanley, Convertible #¿  $210,246 
 
  Total Telecommunications    Total Consumer Cyclical  210,246 
  
  Services  1,123,755     
      Energy (0.1%)     
Utilities (5.4%)    7,500 Goldman Sachs Group, Inc.,   
49,500  Atmos Energy Corporation  1,548,360  Convertible #¿  218,550 
 
10,700  Black Hills Corporation  393,439  Total Energy    218,550 
 
100  California Water Service Group  3,832       
21,600  Consolidated Edison, Inc. ±  1,102,896  Financials (0.6%)     
9,672  Integrys Energy Group, Inc.  536,893  8,505 Simon Property Group, Inc.,   
7,000  MGE Energy, Inc.  248,220  Convertible #  752,692 
 
15,000  Otter Tail Corporation  513,600  Total Financials    752,692 
 
4,500  Pinnacle West Capital Corporation  217,125       
21,100  Progress Energy, Inc. *  1,064,284  Utilities (0.1%)     
37,500  Vectren Corporation *  1,072,500  520  NRG Energy, Inc., Convertible #  169,026 
 
13,100  WGL Holdings, Inc.  418,938  Total Utilities  169,026 
   
 
  Total Utilities  7,120,087       
   
 
      Total Preferred Stock     
  Total Common Stock    (cost $1,208,122)    1,350,514 
   
  (cost $56,939,539)  58,934,851       
 
Principal      Interest  Maturity   
Amount  Long-Term Fixed Income (46.1%)  Rate  Date          Value 
 
Asset-Backed Securities (1.6%)         
$2,030,000  Dow Jones CDX    8.375%  12/29/2011  $2,103,486 
    Total Asset-Backed Securities   2,103,486 
 
Basic Materials (3.1%)         
100,000  AK Steel Corporation ±    7.750  6/15/2012                  101,625 
110,000  Aleris International, Inc.    9.000  12/15/2014  116,050 
80,000  Aleris International, Inc.    10.000  12/15/2016  83,600 
90,000  Appleton Papers, Inc.    8.125  6/15/2011  92,475 
160,000  Arch Western Finance, LLC    6.750  7/1/2013  157,400 
101,000  BCP Caylux Holdings Luxembourg SCA  9.625  6/15/2014  114,728 
90,000  Buckeye Technologies, Inc.    8.000  10/15/2010  89,550 
150,000  Chaparral Steel Company    10.000  7/15/2013  167,250 
160,000  Crystal US Holdings 3, LLC/Crystal US       
  Sub 3 Corporation >    Zero Coupon  10/1/2009  148,246 
130,000  Domtar, Inc. ‡    7.125  8/1/2015  129,350 
130,000  Drummond Company, Inc.    7.375  2/15/2016  124,800 
100,000  Equistar Chemicals, LP    10.625  5/1/2011  105,500 
230,000  FMG Finance, Pty. Ltd. *    10.625  9/1/2016  264,500 
290,000  Freeport-McMoRan Copper & Gold, Inc.  8.375  4/1/2017  313,562 
90,000  Georgia-Pacific Corporation    8.125  5/15/2011  94,500 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
112

Diversified Income Plus Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (46.1%)  Rate  Date  Value 
Basic Materials — continued       
$60,000  Georgia-Pacific Corporation  7.000%  1/15/2015  $60,300 
140,000  Georgia-Pacific Corporation  7.125  1/15/2017  140,350 
210,000  Graphic Packaging International Corporation  9.500  8/15/2013  223,388 
240,000  Griffin Coal Mining Company, Pty. Ltd.  9.500  12/1/2016  253,200 
170,000  Huntsman International, LLC  7.875  11/13/2014  175,738 
80,000  Jefferson Smurfit Corporation  8.250  10/1/2012  80,000 
140,000  Lyondell Chemical Company  10.500  6/1/2013  153,300 
190,000  Lyondell Chemical Company  8.250  9/15/2016  203,300 
320,000  Mosaic Global Holdings, Inc., Convertible  7.375  12/1/2014  333,600 
150,000  Ryerson, Inc.  8.250  12/15/2011  151,500 
250,000  Terra Capital, Inc.  7.000  2/1/2017  248,750 
  Total Basic Materials    4,126,562 
 
Capital Goods (3.7%)       
60,000  Ahern Rentals, Inc. ‡  9.250  8/15/2013  62,625 
120,000  Ahern Rentals, Inc.  9.250  8/15/2013  125,250 
440,000  Allied Waste North America, Inc. ‡  7.875  4/15/2013  456,500 
70,000  Ashtead Capital, Inc.  9.000  8/15/2016  74,550 
130,000  Ball Corporation  6.625  3/15/2018  129,188 
150,000  Berry Plastics Holding Corporation ±  8.875  9/15/2014  153,375 
110,000  Browning-Ferris Industries, Inc.  9.250  5/1/2021  119,350 
110,000  Browning-Ferris Industries, Inc.  7.400  9/15/2035  105,600 
140,000  Case New Holland, Inc.  9.250  8/1/2011  147,000 
160,000  Case New Holland, Inc.  7.125  3/1/2014  166,400 
100,000  Crown Americas, Inc.  7.625  11/15/2013  102,875 
100,000  Crown Americas, Inc.  7.750  11/15/2015  104,000 
480,000  Da-Lite Screen Company, Inc.  9.500  5/15/2011  501,600 
390,000  Fastentech, Inc.  11.500  5/1/2011  413,888 
64,000  Invensys plc *  9.875  3/15/2011  68,880 
40,000  K&F Acquisition, Inc.  7.750  11/15/2014  42,500 
860,000  L-3 Communications Corporation  5.875  1/15/2015  835,275 
100,000  Legrand SA  8.500  2/15/2025  117,500 
38,000  Mueller Group, Inc.  10.000  5/1/2012  41,040 
104,000  Mueller Holdings, Inc. >  Zero Coupon  4/15/2009  94,640 
70,000  Owens-Brockway Glass Container, Inc.  8.250  5/15/2013  72,975 
210,000  Owens-Illinois, Inc.  7.500  5/15/2010  213,150 
190,000  Plastipak Holdings, Inc.  8.500  12/15/2015  201,400 
110,000  Rental Services Corporation  9.500  12/1/2014  117,150 
110,000  TransDigm, Inc.  7.750  7/15/2014  113,575 
90,000  United Rentals North America, Inc.  6.500  2/15/2012  89,775 
270,000  United Rentals North America, Inc.  7.000  2/15/2014  269,325 
  Total Capital Goods    4,939,386 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
113

Diversified Income Plus Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (46.1%)  Rate  Date  Value 
Commercial Mortgage-Backed Securities (1.5%)       
$2,000,000  Deutsche Alt-A Securities, Inc. †  5.784%  4/25/2007  $2,000,000 
  Total Commercial Mortgage-Backed Securities  2,000,000 
 
Communications Services (5.8%)       
18,000  American Cellular Corporation  10.000  8/1/2011  19,058 
460,000  American Tower Corporation ‡  7.125  10/15/2012  473,800 
270,000  American Towers, Inc. ‡  7.250  12/1/2011  278,100 
338  CCH I, LLC  11.000  10/1/2015  350 
120,000  Centennial Communications Corporation  8.125  2/1/2014  123,900 
175,000  Citizens Communications Company  9.250  5/15/2011  195,125 
430,000  Citizens Communications Company  6.250  1/15/2013  426,775 
70,000  Dex Media West, LLC/Dex Media West       
  Finance Company  9.875  8/15/2013  76,388 
170,000  Dobson Cellular Systems  9.875  11/1/2012  185,300 
860,000  Echostar DBS Corporation  6.625  10/1/2014  865,375 
150,000  Idearc, Inc.  8.000  11/15/2016  154,312 
60,000  Intelsat Bermuda, Inc.  9.250  6/15/2016  66,450 
410,000  Intelsat Intermediate, Inc. >  Zero Coupon  2/1/2010  340,300 
150,000  Intelsat Subsidiary Holding Company, Ltd.  8.625  1/15/2015  160,500 
60,000  Kabel Deutschland GmbH *  10.625  7/1/2014  66,900 
90,000  Lamar Media Corporation  6.625  8/15/2015  87,750 
325,000  Morris Publishing Group, LLC  7.000  8/1/2013  310,375 
280,000  NTL Cable plc  9.125  8/15/2016  295,400 
135,000  PRIMEDIA, Inc. †  10.735  5/15/2007  139,725 
200,000  Qwest Communications International, Inc.  7.250  2/15/2011  204,750 
60,000  Qwest Communications International, Inc.  7.500  2/15/2014  61,800 
30,000  Qwest Corporation †  8.605  6/15/2007  32,700 
470,000  Qwest Corporation  7.875  9/1/2011  499,375 
50,000  Qwest Corporation  7.625  6/15/2015  53,375 
510,000  R.H. Donnelley Corporation  6.875  1/15/2013  495,975 
110,000  R.H. Donnelley Corporation  8.875  1/15/2016  116,875 
575,000  Rogers Wireless Communications, Inc.  7.500  3/15/2015  623,156 
80,000  Rural Cellular Corporation  9.750  1/15/2010  82,400 
85,000  Rural Cellular Corporation  9.875  2/1/2010  89,675 
200,000  Time Warner Telecom Holdings, Inc.  9.250  2/15/2014  214,000 
140,000  Valor Telecommunications Enterprises, LLC  7.750  2/15/2015  150,850 
690,000  Videotron Ltee  6.875  1/15/2014  696,900 
130,000  Windstream Corporation  7.000  3/15/2019  130,000 
  Total Communications Services    7,717,714 
 
Consumer Cyclical (6.9%)       
180,000  American Casino & Entertainment Properties, LLC ‡  7.850  2/1/2012  187,200 
330,000  Beazer Homes USA, Inc. *  8.625  5/15/2011  322,575 
140,000  Beazer Homes USA, Inc.  8.125  6/15/2016  131,600 
90,000  Boyd Gaming Corporation  7.125  2/1/2016  88,200 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
114

Diversified Income Plus Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (46.1%)  Rate  Date  Value 
Consumer Cyclical — continued       
$360,000  Buhrmann U.S., Inc.  7.875%  3/1/2015  $360,000 
180,000  Circus & Eldorado Joint Venture/Silver Legacy       
  Capital Corporation  10.125  3/1/2012  188,550 
430,000  Corrections Corporation of America  6.250  3/15/2013  430,000 
110,000  Dollarama Group, LP †  11.120  6/15/2007  111,100 
260,000  Dollarama Group, LP  8.875  8/15/2012  271,050 
160,000  Ford Motor Credit Company †  9.810  4/16/2007  169,631 
70,000  Ford Motor Credit Company  9.750  9/15/2010  73,734 
130,000  Ford Motor Credit Company  7.000  10/1/2013  120,846 
260,000  Ford Motor Credit Company  8.000  12/15/2016  250,183 
220,000  Gaylord Entertainment Company  6.750  11/15/2014  214,225 
460,000  Group 1 Automotive, Inc.  8.250  8/15/2013  477,250 
200,000  Group 1 Automotive, Inc., Convertible >  2.250  6/15/2016  173,500 
190,000  Hanesbrands, Inc. †  8.735  6/15/2007  193,562 
260,000  Harrah’s Operating Company, Inc. *  6.500  6/1/2016  230,344 
860,000  Host Marriott, LP  6.375  3/15/2015  853,550 
160,000  Jean Coutu Group (PJC), Inc.  7.625  8/1/2012  169,613 
190,000  K. Hovnanian Enterprises, Inc. *  7.500  5/15/2016  177,175 
550,000  KB Home  6.250  6/15/2015  492,938 
180,000  Majestic Star Casino, LLC  9.500  10/15/2010  188,775 
520,000  MGM MIRAGE  5.875  2/27/2014  483,600 
210,000  Pokagon Gaming Authority  10.375  6/15/2014  231,525 
190,000  Poster Financial Group, Inc.  8.750  12/1/2011  197,600 
650,000  Royal Caribbean Cruises, Ltd.  7.250  6/15/2016  667,432 
220,000  Seminole Hard Rock Entertainment †  7.848  6/15/2007  224,400 
130,000  Service Corporation International §  6.750  4/1/2015  129,838 
330,000  Station Casinos, Inc.  6.875  3/1/2016  302,362 
260,000  Tunica Biloxi Gaming Authority  9.000  11/15/2015  276,250 
130,000  Turning Stone Resort Casino Enterprise  9.125  9/15/2014  133,575 
110,000  United Auto Group, Inc.  7.750  12/15/2016  111,100 
180,000  Universal City Florida Holding Company I/II †  10.110  5/1/2007  185,625 
150,000  Warnaco, Inc.  8.875  6/15/2013  159,188 
235,000  WMG Holdings Corporation >  Zero Coupon  12/15/2009  179,775 
  Total Consumer Cyclical    9,157,871 
 
Consumer Non-Cyclical (3.8%)       
430,000  Constellation Brands, Inc.  7.250  9/1/2016  435,375 
140,000  Coventry Health Care, Inc.  6.125  1/15/2015  141,736 
90,000  Elan Finance Corporation, Ltd.  7.750  11/15/2011  88,425 
90,000  Elan Finance plc/Elan Finance Corporation †  9.360  5/15/2007  91,575 
190,000  Genzyme Corporation, Convertible  1.250  12/1/2023  195,225 
300,000  HCA, Inc.  9.250  11/15/2016  323,625 
170,000  IASIS Healthcare, LLC (IASIS Capital Corporation) *  8.750  6/15/2014  175,950 
190,000  Jarden Corporation  7.500  5/1/2017  191,900 
200,000  Medtronic, Inc., Convertible  1.500  4/15/2011  204,500 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
115

Diversified Income Plus Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (46.1%)  Rate  Date  Value 
Consumer Non-Cyclical — continued       
$160,000  Michael Foods, Inc.  8.000%  11/15/2013  $162,400 
195,000  Millipore Corporation, Convertible  3.750  6/1/2026  209,138 
230,000  Omnicare, Inc., Convertible  3.250  12/15/2035  201,538 
430,000  Reynolds America, Inc.  7.625  6/1/2016  457,447 
110,000  Smithfield Foods, Inc. *  8.000  10/15/2009  114,675 
320,000  Stater Brothers Holdings, Inc.  8.125  6/15/2012  329,600 
560,000  Supervalu, Inc.  7.500  11/15/2014  583,800 
210,000  Teva Pharmaceutical Finance Company, Convertible  1.750  2/1/2026  204,225 
190,000  Triad Hospitals, Inc.  7.000  5/15/2012  197,125 
130,000  Triad Hospitals, Inc.  7.000  11/15/2013  135,688 
160,000  US Oncology Holdings, Inc. †  10.580  9/17/2007  163,200 
90,000  US Oncology, Inc.  9.000  8/15/2012  96,075 
170,000  Ventas Realty, LP/Ventas Capital Corporation  6.500  6/1/2016  174,038 
180,000  Wyeth, Convertible †  4.877  7/15/2007  191,916 
  Total Consumer Non-Cyclical    5,069,176 
 
Energy (1.7%)       
160,000  CHC Helicopter Corporation  7.375  5/1/2014  155,600 
510,000  Chesapeake Energy Corporation  6.375  6/15/2015  507,450 
140,000  Chesapeake Energy Corporation  6.250  1/15/2018  138,250 
155,000  Denbury Resources, Inc.  7.500  12/15/2015  156,550 
130,000  Hornbeck Offshore Services, Inc.  6.125  12/1/2014  123,012 
460,000  Ocean Rig Norway AS  8.375  7/1/2013  487,600 
220,000  OPTI Canada, Inc.  8.250  12/15/2014  228,800 
200,000  PetroHawk Energy Corporation  9.125  7/15/2013  213,000 
60,000  Pioneer Natural Resources Company  5.875  7/15/2016  55,829 
150,000  Western Oil Sands, Inc.  8.375  5/1/2012  167,625 
  Total Energy      2,233,716 
 
Financials (7.0%)       
244,000  Archstone-Smith Operating Trust, Convertible ‡  4.000  7/15/2036  254,370 
200,000  AXA SA  6.463  12/14/2018  195,701 
168,000  Brandywine Realty Trust, Convertible  3.875  10/15/2026  169,680 
200,000  BRE Properties, Inc., Convertible  4.125  8/15/2026  212,750 
210,000  Capital One Capital III  7.686  8/15/2036  225,314 
210,000  Capital One Capital IV  6.745  2/17/2037  201,194 
235,000  Developers Diversified Realty Corporation, Convertible  3.500  8/15/2011  251,156 
243,000  Duke Realty, LP, Convertible  3.750  12/1/2011  249,986 
290,000  ERP Operating, LP, Convertible  3.850  8/15/2026  293,335 
105,000  First Industrial, LP, Convertible  4.625  9/15/2011  109,725 
134,000  Forest City Enterprises, Inc., Convertible  3.625  10/15/2011  154,100 
300,000  FTI Consulting, Inc.  7.625  6/15/2013  311,250 
670,000  General Motors Acceptance Corporation  6.875  9/15/2011  670,649 
220,000  Goldman Sachs Group, Inc. Convertible  1.000  3/7/2012  217,470 
840,000  J.P. Morgan Chase Capital XX  6.550  9/29/2036  834,429 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
116

