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Table of Contents

PRIAC Institutionally SubAdvised Funds

Report of Independent Auditors 1Balanced I Fund (Sub-Advised by Wellington Management) SA55K 2Dryden Emerging Markets Fund SAEMG 6Dryden International Fund SAI 10Dryden S&P 500® Index Fund SAB 14Global Growth/Marvin & Palmer Fund SAGG1 18Global Value/Morgan Stanley Fund SAGSF 20International Blend/The Boston Company Fund SABIA 22International Equity/Julius Baer Fund SAIE2 25International Growth/Artisan Partners Fund SAIG2 29International Value/LSV Asset Management SAIV1 32Large Cap Blend/Victory Fund SA9V 35Large Cap Blend/AJO Fund SA9W 37Large Cap Growth Fund (Sub-Advised by Wellington Management) SALG3 39Large Cap Growth/Goldman Sachs Fund SACG 41Large Cap Growth/Jennison Fund SALG6 43Large Cap Growth/Turner Investment Partners Fund SALC2 45Large Cap Growth/Waddell & Reed Fund SALG5 47Large Cap Value/Barrow Hanley Fund SALV4 49Large Cap Value/AJO Fund SACV 51Large Cap Value/LSV Asset Management Fund SALV5 53Large Cap Value Fund (Sub-Advised by Wellington Management) SALV3 56Mid Cap Blend/New Amsterdam Partners Fund SAMCG 58Mid Cap Growth/Artisan Partners SAMG1 60Mid Cap Growth/Goldman Sachs Fund SAMG4 62Mid Cap Growth/TimesSquare Capital Mgmt. Fund SAMG3 64Mid Cap Value/Cooke & Bieler Fund SAMV2 66Mid Cap Value/CRM Fund SAMV3 68Mid Cap Value/Integrity Fund SAMV4 70mid Cap Value Fund (Sub-Advised by Wellington Management) SAMV1 72Small Cap Blend/WHV Fund SASB1 74Small Cap Growth/Granahan Fund SASG3 76Small Cap Growth/TimesSquare Fund SAFTF 79Small Cap Value/Integrity Fund SASV5 81Small Cap Value/Perkins, Wolf, McDonnell Fund SABSC 84Small Cap Value/Munder Fund SASV4 86Small Cap Value/TS&W Fund SASV2 88Small Cap Value/Kennedy Capital Fund SASV3 90Notes to Financial Statements 93

Actively Managed Fixed Income Funds

Report of Independent Auditors 101Core Bond/BlackRock Fund SABRC 102Core Bond Ehnaced Index/PIM Fund SA12 105Core Plus Bond/BSAM Fund SA18 109Core Plus Bond/PIMCO Fund SACPP 112Corporate Bond/BSAM Fund SA15 115Emerging Debt Fund SA41 118Government Securities/BSAM Fund SAGB1 120High Grade Bond/BSAM Fund SA16 122High Yield Bond/Caywood Scholl Fund SACSF 126Investment Grade Corporate Bond/BSAM Fund SA14 129Mortgage-Backed Securities/BSAM Fund SAMBS 132Private Placement Fund SA30 134Prudential America Fund® SA66 136Prudential Short-Term Bond Fund SA20 138Notes to Financial Statements 140

PricewaterhouseCoopers LLP 100 Pearl Street Hartford CT 06103 Telephone (860) 241 7000 Facsimile (860) 241 7590

Report of Independent Auditors To the Board of Directors of Prudential Retirement Insurance and Annuity Company and Contractholders of the Prudential Retirement Insurance and Annuity Company Institutionally SubAdvised Funds: In our opinion, the accompanying statements of net assets and the related statements of operations and changes in net assets present fairly, in all material respects, the financial position of each of the separate accounts constituting the Prudential Retirement Insurance and Annuity Company Institutionally SubAdvised Funds disclosed in Note 1 to the financial statements (hereafter referred to as the “Funds”) at December 31, 2005, the results of each of their operations and the changes in each of their net assets for each of the periods indicated in conformity with accounting principles generally accepted in the United States of America. These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these statements in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2005 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

March 31, 2006

INSTITUTIONALLY SUBADVISED FUNDSBALANCED I FUND (SUB-ADVISED BY WELLINGTON MANAGEMENT) (SA55K)

(FORMERLY KNOWN AS BALANCED I/WELLINGTON MANAGEMENT FUND)STATEMENT OF NET ASSETS

DECEMBER 31, 2005

Par Value Market Value Par Value Market ValueBondsAsset-Backed Securities 2.05% Insurance 1.31%Aesop Funding II LLC, 2.860%, due 08/20/2009 200,000$ 190,672$ Ace Ina Holdings Inc, 5.875%, due 06/15/2014 75,000$ 77,583$ Capital Auto Receivables Asset, 3.400%, due 08/15/2008 200,000 195,962 AIG SunAmerica, 6.300%, due 05/10/2011 75,000 79,677 Carmax Auto Owner Trust, 3.410%, due 11/15/2010 200,000 195,411 Allstate Corp, 5.550%, due 05/09/2035 100,000 97,996 Daimler Chrysler Auto Trust, 3.280%, due 12/08/2009 185,000 179,746 Berkley WR Corp, 5.875%, due 02/15/2013 85,000 85,898 Harley Davidson Motorcycle Tr, 3.560%, due 02/15/2012 200,000 196,323 Dai-ichi Mutual Life, 5.730%, due 03/17/2014 100,000 101,783 Hertz Vehicle Financing LLC, 2.850%, due 05/25/2009 200,000 191,648 Farmers Exchange Capital, 7.050%, due 07/15/2028 100,000 105,771 Honda Auto Rec Owner Trust, 2.960%, due 04/20/2009 180,000 175,595 Florida Windstorm, 7.125%, due 02/25/2019 100,000 115,788 Household Automotive Trust, 3.020%, due 12/17/2010 200,000 195,786 Hartford Financial Services, 4.750%, due 03/01/2014 75,000 73,034 Nissan Auto Receivables Owner, 2.050%, due 03/16/2009 200,000 195,180 Jackson National Life Global, 6.125%, due 05/30/2012 90,000 95,964 Providian Gateway Master Trust, 3.350%, due 09/15/2011 200,000 194,250 John Hancock Global Funding II, 7.900%, due 07/02/2010 100,000 112,453 Toyota Auto Rec Owner Trust, 2.790%, due 01/15/2010 200,000 196,624 Liberty Mutual Insurance, 7.697%, due 10/15/2097 150,000 158,121 WFS Financial Owner Trust, 3.250%, due 05/20/2011 150,000 147,638 Marsh & McLennan, 5.375%, due 07/15/2014 75,000 73,817 WFS Financial Owner Trust, 3.930%, due 02/17/2012 200,000 195,741 MetLife Inc, 5.000%, due 06/15/2015 50,000 49,040 Whole Auto Loan Trust, 2.580%, due 03/15/2010 140,000 137,432 MetLife Inc, 5.700%, due 06/15/2035 100,000 100,370 World Omni Auto Rec Trust, 3.820%, due 11/12/2011 200,000 195,195 Nationwide Financial Ser, 6.250%, due 11/15/2011 160,000 168,402

2,783,203 Protective Life Secd Tr, 4.000%, due 04/01/2011 75,000 71,934 Automotive 0.17% Safeco Corp, 4.875%, due 02/01/2010 50,000 49,632 Daimler Chrysler Na Hldg, 4.750%, due 01/15/2008 150,000 148,631 St Paul Travelers Cos Inc, 5.500%, due 12/01/2015 15,000 15,108 Ford Motor Credit Co, 7.375%, due 02/01/2011 100,000 87,652 Torchmark Corp, 6.250%, due 12/15/2006 70,000 70,532

236,283 Travelers Property Casualty, 5.000%, due 03/15/2013 75,000 73,767 Banks 0.95% 1,776,670 Associates Corp NA, 6.950%, due 11/01/2018 75,000 86,338 Materials 0.13%BAC Capital Trust VI, 5.625%, due 03/08/2035 200,000 197,301 Temple Inland Inc, 6.625%, due 01/15/2018 75,000 77,269 BB&T Corporation, 4.900%, due 06/30/2017 60,000 58,231 Weyerhaeuser Co, 6.750%, due 03/15/2012 100,000 106,139 Citigroup Inc, 4.875%, due 05/07/2015 150,000 146,295 183,408 Credit Suisse Fb Usa Inc, 5.125%, due 01/15/2014 150,000 149,431 Media 0.66%JP Morgan Chase Cap XV, 5.875%, due 03/15/2035 200,000 198,846 Clear Channel Communications, 7.650%, due 09/15/2010 100,000 107,043 Mizuho Finance, 5.790%, due 04/15/2014 100,000 103,308 Comcast Corp, 5.500%, due 03/15/2011 125,000 125,678 Popular North Amer Inc, 4.250%, due 04/01/2008 85,000 83,369 Cox Communications Inc, 6.400%, due 08/01/2008 100,000 101,518 Regions Financial Corp, 6.375%, due 05/15/2012 75,000 80,335 Grupo Televisa Spon ADR, 6.625%, due 03/18/2025 100,000 101,899 Ufj Bank Ltd/Ny, 7.400%, due 06/15/2011 100,000 110,424 News America Holdings, 8.250%, due 08/10/2018 100,000 120,271 Wachovia Corporation, 6.550%, due 10/15/2035 75,000 82,854 TCI Communications Inc, 8.750%, due 08/01/2015 125,000 151,462

1,296,732 Time Warner Inc, 6.875%, due 06/15/2018 100,000 106,093 Capital Goods 0.20% Viacom Inc, 7.875%, due 07/30/2030 75,000 85,641 Goodrich Corp, 7.625%, due 12/15/2012 75,000 85,068 899,605 John Deere Capital Corp, 7.000%, due 03/15/2012 100,000 110,451 Mortgage-Backed Securities (incl CMO's) 16.96%Tyco International Group SA, 6.000%, due 11/15/2013 75,000 76,611 Banc of America Commercial Mtg, 5.182%, due 09/10/2047 95,000 95,441

272,130 Bear Stearns Commercial Mtg Se, 4.680%, due 08/13/2039 200,000 194,612 Commercial Services & Supplies 0.06% Bear Stearns Commercial Mtg Se, 4.750%, due 02/13/2046 200,000 194,062 Pulte Homes Inc, 7.875%, due 08/01/2011 75,000 82,393 Bear Stearns Commercial Mtg Se, 4.830%, due 08/15/2038 200,000 196,862

82,393 Bear Stearns Commercial Mtg Se, 5.610%, due 11/15/2033 170,000 173,806 Consumer Durables & Apparel 0.12% Chase Commercial Mtg Sec, 6.560%, due 05/18/2030 134,888 138,556 Centex Corp, 5.800%, due 09/15/2009 75,000 75,967 Commercial Mtg Asset Trust, 6.640%, due 01/17/2032 200,000 209,171 DR Horton Inc, 7.875%, due 08/15/2011 75,000 81,691 CS First Boston Mortgage Sec, 3.936%, due 05/15/2038 200,000 185,661

157,658 CS First Boston Mortgage Sec, 7.545%, due 04/15/2062 200,000 216,795 Energy 0.60% Federal Home Loan Bank, 2.250%, due 05/15/2006 1,000,000 991,476 Burlington Resources Fin, 5.700%, due 03/01/2007 100,000 100,590 FHLMC GOLD 4.500%, due 10/01/2019 1,257,296 1,225,339 Consolidated Natural Gas, 6.850%, due 04/15/2011 100,000 107,301 FHLMC GOLD 4.500%, due 10/01/2020 1,703,103 1,657,301 Halliburton Co, 5.500%, due 10/15/2010 100,000 102,136 FHLMC GOLD 5.500%, due 01/01/2014 128,183 129,184 Kinder Morgan Ener Part, 7.125%, due 03/15/2012 130,000 142,130 FHLMC GOLD 5.500%, due 09/01/2019 341,701 343,825 Kinder Morgan Inc, 6.500%, due 09/01/2012 100,000 105,938 FHLMC GOLD 6.000%, due 04/01/2011 32,193 32,840 Northern Border Partners, 7.100%, due 03/15/2011 100,000 108,505 FHLMC GOLD 6.000%, due 05/01/2014 30,058 30,674 Valero Energy Corp, 7.500%, due 04/15/2032 60,000 72,917 FHLMC GOLD 6.000%, due 05/01/2016 247,596 252,755 XTO Energy Inc, 4.900%, due 02/01/2014 75,000 73,240 FHLMC GOLD 6.000%, due 09/01/2019 772,163 787,977

812,757 FHLMC GOLD 6.500%, due 01/01/2029 36,572 37,633 Financial Services 1.09% FHLMC GOLD 6.500%, due 03/01/2022 298,540 308,183 Amer Genl Corp, 7.500%, due 08/11/2010 75,000 82,219 FHLMC GOLD 6.500%, due 08/01/2017 148,185 152,273 Erac USA Finance Company, 8.000%, due 01/15/2011 100,000 111,724 FHLMC GOLD 7.000%, due 04/01/2028 35,553 37,085 General Elec Cap Corp, 6.125%, due 02/22/2011 100,000 105,205 FHLMC GOLD 7.500%, due 12/01/2026 14,226 14,970 HSBC Finance Corp, 7.200%, due 07/15/2006 300,000 303,554 FHLMC GOLD 8.000%, due 05/01/2024 22,304 23,848 Intl Lease Finance Corp, 5.750%, due 10/15/2006 400,000 402,030 FHLMC GOLD 8.000%, due 10/01/2010 9,075 9,295 Intl Lease Finance Corp, 5.875%, due 05/01/2013 125,000 129,355 FNMA 4.500%, due 08/01/2020 963,981 938,055 Merrill Lynch Medium Term Note, 6.000%, due 02/17/2009 150,000 154,685 FNMA 5.000%, due 01/01/2019 28,308 28,020 Morgan Stanley, 4.750%, due 04/01/2014 200,000 191,813 FNMA 5.000%, due 01/01/2019 17,767 17,586

1,480,585 FNMA 5.000%, due 03/01/2019 147,534 146,032 Food & Drug Retailers 0.30% FNMA 5.000%, due 03/01/2034 344,813 335,304 Conagra Foods Inc, 6.750%, due 09/15/2011 100,000 106,517 FNMA 5.000%, due 06/01/2019 720,632 713,300 General Mills Inc, 6.000%, due 02/15/2012 32,000 33,489 FNMA 5.000%, due 07/01/2033 155,412 151,126 Kraft Foods Inc, 4.625%, due 11/01/2006 65,000 64,796 FNMA 5.000%, due 08/01/2035 1,324,964 1,283,834 Kroger Co, 6.750%, due 04/15/2012 100,000 105,165 FNMA 5.000%, due 08/01/2035 1,522,254 1,475,001 Tyson Foods Inc, 8.250%, due 10/01/2011 75,000 84,679 FNMA 5.000%, due 09/01/2034 214,418 208,177 Wrigley Wm Jr, 4.650%, due 07/15/2015 15,000 14,606 FNMA 5.890%, due 10/01/2011 954,243 989,272