Diversified Income Plus Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (46.1%)  Rate    Date  Value 
Financials — continued       
$580,000  Leucadia National Corporation  7.125%  3/15/2017  $576,375 
630,000  Lincoln National Corporation >  7.000  5/17/2016  660,179 
220,000  Morgan Stanley Dean Witter &       
  Company, Convertible ¿  20.250  8/27/2007  212,476 
84,000  National Retail Properties, Inc., Convertible  3.950  9/15/2026  89,670 
210,000  ProLogis Trust  5.625  11/15/2016  211,589 
420,000  Rabobank Capital Funding Trust  5.254  10/21/2016  404,840 
420,000  RBS Capital Trust I  5.512  9/30/2014  413,232 
400,000  Residential Capital Corporation  6.500  4/17/2013  396,202 
420,000  Swiss RE Capital I, LP  6.854  5/25/2016  433,887 
420,000  Wachovia Capital Trust III  5.800  3/15/2011  425,009 
695,000  Washington Mutual Preferred Funding  6.665  12/15/2016  682,075 
50,000  Washington Real Estate       
  Investment Trust, Convertible  3.875  9/15/2026  49,312 
380,000  Wells Fargo & Company, Convertible †  5.110  5/1/2007  379,065 
  Total Financials      9,285,020 
 
Mortgage-Backed Securities (3.1%)       
4,000,000  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through §  6.000  4/1/2037  4,028,750 
  Total Mortgage-Backed Securities    4,028,750 
 
Technology (1.6%)       
130,000  Avago Technologies Finance Pte †  10.860  6/1/2007  136,175 
130,000  Avago Technologies Finance Pte  10.125  12/1/2013  140,725 
275,000  Electronic Data Systems Corporation, Convertible  3.875  7/15/2023  289,438 
190,000  Freescale Semiconductor, Inc.  8.875  12/15/2014  190,238 
303,000  Intel Corporation, Convertible  2.950  12/15/2035  262,095 
80,000  NXP BV/NXP Funding, LLC †  8.110  4/15/2007  82,300 
250,000  NXP BV/NXP Funding, LLC  9.500  10/15/2015  258,125 
370,000  Seagate Technology HDD Holdings  6.800  10/1/2016  371,850 
200,000  UGS Corporation  10.000  6/1/2012  218,750 
110,000  Unisys Corporation  6.875  3/15/2010  110,000 
  Total Technology      2,059,696 
 
Transportation (0.9%)       
217,023  Continental Airlines, Inc.  7.875  7/2/2018  225,704 
140,000  Delta Air Lines, Inc. =  7.920  11/18/2010  143,150 
60,000  Hertz Corporation  8.875  1/1/2014  64,650 
100,000  Hertz Corporation  10.500  1/1/2016  114,000 
150,000  H-Lines Finance Holding Corporation >  Zero Coupon  4/1/2008  142,500 
150,000  Kansas City Southern de Mexico SA de CV  7.625  12/1/2013  151,688 
371,288  Piper Jaffray Equipment Trust Securities  6.750  4/1/2011  369,431 
  Total Transportation    1,211,123 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
117

Diversified Income Plus Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (46.1%)  Rate  Date  Value 
Utilities (5.4%)       
$70,000  AES Corporation ‡  8.875%  2/15/2011  $75,250 
170,000  AES Corporation ‡  8.750  5/15/2013  181,050 
350,000  Colorado Interstate Gas Company  6.800  11/15/2015  372,219 
70,000  Consumers Energy Company  6.300  2/1/2012  70,700 
210,000  Copano Energy, LLC  8.125  3/1/2016  217,350 
110,000  Dynegy Holdings, Inc.  6.875  4/1/2011  110,275 
120,000  Dynegy Holdings, Inc.  8.375  5/1/2016  124,800 
120,000  Edison Mission Energy  7.500  6/15/2013  123,900 
130,000  Edison Mission Energy  7.750  6/15/2016  135,525 
210,000  El Paso Production Holding Company  7.750  6/1/2013  219,450 
620,000  Enterprise Products Operating, LP >  8.375  8/1/2016  678,459 
95,000  Midwest Generation, LLC  8.750  5/1/2034  103,075 
70,000  Mirant North America, LLC  7.375  12/31/2013  71,750 
150,000  Mission Energy Holding Company  13.500  7/15/2008  163,500 
540,000  NRG Energy, Inc.  7.375  2/1/2016  554,850 
110,000  Pacific Energy Partners, LP/Pacific Energy       
  Finance Corporation  7.125  6/15/2014  114,875 
150,000  Pacific Energy Partners, LP/Pacific Energy       
  Finance Corporation  6.250  9/15/2015  149,993 
105,000  Reliant Energy Resources Corporation  6.750  12/15/2014  110,906 
860,000  Sabine Pass LNG LP  7.500  11/30/2016  866,450 
360,000  SemGroup, LP  8.750  11/15/2015  365,400 
160,000  Southern Natural Gas Company  7.350  2/15/2031  176,961 
110,000  Southern Star Central Corporation  6.750  3/1/2016  110,000 
1,100,000  TXU Energy Company, LLC †  5.850  6/18/2007  1,099,911 
430,000  Williams Companies, Inc.  8.125  3/15/2012  467,625 
290,000  Williams Companies, Inc.  8.750  3/15/2032  334,225 
120,000  Williams Partners, LP  7.250  2/1/2017  126,900 
  Total Utilities      7,125,399 
  Total Long-Term Fixed Income (cost $60,587,885)  61,057,899 
 
 
    Interest  Maturity   
Shares  Collateral Held for Securities Loaned (4.6%)  Rate (+)  Date  Value 
6,016,634  Thrivent Financial Securities Lending Trust  5.350%  N/A  $6,016,634 
  Total Collateral Held for Securities Loaned   
  (cost $6,016,634)      6,016,634 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
118

Diversified Income Plus Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares or             
Principal        Interest  Maturity   
Amount  Short-Term Investments (9.9%)    Rate (+)  Date  Value 
$585,000  Federal National Mortgage Association    5.000%  4/2/2007  $584,837 
200,000  Federal National Mortgage Association ‡  5.080  7/16/2007  197,037 
5,380,000  GOVCO, Inc.      5.400  4/2/2007  5,378,386 
1,500,000  Paradigm Funding, LLC    5.350  4/12/2007  1,497,325 
5,395,329  Thrivent Money Market Portfolio    5.050  N/A  5,395,329 
  Total Short-Term Investments (cost $13,052,857)  13,052,913 
  Total Investments (cost $137,805,037) 106.2%  $140,412,811 
  Other Assets and Liabilities, Net (6.2%)    (8,241,388) 
  Total Net Assets 100.0%      $132,171,423 
 
 
    Number of    Notional     
    Contracts  Expiration  Principal    Unrealized 
Futures    Long/(Short)  Date  Amount  Value  Gain/(Loss) 
REIT Future    3  June 2007     $99,928  $100,530   $602 
S&P 500 Index Mini-Futures  5  June 2007  $358,776  $357,800  ($976) 

# Non-income producing security.

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

> Denotes step coupon bonds for which the current interest rate and next scheduled reset date are shown.

† Denotes variable rate obligations for which the current yield and next scheduled reset date are shown.

§ Denotes investments purchased on a when-issued basis.

± Designated as cover for long settling trades.

‡ At March 30, 2007, $378,087 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open financial futures contracts and an unfunded loan commitment. In addition, $1,269,195 and $643,700 of investments were earmarked as collateral to cover open financial futures contracts and an unfunded loan commitment, respectively.

= In bankruptcy.

¿ These securities are Equity-Linked Structured Securities.

Definitions:

REIT — Real Estate Investment Trust Gross unrealized appreciation and depreciation of investments were as follows:

Gross unrealized appreciation  $4,371,129 
Gross unrealized depreciation  (1,763,355) 
Net unrealized appreciation (depreciation)  $2,607,774 
Cost for federal income tax purposes  $137,805,037 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
119

Income Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
 
Principal      Interest  Maturity   
Amount  Long-Term Fixed Income (105.2%)    Rate  Date  Value 
 
Asset-Backed Securities (8.8%)         
$5,219,474  Bear Stearns Mortgage Funding Trust †~    5.460%  4/25/2007  $5,217,125 
10,000,000  Chase Funding Issuance Trust ±†    5.310  4/15/2007  10,006,040 
45,696  Countrywide Asset-Backed Certificates    3.903  1/25/2031  45,527 
5,000,000  Credit Based Asset Servicing and Securitization, LLC ±†  5.430  4/25/2007  4,997,275 
10,000,000  DaimlerChrysler Master Owner Trust ±†    5.370  4/15/2007  10,003,040 
4,500,000  First Franklin Mortgage Loan Asset-Backed Certificates ±†  5.410  4/25/2007  4,498,484 
8,500,000  Ford Credit Floor Plan Master Owner Trust †‡    5.500  4/15/2007  8,506,188 
2,074,558  GE Commercial Loan Trust †    5.420  4/19/2007  2,074,496 
10,000,000  GE Dealer Floorplan Master Note Trust ±†    5.360  4/20/2007  10,004,130 
11,500,000  GMAC Mortgage Corporation Loan Trust †‡    5.390  4/25/2007  11,487,454 
10,000,000  GMAC Mortgage Corporation Loan Trust ±†    5.410  4/25/2007  9,998,020 
1,484,414  GMAC Mortgage Corporation Loan Trust †    5.420  4/25/2007  1,484,493 
2,740,852  IndyMac Seconds Asset-Backed Trust †    5.490  4/25/2007  2,738,673 
220,994  Option One Mortgage Loan Trust †    5.480  4/25/2007  221,026 
766,170  Popular ABS Mortgage Pass-Through Trust †    5.430  4/25/2007  766,180 
3,052,719  Popular ABS Mortgage Pass-Through Trust †    5.450  4/25/2007  3,053,296 
2,569,741  Residential Asset Mortgage Products, Inc. †    5.430  4/25/2007  2,570,001 
13,000,000  Washington Mutual Master Note Trust †    5.350  4/15/2007  13,000,000 
  Total Asset-Backed Securities    100,671,448 
 
Basic Materials (2.7%)         
4,710,000  Alcan, Inc. ±    5.000  6/1/2015  4,517,662 
4,500,000  BHP Billiton Finance, Ltd. ±    5.400  3/29/2017  4,465,755 
1,800,000  Crystal US Holdings 3, LLC/Crystal US         
  Sub 3 Corporation >  Zero Coupon  10/1/2009  1,671,750 
1,500,000  Freeport-McMoRan Copper & Gold, Inc. †    8.564  10/1/2007  1,576,875 
7,300,000  Glencore Funding, LLC ±    6.000  4/15/2014  7,235,694 
4,400,000  Lubrizol Corporation    5.500  10/1/2014  4,306,236 
3,000,000  Lyondell Chemical Company ±    8.000  9/15/2014  3,142,500 
3,500,000  Precision Castparts Corporation *    5.600  12/15/2013  3,518,526 
  Total Basic Materials      30,434,998 
 
Capital Goods (1.9%)         
2,400,000  CRH America, Inc. ‡    6.000  9/30/2016  2,432,882 
3,429,000  Goodrich Corporation ±    6.800  7/1/2036  3,694,974 
1,805,000  Lockheed Martin Corporation *    6.150  9/1/2036  1,872,686 
5,250,000  Oakmont Asset Trust    4.514  12/22/2008  5,149,504 
1,800,000  Owens Corning, Inc.    7.000  12/1/2036  1,795,185 
2,935,000  Sealed Air Corporation    6.875  7/15/2033  2,925,734 
4,106,830  Systems 2001 Asset Trust, LLC ±    6.664  9/15/2013  4,328,722 
  Total Capital Goods      22,199,687 
 
Commercial Mortgage-Backed Securities (14.9%)         
4,562,791  Banc of America Commercial Mortgage, Inc. ‡    4.037  11/10/2039  4,476,860 
3,000,000  Banc of America Commercial Mortgage, Inc. ‡    5.118  7/11/2043  2,993,838 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
120

Income Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)         
 
Principal      Interest  Maturity   
Amount  Long-Term Fixed Income (105.2%)    Rate  Date  Value 
Commercial Mortgage-Backed Securities — continued         
$10,194,395  Banc of America Mortgage Securities, Inc.    4.804%  9/25/2035  $10,100,759 
3,000,000  Bear Stearns Commercial Mortgage Securities, Inc. §  5.470  3/15/2022  3,000,000 
2,788,881  Citigroup Commercial Mortgage Trust †~    5.390  4/15/2007  2,788,900 
5,000,000  Citigroup Mortgage Loan Trust, Inc. ±    5.536  3/25/2036  4,983,115 
1,174,090  Commercial Mortgage Pass-Through Certificates †~  5.420  4/15/2007  1,174,100 
2,000,000  Commercial Mortgage Pass-Through Certificates †  5.450  4/15/2007  1,999,988 
10,000,000  Crown Castle International Corporation ‡    5.245  11/15/2036  10,022,590 
5,000,000  Deutsche Alt-A Securities, Inc. †    5.784  4/25/2007  5,000,000 
9,000,000  Greenwich Capital Commercial Funding Corporation  5.914  7/10/2038  9,394,056 
4,786,434  HomeBanc Mortgage Trust    6.015  4/25/2037  4,854,694 
5,500,000  J.P. Morgan Chase Commercial Mortgage         
  Securities Corporation    4.302  1/15/2038  5,332,080 
9,988,683  J.P. Morgan Chase Commercial Mortgage         
  Securities Corporation    5.284  5/15/2047  10,025,381 
10,000,000  J.P. Morgan Chase Commercial Mortgage         
  Securities Corporation    5.336  5/15/2047  9,937,470 
9,802,924  J.P. Morgan Mortgage Trust    5.012  7/25/2035  9,745,420 
5,461,945  Lehman Brothers “CALSTRS” Mortgage Trust ±~    3.988  11/20/2012  5,413,355 
7,779,020  Merrill Lynch Mortgage Investors, Inc.    4.877  6/25/2035  7,744,536 
6,000,000  Merrill Lynch Mortgage Trust    4.747  5/12/2043  5,772,552 
8,625,000  Merrill Lynch Mortgage Trust    5.264  1/12/2044  8,603,325 
7,315,751  Thornburg Mortgage Securities Trust †    5.410  4/25/2007  7,299,371 
7,700,000  Wachovia Bank Commercial Mortgage Trust    4.390  2/15/2036  7,468,376 
6,936,828  Wachovia Mortgage Loan Trust, LLC    5.574  5/20/2036  6,989,992 
9,000,000  Washington Mutual Alternative Loan Trust †    5.764  4/25/2007  9,000,000 
3,741,565  Washington Mutual Asset Securities Corporation    3.830  1/25/2035  3,633,785 
1,947,422  Washington Mutual Mortgage Pass-Through Certificates †  5.610  4/25/2007  1,950,206 
3,662,628  Washington Mutual Mortgage Pass-Through Certificates  4.836  9/25/2035  3,618,947 
6,746,578  Zuni Mortgage Loan Trust †    5.450  4/25/2007  6,739,737 
  Total Commercial Mortgage-Backed Securities  170,063,433 
 
Communications Services (7.4%)         
1,400,000  AT&T Corporation ±    8.000  11/15/2031  1,730,102 
6,000,000  British Telecom plc ±‡    8.625  12/15/2010  6,697,554 
1,325,000  British Telecom plc ~    9.125  12/15/2030  1,819,242 
1,700,000  Comcast Corporation ‡    5.900  3/15/2016  1,729,463 
5,400,000  Comcast Corporation ‡    5.875  2/15/2018  5,414,596 
6,000,000  Cox Communications, Inc.    4.625  6/1/2013  5,740,410 
1,330,000  Cox Communications, Inc. ±    5.450  12/15/2014  1,313,817 
1,800,000  Embarq Corporation ~    7.082  6/1/2016  1,835,181 
5,000,000  Intelsat Intermediate, Inc. >  Zero Coupon  2/1/2010  4,150,000 
3,850,000  New Cingular Wireless Services, Inc. ‡~    8.125  5/1/2012  4,333,849 
1,350,000  New Cingular Wireless Services, Inc. ±    8.750  3/1/2031  1,741,423 
2,140,000  News America, Inc.    6.400  12/15/2035  2,128,604 
5,115,000  Nextel Communications, Inc.    7.375  8/1/2015  5,290,439 
2,750,000  Nextel Partners, Inc.    8.125  7/1/2011  2,872,449 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
121

Income Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (105.2%)  Rate  Date  Value 
Communications Services — continued       
$4,800,000  Qwest Corporation  8.875%  3/15/2012  $5,304,000 
4,815,000  Rogers Cable, Inc.  5.500  3/15/2014  4,688,606 
3,555,000  Rogers Cable, Inc.  6.750  3/15/2015  3,679,425 
510,000  Rogers Cable, Inc. *  8.750  5/1/2032  629,850 
3,000,000  Rogers Wireless Communications, Inc.  6.375  3/1/2014  3,075,000 
2,205,000  Sprint Nextel Corporation  6.000  12/1/2016  2,169,954 
3,000,000  Telecom Italia Capital SA  5.250  11/15/2013  2,908,626 
2,750,000  Telecom Italia Capital SA  5.250  10/1/2015  2,609,052 
1,850,000  Time Warner Entertainment Company, LP  8.375  3/15/2023  2,186,826 
4,555,000  Verizon Communications, Inc.  5.550  2/15/2016  4,557,815 
1,835,000  Verizon Communications, Inc.  5.500  4/1/2017  1,821,091 
3,600,000  Vodafone Group plc  5.625  2/27/2017  3,568,835 
  Total Communications Services    83,996,209 
 