409,252 FNMA 5.930%, due 02/01/2012 193,723 201,683 Food, Beverage & Tobacco 0.20% FNMA 6.000%, due 02/01/2023 159,289 162,088 Altria Group Inc, 7.000%, due 11/04/2013 105,000 114,896 FNMA 6.104%, due 05/01/2011 481,687 502,397 Bunge Ltd Finance Corp, 5.100%, due 07/15/2015 35,000 33,863 FNMA 6.113%, due 05/01/2011 779,621 812,963 Cia Brasileira De Bebida, 8.750%, due 09/15/2013 100,000 116,875 FNMA 6.500%, due 05/01/2026 28,106 28,962

265,634 FNMA 6.500%, due 05/01/2029 31,196 32,126 Government 5.89% FNMA 7.000%, due 02/01/2016 143,530 149,165 Republic Of South Africa, 6.500%, due 06/02/2014 40,000 43,250 FNMA 7.000%, due 12/01/2027 23,151 24,205 US Treasury N/B, 1.875%, due 07/15/2013 1,415,000 1,513,614 FNMA 7.000%, due 12/01/2027 17,993 18,812 US Treasury N/B, 2.250%, due 04/30/2006 1,000,000 993,477 FNMA 7.500%, due 07/01/2024 30,954 32,513 US Treasury N/B, 3.875%, due 05/15/2010 700,000 686,739 FNMA 8.000%, due 07/01/2024 18,658 19,926 US Treasury N/B, 6.250%, due 08/15/2023 900,000 1,074,727 FNMA 8.500%, due 03/01/2010 20,329 21,247 US Treasury N/B, 7.000%, due 07/15/2006 500,000 506,621 FNMA, 6.000%, due 10/25/2016 368,102 376,938 US Treasury N/B, 7.875%, due 02/15/2021 1,450,000 1,962,371 Freddie Mac, 5.250%, due 01/15/2006 500,000 500,090 US Treasury N/B, 8.125%, due 08/15/2019 900,000 1,220,977 Freddie Mac, 6.625%, due 09/15/2009 250,000 265,611

8,001,776 GNMA 5.000%, due 02/15/2034 507,447 501,385 Healthcare 0.12% GNMA 5.000%, due 07/15/2033 18,645 18,427 Quest Diagnostic Inc, 7.500%, due 07/12/2011 75,000 82,976 GNMA 6.000%, due 08/15/2035 360,000 368,663 Wellpoint Inc, 6.800%, due 08/01/2012 75,000 81,826 GNMA 6.000%, due 12/15/2028 296,198 303,778

164,802 GNMA 6.500%, due 06/15/2031 88,125 92,108 Hotel, Restaurant & Leisure 0.18% GNMA 6.500%, due 07/15/2028 71,113 74,461 Harrahs Operating Co Inc, 5.625%, due 06/01/2015 45,000 44,209 GNMA 6.500%, due 08/15/2028 69,515 72,788 Harrahs Operating Co Inc, 8.000%, due 02/01/2011 75,000 82,886 Marriott International Inc, 4.625%, due 06/15/2012 50,000 48,125 Yum! Brands Inc, 7.650%, due 05/15/2008 70,000 73,881

249,101$

The Notes to Financial Statements are an integral part of these statements. 2



DECEMBER 31, 2005

Par Value Market Value Shares Market ValueMortgage-Backed Securities (incl CMO's) - cont'd Common StockGNMA 6.500%, due 09/15/2028 39,253$ 41,100$ Banks 8.39%GNMA 6.500%, due 09/15/2032 76,954 80,411 Bank of America Corp 65,000 2,999,750$ GNMA 6.500%, due 12/15/2028 101,483 106,261 Golden West Financial Corp 39,600 2,613,600 GNMA 7.000%, due 01/15/2031 3,636 3,818 National City Corp 31,100 1,044,027 GNMA 7.000%, due 02/15/2032 34,654 36,381 PNC Financial Services Group 18,000 1,112,940 GNMA 7.000%, due 03/15/2031 2,819 2,960 Suntrust Banks 12,500 909,500 GNMA 7.000%, due 05/15/2024 91,209 96,043 US Bancorp 29,400 878,766 GNMA 7.000%, due 05/15/2026 491,142 517,025 Washington Mutual Inc 8,700 378,450 GNMA 7.000%, due 06/15/2028 4,259 4,475 Wells Fargo Financial 23,300 1,463,939 GNMA 7.000%, due 07/15/2023 26,364 27,761 11,400,972 GNMA 7.000%, due 07/15/2023 25,682 27,043 Capital Goods 7.07%GNMA 7.000%, due 07/15/2023 25,134 26,465 Caterpillar Inc 65,800 3,801,266 GNMA 7.000%, due 08/15/2028 44,856 47,141 General Dynamics Corp 17,600 2,007,280 GNMA 7.000%, due 08/15/2031 2,933 3,079 General Elec Cap Corp 30,000 1,051,500 GNMA 7.000%, due 09/15/2032 72,456 76,066 Precision Castparts Corp 28,600 1,481,766 GNMA 7.000%, due 10/15/2023 12,040 12,678 Rockwell Automation Inc 21,300 1,260,108 GNMA 7.000%, due 11/15/2022 27,445 28,839 9,601,920 GNMA 7.000%, due 11/15/2028 6,151 6,465 Commercial Services & Supplies 0.15%GNMA 7.000%, due 11/15/2029 2,143 2,251 Pitney Bowes 4,700 198,575 GNMA 7.000%, due 12/15/2022 2,862 3,008 198,575 GNMA 7.000%, due 12/15/2022 10,708 11,252 Consumer Durables & Apparel 0.78%GNMA 7.000%, due 12/15/2027 34,027 35,787 Nike Inc 12,200 1,058,838 GNMA 8.000%, due 06/15/2030 7,351 7,870 1,058,838 GNMA 8.000%, due 08/15/2027 21,372 22,900 Energy 9.86%GNMA, 7.500%, due 09/16/2035 18,912 19,964 Cameco Corp 25,500 1,616,445 GNMA, 7.500%, due 09/16/2035 292,450 306,524 Conoco Phillips 38,400 2,234,112 GNMA, 7.500%, due 09/16/2035 58,505 61,759 Exxon Mobil Corporation 76,100 4,274,537 Greenwich Capital Commercial, 4.799%, due 08/10/2042 120,000 116,917 GlobalSantaFe Corp 63,700 3,067,155 GS Mortgage Securities Corp, 5.396%, due 08/10/2038 * 100,000 101,441 Occidental Petroleum 27,600 2,204,688 JP Morgan Chase Commercial, 4.654%, due 01/12/2037 200,000 194,664 13,396,937 JP Morgan Chase Commercial, 5.179%, due 12/15/2044 130,000 130,643 Financial Services 5.21%Morgan Stanley Capital I, 6.210%, due 11/15/2031 691,095 708,650 Citigroup Inc 85,260 4,137,668 Morgan Stanley Dean Witter Cap, 4.740%, due 11/13/2036 200,000 195,664 Goldman Sachs Group Inc 11,100 1,417,581 Morgan Stanley Dean Witter Cap, 6.390%, due 07/15/2033 500,000 528,927 JP Morgan Chase & Co 38,392 1,523,778 Morgan Stanley Dean Witter Cap, 6.660%, due 02/15/2033 200,000 212,903 7,079,027 Morgan Stanley Dean Witter Cap, 7.200%, due 10/15/2033 500,000 539,441 Food & Drug Retailers 2.79%Wachovia Bank Commercial Mgte, 5.118%, due 07/15/2042 * 200,000 199,185 CVS Corp 110,800 2,927,336

23,049,428 Safeway Inc 36,300 858,858 Pharmaceuticals & Biotech 0.13% 3,786,194 Schering Plough Corp, 5.550%, due 12/01/2013 45,000 45,844 Food, Beverage & Tobacco 2.43%Wyeth, 5.500%, due 02/01/2014 75,000 75,972 Campbell Soup Company 29,900 890,123 Wyeth, 5.500%, due 02/15/2016 50,000 50,581 Kellogg Co 25,700 1,110,754

172,397 Pepsico Inc 21,900 1,293,852 Real Estate 0.51% 3,294,729 Developers Divers Realty, 7.000%, due 03/19/2007 90,000 91,840 Healthcare 2.91%EOP Operating Lp, 7.250%, due 06/15/2028 75,000 82,917 Baxter International 33,500 1,261,275 Equity Residential, 5.125%, due 03/15/2016 75,000 72,237 Wellpoint Inc 33,700 2,688,923 Health Care Properties, 7.072%, due 06/08/2015 50,000 54,618 3,950,198 Healthcare Realty Trust, 5.125%, due 04/01/2014 50,000 47,331 Hotel, Restaurant & Leisure 0.65%Liberty Property LP, 8.500%, due 08/01/2010 50,000 56,453 McDonalds Corp 26,300 886,836 Regency Centers LP, 4.950%, due 04/15/2014 75,000 72,466 886,836 Simon Property Group Lp, 5.625%, due 08/15/2014 75,000 75,510 Household Products 0.67%United Dominion Rlty Tr, 5.250%, due 01/15/2015 75,000 72,893 Kimberly Clark Co 15,200 906,680 Vornado Realty LP, 4.750%, due 12/01/2010 75,000 72,794 906,680

699,059 Insurance 3.84%Retail 0.22% Ace Limited 10,600 566,464 Federated Department Stores, 6.625%, due 04/01/2011 100,000 106,181 Allstate Corp 16,000 865,120 Staples Inc, 7.375%, due 10/01/2012 75,000 83,601 American International Group 32,500 2,217,475 Target Corporation, 6.350%, due 01/15/2011 100,000 106,572 Chubb Corp 16,100 1,572,165

296,354 5,221,224 Software & Services 0.08% Materials 2.75%Iac/Interactivecorp, 7.000%, due 01/15/2013 100,000 102,888 Alcoa Inc 37,300 1,102,961

102,888 Dow Chemical 29,000 1,270,780 Telecommunication Services 0.61% Dupont EI De Nemours 21,200 901,000 AT&T Wireless Svcs Inc, 8.750%, due 03/01/2031 50,000 66,241 Huntsman Corporation 26,900 463,218 Bellsouth Corporation, 4.750%, due 11/15/2012 45,000 43,851 3,737,959 British Telecom Plc, 8.875%, due 12/15/2030 100,000 133,794 Media 1.57%France Telecom, 7.750%, due 03/01/2011 115,000 128,448 Comcast Corp 60,200 1,562,792 Sing Telecommunications, 7.375%, due 12/01/2031 60,000 75,473 Gannett Co 9,300 563,301 Sprint Capital Corp, 6.875%, due 11/15/2028 100,000 109,269 2,126,093 Sprint Capital Corp, 7.125%, due 01/30/2006 25,000 25,040 Pharmaceuticals & Biotech 2.45%Telecom Italia Capital, 6.000%, due 09/30/2034 75,000 72,252 Pfizer Inc 45,380 1,058,262 Verizon New York Inc, 7.375%, due 04/01/2032 75,000 78,848 Wyeth 49,400 2,275,858 Vodafone Group plc, 7.750%, due 02/15/2010 85,000 93,098 3,334,120

826,314 Real Estate 0.63%Transportation 0.45% Host Marriott Corp 45,100 854,645 American Airline, 3.857%, due 07/09/2010 32,540 31,364 854,645 Continental Airlines Inc, 6.648%, due 09/15/2017 94,443 92,289 Retail 0.65%CSX Corp, 6.750%, due 03/15/2011 60,000 64,298 Dollar General 46,200 881,034 Delta Air Lines, 6.718%, due 01/02/2023 141,229 143,249 881,034 Norfolk Southern Corp, 6.200%, due 04/15/2009 200,000 207,899 Semiconductors & Semiconductor Equipment 0.70%Southwest Airlines, 5.250%, due 10/01/2014 75,000 72,731 Applied Materials 53,300 956,202

611,830 956,202 Utilities 1.07% Technology Hardware & Equipment 0.46%Appalacian Power Co, 5.000%, due 06/01/2017 95,000 91,119 Motorola Inc 27,800 628,002 Devon Energy Corporation, 7.950%, due 04/15/2032 100,000 128,966 628,002 Dominion Resources Inc, 8.125%, due 06/15/2010 50,000 55,574 Telecommunication Services 3.25%Duke Energy Corp, 6.250%, due 01/15/2012 115,000 121,202 AT&T Inc 90,167 2,208,190 Exelon Generation Co Llc, 6.950%, due 06/15/2011 150,000 161,736 Bellsouth Corporation 36,200 981,020 First Energy Corp, 6.450%, due 11/15/2011 75,000 79,500 Sprint Nextel Corp 52,300 1,221,728 NSTAR, 8.000%, due 02/15/2010 250,000 276,982 4,410,938 Oncor Electric Delivery, 6.375%, due 05/01/2012 135,000 142,357 Transportation 1.80%Ppl Energy Supply Llc, 6.400%, due 11/01/2011 100,000 105,404 CSX Corp 14,800 751,396 Progress Energy Inc, 7.100%, due 03/01/2011 100,000 107,892 Southwest Airlines 103,000 1,692,290 PSEG Power, 6.950%, due 06/01/2012 120,000 130,046 2,443,686$ San Diego Gas, 5.350%, due 05/15/2035 50,000 48,303

1,449,081

Total Bonds 34.06% 46,279,340$ (Amortized Cost $47,080,040)




DECEMBER 31, 2005

Shares Market ValueUtilities 5.19%Consolidated Edison 19,500 903,435$ Dominion Resources Inc 18,400 1,420,480 Entergy Corp New 5,800 398,170 Exelon Corp 24,100 1,280,674 FPL Group 18,700 777,172 PPL Corporation 25,400 746,760 Scana Corp 27,800 1,094,764 Southern Co 12,600 435,078

7,056,533

Total Common Stock 64.20% 87,211,342 (Cost $81,536,049)

Total Invested Assets 98.26% 133,490,682 (Cost $128,616,089)

Other Assets and Liabilities 1.74%Cash and cash equivalents ** 2,009,393 Dividends receivable 138,351 Interest receivable 465,148 Payable for investments purchased (244,600) Accrued expenses and other payables (5,862)

2,362,430

Net Assets 100.00% 135,853,112$

FOOTNOTES* - Variable rate** - The Fund maintains liquid assets (eg.Cash) at least in the amount equivalent to the market value of the outstanding TBA's.