Consumer Cyclical (4.0%)       
5,000,000  DaimlerChrysler North American Holdings Corporation ‡  5.750  9/8/2011  5,079,660 
2,300,000  Federated Retail Holdings, Inc. ~  5.350  3/15/2012  2,293,979 
2,645,000  Federated Retail Holdings, Inc. ~  5.900  12/1/2016  2,635,134 
3,150,000  Ford Motor Credit Company ±  6.625  6/16/2008  3,140,062 
2,100,000  Ford Motor Credit Company  8.000  12/15/2016  2,020,710 
975,000  General Motors Corporation *  8.250  7/15/2023  877,500 
3,435,000  JC Penney & Company, Inc.  7.950  4/1/2017  3,899,704 
3,000,000  Marriott International, Inc. ±  7.000  1/15/2008  3,027,762 
4,200,000  May Department Stores Company  4.800  7/15/2009  4,158,092 
4,100,000  Nissan Motor Acceptance Corporation  5.625  3/14/2011  4,125,387 
3,000,000  Royal Caribbean Cruises, Ltd. *  7.250  6/15/2016  3,080,454 
1,815,000  Time Warner, Inc.  6.500  11/15/2036  1,809,862 
2,180,000  Viacom, Inc.  5.750  4/30/2011  2,209,918 
3,025,000  Wal-Mart Stores, Inc. §  5.875  4/5/2027  3,032,166 
2,445,000  Walt Disney Company ~  5.625  9/15/2016  2,497,910 
1,200,000  Yum! Brands, Inc. *±  6.250  4/15/2016  1,233,274 
  Total Consumer Cyclical    45,121,574 
 
Consumer Non-Cyclical (3.2%)       
5,600,000  Abbott Laboratories ±  5.600  5/15/2011  5,710,706 
1,200,000  AmerisourceBergen Corporation  5.625  9/15/2012  1,202,519 
3,000,000  AmerisourceBergen Corporation ±  5.875  9/15/2015  2,981,184 
3,325,000  Baxter International, Inc. ‡  5.900  9/1/2016  3,431,334 
6,000,000  Bunge Limited Finance Corporation ±‡  5.350  4/15/2014  5,784,582 
3,000,000  Laboratory Corporation of America Holdings  5.625  12/15/2015  2,966,259 
2,070,000  Procter & Gamble Company  5.550  3/5/2037  2,013,973 
4,200,000  Triad Hospitals, Inc. ±  7.000  5/15/2012  4,357,500 
6,750,000  Wyeth ±~  6.950  3/15/2011  7,176,472 
1,425,000  Wyeth  5.950  4/1/2037  1,403,413 
  Total Consumer Non-Cyclical    37,027,942 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
122

Income Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (105.2%)  Rate  Date  Value 
Energy (3.5%)       
$6,700,000  Canadian Natural Resources, Ltd.  5.700%  5/15/2017  $6,669,026 
1,550,000  Consolidated Natural Gas Company ~  5.000  12/1/2014  1,499,158 
4,800,000  Enterprise Products Operating, LP ±  5.600  10/15/2014  4,789,037 
2,700,000  Magellan Midstream Partners, LP  6.450  6/1/2014  2,812,798 
2,500,000  Premcor Refining Group, Inc.  6.125  5/1/2011  2,579,518 
2,800,000  Premcor Refining Group, Inc.  6.750  5/1/2014  2,916,981 
5,150,000  Ras Laffan Liquefied Natural Gas Company, Ltd. II  5.298  9/30/2020  4,966,300 
1,650,000  Southern California Gas Company  5.750  11/15/2035  1,633,652 
3,000,000  Southern Natural Gas Company  5.900  4/1/2017  2,999,979 
3,600,000  Southern Star Central Corporation  6.750  3/1/2016  3,600,000 
3,000,000  Transcontinental Gas Pipe Corporation  8.875  7/15/2012  3,412,500 
900,000  Transcontinental Gas Pipe Corporation  6.400  4/15/2016  928,125 
  Total Energy      38,807,074 
 
Financials (20.6%)       
2,400,000  Ace INA Holdings, Inc. ±  6.700  5/15/2036  2,547,134 
2,875,000  American International Group, Inc. ~  6.250  3/15/2037  2,798,295 
3,100,000  Archstone-Smith Operating Trust ±  5.625  8/15/2014  3,129,692 
3,900,000  AXA SA ±  6.463  12/14/2018  3,816,177 
1,030,000  BAC Capital Trust XI ±  6.625  5/23/2036  1,089,882 
3,800,000  BAC Capital Trust XIV ±  5.630  3/15/2012  3,801,645 
3,350,000  BNP Paribas SA ±  5.186  6/29/2015  3,208,047 
1,115,000  Capital One Capital III ‡  7.686  8/15/2036  1,196,308 
2,460,000  Capital One Financial Corporation ±  5.250  2/21/2017  2,347,054 
3,000,000  Corestates Capital Trust I ±  8.000  12/15/2026  3,118,962 
1,800,000  Coventry Health Care, Inc. ~  5.875  1/15/2012  1,828,694 
1,500,000  Coventry Health Care, Inc. ~  6.125  1/15/2015  1,518,602 
1,500,000  Coventry Health Care, Inc.  5.950  3/15/2017  1,491,944 
6,000,000  Credit Suisse USA, Inc. ±  5.250  3/2/2011  6,029,148 
4,200,000  Endurance Specialty Holdings, Ltd. ‡  6.150  10/15/2015  4,193,641 
2,500,000  ERP Operating, LP ±~  5.125  3/15/2016  2,438,145 
2,375,000  General Electric Capital Corporation ‡  5.720  8/22/2011  2,393,440 
5,000,000  General Electric Capital Corporation ±  4.375  3/3/2012  4,847,625 
12,470,000  General Motors Acceptance Corporation ±‡  6.875  9/15/2011  12,482,083 
7,200,000  General Motors Acceptance Corporation, LLC ±  6.000  12/15/2011  6,983,352 
5,500,000  Goldman Sachs Group, Inc. ‡  5.125  1/15/2015  5,355,460 
4,000,000  HSBC Capital Funding, LP/Jersey Channel Islands ±  9.547  6/30/2010  4,497,784 
1,220,000  HSBC Holdings plc ±  6.500  5/2/2036  1,289,429 
3,250,000  International Lease Finance Corporation *  5.750  6/15/2011  3,330,051 
5,185,000  iStar Financial, Inc. *  5.850  3/15/2017  5,123,210 
4,410,000  J.P. Morgan Chase Bank NA  5.875  6/13/2016  4,530,195 
2,840,000  Liberty Property, LP  5.500  12/15/2016  2,820,228 
5,980,000  Lincoln National Corporation  7.000  5/17/2016  6,266,460 
2,750,000  Marsh & McLennan Companies, Inc. ±  5.750  9/15/2015  2,731,768 
2,370,000  Merrill Lynch & Company, Inc.  6.050  5/16/2016  2,431,331 
1,350,000  Merrill Lynch & Company, Inc. *  6.110  1/29/2037  1,308,778 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
123

Income Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (105.2%)  Rate  Date  Value 
Financials — continued       
$6,730,000  Mitsubishi UFG Capital Finance, Ltd.  6.346%  7/25/2016  $6,874,439 
3,000,000  Monumental Global Funding II ±  4.625  3/15/2010  2,961,441 
2,400,000  Morgan Stanley  3.875  1/15/2009  2,351,357 
3,630,000  Morgan Stanley *  6.250  8/9/2026  3,726,623 
7,000,000  Preferred Term Securities XXIII, Ltd. †  5.550  6/22/2007  6,998,906 
2,670,000  ProLogis *  5.500  4/1/2012  2,696,484 
2,600,000  ProLogis  5.625  11/15/2015  2,620,899 
3,000,000  Protective Life Secured Trust *  4.850  8/16/2010  2,994,282 
2,500,000  Prudential Financial, Inc. *  4.750  6/13/2015  2,380,608 
1,095,000  Prudential Financial, Inc. *  5.900  3/17/2036  1,087,440 
1,120,000  Prudential Financial, Inc.  5.700  12/14/2036  1,072,073 
3,750,000  RBS Capital Trust I  5.512  9/30/2014  3,689,569 
5,040,000  Residential Capital Corporation †  6.460  4/17/2007  5,021,261 
3,300,000  Residential Capital Corporation *†  7.190  4/17/2007  3,271,194 
7,775,000  Residential Capital Corporation  6.000  2/22/2011  7,669,408 
6,800,000  Residential Capital Corporation  6.500  4/17/2013  6,735,441 
6,000,000  Resona Bank, Ltd.  5.850  4/15/2016  5,970,672 
3,500,000  Simon Property Group, LP  4.600  6/15/2010  3,440,640 
2,100,000  Simon Property Group, LP  5.375  6/1/2011  2,113,041 
2,280,000  Simon Property Group, LP  5.750  12/1/2015  2,310,821 
6,300,000  SLM Corporation  5.400  10/25/2011  6,351,383 
3,660,000  SMFG Preferred Capital GBP 1, Ltd.  6.078  1/25/2017  3,667,100 
4,200,000  Swiss RE Capital I, LP *  6.854  5/25/2016  4,338,869 
3,000,000  Travelers Property Casualty Corporation  5.000  3/15/2013  2,951,271 
3,825,000  Wachovia Bank NA  4.875  2/1/2015  3,688,692 
3,585,000  Wachovia Capital Trust III  5.800  3/15/2011  3,627,755 
3,650,000  Wachovia Corporation *  5.300  10/15/2011  3,671,013 
3,440,000  Washington Mutual Bank FA *  5.125  1/15/2015  3,300,116 
1,340,000  Washington Mutual Preferred Funding *  6.665  12/15/2016  1,315,080 
6,000,000  WellPoint, Inc.  5.000  12/15/2014  5,822,214 
4,600,000  Willis North America, Inc.  6.200  3/28/2017  4,610,102 
5,500,000  XL Capital, Ltd.  6.500  4/15/2017  5,334,516 
  Total Financials      235,609,274 
 
Foreign (0.5%)       
4,800,000  Pemex Finance, Ltd. ±  9.030  2/15/2011  5,143,968 
  Total Foreign      5,143,968 
 
Mortgage-Backed Securities (16.6%)       
131,500,000  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through §  5.500  4/1/2037  130,102,808 
59,000,000  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through §  6.000  4/1/2037  59,424,092 
  Total Mortgage-Backed Securities    189,526,900 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
124

Income Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (105.2%)  Rate  Date  Value 
Transportation (3.2%)       
$3,303,571  Continental Airlines, Inc. ~  7.875%  7/2/2018  $3,435,713 
2,100,000  Continental Airlines, Inc. §  5.983  4/19/2022  2,100,000 
2,000,000  FedEx Corporation ±  3.500  4/1/2009  1,937,564 
3,729,029  FedEx Corporation ~  6.845  1/15/2019  4,014,896 
3,439,051  FedEx Corporation ~  6.720  1/15/2022  3,703,066 
2,750,000  Hertz Corporation  8.875  1/1/2014  2,963,125 
13,430,000  Northwest Airlines, Inc. =  6.841  4/1/2011  13,446,788 
5,012,382  Piper Jaffray Equipment Trust Securities  6.750  4/1/2011  4,987,321 
  Total Transportation    36,588,473 
 
U.S. Government (11.8%)       
5,000,000  Federal Home Loan Bank *  5.625  6/13/2016  5,142,940 
22,500,000  Federal National Mortgage Association ~  5.300  2/22/2011  22,440,578 
24,300,000  U.S. Treasury Bonds *  6.250  8/15/2023  27,897,542 
8,700,000  U.S. Treasury Bonds  6.125  8/15/2029  10,118,509 
7,000,000  U.S. Treasury Notes *  4.000  4/15/2010  6,892,816 
3,150,000  U.S. Treasury Notes *  4.625  2/29/2012  3,161,690 
32,208,900  U.S. Treasury Notes, TIPS *  2.000  7/15/2014  31,896,860 
38,000,000  U.S. Treasury Principal Strips *‡  Zero Coupon  11/15/2022  17,516,936 
12,750,000  U.S. Treasury Strips  Zero Coupon  2/15/2013  9,796,628 
  Total U.S. Government    134,864,499 
 
Utilities (6.1%)       
3,000,000  Baltimore Gas & Electric Company ±  5.900  10/1/2016  3,043,497 
2,500,000  Carolina Power & Light, Inc. ±‡  5.150  4/1/2015  2,455,085 
2,730,000  Cincinnati Gas & Electric Company ±  5.700  9/15/2012  2,777,248 
3,950,000  Cleveland Electric Illuminating Company ±  7.430  11/1/2009  4,148,061 
1,775,000  Cleveland Electric Illuminating Company  5.700  4/1/2017  1,764,323 
2,930,000  Commonwealth Edison Company  5.400  12/15/2011  2,859,961 
2,500,000  DTE Energy Company  6.375  4/15/2033  2,565,588 
1,500,000  Exelon Corporation ±  6.750  5/1/2011  1,562,600 
3,500,000  Exelon Corporation ±  4.900  6/15/2015  3,270,474 
1,800,000  Florida Power & Light Company  6.200  6/1/2036  1,908,166 
3,000,000  ITC Holdings Corporation  5.875  9/30/2016  3,016,215 
2,300,000  MidAmerican Energy Holdings Company  3.500  5/15/2008  2,256,953 
2,400,000  MidAmerican Energy Holdings Company  6.125  4/1/2036  2,394,811 
6,450,000  NiSource Finance Corporation  7.875  11/15/2010  6,990,729 
2,000,000  NRG Energy, Inc.  7.250  2/1/2014  2,050,000 
1,500,000  NRG Energy, Inc.  7.375  2/1/2016  1,541,250 
1,550,000  Ohio Edison Company  6.875  7/15/2036  1,681,215 
1,959,395  Power Contract Financing, LLC ±  6.256  2/1/2010  1,977,833 
3,426,070  Power Receivables Finance, LLC ±  6.290  1/1/2012  3,461,324 
1,075,000  Progress Energy, Inc.  7.000  10/30/2031  1,189,823 
4,800,000  PSEG Power, LLC  5.000  4/1/2014  4,629,854 
2,270,000  PSI Energy, Inc.  5.000  9/15/2013  2,209,014 
2,770,000  Southwestern Public Service Company  6.000  10/1/2036  2,739,389 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
125

Income Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (105.2%)  Rate  Date  Value 
Utilities — continued       
$4,600,000  TXU Energy Company, LLC †  5.850%  6/18/2007  $4,599,627 
2,580,000  Virginia Electric & Power Company  6.000  1/15/2036  2,572,350 
  Total Utilities      69,665,390 
  Total Long-Term Fixed Income (cost $1,192,471,583)  1,199,720,869 
 
 
 
    Expiration   
Contracts  Options Purchased (<0.1%)  Price  Date  Value 
620  Call on U.S. Treasury Bond Futures  $109  4/20/2007  $106,562 
  Total Options Purchased (cost $234,050)    106,562 
 
 
    Interest  Maturity   
Shares  Collateral Held for Securities Loaned (9.1%)  Rate (+)  Date  Value 
104,368,265  Thrivent Financial Securities Lending Trust  5.35%  N/A  $104,368,265 
  Total Collateral Held for Securities Loaned   
  (cost $104,368,265)      104,368,265 
 
 
Shares or         
Principal    Interest  Maturity   
Amount  Short-Term Investments (11.0%)  Rate (+)  Date  Value 
$6,300,000  Amsterdam Funding Corporation ±  5.280%  4/5/2007  $6,295,380 
3,112,000  Falcon Asset Securitization Corporation  5.270  4/13/2007  3,106,078 
9,060,000  Greyhawk Funding, LLC  5.300  4/17/2007  9,037,325 
11,000,000  Jupiter Securitization Company, LLC  5.300  4/12/2007  10,980,567 
8,000,000  Kitty Hawk Funding Corporation  5.280  4/20/2007  7,976,533 
10,000,000  Louis Dreyfus Corporation  5.260  4/10/2007  9,985,389 
5,000,000  Nieuw Amsterdam Receivables Corporation  5.280  4/20/2007  4,985,333 
8,210,000  Park Avenue Receivables Corporation  5.270  4/13/2007  8,194,376 
3,145,000  Regency Markets No. 1, LLC  5.250  4/16/2007  3,137,662 
16,506,277  Thrivent Money Market Portfolio  5.050  N/A  16,506,277 
22,870,000  Toyota Motor Credit Corporation  5.400  4/2/2007  22,863,139 
6,000,000  UBS Finance Corporation  5.295  4/3/2007  5,997,352 
10,000,000  UBS Finance Corporation  5.270  4/9/2007  9,986,825 
7,000,000  Victory Receivables Corporation  5.340  4/3/2007  6,996,885 
  Total Short-Term Investments (at amortized cost)  126,049,121 
  Total Investments (cost $1,423,123,019) 125.3%  $1,430,244,817 
  Other Assets and Liabilities, Net (25.3%)    (288,952,890) 
  Total Net Assets 100.0%      $1,141,291,927 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
126

Income Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)         
 
  Number of    Notional     
  Contracts  Expiration  Principal    Unrealized 
Futures  Long/(Short)  Date  Amount  Value  Gain/(Loss) 
5-Yr. U.S. Treasury Bond Futures  (280)  June 2007  ($29,582,896)  ($29,623,126)  ($40,230) 
10-Yr. U.S. Treasury Bond Futures  (340)  June 2007  ($36,809,277)  ($36,762,500)  $46,777 
 
        Notional   
    Buy/Sell  Termination  Principal  Unrealized 
Swaps    Protection  Date  Amount  Gain/(Loss) 
Dow Jones CDX North America High Yield Index           
Series 7 at 3.25%    Buy  December 2011  ($9,000,000)  $62,947 

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

> Denotes step coupon bonds for which the current interest rat eand next scheduled reset date are shown.

† Denotes variable rate obligations for which the current yield and next scheduled reset date are shown.

§ Denotes investments purchased on a when-issued basis.

± Designated as cover for long settling trades.

‡ At March 30, 2007, $1,797,791 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open financial futures contracts. In addition, $74,398,487 and $10,022,590 of investments were earmarked as collateral to cover open financial futures and swap contracts, respectively.

~ All or a portion of the security was earmarked as collateral to cover options.

= In bankruptcy.

Definitions:

TIPS — Treasury Inflation Protected Security

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $12,538,222 
Gross unrealized depreciation  (5,416,424) 
Net unrealized appreciation (depreciation)  $7,121,798 
Cost for federal income tax purposes  $1,432,123,019 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
127

Bond Index Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (120.1%)  Rate  Date  Value 
 
Asset-Backed Securities (18.5%)       
$2,000,000  Americredit Automobile Receivables Trust ±†  5.400%  4/6/2007  $1,999,990 
2,000,000  Bear Stearns Asset-Backed Securities, Inc. ±†  5.560  4/25/2007  2,000,764 
1,118,459  Bear Stearns Mortgage Funding Trust †  5.460  4/25/2007  1,117,955 
556,699  Countrywide Asset-Backed Certificates ±†  5.400  4/25/2007  556,663 
2,500,000  Countrywide Asset-Backed Certificates  5.549  4/25/2036  2,493,675 
750,000  Countrywide Home Loans Asset-Backed Securities  6.085  6/25/2021  760,538 
2,500,000  Credit Based Asset Servicing and Securitization, LLC ±†  5.430  4/25/2007  2,498,638 
1,250,000  Credit Based Asset Servicing and Securitization, LLC ±  5.501  12/25/2036  1,247,088 
2,500,000  DaimlerChrysler Master Owner Trust ±†  5.370  4/15/2007  2,500,760 
73,289  FBR Securitization Trust, LLC †  5.440  4/25/2007  73,282 
517,272  First Franklin Mortgage Loan Asset-Backed Certificates †  5.420  4/25/2007  517,315 
1,500,000  First Franklin Mortgage Loan Asset-Backed Certificates †  5.430  4/25/2007  1,499,680 
2,332,877  First Horizon ABS Trust †  5.450  4/25/2007  2,330,975 
1,900,917  First Horizon ABS Trust ±†  5.480  4/25/2007  1,899,385 
1,500,000  Ford Credit Floor Plan Master Owner Trust †  5.500  4/15/2007  1,501,092 
294,913  Fremont Home Loan Trust †  5.480  4/25/2007  294,935 
2,000,000  GE Dealer Floorplan Master Note Trust ±†  5.360  4/20/2007  2,000,826 
3,000,000  GMAC Mortgage Corporation Loan Trust ±†  5.390  4/25/2007  2,996,727 
2,500,000  GMAC Mortgage Corporation Loan Trust ±†  5.410  4/25/2007  2,499,505 
49,846  Green Tree Financial Corporation ±  6.330  11/1/2029  50,805 
1,827,235  IndyMac Seconds Asset-Backed Trust †  5.490  4/25/2007  1,825,782 
491,511  Massachusetts RRB Special Purpose Trust ±  3.780  9/15/2010  485,842 
725,939  Master Asset-Backed Securities Trust †  5.400  4/25/2007  726,048 
1,626,841  National Collegiate Student Loan Trust †  5.380  4/25/2007  1,627,934 
220,994  Option One Mortgage Loan Trust †  5.480  4/25/2007  221,026 
239,428  Popular ABS Mortgage Pass-Through Trust †  5.430  4/25/2007  239,431 
675,380  Popular ABS Mortgage Pass-Through Trust †  5.450  4/25/2007  675,508 
640,312  Residential Asset Securities Corporation †  5.400  4/25/2007  640,394 
78,789  Residential Asset Securities Corporation †  5.430  4/25/2007  78,782 
764,541  SLM Student Loan Trust †  5.370  4/25/2007  764,769 
321,224  Specialty Underwriting and Residential Finance Trust †  5.440  4/25/2007  321,250 
2,000,000  Textron Financial Floorplan Master Note Trust ±†  5.440  4/13/2007  2,003,078 
2,000,000  Wachovia Asset Securitization, Inc. †  5.460  4/25/2007  2,000,000 
  Total Asset-Backed Securities    42,450,442 
 
Basic Materials (0.5%)       
500,000  Alcan, Inc. ±  5.200  1/15/2014  491,066 
275,000  Alcan, Inc.  6.125  12/15/2033  267,405 
27,000  Dow Chemical Company  7.375  11/1/2029  30,050 
300,000  Potash Corporation of Saskatchewan, Inc. ±  7.750  5/31/2011  327,423 
  Total Basic Materials      1,115,944 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
128

Bond Index Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (120.1%)  Rate  Date  Value 
Capital Goods (1.3%)       
$975,000  Boeing Capital Corporation ±  6.100%  3/1/2011  $1,011,935 
275,000  Caterpillar, Inc. ±  4.500  6/15/2009  271,774 
800,000  General Electric Company ±  5.000  2/1/2013  793,941 
350,000  John Deere Capital Corporation ±  7.000  3/15/2012  378,302 
27,000  Lockheed Martin Corporation  6.150  9/1/2036  28,012 
200,000  Northrop Grumman Corporation ±  7.125  2/15/2011  213,884 
275,000  United Technologies Corporation  6.050  6/1/2036  281,778 
  Total Capital Goods      2,979,626 
 
Commercial Mortgage-Backed Securities (14.7%)       
700,000  Banc of America Commercial Mortgage, Inc. ±  5.118  7/11/2043  698,562 
400,000  Bear Stearns Commercial Mortgage Securities, Inc. ±  3.869  2/11/2041  391,198 
2,500,000  Bear Stearns Commercial Mortgage Securities, Inc. §  5.470  3/15/2022  2,500,000 
2,482,163  Chase Mortgage Finance Corporation  4.579  2/25/2037  2,443,260 
1,394,440  Citigroup Commercial Mortgage Trust †  5.390  4/15/2007  1,394,450 
293,523  Commercial Mortgage Pass-Through Certificates ±†  5.420  4/15/2007  293,525 
2,500,000  Commercial Mortgage Pass-Through Certificates ±†  5.450  4/15/2007  2,499,985 
1,353,413  Credit Suisse First Boston Mortgage Securities Corporation ±  3.861  3/15/2036  1,330,385 
500,000  Credit Suisse First Boston Mortgage Securities Corporation  4.829  11/15/2037  485,111 
2,000,000  Crown Castle International Corporation ±  5.245  11/15/2036  2,004,518 
800,000  General Electric Commercial Mortgage Corporation ±  4.641  9/10/2013  781,990 
500,000  GMAC Commercial Mortgage Securities, Inc.  4.547  12/10/2041  487,881 
1,000,000  Greenwich Capital Commercial Funding Corporation ±  5.317  6/10/2036  1,003,255 
1,000,000  GS Mortgage Securities Corporation  5.560  11/10/2039  1,013,890 
500,000  J.P. Morgan Chase Commercial Mortgage       
  Securities Corporation ±  4.654  1/12/2037  488,366 
1,500,000  J.P. Morgan Chase Commercial Mortgage       
  Securities Corporation ±  5.336  5/15/2047  1,490,620 
2,450,731  J.P. Morgan Mortgage Trust  5.012  7/25/2035  2,436,355 
1,000,000  LB-UBS Commercial Mortgage Trust ±  3.086  5/15/2027  977,354 
700,000  LB-UBS Commercial Mortgage Trust  4.786  10/15/2029  679,578 
750,000  LB-UBS Commercial Mortgage Trust  4.553  7/15/2030  738,877 
1,944,755  Merrill Lynch Mortgage Investors, Inc.  4.877  6/25/2035  1,936,134 
372,519  Nationslink Funding Corporation ±  6.316  1/20/2031  376,894 
1,828,938  Thornburg Mortgage Securities Trust †  5.410  4/25/2007  1,824,843 
2,346,876  Thornburg Mortgage Securities Trust †  5.430  4/25/2007  2,345,130 
1,636,934  Washington Mutual Asset Securities Corporation  3.830  1/25/2035  1,589,781 
1,499,240  Zuni Mortgage Loan Trust †  5.450  4/25/2007  1,497,719 
  Total Commercial Mortgage-Backed Securities  33,709,661 
 
Communications Services (3.0%)       
27,000  BellSouth Corporation  6.875  10/15/2031  28,642 
200,000  British Telecom plc ±  8.625  12/15/2010  223,252 
302,000  British Telecom plc  9.125  12/15/2030  414,650 
400,000  Cingular Wireless, Inc. ±  6.500  12/15/2011  421,404 
225,000  Comcast Corporation ±  5.500  3/15/2011  227,461 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
129

Bond Index Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (120.1%)  Rate  Date  Value 
Communications Services — continued       
$500,000  Cox Communications, Inc. ±  7.750%  11/1/2010  $540,372 
135,000  Cox Communications, Inc.  6.450  12/1/2036  135,877 
200,000  Deutsche Telekom International Finance BV  8.000  6/15/2010  216,803 
500,000  Deutsche Telekom International Finance BV *  5.250  7/22/2013  493,377 
200,000  France Telecom SA ±  7.750  3/1/2011  217,896 
700,000  New Cingular Wireless Services, Inc. ±  7.875  3/1/2011  765,952 
275,000  News America, Inc.  6.400  12/15/2035  273,536 
400,000  SBC Communications, Inc. ±  5.875  2/1/2012  410,518 
700,000  Sprint Capital Corporation ±  7.625  1/30/2011  752,590 
550,000  Sprint Capital Corporation ±  6.900  5/1/2019  569,571 
800,000  Telecom Italia Capital SA ±  5.250  10/1/2015  758,997 
425,000  Tele-Communications, Inc. (TCI Group) ±  7.875  8/1/2013  475,914 
27,000  Verizon Global Funding Corporation  7.750  12/1/2030  31,295 
  Total Communications Services    6,958,107 
 
Consumer Cyclical (0.9%)       
850,000  AOL Time Warner, Inc. ±  6.875  5/1/2012  905,775 
27,000  AOL Time Warner, Inc.  7.625  4/15/2031  30,343 
27,000  DaimlerChrysler North American Holdings Corporation  8.500  1/18/2031  33,720 
27,000  Target Corporation  7.000  7/15/2031  30,793 
527,000  Wal-Mart Stores, Inc.  7.550  2/15/2030  634,346 
500,000  Walt Disney Company ±  5.625  9/15/2016  510,820 
  Total Consumer Cyclical    2,145,797 
 
Consumer Non-Cyclical (2.2%)       
275,000  Boston Scientific Corporation  7.000  11/15/2035  266,723 
600,000  Bunge Limited Finance Corporation  5.350  4/15/2014  578,458 
475,000  Coca-Cola HBC Finance BV ±  5.125  9/17/2013  469,011 
400,000  Genentech, Inc. ±  4.400  7/15/2010  392,439 
482,000  General Mills, Inc. ±  6.000  2/15/2012  498,557 
300,000  GlaxoSmithKline Capital, Inc. ±  5.375  4/15/2034  289,032 
27,000  Kellogg Company  7.450  4/1/2031  31,676 
250,000  Kimberly-Clark Corporation ±  6.375  1/1/2028  265,312 
650,000  Kraft Foods, Inc. ±  6.250  6/1/2012  675,418 
27,000  Kraft Foods, Inc.  6.500  11/1/2031  27,499 
500,000  Kroger Company ±  4.950  1/15/2015  471,556 
475,000  Safeway, Inc. ±  4.125  11/1/2008  467,145 
550,000  Wyeth *  6.000  2/15/2036  546,963 
  Total Consumer Non-Cyclical    4,979,789 
 
Energy (1.7%)       
500,000  Anadarko Finance Company ±  6.750  5/1/2011  525,113 
27,000  Anadarko Finance Company  7.500  5/1/2031  29,804 
500,000  Burlington Resources, Inc. ±  6.500  12/1/2011  528,869 
1,000,000  Conoco Funding Company ±  6.350  10/15/2011  1,050,390 
27,000  Conoco, Inc.  6.950  4/15/2029  30,614 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
130

Bond Index Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (120.1%)  Rate  Date  Value 
Energy — continued       
$500,000  Consolidated Natural Gas Company ±  6.850%  4/15/2011  $528,359 
27,000  Devon Financing Corporation, ULC *  7.875  9/30/2031  32,005 
475,000  Duke Capital Corporation ±  7.500  10/1/2009  499,755 
275,000  Oneok Partners, LP  6.650  10/1/2036  282,545 
500,000  Valero Energy Corporation ±  4.750  6/15/2013  478,674 
  Total Energy      3,986,128 
 
Financials (9.9%)       
27,000  Abbey National plc  7.950  10/26/2029  33,968 
500,000  AIG SunAmerica Global Financing VI ±  6.300  5/10/2011  521,952 
500,000  Allstate Corporation ±  5.000  8/15/2014  488,692 
250,000  Associates Corporation of North America ±  6.250  11/1/2008  254,255 
27,000  AXA SA  8.600  12/15/2030  34,423 
275,000  BAC Capital Trust XI  6.625  5/23/2036  290,988 
650,000  Bank of America Corporation ±  4.750  8/15/2013  631,238 
1,800,000  Bank One Corporation ±  5.900  11/15/2011  1,849,772 
600,000  BB&T Corporation ±  6.500  8/1/2011  629,993 
1,100,000  BNP Paribas SA ±  5.186  6/29/2015  1,053,389 
1,100,000  Capital One Financial Corporation ±  5.250  2/21/2017  1,049,496 
725,000  CIT Group, Inc. ±  4.750  12/15/2010  713,832 
590,000  Citigroup, Inc. ±  5.000  9/15/2014  575,993 
250,000  Citigroup, Inc. ±  4.700  5/29/2015  239,419 
725,000  Credit Suisse First Boston USA, Inc. ±  3.875  1/15/2009  710,746 
950,000  Goldman Sachs Group, Inc. ±  6.600  1/15/2012  1,002,858 
500,000  Household Finance Corporation ±  4.750  5/15/2009  495,699 
650,000  Household Finance Corporation ±  6.375  11/27/2012  682,170 
350,000  HSBC Finance Corporation ±  5.000  6/30/2015  336,812 
850,000  International Lease Finance Corporation ±  5.875  5/1/2013  877,922 
775,000  Lehman Brothers Holdings, Inc. ±  3.950  11/10/2009  754,722 
800,000  Marsh & McLennan Companies, Inc. ±  5.750  9/15/2015  794,696 
475,000  Merrill Lynch & Company, Inc. ±  5.000  2/3/2014  463,555 
500,000  MetLife, Inc. ±  5.000  6/15/2015  485,430 
1,250,000  Morgan Stanley Dean Witter & Company ±  6.750  4/15/2011  1,322,094 
1,500,000  Preferred Term Securities XXIII, Ltd. †  5.550  6/22/2007  1,499,766 
500,000  ProLogis Trust ±  5.500  3/1/2013  505,072 
275,000  Prudential Financial, Inc.  5.700  12/14/2036  263,232 
500,000  Residential Capital Corporation  6.500  4/17/2013  495,253 
500,000  Student Loan Marketing Corporation ±  4.000  1/15/2010  486,610 
550,000  Union Planters Corporation ±  4.375  12/1/2010  538,183 
500,000  Wachovia Bank NA ±  4.875  2/1/2015  482,182 
500,000  Washington Mutual Bank FA  5.500  1/15/2013  498,976 
500,000  WellPoint, Inc. ±  5.000  12/15/2014  485,184 
1,100,000  Wells Fargo & Company ±  4.200  1/15/2010  1,076,185 
  Total Financials      22,624,757 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
131

Bond Index Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (120.1%)  Rate  Date  Value 
Foreign (3.1%)       
$250,000  African Development Bank ±  6.875%  10/15/2015  $275,834 
350,000  Canadian Government ±  5.250  11/5/2008  352,192 
300,000  Codelco, Inc. ±  6.375  11/30/2012  315,571 
800,000  European Investment Bank ±  3.000  6/16/2008  781,388 
550,000  Export-Import Bank of Korea ±  4.125  2/10/2009  539,782 
27,000  Hydro-Quebec  8.400  1/15/2022  35,104 
350,000  Inter-American Development Bank  5.375  11/18/2008  352,665 
425,000  Pemex Project Funding Master Trust ±  9.125  10/13/2010  475,788 
250,000  Province of Nova Scotia ±  7.250  7/27/2013  279,394 
400,000  Province of Quebec *  4.875  5/5/2014  395,388 
400,000  Province of Quebec *  7.500  7/15/2023  486,687 
600,000  Republic of Italy ±  6.000  2/22/2011  622,658 
200,000  Republic of Italy  4.375  6/15/2013  192,879 
1,000,000  Republic of Italy ±  5.375  6/15/2033  978,462 
1,100,000  United Mexican States ±  5.625  1/15/2017  1,108,800 
  Total Foreign      7,192,592 
 