At December 31, 2005 the following TBA's were outstanding:Unrealized

Quantity Description Market Value Gains/Losses500,000 FHLMC GOLD 4.500%, due 01/01/2020 486,406$ 3,984$ 500,000 FHLMC GOLD 5.000%, due 01/01/2020 494,844 3,223 500,000 FHLMC GOLD 5.000%, due 01/01/2035 483,906 4,687

1,465,156$ 11,894$


INSTITUTIONALLY SUBADVISED FUNDS

BALANCED I FUND (SUB-ADVISED BY WELLINGTON MANAGEMENT) (SA55K)

(FORMERLY KNOWN AS BALANCED I/WELLINGTON MANAGEMENT FUND)

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS

FOR THE YEAR ENDED

DECEMBER 31, 2005

FROM INVESTMENT ACTIVITIES

Income:

Dividends, net of foreign tax of $4,173 1,886,281$

Interest 2,181,597

Miscellaneous income 71,535

4,139,413

Expenses:

Investment management fees 1,155,761

Custodian fees 21,466

Asset charge 146,279

Audit fees 4,047

1,327,553

Net investment income 2,811,860

Realized and unrealized gains (losses)

on investments:

Net realized gains (losses) - securities (82,374)

Net realized gains (losses) - currency 6

Net change in unrealized gains 4,886,487

Net realized and unrealized gains (losses)

on investments 4,804,119

Net increase (decrease) from

investment activities 7,615,979

FROM CONTRACTHOLDER TRANSACTIONS

Contractholder contributions 16,641,831

Contractholder withdrawals (27,740,157)


contractholder transactions (11,098,326)

NET ASSETS

Beginning of year -

Transfer to PRIAC from CIGNA 139,335,459

Net increase (decrease) for the year (3,482,347)

End of year 135,853,112$


INSTITUTIONALLY SUBADVISED FUNDSDRYDEN EMERGING MARKETS FUND (SAEMG)

STATEMENT OF NET ASSETSDECEMBER 31, 2005

Shares Market Value Shares Market ValueCommon Stock India 5.62%Bermuda 0.13% Bajaj Auto Ltd 5,600 252,840$ Credicorp Limited 5,500 125,345$ Doctor Reddy's Laboratory ADR 8,000 172,800 Digital China Holdings Ltd 75,000 20,555 HDFC Bank Ltd 2,200 111,980

145,900 Hindalco Industries Ltd GDR 50,000 159,300 Brazil 9.78% Hindalco Industries Ltd Rights 12,500 32,325 Aracruz Celulose SA 8,000 31,856 ICICI Bank Ltd - Spon ADR 11,500 331,200 Arcelor Brasil 4,828 57,886 Infosys Technologies Ltd SA 18,200 1,471,652 Banco Bradesco SA 36,500 1,058,039 Mahanagar Telehone ADR 28,500 196,650 Banco Itau Holding Fin 34,000 819,610 Reliance Industries GDR 36,000 1,423,123 Brasil Telecom Participacoes 8,000,000 58,917 Satyam Computer Services ADR 22,000 804,980 Braskem SA 43,500 353,886 State Bank of India 8,500 429,250Caemi 325,000 474,524 Tata Motors Limited ADR 51,000 732,870 Cia De Bebidas Das Americas 475,000 182,638 Wipro Limited ADR 27,000 322,650 Cia de Saneamento Basico do Es 2,500,000 168,058 6,441,620 Cia Energetica Minas Ger 6,500,000 264,397 Indonesia 1.49%Cia Paranaense De Energi 18,000,000 138,651 Aneka Tambang Tbk 400,000 145,325 Cia Vale Do Rio Doce 33,000 1,183,365 Astra Agro Lestari Tbk 115,000 57,266 Cia Vale do Rio Doce 19,000 776,921 Astra International Tbk PT 350,000 362,805 Contax Participacoes 11,000 13,235 Bank Mandiri Persero Tbk PT 475,000 79,167 Eletrobras SA 8,000,000 130,165 Bank Rakyat Indonesia 425,000 130,653 Empresa Bras De Aeronau 5,000 49,133 International Nickel Indonesia 50,000 66,819 Gerdau SA 24,000 403,854 Kalbe Farma PT 400,000 40,244 Natura Cosmeticos SA 1,900 83,777 Perusahaan Gas Negara PT 200,000 140,244 Petrobras 145,500 2,318,157 Telekomunikasi Indonesia Tbk PT 1,050,000 629,573 Petroleo Brasileiro SA 74,000 1,308,585 United Tractors Tbk 160,000 59,756 Sadia SA 60,000 169,557 1,711,852 Souza Cruz SA 5,000 62,085 Israel 4.12%Tim Participacoes SA 30,000,000 75,787 Azorim-Investment Development 3,000 27,395 Uniao de Bancos Brasileiros SA 8,000 100,535 Bank Hapoalim Ltd 150,000 696,606 Unibanco - ADR 2,800 177,996 Bank Leumi Le-Israel BM 150,000 575,075 Usinas Sider Minas Ger 30,500 726,097 Bezeq The Israeli Telecom CP 100,000 128,287 Votorantim Celulose Pap 2,000 24,834 Check Point Software Tech 33,520 673,752

11,212,545 Elbit Systems 4,200 102,999 Cayman Islands 0.29% Israel Discount Bank Ltd 53,000 99,006 China Mengniu Dairy Co 154,000 131,088 M-Systems Flash Disk Pioneers 9,200 304,704 China Resources 290,000 120,622 Orbotech ltd 11,500 275,655 Li Ning Co Ltd 110,000 78,029 Partner Communications Co. 9,000 75,714

329,739 Syneron Medical Ltd 2,200 69,850 Chile 1.61% Teva Pharmaceutical 21,620 929,876 Banco Santander Chile 2,200 98,120 Teva Pharmaceutical Industries 14,500 632,441 Banco Santander Chile SA 3,200,000 134,987 United Mizrahi Bank 22,500 129,612 Cristalerias de Chile SA 4,000 40,231 4,720,972 Embotelladora Adina ADR 2,000 26,100 Korea (South) 18.85%Embotelladora Adina ADR 10,500 146,370 Daegu Bank 14,000 211,901 Empresa Nac de Electrcidad ADR 16,700 511,354 Daelim Industrial Co 1,400 99,718 Empresa Nacional de Telecomuni 12,050 118,841 Daewoo Engineering 16,000 212,099 Empresas CMPC SA 8,800 218,260 Daishin Securities Company 5,000 111,787 Empresas Copec SA 12,200 105,429 Dongkuk Steel Mill Co Ltd 5,000 79,389 Enersis SA 1,750,000 382,775 GS Engineering & Const 10,500 550,527 Enersis SA 5,500 60,445 Hana Financial Holdings 16,968 775,507

1,842,912 Hanjin Heavy Industry & Const 1,500 34,872 China 3.34% Hanjin Shipping 9,500 216,155 Aluminum Corp of China Ltd 205,000 155,993 Hanwha Chem Corp 10,500 119,973 Angang New Steel Co Limited 100,000 53,846 Honam Petrochemical Corp 9,100 450,116 China Cosco Holdings 150,000 66,260 Hyosung Corp 1,700 27,497 China Petroleum & Chemical Co 1,025,000 508,960 Hyundai Dept Store Co 6,100 516,555 China Shipping Container 600,000 208,937 Hyundai Development Co 12,000 543,701 China Shipping Development Co 400,000 294,059 Hyundai Engineering & Constr 1,600 71,465 China Telecom Corp Ltd 770,000 283,032 Hyundai Heavy Industries 3,400 258,653 Datang International Power Gen 120,000 88,218 Hyundai Mobis 5,200 475,323 Jiangxi Copper Co Ltd 250,000 118,494 Hyundai Motor Co 12,700 1,222,446 Maanshan Iron & Steel 200,700 62,124 Hyundai Securities Co 11,000 201,316 PetroChina Co Ltd 2,023,035 1,656,824 Kangwon Land Inc 9,500 193,129 Ping An Insurance Group Co 70,000 129,102 Kookmin Bank 24,798 1,876,683 Sinopec Shanghai Petrochemical 430,000 164,989 Korea Electric Power Corp 33,200 1,241,489 Sinotrans Limited 100,000 40,627 Korea Exchange Bank 39,000 543,997