Mortgage-Backed Securities (35.3%)       
8,954  Federal Home Loan Mortgage Corporation       
  Gold 15-Yr. Pass Through  7.500  12/1/2009  9,087 
11,678  Federal Home Loan Mortgage Corporation       
  Gold 15-Yr. Pass Through  7.000  1/1/2011  11,908 
8,516  Federal Home Loan Mortgage Corporation       
  Gold 15-Yr. Pass Through  6.500  10/1/2012  8,720 
9,362  Federal Home Loan Mortgage Corporation       
  Gold 15-Yr. Pass Through  6.500  1/1/2013  9,592 
12,590  Federal Home Loan Mortgage Corporation       
  Gold 15-Yr. Pass Through  6.000  9/1/2013  12,826 
33,097  Federal Home Loan Mortgage Corporation       
  Gold 15-Yr. Pass Through  5.500  3/1/2014  33,296 
41,532  Federal Home Loan Mortgage Corporation       
  Gold 15-Yr. Pass Through  6.000  4/1/2014  42,310 
12,079  Federal Home Loan Mortgage Corporation       
  Gold 15-Yr. Pass Through  7.000  10/1/2014  12,468 
23,167  Federal Home Loan Mortgage Corporation       
  Gold 15-Yr. Pass Through  6.500  3/1/2016  23,746 
36,367  Federal Home Loan Mortgage Corporation       
  Gold 15-Yr. Pass Through  6.000  6/1/2016  37,021 
49,549  Federal Home Loan Mortgage Corporation       
  Gold 15-Yr. Pass Through  6.000  9/1/2016  50,440 
399,909  Federal Home Loan Mortgage Corporation       
  Gold 15-Yr. Pass Through  7.000  6/1/2017  412,364 
684,928  Federal Home Loan Mortgage Corporation       
  Gold 15-Yr. Pass Through  5.500  12/1/2017  688,043 
12,808  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  6.500  4/1/2024  13,140 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
132

Bond Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal        Interest  Maturity   
Amount  Long-Term Fixed Income (120.1%)  Rate  Date  Value 
Mortgage-Backed Securities — continued       
$9,602  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  7.000%  5/1/2024  $9,980 
1,417  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  7.500  8/1/2025  1,486 
16,480  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  8.500  11/1/2025  17,692 
2,945  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  8.000  1/1/2026  3,109 
678  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  7.000  6/1/2026  706 
5,590  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr.  Pass Through  7.000  4/1/2027  5,814 
6,149  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  7.500  7/1/2027  6,449 
9,428  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  7.000  8/1/2027  9,806 
5,735  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  7.500  10/1/2027  6,013 
7,429  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  7.000  5/1/2028  7,729 
34,341  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  6.000  8/1/2028  34,882 
11,141  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  6.500  10/1/2028  11,492 
15,216  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  6.500  2/1/2029  15,695 
27,389  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  6.000  3/1/2029  27,812 
11,286  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  7.000  7/1/2029  11,745 
22,237  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  7.500  10/1/2029  23,300 
12,314  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  7.500  11/1/2029  12,902 
23,020  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  6.500  5/1/2031  23,702 
85,511  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  6.000  6/1/2031  86,727 
37,881  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  7.000  6/1/2031  41,429 
80,355  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  6.000  7/1/2031  81,498 
19,982  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  7.000  9/1/2031  20,758 
55,605  Federal Home Loan Mortgage Corporation       
  Gold  30-Yr. Pass Through  6.500  10/1/2031  57,252 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
133

Bond Index Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (120.1%)  Rate  Date  Value 
Mortgage-Backed Securities — continued       
$432,295  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  6.000%  1/1/2032  $438,439 
40,119  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  7.000  5/1/2032  41,629 
438,101  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  6.500  7/1/2032  450,302 
298,947  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  6.500  10/1/2032  307,272 
571,447  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through  6.000  11/1/2032  579,013 
10,000,000  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through §  5.000  4/1/2037  9,662,500 
14,700,000  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through §  6.000  4/1/2037  14,814,836 
4,823  Federal National Mortgage Association Conventional       
  15-Yr. Pass Through  6.000  4/1/2011  4,900 
1,452  Federal National Mortgage Association Conventional       
  15-Yr. Pass Through  7.500  7/1/2011  1,494 
5,556  Federal National Mortgage Association Conventional       
  15-Yr. Pass Through  8.000  7/1/2012  5,778 
8,871  Federal National Mortgage Association Conventional       
  15-Yr. Pass Through  6.500  12/1/2012  9,087 
23,391  Federal National Mortgage Association Conventional       
  15-Yr. Pass Through  6.500  6/1/2013  23,972 
32,869  Federal National Mortgage Association Conventional       
  15-Yr. Pass Through  6.000  12/1/2013  33,485 
16,100,000  Federal National Mortgage Association Conventional       
  15-Yr. Pass Through §  5.000  4/1/2022  15,873,602 
8,923  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  10.500  8/1/2020  9,933 
7,798  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  8.000  12/1/2024  8,246 
10,797  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  7.000  10/1/2025  11,266 
38,074  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  6.500  11/1/2025  39,079 
3,583  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  8.500  12/1/2025  3,851 
9,268  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  7.500  1/1/2026  9,724 
10,328  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  6.500  5/1/2026  10,615 
6,176  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  8.000  9/1/2026  6,547 
5,477  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  7.500  2/1/2027  5,746 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
134

Bond Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal      Interest  Maturity   
Amount  Long-Term Fixed Income (120.1%)  Rate  Date  Value 
Mortgage-Backed Securities — continued       
$3,934  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  7.000%  3/1/2027  $4,097 
16,863  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  6.500  8/1/2027  17,399 
2,143  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  7.500  11/1/2027  2,248 
14,815  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  9.000  11/1/2027  16,122 
4,451  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  7.000  1/1/2028  4,637 
85,653  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  7.500  2/1/2028  89,842 
13,730  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  6.000  5/1/2028  13,939 
6,994  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  6.500  9/1/2028  7,216 
19,798  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  7.000  10/1/2028  20,634 
54,418  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  7.500  11/1/2028  57,087 
98,666  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  6.000  12/1/2028  100,171 
11,117  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  7.000  12/1/2028  11,586 
16,340  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  6.500  2/1/2029  16,860 
57,052  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  6.000  3/1/2029  57,922 
23,960  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  7.000  3/1/2029  24,972 
69,817  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  6.500  4/1/2029  71,994 
12,546  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  6.500  8/1/2029  12,937 
17,663  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  7.500  8/1/2029  18,515 
28,484  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  7.000  10/1/2029  29,687 
12,901  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  7.500  12/1/2029  13,523 
10,376  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  8.000  4/1/2030  10,959 
7,592  Federal National Mortgage Association Conventional       
  30-Yr.  Pass Through  7.500  12/1/2030  7,946 
150,361  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  6.000  5/1/2031  152,399 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
135

Bond Index Portfolio         
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal      Interest  Maturity   
Amount  Long-Term Fixed Income (120.1%)  Rate  Date  Value 
Mortgage-Backed Securities — continued       
$231,393  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  6.500%  4/1/2032  $237,899 
213,748  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  6.500  5/1/2032  219,758 
120,256  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  7.000  5/1/2032  125,316 
712,236  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  6.500  7/1/2032  732,264 
329,719  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through  6.500  8/1/2032  338,991 
33,900,000  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through §  5.500  4/1/2037  33,539,801 
7,442  Government National Mortgage Association       
  15-Yr. Pass Through  6.500  6/15/2009  7,529 
29,232  Government National Mortgage Association       
  15-Yr. Pass Through  7.000  9/15/2013  30,209 
6,054  Government National Mortgage Association       
  30-Yr. Pass Through  7.500  3/15/2023  6,318 
9,994  Government National Mortgage Association       
  30-Yr. Pass Through  7.000  1/15/2024  10,449 
4,478  Government National Mortgage Association       
  30-Yr. Pass Through  9.000  9/15/2024  4,848 
6,845  Government National Mortgage Association       
  30-Yr. Pass Through  8.000  6/15/2025  7,261 
2,041  Government National Mortgage Association       
  30-Yr. Pass Through  8.000  9/15/2026  2,167 
24,646  Government National Mortgage Association       
  30-Yr. Pass Through  7.500  3/15/2027  25,754 
8,680  Government National Mortgage Association       
  30-Yr. Pass Through  7.500  10/15/2027  9,071 
27,955  Government National Mortgage Association       
  30-Yr. Pass Through  7.000  11/15/2027  29,256 
17,147  Government National Mortgage Association       
  30-Yr. Pass Through  7.000  1/15/2028  17,938 
16,800  Government National Mortgage Association       
  30-Yr. Pass Through  6.500  7/15/2028  17,301 
17,828  Government National Mortgage Association       
  30-Yr. Pass Through  7.000  8/15/2028  18,649 
52,560  Government National Mortgage Association       
  30-Yr. Pass Through  7.500  11/15/2028  54,910 
12,659  Government National Mortgage Association       
  30-Yr. Pass Through  6.500  12/15/2028  13,037 
63,177  Government National Mortgage Association       
  30-Yr. Pass Through  6.500  3/15/2029  65,057 
24,257  Government National Mortgage Association       
  30-Yr. Pass Through  6.500  4/15/2029  24,979 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
136

Bond Index Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (120.1%)  Rate  Date  Value 
Mortgage-Backed Securities — continued       
$14,894  Government National Mortgage Association       
  30-Yr. Pass Through  8.000%  10/15/2030  $15,805 
19,205  Government National Mortgage Association       
  30-Yr. Pass Through  7.500  1/15/2031  20,049 
8,965  Government National Mortgage Association       
  30-Yr. Pass Through  7.000  4/15/2031  9,375 
41,143  Government National Mortgage Association       
  30-Yr. Pass Through  6.500  6/15/2031  42,331 
30,368  Government National Mortgage Association       
  30-Yr. Pass Through  7.000  9/15/2031  31,756 
422,102  Government National Mortgage Association       
  30-Yr. Pass Through  6.500  1/15/2032  433,894 
54,677  Government National Mortgage Association       
  30-Yr. Pass Through  6.500  4/15/2032  56,205 
  Total Mortgage-Backed Securities    81,145,124 
 
Technology (0.2%)       
500,000  International Business Machines Corporation ±  4.250  9/15/2009  491,530 
  Total Technology      491,530 
 
Transportation (0.7%)       
500,000  CSX Corporation ±  5.500  8/1/2013  496,526 
475,000  FedEx Corporation ±  3.500  4/1/2009  460,171 
500,000  Union Pacific Corporation ±  7.000  2/1/2016  532,338 
  Total Transportation      1,489,035 
 
U.S. Government (26.6%)       
2,000,000  Federal Home Loan Bank ±  3.375  2/15/2008  1,970,230 
500,000  Federal Home Loan Bank  2.750  3/14/2008  489,319 
700,000  Federal Home Loan Bank ±  5.925  4/9/2008  705,995 
3,000,000  Federal Home Loan Bank  4.100  6/13/2008  2,968,893 
500,000  Federal Home Loan Bank  4.500  10/14/2008  497,018 
1,500,000  Federal Home Loan Bank  4.625  11/21/2008  1,493,481 
3,000,000  Federal Home Loan Bank *  4.875  2/9/2010  3,004,695 
500,000  Federal Home Loan Bank *  4.500  11/15/2012  490,848 
850,000  Federal Home Loan Bank  4.500  9/16/2013  831,174 
1,000,000  Federal Home Loan Bank *  5.625  6/13/2016  1,028,588 
1,050,000  Federal Home Loan Mortgage Corporation  6.000  6/15/2011  1,095,645 
1,000,000  Federal Home Loan Mortgage Corporation  5.125  7/15/2012  1,013,460 
1,600,000  Federal National Mortgage Association  5.250  1/15/2009  1,609,395 
2,000,000  Federal National Mortgage Association  6.125  3/15/2012  2,110,194 
1,700,000  Federal National Mortgage Association *  5.000  2/13/2017  1,696,605 
500,000  Federal National Mortgage Association  5.960  9/11/2028  543,003 
100,000  Federal National Mortgage Association  6.250  5/15/2029  112,686 
200,000  Resolution Funding Corporation  8.125  10/15/2019  254,939 
250,000  Tennessee Valley Authority ±  6.000  3/15/2013  263,781 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
137

Bond Index Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (120.1%)  Rate  Date  Value 
U.S. Government — continued       
$4,200,000  U.S. Treasury Bonds *  7.250%  5/15/2016  $4,997,181 
400,000  U.S. Treasury Bonds *  8.875  2/15/2019  546,562 
290,000  U.S. Treasury Bonds *  7.625  11/15/2022  375,324 
1,000,000  U.S. Treasury Bonds *  6.250  8/15/2023  1,148,047 
260,000  U.S. Treasury Bonds *  7.500  11/15/2024  338,386 
350,000  U.S. Treasury Bonds *  6.875  8/15/2025  431,648 
8,675,000  U.S. Treasury Bonds *  5.250  11/15/2028  9,053,178 
2,000,000  U.S. Treasury Notes *  5.500  5/15/2009  2,036,484 
11,500,000  U.S. Treasury Notes *  6.000  8/15/2009  11,858,926 
2,945,000  U.S. Treasury Notes *  5.000  2/15/2011  2,995,501 
500,000  U.S. Treasury Notes *  4.375  8/15/2012  496,856 
4,375,000  U.S. Treasury Notes *  4.500  2/15/2016  4,330,568 
400,000  U.S. Treasury Notes *  4.625  2/15/2017  399,188 
  Total U.S. Government      61,187,798 
 
Utilities (1.5%)       
400,000  CenterPoint Energy Houston Electric, LLC ±  5.600  7/1/2023  378,699 
275,000  Commonwealth Edison Company  5.900  3/15/2036  255,237 
475,000  FirstEnergy Corporation ±  6.450  11/15/2011  497,876 
27,000  FirstEnergy Corporation  7.375  11/15/2031  30,674 
27,000  National Rural Utilities Cooperative Finance  8.000  3/1/2032  34,388 
475,000  Oncor Electric Delivery Company ±  6.375  1/15/2015  494,267 
400,000  Progress Energy, Inc. ±  7.000  10/30/2031  442,725 
600,000  Public Service Company of Colorado  7.875  10/1/2012  675,546 
225,000  Southern California Edison Company ±  5.000  1/15/2014  220,928 
275,000  Xcel Energy, Inc.  6.500  7/1/2036  289,073 
  Total Utilities      3,319,413 
  Total Long-Term Fixed Income (cost $274,835,357)  275,775,743 
 
 
    Interest  Maturity   
Shares  Collateral Held for Securities Loaned (20.1%)  Rate (+)  Date  Value 
46,062,035  Thrivent Financial Securities Lending Trust  5.350%  N/A  $46,062,035 
  Total Collateral Held for Securities Loaned   
  (cost $46,062,035)      46,062,035 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
138

Bond Index Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Shares or         
Principal    Interest  Maturity   
Amount  Short-Term Investments (12.5%)  Rate (+)  Date  Value 
$3,710,000  Amsterdam Funding Corporation ±  5.290%  4/5/2007  $3,707,274 
2,225,000  Golden Funding Corporation ±  5.280  4/17/2007  2,219,452 
2,365,000  Paradigm Funding, LLC  5.420  4/2/2007  2,364,288 
3,000,000  Paradigm Funding, LLC  5.350  4/12/2007  2,994,650 
5,000,000  Park Avenue Receivables Corporation  5.280  4/9/2007  4,993,400 
3,000,000  Solitaire Funding, LLC  5.260  4/2/2007  2,999,123 
9,487,599  Thrivent Money Market Portfolio  5.050  N/A  9,487,599 
  Total Short-Term Investments (at amortized cost)  28,765,786 
  Total Investments (cost $349,663,178) 152.7%  $350,603,564 
  Other Assets and Liabilities, Net (52.7%)    (120,962,129) 
  Total Net Assets 100.0%      $229,641,435 

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

† Denotes variable rate obligations for which the current yield and next scheduled reset date are shown.

§ Denotes investments purchased on a when-issued basis.

± Designated as cover for long settling trades.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $2,855,467 
Gross unrealized depreciation  (1,915,081) 
 
Net unrealized appreciation (depreciation)  $940,386 
Cost for federal income tax purposes  $349,663,178 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
139

Limited Maturity Bond Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (104.4%)  Rate  Date  Value 
 
Asset-Backed Securities (24.1%)       
$3,000,000  Americredit Automobile Receivables Trust †‡  5.400%  4/6/2007  $2,999,985 
3,000,000  Americredit Automobile Receivables Trust ±‡  3.430  7/6/2011  2,936,733 
3,000,000  Bear Stearns Asset-Backed Securities, Inc. †‡  5.560  4/25/2007  3,001,146 
658,378  Capital Auto Receivables Asset Trust  3.350  2/15/2008  657,346 
2,081,672  Caterpillar Financial Asset Trust ±  3.900  2/25/2009  2,070,627 
4,000,000  Chase Manhattan Auto Owner Trust ‡  4.840  7/15/2009  3,991,936 
2,763,975  CIT Equipment Collateral ‡  4.420  5/20/2009  2,750,092 
26,112  Countrywide Asset-Backed Certificates  3.903  1/25/2031  26,015 
5,000,000  Countrywide Asset-Backed Certificates ‡  5.549  4/25/2036  4,987,350 
5,000,000  Countrywide Asset-Backed Certificates ‡  5.683  10/25/2036  5,005,960 
4,500,000  Countrywide Home Loans Asset-Backed Securities ‡  6.085  6/25/2021  4,563,225 
1,189,286  CPS Auto Trust ~  4.520  3/15/2010  1,185,196 
5,000,000  Credit Based Asset Servicing and Securitization, LLC ±  5.501  12/25/2036  4,988,350 
7,000,000  DaimlerChrysler Auto Trust  5.330  8/8/2010  7,016,415 
3,000,000  DaimlerChrysler Master Owner Trust †‡  5.370  4/15/2007  3,000,912 
6,000,000  Drive Auto Receivables Trust ~  5.300  7/15/2011  6,014,280 
495,892  First Franklin Mortgage Loan Asset-Backed Certificates  5.500  3/25/2036  495,472 
516,098  Fremont Home Loan Trust †  5.480  4/25/2007  516,136 
3,457,596  GE Commercial Loan Trust †  5.420  4/19/2007  3,457,493 
3,000,000  GE Dealer Floorplan Master Note Trust †  5.360  4/20/2007  3,001,239 
3,195,000  GE Equipment Small Ticket, LLC  4.380  7/22/2009  3,175,801 
7,000,000  GMAC Mortgage Corporation Loan Trust †  5.390  4/25/2007  6,992,363 
3,000,000  GMAC Mortgage Corporation Loan Trust ±†  5.410  4/25/2007  2,999,406 
4,082,140  GMAC Mortgage Corporation Loan Trust †  5.420  4/25/2007  4,082,356 
5,500,000  GMAC Mortgage Corporation Loan Trust  5.750  10/25/2036  5,510,131 
982,622  Goldman Sachs Asset Management Products Trust ^  5.500  4/25/2036  962,970 
3,500,000  Harley Davidson Motorcycle Trust  5.240  1/15/2012  3,508,519 
2,879,899  Harley Davidson Motorcycle Trust  3.200  5/15/2012  2,814,528 
1,117,519  Honda Auto Receivables Owner Trust  2.910  10/20/2008  1,109,294 
1,515,042  Honda Auto Receivables Owner Trust  2.790  3/16/2009  1,507,823 
1,018,762  Honda Auto Receivables Owner Trust  2.960  4/20/2009  1,011,307 
2,567,312  Household Automotive Trust  5.400  6/17/2009  2,567,784 
6,500,000  Household Home Equity Loan Trust  5.320  3/20/2036  6,499,558 
3,500,000  Household Home Equity Loan Trust  5.660  3/20/2036  3,509,222 
16,120  Hyundai Auto Receivables Trust  3.880  6/16/2008  16,109 
1,529,109  John Deere Owner Trust ~  3.980  6/15/2009  1,519,704 
329,028  Long Beach Asset Holdings Corporation  5.780  5/25/2046  325,326 
1,270,757  Long Beach Asset Holdings Corporation  5.877  6/25/2046  1,251,695 
7,000,000  Mortgage Equity Conversion Asset Trust †  5.380  4/25/2007  6,995,625 
7,000,000  Mortgage Equity Conversion Asset Trust †  5.400  4/25/2007  6,995,625 
251,238  Navistar Financial Corporation  4.090  7/15/2008  251,105 
1,749,913  Nissan Auto Lease Trust  3.180  6/15/2010  1,739,571 
3,000,000  Nissan Auto Receivables Owner Trust  4.740  9/15/2009  2,987,670 
1,363,489  Nomura Asset Acceptance Corporation †  5.460  4/25/2007  1,362,785 
1,928,611  PG&E Energy Recovery Funding, LLC  3.870  6/25/2011  1,901,399 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
140

Limited Maturity Bond Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (104.4%)  Rate  Date  Value 
 
Asset-Backed Securities — continued       
$1,190,670  Popular ABS Mortgage Pass-Through Trust  4.000%  12/25/2034  $1,182,056 
4,665,000  Renaissance Home Equity Loan Trust  5.608  5/25/2036  4,664,188 
1,737,036  Residential Asset Securities Corporation  5.010  4/25/2033  1,702,373 
7,000,000  Santander Drive Auto Receivables Trust §  5.050  9/15/2011  6,995,660 
1,146,811  SLM Student Loan Trust †  5.370  4/25/2007  1,147,153 
3,000,000  Textron Financial Floorplan Master Note Trust †  5.440  4/13/2007  3,004,617 
4,000,000  USAA Auto Owner Trust  4.830  4/15/2010  3,988,732 
2,500,000  Wachovia Asset Securitization, Inc. †  5.460  4/25/2007  2,500,000 
6,000,000  Wachovia Auto Loan Owner Trust  5.230  8/22/2011  6,015,264 
9,000,000  Washington Mutual Master Note Trust †  5.350  4/15/2007  9,000,000 
  Total Asset-Backed Securities    174,463,627 
 
Basic Materials (1.0%)       
1,400,000  BHP Billiton Finance, Ltd. ±  5.125  3/29/2012  1,396,039 
1,800,000  Equistar Chemicals, LP ~  10.125  9/1/2008  1,894,500 
2,400,000  Lubrizol Corporation  4.625  10/1/2009  2,370,960 
1,500,000  Monsanto Company  4.000  5/15/2008  1,478,988 
  Total Basic Materials      7,140,487 
 
Capital Goods (1.9%)       
3,400,000  Goodrich Corporation  7.500  4/15/2008  3,468,170 
2,500,000  John Deere Capital Corporation ±  4.400  7/15/2009  2,461,018 
2,500,000  Oakmont Asset Trust  4.514  12/22/2008  2,452,145 
2,050,000  Raytheon Company  6.750  8/15/2007  2,058,772 
3,500,000  Tyco International Group SA Participation Certificate Trust  4.436  6/15/2007  3,492,192 
  Total Capital Goods      13,932,297 
 
Commercial Mortgage-Backed Securities (22.7%)       
5,318,675  American Home Mortgage Assets †‡  5.934  4/25/2007  5,331,972 
1,400,000  Banc of America Commercial Mortgage, Inc. ‡  5.001  9/10/2010  1,394,487 
1,268,617  Banc of America Commercial Mortgage, Inc. ±  4.037  11/10/2039  1,244,725 
2,973,365  Banc of America Mortgage Securities, Inc. ±‡  4.804  9/25/2035  2,946,055 
3,616,931  Bear Stearns Adjustable Rate Mortgage Trust >~  4.625  8/25/2010  3,554,810 
1,300,000  Bear Stearns Commercial Mortgage Securities, Inc. ±~  3.869  2/11/2041  1,271,392 
4,000,000  Bear Stearns Commercial Mortgage Securities, Inc. §  5.470  3/15/2022  4,000,000 
4,964,326  Chase Mortgage Finance Corporation ±  4.579  2/25/2037  4,886,520 
1,115,552  Citigroup Commercial Mortgage Trust †  5.390  4/15/2007  1,115,560 
1,123,641  Citigroup Mortgage Loan Trust, Inc.  4.922  8/25/2035  1,115,465 
5,000,000  Citigroup Mortgage Loan Trust, Inc. ‡  5.536  3/25/2036  4,983,115 
352,227  Commercial Mortgage Pass-Through Certificates †  5.420  4/15/2007  352,230 
4,609,780  Countrywide Home Loans, Inc. ‡  5.373  3/20/2036  4,618,418 
4,725,850  Countrywide Home Loans, Inc. ~  5.889  9/20/2036  4,780,576 
6,500,000  Crown Castle International Corporation ‡  5.245  11/15/2036  6,514,684 
7,000,000  Deutsche Alt-A Securities, Inc. †  5.784  4/25/2007  7,000,000 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
141

Limited Maturity Bond Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (104.4%)  Rate  Date  Value 
Commercial Mortgage-Backed Securities — continued       
$4,754,369  Federal Home Loan Mortgage Corporation       
  Multifamily Structured Pass Through  5.487%  4/25/2010  $4,757,630 
2,938,745  General Electric Commercial Mortgage Corporation  4.591  7/10/2045  2,906,004 
3,329,693  HomeBanc Mortgage Trust  6.015  4/25/2037  3,377,178 
2,626,937  Impac CMB Trust †  5.580  4/25/2007  2,630,202 
1,816,466  Impac CMB Trust †  5.640  4/25/2007  1,819,009 
4,215,583  J.P. Morgan Alternative Loan Trust  5.796  3/25/2036  4,263,101 
2,429,218  J.P. Morgan Chase Commercial Mortgage       
  Securities Corporation  2.790  1/12/2039  2,350,489 
7,000,000  J.P. Morgan Chase Commercial Mortgage       
  Securities Corporation  5.198  12/15/2044  7,011,732 
5,881,754  J.P. Morgan Mortgage Trust  5.012  7/25/2035  5,847,252 
1,000,000  LB-UBS Commercial Mortgage Trust  3.323  3/15/2027  982,194 
2,834,936  LB-UBS Commercial Mortgage Trust  4.741  9/15/2040  2,817,008 
819,292  Lehman Brothers “CALSTRS” Mortgage Trust  3.988  11/20/2012  812,004 
4,278,461  Merrill Lynch Mortgage Investors, Inc.  4.877  6/25/2035  4,259,495 
1,250,000  Merrill Lynch Mortgage Trust  4.099  11/15/2010  1,239,904 
3,064,232  Residential Accredit Loans, Inc.  5.616  9/25/2035  3,083,485 
3,285,626  Thornburg Mortgage Securities Trust †  5.430  4/25/2007  3,283,182 
5,730,000  Wachovia Bank Commercial Mortgage Trust  3.958  12/15/2035  5,619,910 
4,204,138  Wachovia Mortgage Loan Trust, LLC  5.574  5/20/2036  4,236,359 
7,000,000  Washington Mutual Alternative Loan Trust †  5.764  4/25/2007  7,000,000 
5,852,991  Washington Mutual Alternative Loan Trust †  5.934  4/25/2007  5,857,107 
3,835,104  Washington Mutual Asset Securities Corporation  3.830  1/25/2035  3,724,630 
2,782,031  Washington Mutual Mortgage Pass-Through Certificates †  5.610  4/25/2007  2,786,009 
6,329,983  Washington Mutual Mortgage Pass-Through Certificates †  5.894  4/25/2007  6,331,466 
2,563,839  Washington Mutual Mortgage Pass-Through Certificates  4.836  9/25/2035  2,533,263 
6,343,579  Washington Mutual, Inc. †  5.754  4/25/2007  6,333,667 
5,752,688  Washington Mutual, Inc. †  5.834  4/25/2007  5,747,969 
5,000,000  Wells Fargo Mortgage Backed Securities Trust  3.539  9/25/2034  4,853,230 
1,103,024  Wells Fargo Mortgage Backed Securities Trust  4.950  3/25/2036  1,095,084 
1,896,758  Wells Fargo Mortgage Backed Securities Trust  5.095  3/25/2036  1,896,959 
  Total Commercial Mortgage-Backed Securities  164,565,531 
 
Communications Services (6.1%)       
2,800,000  Ameritech Capital Funding Corporation ±  6.250  5/18/2009  2,838,816 
3,300,000  CenturyTel, Inc. ±‡  4.628  5/15/2007  3,298,935 
3,100,000  Comcast Cable Communications, Inc. ‡  6.200  11/15/2008  3,146,801 
2,100,000  Comcast Cable Communications, LLC ±  6.875  6/15/2009  2,174,224 
1,760,000  Cox Communications, Inc. ‡  7.875  8/15/2009  1,864,507 
1,400,000  Cox Communications, Inc. ±  4.625  1/15/2010  1,381,068 
2,750,000  Gannett Company, Inc.  5.500  4/1/2007  2,748,872 
2,450,000  GTE Corporation ±  7.510  4/1/2009  2,553,500 
1,954,000  News America Holdings, Inc.  7.375  10/17/2008  2,010,877 
2,500,000  Nextel Partners, Inc. ±  8.125  7/1/2011  2,611,318 
1,000,000  Qwest Corporation  5.625  11/15/2008  1,000,000 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
142

Limited Maturity Bond Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (104.4%)  Rate  Date  Value 
Communications Services — continued       
$2,620,000  Rogers Cable, Inc.  7.875%  5/1/2012  $2,849,250 
2,500,000  SBC Communications, Inc. ±  4.125  9/15/2009  2,443,735 
2,400,000  Sprint Capital Corporation *  6.125  11/15/2008  2,430,518 
2,400,000  Telecom Italia Capital SA  4.000  11/15/2008  2,352,665 
1,000,000  Telefonos de Mexico SA de CV  4.500  11/19/2008  987,675 
2,500,000  Time Warner Entertainment Company, LP  7.250  9/1/2008  2,554,562 
3,400,000  Viacom, Inc.  5.625  5/1/2007  3,401,378 
1,700,000  Vodafone Group plc  5.350  2/27/2012  1,704,326 
  Total Communications Services    44,353,027 
 
Consumer Cyclical (4.3%)       
1,250,000  Carnival Corporation ±  3.750  11/15/2007  1,238,180 
2,800,000  CVS Corporation ‡  4.000  9/15/2009  2,724,719 
2,100,000  D.R. Horton, Inc. ±  8.000  2/1/2009  2,177,935 
3,000,000  D.R. Horton, Inc.  8.500  4/15/2012  3,119,955 
2,500,000  DaimlerChrysler North American Holdings Corporation †‡  5.890  5/1/2007  2,512,890 
1,750,000  Ford Motor Credit Company  6.625  6/16/2008  1,744,479 
3,800,000  Harrah’s Operating Company, Inc.  7.125  6/1/2007  3,814,250 
2,100,000  May Department Stores Company *  4.800  7/15/2009  2,079,046 
4,100,000  Ryland Group, Inc.  5.375  6/1/2008  4,094,092 
4,688,256  SLM Private Credit Student Loan Trust †  5.365  6/15/2007  4,686,836 
750,000  Starwood Hotels & Resorts Worldwide, Inc. ±  7.375  5/1/2007  751,938 
2,000,000  Wal-Mart Stores, Inc. §  5.000  4/5/2012  1,992,498 
  Total Consumer Cyclical    30,936,818 
 
Consumer Non-Cyclical (2.8%)       
2,500,000  Baxter International, Inc. ±  5.196  2/16/2008  2,498,015 
3,500,000  Cadbury Schweppes plc ‡  3.875  10/1/2008  3,426,552 
2,000,000  Fortune Brands, Inc. *  5.125  1/15/2011  1,982,194 
3,500,000  General Mills, Inc.  6.378  10/15/2008  3,544,944 
750,000  Harvard University ±  8.125  4/15/2007  750,000 
1,950,000  Kroger Company *  6.375  3/1/2008  1,967,568 
2,800,000  Miller Brewing Company ±  4.250  8/15/2008  2,757,479 
1,100,000  Safeway, Inc. *  6.500  11/15/2008  1,119,096 
2,000,000  Wyeth  4.375  3/1/2008  1,981,132 
  Total Consumer Non-Cyclical    20,026,980 
 
Energy (2.8%)       
2,350,000  Enterprise Products Operating, LP ±  4.000  10/15/2007  2,332,871 
1,000,000  Enterprise Products Operating, LP ‡  4.625  10/15/2009  986,959 
2,430,000  KeySpan Corporation ±  4.900  5/16/2008  2,421,621 
2,900,000  Kinder Morgan Energy Partners, LP  5.350  8/15/2007  2,897,721 
4,900,000  Marathon Oil Corporation ±  5.375  6/1/2007  4,898,961 
2,500,000  Oneok, Inc.  5.510  2/16/2008  2,503,982 
3,825,000  Valero Energy Corporation  6.125  4/15/2007  3,825,786 
  Total Energy      19,867,901 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
143