3,831,465 Korean Air Lines Co Ltd 6,500 205,124 Czechoslovakia 1.18% KT Corp 5,090 205,695 CEZ 34,500 1,031,617 KT&G Corp 2,300 102,503 Komercni Banka AS 700 97,820 Kumgang Korea Chemical Co Ltd 300 62,324 Philip Morris CR 200 148,239 LG Cable Ltd 9,200 315,813 Unipetrol 8,000 75,537 LG Chemical 1,300 73,305

1,353,213 LG Electronics Inc 700 61,839 Egypt 0.33% LG International Corp 11,000 254,093 Commercial International Bank 14,000 143,153 LG Investment & Securities Co 12,000 301,528 MISR International Bank 6,000 18,882 LG Petrochemical 3,000 74,789 Orascom Telecom GDR 3,400 178,646 NHN Corp 2,000 534,204 Suez Cement Company 2,400 37,693 Poongsan Corp 6,000 102,686

378,374 POSCO 6,000 1,198,990 Germany 0.07% Samsung Electronics Co Ltd 1,500 728,594 Surgutneftegaz 1,500 82,097 Samsung Electronics Co Ltd 7,500 4,889,446

82,097 Samsung Fine Chemicals Co Ltd 2,600 85,522 Great Britain 0.67% Samsung Fire & Marine Insurance 900 113,963 Old Mutual Plc 265,000 749,980 Samsung SDI Co Ltd 1,800 207,449 Tanjong Plc 5,500 20,987 Shinhan Financial Group Co Ltd 25,000 1,015,234

770,967 Shinsegae Co Ltd 700 306,771 Hong Kong 4.39% SK Corp 6,300 324,707 China Life Insurance 1,210,000 1,068,994 SK Telecom Co Ltd 2,260 404,669 China Merchants Holdings Inter 144,000 312,941 21,603,546 China Mobile Hong Kong Ltd 352,500 1,668,493 Malaysia 2.16%China Overseas Land & Investment 924,000 396,244 British American Tobacco Malay 8,100 85,796 China State Construction Intl 40,555 9,833 Bumiputra Commerce Hldgs Bhd 340,000 510,000 Citic Pacific Ltd 73,000 201,953 EON Capital Bhd 25,060 33,303 CNOOC Ltd 1,725,000 1,168,013 Genting Bhd 29,000 163,316 Denway Motors Ltd 345,000 114,577 Golden Hope Plantations Bhd 60,000 62,842 Shanghai Industrial Holdings Ltd 25,000 52,073 Highlands & Lowlands Berhad 30,000 33,000 Shenzhen Investment Ltd 270,769 37,716 IOI Corp Bhd 65,000 212,105

5,030,837 Kuala Lumpur Kepong Bhd 32,000 70,737 Hungary 1.17% Malakoff Bhd 35,000 75,526 Borsodchem RT 3,000 32,240 Maxis Communications Bhd 45,000 99,474 Matav Magyar Tavkozlesi Rt 47,800 213,291 MISC Bhd 80,000 208,421 MOL Magyar Olaj-es Gazipari Rt 7,800 727,073 Multi-Purpose Holdings Bhd 180,000 36,474 OTP Bank Rt 11,300 367,845 Nestle Malaysia Berhad 6,800 43,484

1,340,449$ PLUS Expressways Bhd 55,100 44,370




Shares Market Value Shares Market ValueMalaysia (cont'd) Taiwan 11.39%PPB Group Bhd 75,000 82,105$ Acer Inc 250,000 627,988$ Proton Holdings Bhd 60,000 103,421 Advanced Semiconductor Engr 275,000 252,032 Public Bank Bhd 50,000 84,211 Asia Cement Corp 195,000 115,481 Resorts World Bhd 40,000 117,895 Asia Optical Co Inc 14,000 96,124 Shell Refining Co 17,000 43,618 Asustek Computer Inc 170,000 522,790 Sime Darby Bhd 55,000 89,013 AU Optronics Corp 119,000 177,542 TA Enterprise Bhd 700,000 111,447 Cathay Financial Holding Co Lt 80,000 144,932 Telekom Malaysia Bhd 30,000 75,395 China Development Financial 213,000 77,501 YTL Corp Bhd 60,066 84,567 China Motor Corp 74,300 75,447

2,470,520 China Steel Corp 692,393 527,048 Chinatrust Financial Holding 110,000 87,081

Mexico 6.38% Chunghwa Picture Tubes Ltd 522,000 161,322 Alfa SA de CV 50,000 277,317 Chunghwa Telecom Co Ltd 279,000 482,514 America Movil SA de CV 885,000 1,292,019 CMC Magnetics Corp 100,000 35,776 Cemex SA de CV 244,068 1,447,064 Evergreen Marine Corp 160,000 115,946 Consorcio ARA SA de CV 29,000 126,767 Far East Textile 170,001 114,134 Controladora Comercial Mexican 135,000 206,606 First Financial Holding Co 105,000 75,130 Fomento Economico Mexicano SA 23,000 166,484 Formosa Chem & Fibre 60,000 96,824 GPO Modelo Sa De 7,500 27,144 Formosa Plastic 275,000 422,845 GPO Televisa SA 7,000 27,967 High Tech Computer Corp 59,800 1,121,602 Grupo Continental 10,000 16,592 HON HAI Precision Industry 188,062 1,030,696 Grupo Elektra SA de CV 3,000 26,510 Kinpo Electronics 74,000 31,431 Grupo Financiero Banorte SA de 264,000 546,482 Lite-On Technology Corp 23,460 31,965 Grupo Mexico SA de CV 177,000 412,648 MediaTek Inc 46,000 542,033 Telefonos De Mexico SA 5,700 140,676 Mega Financial Holding Co Ltd 315,900 205,355 Telefonos de Mexico SA de CV 960,000 1,186,728 Mitac International 60,000 88,238 TV Azteca SA 125,000 81,667 Nan Ya Plastics Corp 249,000 342,685 Wal-Mart de Mexico SA de CV 240,000 1,331,121 Nien Made Enterprise 64,625 80,380

7,313,792 Quanta Display Inc 175,000 63,941 Peru 0.10% Ritek Corporation 71,000 23,672 Cia de Minas Buenaventura SA 4,000 114,269 Siliconware Precision Industrial 230,000 322,489

114,269 SinoPac Financial Holdings Co 100,000 48,260 Philippines 0.13% Taishin Financial Holdings Co 264,000 138,258 Banco De Oro 100,000 64,109 Taiwan Cellular Corp 330,000 288,372 Equitable PCI Bank 75,000 83,435 Taiwan Cement Corp 250,000 178,501