Limited Maturity Bond Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (104.4%)  Rate  Date  Value 
Financials (16.1%)       
$2,000,000  Abbey National plc ±>‡  6.700%  6/15/2008  $2,030,660 
2,000,000  American General Finance Corporation †‡  5.480  4/18/2007  2,001,606 
700,000  BAC Capital Trust XIV ±  5.630  3/15/2012  700,303 
3,500,000  Bank of New York Co., Inc. ‡  4.250  9/4/2012  3,487,617 
2,000,000  Capital One Bank ±‡  4.875  5/15/2008  1,992,526 
2,500,000  Capital One Financial Corporation ‡  4.738  5/17/2007  2,498,383 
2,250,000  Chubb Corporation ±  4.934  11/16/2007  2,244,746 
1,400,000  CIT Capital Trust I  7.700  2/15/2027  1,453,248 
2,400,000  CIT Group, Inc.  5.200  11/3/2010  2,399,911 
700,000  Corestates Capital Trust I ±  8.000  12/15/2026  727,758 
2,400,000  Countrywide Home Loans, Inc. ±  4.125  9/15/2009  2,334,094 
2,100,000  Credit Suisse First Boston USA, Inc. †‡  5.470  6/11/2007  2,102,283 
1,400,000  Developers Diversified Realty Corporation ‡  4.625  8/1/2010  1,372,690 
2,500,000  Donaldson, Lufkin & Jenrette, Inc. ±  6.500  4/1/2008  2,526,512 
1,000,000  First Chicago Corporation  6.375  1/30/2009  1,019,324 
3,600,000  First Union Corporation ±  6.300  4/15/2008  3,640,309 
2,800,000  General Motors Acceptance Corporation  6.875  8/28/2012  2,788,719 
2,100,000  Goldman Sachs Group, Inc. *  4.500  6/15/2010  2,064,468 
2,100,000  Hartford Financial Services Group, Inc.  5.550  8/16/2008  2,108,988 
2,800,000  International Lease Finance Corporation  3.300  1/23/2008  2,754,881 
1,500,000  iSTAR Financial, Inc. *  4.875  1/15/2009  1,488,626 
1,400,000  iStar Financial, Inc.  5.125  4/1/2011  1,386,818 
2,100,000  John Hancock Global Funding II *  3.750  9/30/2008  2,052,616 
2,500,000  KeyCorp  4.700  5/21/2009  2,481,410 
3,500,000  Lehman Brothers Holdings E-Capital Trust I *†  6.140  5/21/2007  3,541,384 
2,000,000  Lehman Brothers Holdings, Inc.  3.500  8/7/2008  1,954,240 
2,000,000  MBNA Europe Funding plc †  5.430  6/7/2007  2,000,880 
1,810,000  Mellon Capital II  7.995  1/15/2027  1,888,244 
1,500,000  Merrill Lynch & Company, Inc. †  5.690  4/23/2007  1,503,464 
2,800,000  Merrill Lynch & Company, Inc. *  4.000  11/15/2007  2,775,696 
3,500,000  Mizuho Preferred Capital Company, LLC  8.790  6/30/2008  3,643,364 
1,000,000  Monumental Global Funding II  3.850  3/3/2008  986,606 
6,300,000  Nations Bank Capital Trust IV  8.250  4/15/2027  6,552,743 
2,370,000  Pacific Life Global Funding  3.750  1/15/2009  2,321,488 
2,100,000  Popular North America, Inc.  5.200  12/12/2007  2,096,963 
2,500,000  Premium Asset Trust †  5.510  4/16/2007  2,503,162 
1,400,000  Pricoa Global Funding I  4.350  6/15/2008  1,379,699 
2,000,000  Protective Life Secured Trust  4.000  10/7/2009  1,945,998 
2,800,000  Residential Capital Corporation *†  7.190  4/17/2007  2,775,559 
2,400,000  Residential Capital Corporation  6.125  11/21/2008  2,398,774 
1,050,000  Residential Capital Corporation  6.000  2/22/2011  1,035,740 
2,800,000  Simon Property Group, LP  6.375  11/15/2007  2,815,406 
2,400,000  SLM Corporation  4.000  1/15/2009  2,356,159 
1,900,000  SLM Corporation  5.400  10/25/2011  1,915,496 
1,725,000  Tokai Preferred Capital Company, LLC  9.980  6/29/2007  1,816,732 
2,750,000  Union Planters Bank  5.125  6/15/2007  2,748,537 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
144

Limited Maturity Bond Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (104.4%)  Rate  Date  Value 
Financials — continued       
$1,400,000  UnumProvident Corporation  5.997%  5/15/2008  $1,405,475 
700,000  Wachovia Capital Trust III  5.800  3/15/2011  708,348 
1,400,000  Wachovia Corporation *  6.375  2/1/2009  1,431,090 
1,605,000  Wachovia Corporation *  6.150  3/15/2009  1,636,095 
2,500,000  Washington Mutual, Inc. *  4.000  1/15/2009  2,447,605 
2,000,000  Wells Fargo & Company †  5.455  6/15/2007  2,003,442 
2,000,000  Westpac Banking Corporation *†  5.420  5/25/2007  2,000,000 
2,000,000  World Savings Bank FSB †  5.420  6/1/2007  2,000,228 
  Total Financials      116,247,113 
 
Industrials (0.5%)       
3,500,000  Precision Castparts Corporation  6.750  12/15/2007  3,528,690 
  Total Industrials      3,528,690 
 
Mortgage-Backed Securities (7.2%)       
52,000,000  Federal National Mortgage Association       
  Conventional 30-Yr. Pass Through §  6.000  4/1/2037  52,373,776 
  Total Mortgage-Backed Securities    52,373,776 
 
Technology (0.6%)       
2,000,000  Deluxe Corporation ~  3.500  10/1/2007  1,967,500 
2,000,000  International Business Machines Corporation  4.950  3/22/2011  1,993,594 
700,000  Sun Microsystems, Inc.  7.650  8/15/2009  734,748 
  Total Technology      4,695,842 
 
Transportation (0.6%)       
1,300,000  FedEx Corporation ±  3.500  4/1/2009  1,259,417 
2,870,000  Northwest Airlines, Inc. =  6.841  4/1/2011  2,873,588 
  Total Transportation      4,133,005 
 
U.S. Government (8.7%)       
8,000,000  Federal Home Loan Bank ~  4.100  6/13/2008  7,917,048 
7,000,000  Federal Home Loan Bank  4.875  2/9/2010  7,010,955 
5,500,000  Federal Home Loan Mortgage Corporation  3.875  6/15/2008  5,429,550 
2,000,000  Federal Home Loan Mortgage Corporation  4.625  8/15/2008  1,991,814 
5,000,000  Federal Home Loan Mortgage Corporation  4.750  11/3/2009  4,988,960 
2,800,000  Federal National Mortgage Association  5.400  2/1/2008  2,805,964 
4,000,000  Federal National Mortgage Association ‡  4.000  9/2/2008  3,949,568 
5,000,000  Federal National Mortgage Association ‡  5.300  2/22/2011  4,986,795 
5,000,000  Federal National Mortgage Association *  5.125  4/15/2011  5,051,420 
19,325,340  U.S. Treasury Notes, TIPS  2.000  7/15/2014  19,138,116 
  Total U.S. Government      63,270,190 
 
U.S. Municipals (0.1%)       
750,000  Washington State Office of the State Treasurer  4.500  7/1/2007  748,515 
  Total U.S. Municipals      748,515 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
145

Limited Maturity Bond Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (104.4%)  Rate  Date  Value 
Utilities (4.9%)       
$2,000,000  Carolina Power & Light, Inc. ±  5.950%  3/1/2009  $2,027,964 
2,500,000  CenterPoint Energy, Inc. ±  5.875  6/1/2008  2,509,668 
900,000  Cleveland Electric Illuminating Company ±  7.430  11/1/2009  945,128 
3,500,000  Commonwealth Edison Company ‡  3.700  2/1/2008  3,435,425 
1,750,000  Dominion Resources, Inc. ±†  5.650  6/28/2007  1,750,658 
3,100,000  Dominion Resources, Inc. ±  4.125  2/15/2008  3,067,723 
675,000  DPL, Inc.  6.250  5/15/2008  682,032 
1,500,000  DTE Energy Company ±  5.630  8/16/2007  1,501,112 
2,100,000  Niagara Mohawk Power Corporation  7.750  10/1/2008  2,173,823 
1,000,000  Pacific Gas & Electric Company ‡  3.600  3/1/2009  973,404 
540,958  Power Receivables Finance, LLC  6.290  1/1/2012  546,525 
3,000,000  PSEG Funding Trust  5.381  11/16/2007  2,997,345 
3,500,000  Teco Energy, Inc.  6.125  5/1/2007  3,500,973 
600,000  Texas-New Mexico Power Company  6.125  6/1/2008  601,704 
3,500,000  TXU Energy Company, LLC †  5.850  6/18/2007  3,499,716 
5,000,000  Yorkshire Power Finance, Ltd.  6.496  2/25/2008  5,049,715 
  Total Utilities      35,262,915 
  Total Long-Term Fixed Income (cost $756,235,461)  755,546,714 
 
 
      Expiration   
Contracts  Options Purchased (<0.1%)  Price  Date  Value 
280  Call on U.S. Treasury Bond Futures  $109  4/20/2007  $48,125 
  Total Options Purchased (cost $105,700)  48,125 
 
 
    Interest  Maturity   
Shares  Collateral Held for Securities Loaned (2.1%)  Rate (+)  Date  Value 
15,306,923  Thrivent Financial Securities Lending Trust  5.350%  N/A  $15,306,923 
  Total Collateral Held for Securities     
  Loaned (cost $15,306,923)    15,306,923 
 
 
Shares or         
Principal    Interest  Maturity   
Amount  Short-Term Investments (4.1%)  Rate (+)  Date  Value 
$663,000  Amsterdam Funding Corporation ±  5.350%  4/25/2007  $660,537 
2,940,000  BP Capital Markets plc  5.400  4/2/2007  2,939,118 
9,000,000  Kitty Hawk Funding Corporation  5.280  4/20/2007  8,973,600 
4,000,000  Louis Dreyfus Corporation  5.260  4/10/2007  3,994,155 
12,946,669  Thrivent Money Market Portfolio  5.050  N/A  12,946,669 
  Total Short-Term Investments (at amortized cost)  29,514,079 
  Total Investments (cost $801,162,163) 110.6%  $800,415,841 
  Other Assets and Liabilities, Net (10.6%)  (76,790,823) 
  Total Net Assets 100.0%      $723,625,018 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
146

Limited Maturity Bond Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)         
 
  Number of    Notional     
  Contracts  Expiration  Principal    Unrealized 
Futures  Long/(Short)  Date  Amount  Value  Gain/(Loss) 
5-Yr. U.S. Treasury Bond Futures  220  June 2007  $23,159,000  $23,275,314  $116,314 
10-Yr. U.S. Treasury Bond Futures  (310)  June 2007  ($33,566,242)  ($33,518,750)  $47,492 
 
        Notional   
    Buy/Sell  Termination  Principal  Unrealized 
Swaps    Protection  Date  Amount  Gain/(Loss) 
Dow Jones CDX North America Investment Grade Index           
Series 7 at 0.25%    Sell  December 2009  $36,000,000  $660 

* All or a portion of the security is on loan.

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

^ Security is fair valued.

> Denotes step coupon bonds for which the current interest rate and next scheduled reset date are shown.

† Denotes variable rate obligations for which the current yield and next scheduled reset date are shown.

§ Denotes investments purchased on a when-issued basis.

‡ At March 30, 2007, $973,404 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open financial futures contracts. In addition, $62,910,731 and $36,566,361 of investments were earmarked as collateral to cover open financial futures and swap contracts, respectively.

~ All or a portion of the security was earmarked as collateral to cover options.

= In bankruptcy.

Gross unrealized appreciation and depreciation of investments were as follows: 
Gross unrealized appreciation  $1,413,173 
Gross unrealized depreciation  (2,159,495) 
Net unrealized appreciation (depreciation)  ($746,322) 
Cost for federal income tax purposes  $801,162,163 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
147

Mortgage Securities Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Principal    Interest  Maturity   
Amount  Long-Term Fixed Income (139.1%)  Rate  Date  Value 
Asset-Backed Securities (32.4%)       
$2,000,000  Americredit Automobile Receivables Trust ±†  5.400%  4/6/2007  $1,999,990 
445,359  Countrywide Asset-Backed Certificates ±†  5.400  4/25/2007  445,330 
2,000,000  Credit Based Asset Servicing and Securitization, LLC ±†  5.430  4/25/2007  1,998,910 
58,631  FBR Securitization Trust, LLC ±†  5.440  4/25/2007  58,625 
517,272  First Franklin Mortgage Loan Asset-Backed Certificates ±†  5.420  4/25/2007  517,315 
1,520,734  First Horizon ABS Trust ±†  5.480  4/25/2007  1,519,508 
1,500,000  Ford Credit Floor Plan Master Owner Trust ±†  5.500  4/15/2007  1,501,092 
2,000,000  GMAC Mortgage Corporation Loan Trust ±†  5.410  4/25/2007  1,999,604 
580,751  Master Asset-Backed Securities Trust ±†  5.400  4/25/2007  580,838 
1,000,000  MBNA Credit Card Master Note Trust ±†  5.430  4/15/2007  1,002,481 
2,000,000  Navistar Financial Corporation ±†  5.520  4/25/2007  2,000,708 
764,541  SLM Student Loan Trust ±†  5.370  4/25/2007  764,769 
2,000,000  Textron Financial Floorplan Master Note Trust ±†  5.440  4/13/2007  2,003,078 
784,675  Volkswagen Auto Lease Trust ±†  5.420  4/20/2007  784,721 
1,000,000  Wachovia Asset Securitization, Inc. ±†  5.460  4/25/2007  1,000,000 
  Total Asset-Backed Securities    18,176,969 
 
Commercial Mortgage-Backed Securities (18.0%)       
849,533  Banc of America Mortgage Securities, Inc. ±  4.804  9/25/2035  841,730 
234,818  Commercial Mortgage Pass-Through Certificates ±†  5.420  4/15/2007  234,820 
158,971  Credit Suisse First Boston Mortgage       
  Securities Corporation ±†  5.690  4/25/2007  159,082 
875,645  Impac CMB Trust ±†  5.580  4/25/2007  876,733 
1,000,000  LB-UBS Commercial Mortgage Trust ±  4.553  7/15/2030  985,169 
1,166,853  Merrill Lynch Mortgage Investors, Inc. ±  4.877  6/25/2035  1,161,680 
545,771  MLCC Mortgage Investors, Inc. ±†  5.650  4/25/2007  546,285 
1,446,154  National Collegiate Student Loan Trust ±†  5.390  4/25/2007  1,446,718 
1,828,938  Thornburg Mortgage Securities Trust ±†  5.410  4/25/2007  1,824,843 
2,000,000  Wachovia Bank Commercial Mortgage Trust ±†  5.440  4/15/2007  1,999,990 
  Total Commercial Mortgage-Backed Securities  10,077,050 
 
Mortgage-Backed Securities (86.6%)       
17,000,000  Federal Home Loan Mortgage Corporation       
  Gold 30-Yr. Pass Through §  6.000  4/1/2037  17,132,804 
2,179,710  Federal National Mortgage Association §  6.000  8/1/2024  2,210,959 
29,500,000  Federal National Mortgage Association Conventional       
  30-Yr. Pass Through § ~  5.500  4/1/2037  29,186,563 
  Total Mortgage-Backed Securities    48,530,326 
 
U.S. Government (2.1%)       
100,000  U.S. Treasury Notes  4.875  4/30/2011  101,203 
1,073,630  U.S. Treasury Notes, TIPS ±  2.000  7/15/2014  1,063,229 
  Total U.S. Government      1,164,432 
  Total Long-Term Fixed Income (cost $77,691,818)  77,948,777 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
148

Mortgage Securities Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
      Expiration   
Contracts  Options Purchased (<0.1%)  Price  Date  Value 
30  Call on U.S. Treasury Bond Futures  $109.00  4/20/2007  $5,156 
  Total Options Purchased (cost $10,856)    5,156 
 
 
Shares or         
Principal    Interest  Maturity   
Amount  Short-Term Investments (47.6%)  Rate (+)  Date  Value 
$2,790,000  Amsterdam Funding Corporation ±  5.290%  4/5/2007  $2,787,950 
1,600,000  Corporate Receivables Corporation Funding, LLC ±  5.260  4/11/2007  1,597,429 
2,000,000  Falcon Asset Securitization Corporation ‡  5.270  4/10/2007  1,997,072 
1,500,000  GOVCO, Inc. ±  5.280  4/10/2007  1,497,800 
2,500,000  Jupiter Securitization Company, LLC ±  5.300  4/12/2007  2,495,583 
1,131,000  Kitty Hawk Funding Corporation ±  5.280  4/12/2007  1,129,009 
1,195,000  Kitty Hawk Funding Corporation ±  5.280  4/18/2007  1,191,845 
1,335,000  Mont Blanc Capital Corporation ±‡  5.295  4/3/2007  1,334,411 
2,000,000  Nieuw Amsterdam Receivables Corporation ±  5.300  4/16/2007  1,995,289 
2,455,000  Paradigm Funding, LLC ±  5.350  4/12/2007  2,450,622 
1,790,000  Park Avenue Receivables Corporation ±  5.270  4/13/2007  1,786,594 
2,000,000  Ranger Funding Company ~  5.270  4/16/2007  1,995,316 
1,900,000  Solitaire Funding, LLC ±  5.260  4/2/2007  1,899,445 
838  Thrivent Money Market Portfolio  5.050  N/A  838 
1,369,000  Thunder Bay Funding, Inc. ±  5.280  4/16/2007  1,365,787 
1,200,000  UBS Finance Delaware, LLC ~  5.300  4/20/2007  1,196,467 
  Total Short-Term Investments (at amortized cost)  26,721,457 
  Total Investments (cost $104,424,131) 186.7%  $104,675,390 
  Other Assets and Liabilities, Net (86.7%)  (48,624,207) 
  Total Net Assets 100.0%    $56,051,183 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
149

Mortgage Securities Portfolio           
Schedule of Investments as of March 30, 2007 (unaudited)         
 
  Number of  Exercise  Expiration    Unrealized 
Call Options Written  Contracts  Price  Date  Value  Gain/(Loss) 
Federal National Mortgage Association           
Conventional 30-Yr. Pass Through  3  $99.21  April 2007  $0  $6,797 
Federal National Mortgage Association           
Conventional 30-Yr. Pass-Through  2  $99.16  April 2007  $0  $2,031 
 
        Notional   
      Termination  Principal  Unrealized 
Swaps  Fund Receives  Fund Pays  Date  Amount  Gain/(Loss) 
Wachovia Bank, N.A.           
Total Rate of Return Swap  Lehman Brothers  1 month LIBOR       
  CMBS Aaa 8.5+ Yr Index  Less 0.25%  June 2007  $2,000,000  $9,542 

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

† Denotes variable rate obligations for which the current yield and next scheduled reset date are shown.