147,544 Taiwan Semiconductor ADR 67,071 664,674 Poland 2.04% Tatung Co Ltd 928,000 259,952 Agora SA 6,700 141,923 TSMC 1,399,620 2,663,466 Bank Zachodni WBK SA 2,300 99,911 United Microelectronics Corp 418,000 236,726 BRE Bank SA 1,442 74,814 Wan Hai Lines Limited 50,000 31,133 KGHM Polska Miedz SA 46,000 882,605 Winbond Electronics 77,000 24,031 Orbis SA 4,700 47,615 Wintek Corp 125,000 202,478 Polski Koncern Naftowy Orlen 12,000 230,982 Yang Ming Marine Transport 153,000 99,460 Telekomunikacja Polska SA 112,000 804,568 Yulon Motor Co Ltd 121,394 131,400 TVN SA 2,500 59,864 13,059,655

2,342,282 Thailand 2.03%Russia 5.15% Bangkok Bank Pcl 122,000 342,195 AO Tatneft-Sponsored ADR 6,400 422,400 Charoen Pokphand Food Frgn 300,000 38,049 JSC MMC Norilsk Nickel ADR 7,700 723,900 Electricity Generating Pcl 52,000 107,805 Lukoil 46,900 2,790,549 ITV Pcl 80,000 21,463 Mobile Telesystems ADR 7,500 262,500 Kasikornbank Pcl 45,000 82,317 Rostelecom - Sponsored ADR 4,300 58,695 Krung Thai Bank Pcl 575,000 152,866 Surgutneftegaz ADR 16,000 872,000 National Finance Pcl 150,000 47,927 Unified Energy System 4,000 168,912 PTT Chemical 31,396 62,026 VimpelCom ADR 10,200 451,146 PTT Exploration & Production Pcl 41,000 300,000 Yukos ADR 18,514 148,853 PTT Pcl 128,000 699,317

5,898,955 Ratchaburi Electricity Generat 40,000 40,000 Singapore 0.17% Siam Cement Pcl 33,000 212,488 Jardine Cycle & Carriage Ltd 29,000 193,589 Siam Commercial Bank 66,500 84,341

193,589 Thai Airways International Pcl 98,700 105,922 South Africa 10.07% Tisco Bank Pcl 40,000 27,073 African Bank Investments Ltd 22,700 87,686 2,323,789 Anglo Platinum 2,000 144,107 Aspen Pharmacare Holdings Ltd 36,000 189,578 Turkey 2.78%Aveng Ltd 30,000 85,093 Akbank TAS 56,012 455,888Barloworld Ltd 15,500 270,117 Anadolu Efes Biracilik VE 3,500 97,762 Bidvest Group Ltd 1,802 9,092 Eregli Demir ve Celik Fabrik 15,000 99,334 Bidvest Group Ltd 4,894 71,375 Ford Otomotiv Sanayi AS 11,100 96,915 Edgars Consolidated Stores Ltd 52,000 288,265 Haci Omer Sabanci Holding AS 46,000 260,377 Ellerine Holdings Ltd 11,020 107,741 Hurriyet Gazetecilik Ve 10,000 39,216 FirstRand Ltd 200,468 583,151 Migros Turk Tas 3,000 29,079 Foschini Ltd 63,000 517,509 Trakya Cam Sanayii AS 14,000 54,384 Grindrod Ltd 40,000 80,410 Tupras-Turkiye Petrol Rafineri 6,500 119,275 Harmony Gold Mining Co Ltd 16,000 214,174 Turk Sise Ve Cam Fabrikalari 65,000 226,045 Imperial Holdings Ltd 19,537 433,095 Turkcell Iletisim Hizmetleri 60,000 364,040 JD Group Ltd 18,000 217,533 Turkiye Garanti Bankasi 130,000 471,328 Kumba Resources Ltd 25,500 410,091 Turkiye Is Bankasi 95,000 822,420 Massmart Holdings 7,000 57,004 Vestel Electronic Sanayi 15,000 55,716 Metropolitan Holdings Ltd 80,000 149,468 3,191,779 Mittal Steel South Africa Ltd 15,000 144,856 United States 1.47%MTN Group Ltd 153,000 1,499,243 America Movil SA de CV 4,000 117,040 Naspers Ltd 19,000 335,544 ISHARES 16,900 1,491,425 Nedbank Group Limited 19,000 299,566 Southern Copper Corporation 1,100 73,678 Reunert Limited 21,000 174,158 1,682,143 Sanlam Limited 355,000 850,209 Venezuela 0.01%Sasol Ltd 36,200 1,292,755 Cia Anonima Telef De Ven 1,000 14,300 Shoprite Holdings Ltd 20,000 58,116 14,300 Spar Group Limited 17,000 83,090 Standard Bank Group Ltd 54,524 651,709 Total Common Stock 96.92% 111,094,742 Steinhoff Intl Holdings 110,000 325,187 (Cost $85,682,489)Telkom SA Ltd 42,640 905,911 Tiger Brands Ltd 18,640 427,611 Short - Term Investment 0.39%Tongaat-Hulett Group Ltd 12,500 160,623 US Treasury Bill * 450,000 446,442 Truworths International Ltd 80,000 302,720 (Amortized Cost $446,442) 446,442 Woolworths Holdings Ltd 53,085 118,850

11,545,637$ Total Invested Assets 97.31% 111,541,184$ (Cost $86,128,931)




Market ValueOther Asset and Liabilities 2.69%Foreign currency (Cost $2,428,058) 2,464,946$ Interest receivable 476 Dividends receivable 149,525 Receivable for investments sold 603,295 Other receivables 124,148 Payable for investments purchased (175,466) Variation margin payable for future contracts (12,700) Accrued expenses and other payables (69,140)

3,085,084

Net Assets 100.00% 114,626,268$

FOOTNOTES:* - Pledged to broker as part of collateral for open futures contracts.

Notional UnrealizedContracts Description Market Value Gain(Losses)127 MSCI Taiwan Index Future January 2005 - Long 3,522,980$ 67,440$

At December 31, 2005, the Funds's Industry Exposure as a % of total invested assets was as follows:

Automobiles & Components - 2%Banks - 15%Capital Goods - 4%Commercial Services & Supplies - 1%Consumer Durables & Apparel - 1%Diversified Financials - 2%Energy - 15%Food & Staples Retailing - 2%Food, Beverage & Tobacco - 2%Insurance - 3%Materials - 13%Media - 1%Pharmaceuticals & Biotechnology - 2%Real Estate - 1%Retailing - 2%Semiconductors & Semiconductor Equipment - 9%Software & Services - 3%Technology Hardware & Equipment - 5%Telecommunication Services - 11%Transportation - 2%Utilities - 4%




FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Dividends, net of foreign tax of $358,296 2,714,809$ Interest 42,007

2,756,816 Expenses: Investment management fees 78,109 Custodian fees 156,101 Audit fees 2,985

237,195 Net investment income 2,519,621

Realized and unrealized gains (losses) on investments: Net realized gains (losses) - securities 1,605,973 Net realized gains (losses) - futures 248,971 Net realized gains (losses) - foreign currency (372,428) Net change in unrealized gains 25,516,581

Net realized and unrealized gains (losses) on investments 26,999,097

Net increase (decrease) from investment activities 29,518,718


Contractholder contributions 2,285,062 Contractholder withdrawals (26,369,401)

Net increase (decrease) from contractholder transactions (24,084,339)

NET ASSETS

Beginning of year - Transfer to PRIAC from CIGNA 109,191,889 Net increase (decrease) for the year 5,434,379 End of year 114,626,268$


INSTITUTIONALLY SUBADVISED FUNDSDRYDEN INTERNATIONAL FUND (SAI)