§ Denotes investments purchased on a when-issued basis.

‡ At March 30, 2007, $2,296,940 and $4,946,875 of investments were earmarked as collateral to cover swap contracts and call options written, respectively.

~ All or a portion of the security was earmarked as collateral to cover options.

Definitions:

TIPS — Treasury Inflation Protected Security

Gross unrealized appreciation and depreciation of investments were as follows: 
 
Gross unrealized appreciation  $391,720 
Gross unrealized depreciation  (140,461) 
Net unrealized appreciation (depreciation)  $251,259 
Cost for federal income tax purposes  $104,424,131 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
150

Money Market Portfolio
Schedule of Investments as of March 30, 2007 (unaudited)
Principal    Interest  Maturity     
Amount  Certificates of Deposit (4.1%)  Rate (+)  Date  Value 
$4,730,000  Depfa Bank plc NY  5.320%  5/18/2007  $4,730,000 
7,850,000  Depfa Bank plc NY  5.320  6/25/2007  7,850,000 
9,450,000  Depfa Bank plc NY  5.330  7/23/2007  9,450,000 
3,150,000  Depfa Bank plc NY  5.330  8/20/2007  3,150,000 
  Total Certificates of Deposit    25,180,000 
 
 
Principal    Interest  Maturity   
Amount  Commercial Paper (68.9%)  Rate (+)  Date  Value 
 
Asset-Backed Commercial Paper (0.7%)       
$1,300,000  GOVCO, Inc.  5.190%  6/18/2007  $1,285,194 
3,152,000  GOVCO, Inc.  5.200  6/20/2007  3,115,122 
  Total Asset-Backed Commercial Paper    4,400,316 
 
Banking — Domestic (7.2%)       
1,500,000  Bank of America Corporation  5.260  4/24/2007  1,494,740 
3,150,000  Barclays Bank plc  5.205  5/29/2007  3,123,129 
1,160,000  Barclays Bank plc NY  5.200  4/3/2007  1,160,000 
1,900,000  BNP Paribas Finance, Inc.  5.190  4/25/2007  1,893,152 
1,570,000  Mltc Funding, Inc.  5.270  4/24/2007  1,564,484 
10,642,000  New York Hospital Fund  5.280  4/5/2007  10,634,196 
10,055,000  River Fuel Company No. 2, Inc.  5.230  7/31/2007  9,876,786 
2,210,000  Societe Generale NA  5.155  8/13/2007  2,167,278 
3,400,000  Stadshypotek Delaware, Inc.  5.300  4/23/2007  3,388,487 
2,100,000  UBS Finance Corporation  5.300  4/16/2007  2,095,053 
6,651,000  UBS Finance Corporation  5.180  8/15/2007  6,519,890 
  Total Banking — Domestic    43,917,195 
 
Banking — Foreign (0.9%)       
1,100,000  Bank of Ireland  5.200  4/10/2007  1,098,411 
4,710,000  Bank of Ireland  5.180  8/28/2007  4,608,343 
  Total Banking — Foreign    5,706,754 
 
Capital Goods (2.1%)       
5,115,000  General Electric Company  5.210  6/28/2007  5,049,117 
7,855,000  General Electric Company  5.210  6/29/2007  7,752,688 
  Total Capital Goods      12,801,805 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
151

Money Market Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Commercial Paper (68.9%)  Rate (+)  Date  Value 
Consumer Non-Cyclical (3.1%)       
$5,340,000  Catholic Health Initiatives  5.360%  6/6/2007  $5,340,000 
7,880,000  Catholic Health Initiatives  5.330  7/10/2007  7,880,000 
4,725,000  Nestle Capital Corporation  5.275  7/18/2007  4,649,534 
930,000  Nestle Capital Corporation  5.225  8/10/2007  912,183 
  Total Consumer Non-Cyclical    18,781,717 
 
Education (11.2%)       
5,430,000  Duke University  5.260  4/4/2007  5,426,826 
7,551,000  Duke University  5.280  4/5/2007  7,545,463 
14,400,000  Northwestern University  5.260  4/5/2007  14,389,480 
6,930,000  Northwestern University  5.290  6/6/2007  6,861,772 
7,740,000  Northwestern University  5.250  7/9/2007  7,627,125 
4,700,000  University of Washington  5.251  4/3/2007  4,700,000 
20,460,000  Yale University  5.261  4/5/2007  20,445,052 
1,580,000  Yale University  5.250  7/9/2007  1,556,958 
  Total Education      68,552,676 
 
Finance (30.8%)       
3,155,000  Bryant Park Funding, LLC  5.250  4/26/2007  3,143,037 
7,850,000  Bryant Park Funding, LLC  5.240  5/31/2007  7,780,301 
9,440,000  BTM Capital Corporation  5.280  5/22/2007  9,368,004 
7,850,000  BTM Capital Corporation  5.280  6/21/2007  7,755,591 
8,960,000  Charta, LLC  5.260  4/25/2007  8,927,271 
6,300,000  Cintas Corporation  5.260  5/18/2007  6,255,816 
11,300,000  ED&F Man Treasury Management plc  5.450  4/2/2007  11,296,579 
2,500,000  Fountain Square Commercial Funding Corporation  5.230  6/12/2007  2,473,487 
1,570,000  Fountain Square Commercial Funding Corporation  5.250  4/24/2007  1,564,505 
7,860,000  Galaxy Funding, Inc.  5.250  5/15/2007  7,808,419 
6,280,000  Galaxy Funding, Inc.  5.243  5/29/2007  6,226,043 
6,315,000  General Electric Capital Corporation  5.200  8/13/2007  6,191,858 
9,440,000  General Electric Capital Services, Inc.  5.180  4/30/2007  9,399,251 
4,730,000  Grampian Funding, LLC  5.212  5/22/2007  4,694,393 
3,155,000  Grampian Funding, LLC  5.190  6/15/2007  3,120,432 
3,000,000  Grampian Funding, LLC  5.195  6/19/2007  2,965,367 
2,500,000  Greyhawk Funding, LLC  5.500  4/2/2007  2,499,236 
1,902,000  Greyhawk Funding, LLC  5.240  4/12/2007  1,898,678 
2,065,000  Greyhawk Funding, LLC  5.200  5/9/2007  2,053,367 
3,100,000  HSBC Finance Corporation  5.000  8/31/2007  3,034,126 
1,570,000  ING US Funding, LLC  5.200  6/12/2007  1,553,445 
4,321,000  Kitty Hawk Funding Corporation  5.300  4/16/2007  4,310,822 
9,430,000  Liberty Harbour CDO, Inc.  5.270  4/25/2007  9,395,489 
9,420,000  Liberty Harbour CDO, Inc.  5.280  5/25/2007  9,344,012 
6,300,000  Liberty Harbour II CDO, LLC  5.300  4/19/2007  6,282,378 
1,690,000  Liberty Harbour II CDO, LLC  5.250  5/25/2007  1,676,445 
4,663,000  Nieuw Amsterdam Receivables Corporation  5.195  6/21/2007  4,607,823 
1,680,000  North Sea Funding, LLC  5.230  4/18/2007  1,675,607 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
152

Money Market Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Commercial Paper (68.9%)  Rate (+)  Date  Value 
Finance — continued       
$3,140,000  North Sea Funding, LLC  5.300%  4/30/2007  $3,126,132 
2,234,000  North Sea Funding, LLC  5.250  5/21/2007  2,217,385 
4,730,000  North Sea Funding, LLC  5.230  6/13/2007  4,679,150 
5,710,000  North Sea Funding, LLC  5.210  8/22/2007  5,591,003 
6,800,000  Park Avenue Receivables Corporation  5.280  5/11/2007  6,759,109 
3,035,000  Tempo Finance Corporation  5.290  4/12/2007  3,029,648 
7,850,000  Thames Asset Global Securitization, Inc.  5.245  5/29/2007  7,782,522 
7,885,000  Victory Receivables Corporation  5.280  4/12/2007  7,871,122 
  Total Finance      188,357,853 
 
Insurance (7.8%)       
3,150,000  Aquinas Funding, LLC  5.195  7/6/2007  3,105,907 
9,400,000  Aquinas Funding, LLC  5.210  7/9/2007  9,263,961 
7,860,000  Curzon Funding, LLC  5.250  4/24/2007  7,832,490 
9,400,000  Curzon Funding, LLC  5.245  5/1/2007  9,357,545 
1,000,000  Curzon Funding, LLC  5.220  5/9/2007  994,345 
7,820,000  Curzon Funding, LLC  5.250  6/15/2007  7,733,328 
9,490,000  Nyala Funding, LLC  5.200  8/15/2007  9,302,204 
  Total Insurance      47,589,780 
 
U.S. Municipal (5.1%)       
9,465,000  Alaska Housing Finance Corporation  5.270  5/2/2007  9,420,662 
6,050,000  Alaska Housing Finance Corporation  5.290  5/3/2007  6,020,662 
12,560,000  Alaska Housing Finance Corporation  5.270  5/4/2007  12,497,486 
3,140,000  State of Michigan Industry Regional       
  Authority General Obligation Bonds  5.410  10/4/2007  3,140,000 
  Total U.S. Municipal      31,078,810 
  Total Commercial Paper    421,186,906 
 
 
    Interest  Maturity   
Shares  Other (<0.1%)  Rate (+)  Date  Value 
5,000  Barclays Prime Money Market Fund  5.280%  N/A  $5,000 
  Total Other      5,000 
 
 
Principal    Interest  Maturity   
Amount  Variable Rate Notes (26.6%) †  Rate (+)  Date  Value 
 
Banking — Domestic (8.3%)       
$3,250,000  Bank of New York Company, Inc.  5.320%  4/10/2007  $3,250,000 
2,600,000  Bank of New York Company, Inc.  5.380  4/27/2007  2,600,468 
6,500,000  Fifth Third Bancorp  5.320  4/23/2007  6,500,000 
3,250,000  HSBC USA, Inc.  5.320  4/16/2007  3,250,000 
6,310,000  Rabobank Nederland NV/NY  5.320  5/15/2007  6,310,000 
6,700,000  Royal Bank of Canada NY  5.310  4/2/2007  6,700,000 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
153

Money Market Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Variable Rate Notes (26.6%) †  Rate (+)  Date  Value 
Banking — Domestic — continued       
$6,200,000  Svenska Handelsbanken AB  5.290%  4/23/2007  $6,200,000 
6,320,000  US Trust Company of New York  5.310  4/13/2007  6,320,000 
4,136,000  Wells Fargo & Company  5.310  4/3/2007  4,140,990 
5,775,000  Wells Fargo & Company  5.330  4/16/2007  5,775,000 
  Total Banking — Domestic    51,046,458 
 
Banking — Foreign (5.4%)       
3,440,000  Bank of Ireland  5.320  4/20/2007  3,440,000 
4,050,000  BNP Paribas SA  5.310  4/26/2007  4,050,000 
6,000,000  DNB NOR ASA  5.310  4/25/2007  6,000,000 
9,520,000  HBOS Treasury Services plc  5.289  4/10/2007  9,520,000 
4,000,000  Royal Bank of Scotland plc  5.310  4/23/2007  4,000,000 
6,320,000  Svenska Handelsbanken AB  5.290  4/13/2007  6,320,000 
  Total Banking — Foreign    33,330,000 
 
Brokerage (2.3%)       
4,000,000  Merrill Lynch & Company, Inc.  5.570  4/11/2007  4,000,000 
5,000,000  Merrill Lynch & Company, Inc.  5.330  4/16/2007  5,001,715 
5,000,000  Merrill Lynch & Company, Inc.  5.300  4/24/2007  5,000,000 
  Total Brokerage      14,001,715 
 
Consumer Cyclical (0.8%)       
5,000,000  American Honda Finance Corporation  5.430  4/2/2007  5,000,119 
  Total Consumer Cyclical    5,000,119 
 
Finance (4.9%)       
1,860,000  HSBC Finance Corporation  5.400  6/1/2007  1,860,225 
2,880,000  Kordsa, Inc.  5.350  4/5/2007  2,880,000 
9,450,000  Union Hamilton Special Funding, LLC  5.350  6/21/2007  9,450,000 
15,720,000  Union Hamilton Special Funding, LLC  5.350  6/28/2007  15,720,000 
  Total Finance      29,910,225 
 
Insurance (3.4%)       
5,675,000  Allstate Life Global Funding II  5.370  4/10/2007  5,675,000 
5,775,000  Allstate Life Global Funding II  5.360  4/16/2007  5,775,000 
9,440,000  ING Verzekeringen NV  5.290  4/4/2007  9,440,000 
  Total Insurance      20,890,000 

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 
154

Money Market Portfolio       
Schedule of Investments as of March 30, 2007 (unaudited)       
 
Principal    Interest  Maturity   
Amount  Variable Rate Notes (26.6%) †  Rate (+)  Date  Value 
U.S. Municipal (1.5%)       
$2,300,000  Illinois Student Assistance Commission       
  Student Loan Revenue Bonds  5.340%  4/4/2007  $2,300,000 
3,900,000  Michigan State Housing Development       
  Authority Revenue Bonds (Series D)  5.350  4/5/2007  3,900,000 
3,000,000  Ohio State Air Quality Development       
  Authority Revenue Bonds       
  (Columbus and Southern) (Series B)  5.350  4/4/2007  3,000,000 
  Total U.S. Municipal      9,200,000 
  Total Variable Rate Notes    163,378,517 
  Total Investments (at amortized cost) 99.6%  $609,750,423 
  Other Assets and Liabilities, Net 0.4%    2,386,928 
  Total Net Assets 100.0%      $612,137,351 

+ The interest rate shown reflects the yield, coupon rate or, for securities purchased at a discount, the discount rate at the date of purchase.

† Denotes variable rate obligations for which the current yield and next scheduled reset date are shown.

Cost for federal income tax purposes is $609,750,423.

The accompanying Notes to Schedule of Investments are an integral part of this schedule.

155

THRIVENT SERIES FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS
March 30, 2007 (unaudited)

SIGNIFICANT ACCOUNTING POLICIES

Valuation of Investments — Securities traded on U.S. or foreign securities exchanges or included in a national market system are valued at the official closing price at the close of each business day. Over-the-counter securities and listed securities for which no price is readily available are valued at the current bid price considered best to represent the value at that time. Security prices are based on quotes that are obtained from an independent pricing service approved by the Board of Directors. The pricing service, in determining values of fixed-income securities, takes into consideration such factors as current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, and other yield and risk factors it deems relevant in determining valuations. Securities which cannot be valued by the approved pricing service are valued using valuations obtained from dealers that make markets in the securities. Exchange listed options and futures contracts are valued at the last quoted sales price. Swaps are valued using pricing sources approved by the Board of Directors and the change in value, if any, is recorded as unrealized gains or losses. Mutual Funds are valued at their net asset value at the close of each business day.

For all Portfolios other than the Money Market Portfolio, short-term securities with maturities of 60 days or less are valued at amortized cost. Securities held by the Money Market Portfolio are valued on the basis of amortized cost (which approximates market value), whereby a portfolio security is valued at its cost initially, and thereafter valued to reflect a constant amortization to maturity of any discount or premium. The Money Market Portfolio and the Funds’ investment adviser follow procedures necessary to maintain a constant net asset value of $1.00 per share.

All securities for which market values are not readily available or deemed unreliable are appraised at fair value as determined in good faith under the direction of the Board of Directors.

Fair Valuation of International Securities — Because many foreign markets close before the U.S. markets, events may occur between the close of the foreign market and the close of the U.S. markets that could have a material impact on the valuation of foreign securities. The Portfolios, under the supervision of the Board of Directors, evaluates the impacts of these events and may adjust the valuation of foreign securities to reflect the fair value as of the close of the U.S. markets. The Board of Directors has authorized the Fund’s investment adviser to make fair valuation determinations pursuant to policies approved by the Board of Directors.

Additional information for the Portfolio’s policy regarding valuation of investments and other significant accounting policies can be obtained by referring to the Portfolio’s most recent annual or semiannual shareholder report.

156 


Item 2. Controls and Procedures

(a) Registrant's President and Treasurer have concluded that registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) are effective, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(b) Registrant’s President and Treasurer are aware of no change in registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, registrant's internal control over financial reporting.

Item 3. Exhibits

Separate certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Date: May 24, 2007  THRIVENT SERIES FUND, 
INC.   
 
 
 
  By: /s/ Pamela J. Moret 
 
  Pamela J. Moret 
  President 

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.

Date: May 24, 2007  By: /s/ Pamela J. Moret 
 
  Pamela J. Moret 
  President 
 
 
 
 
Date: May 24, 2007  By: /s/ Gerard V. Vaillancourt 
 
  Gerard V. Vaillancourt 
  Treasurer