Shares Market Value Shares Market ValueCommon Stocks Austria 0.88% Germany 6.32%Boehler-Uddeholm AG 2,493 420,214$ Allianz AG 12,814 1,933,933$ OMV AG 21,569 1,259,365 BASF AG 26,404 2,016,005 Pacific Brands Ltd 29,119 56,819 Bayer AG 14,403 598,525 Telekom Austria AG 17,313 388,009 Commerzbank AG 4,240 131,134 Voestalpine AG 5,850 587,566 Continental AG 19,161 1,692,841

2,711,973 DaimlerChrysler AG 25,772 1,309,604 Australia 4.78% Deutsche Bank AG 31,268 3,023,600 Australia & New Zealand Bankin 71,894 1,263,071 Deutsche Post AG 21,883 529,664 BHP Billiton Ltd 80,198 1,338,365 E.ON AG 17,638 1,819,597 BlueScope Steel Ltd 165,325 845,281 MAN AG 12,289 653,457 Boral Limited 142,463 846,480 Muenchener Rueckversicherungs 15,065 2,032,346 Centro Properties Group 12,404 57,596 Puma AG Rudolf Dassler Sport 459 133,567 Coca-Cola Amatil Ltd 78,636 444,739 RWE AG 16,421 1,208,263 Coles Myer Ltd 84,218 630,755 SAP AG 2,828 510,973 Commonwealth Bank of Australia 46,756 1,466,235 Siemens AG 6,475 552,732 CSL Ltd/Australia 5,803 180,914 Suedzucker AG 18,480 431,602 General Property Group 190,922 574,208 ThyssenKrupp AG 22,233 462,608 Macquarie Airports Management 102,978 239,460 TUI AG 7,313 148,713 Macquarie Infrastructure Group 53,320 139,242 Volkswagen AG 5,603 295,357 Mirvac Group 93,901 283,790 19,484,521 National Australia Bank Ltd 15,858 376,897 Great Britain 21.55%Qantas Airways Ltd 55,813 165,404 Anglo American Plc 11,850 402,598 QBE Insurance Group Ltd 81,299 1,168,883 AstraZeneca Plc 83,414 4,051,156 Rio Tinto Ltd 28,683 1,451,789 Aviva Plc 56,688 686,100 Stockland 1,938 9,283 BAA Plc 39,500 425,179 Stockland 120,686 575,440 Barclays Plc 236,635 2,482,146 Suncorp Metway Limited 5,370 78,980 Barratt Developments Plc 68,847 1,165,384 Westpac Banking Corp 94,326 1,574,138 Bellway Plc 16,559 320,948 Woodside Petroleum Ltd 6,336 182,146 Berkeley Group Holdings Plc 31,513 601,050 Woolworths Ltd 69,140 854,592 BHP Billiton Plc 92,896 1,514,255

14,747,688 BP Plc 641,297 6,814,861 Belgium 0.89% British Airways Plc 164,268 941,904 Cumerio 3,350 60,695 British American Tobacco Plc 30,871 688,971 Delhaize Group 1,450 94,411 British Sky Broadcasting Plc 48,945 417,191 Dexia 54,380 1,249,523 BT Group Plc 526,027 2,011,559 Euronav NV 6,259 180,953 Carnival Plc 3,315 187,804 Fortis 25,644 815,193 Centrica Plc 95,590 418,055 KBC Bancassurance Holding 2,629 243,897 Diageo Plc 34,203 494,699 Umicore 767 90,110 Enterprise Inns Plc 97,371 1,567,976

2,734,782 Friends Provident Plc 108,053 351,522 Cayman Islands 0.05% GlaxoSmithKline Plc 162,455 4,096,962 Kingboard Chemicals Holdings 56,000 151,672 Hanson Plc 28,956 317,648

151,672 HBOS Plc 176,876 3,015,263 China 0.04% HSBC Holdings Plc 402,105 6,440,628 Hopewell Holdings 50,000 125,426 Imperial Chemical Industries Plc 145,195 827,555

125,426 Imperial Tobacco Group Plc 45,820 1,366,350 Denmark 0.90% Inchcape Plc 7,446 291,578 AP Moller - Maersk A/S 70 721,758 Kelda Group Plc 44,350 589,307 Danske Bank A/S 23,600 828,535 Kesa Electricals Plc 79,220 353,602 Novo Nordisk AS 3,150 176,593 Legal & General Group Plc 458,331 959,944 TDC A/S 15,722 938,578 Lloyds TSB Group Plc 180,342 1,512,406 William Demant Holding 2,082 114,744 Mitchells & Butlers Plc 20,533 147,345

2,780,208 National Grid Plc 54,531 532,208 Finland 1.65% Next Plc 9,211 242,729 Kesko Oyj 12,369 349,427 O2 Plc 183,285 622,229 Neste Oil Oyj 2,350 66,194 Persimmon Plc 80,485 1,738,212 Nokia Oyj 74,412 1,356,088 Punch Taverns Plc 22,931 334,224 Nokian Renkaat Oyj 72,599 912,004 Reckitt Benckiser Plc 36,192 1,192,946 Rautaruukki Oyj 31,116 754,244 Rio Tinto Plc 24,292 1,107,222 Sampo Oyj 77,203 1,340,474 Royal & Sun Alliance Insurance Co 40,273 86,942 Yit-Yhtyma Oyj 7,600 323,890 Royal Bank of Scotland Group Plc 50,192 1,512,233

5,102,321 Royal Dutch Shell Plc 86,437 2,757,100 France 8.73% Sabmiller Plc 97,402 1,774,150 Air France 25,635 547,001 Stagecoach Group Plc 53,847 106,770 Alcatel SA 30,916 381,809 Tate & Lyle Plc 72,880 704,407 AXA SA 72,382 2,327,409 Taylor Woodrow Plc 14,414 94,156 BNP Paribas 39,437 3,179,499 Tesco Plc 227,507 1,294,748 Bouygues 18,333 893,100 Tomkins Plc 27,721 142,651 Business Objects 4,371 176,277 Trinity Mirror Plc 10,163 99,973 Cap Gemini SA 2,079 83,157 Unilever Plc 75,394 746,179 Carrefour SA 4,003 186,886 United Utilities Plc 32,164 370,510 Casino Guichard Perrachon SA 754 50,028 Vodafone Group Plc 1,938,368 4,176,256 Cie de Saint-Gobain 28,013 1,660,397 Whitbread Plc 21,028 342,587 Credit Agricole SA 43,699 1,371,617 William Hill Plc 12,877 118,381 France Telecom SA 73,694 1,824,572 Wimpey George Plc 105,324 867,912 Lafarge 10,993 985,476 66,426,671 Lagardere SCA 4,295 329,301 Greece 0.60%Publicis Groupe 2,736 94,881 Cosmote Mobile Telephone 3,489 77,287 Renault SA 11,308 919,012 National Bank of Greece SA 25,047 1,063,592 Safran SA 7,650 182,276 OPAP SA 17,894 614,210 Sanofi-Aventis 35,658 3,112,469 Piraeus Bank SA 5,000 106,749 Schneider Electric SA 1,745 155,094 1,861,838 Societe Generale 22,613 2,771,342 Hong Kong 1.14%Suez SA 2,465 76,470 Cheung Kong 120,000 1,231,179 Total SA 17,812 4,458,354 CLP Holdings Ltd 107,000 621,006 Vinci SA 3,372 288,961 Henderson Land Development Co 25,000 117,688 Vivendi Universal SA 27,587 861,015 Hutchison Whampoa Ltd 23,000 219,067

26,916,403$ Sun Hung Kai Properties 95,000 925,060 Swire Pacific Ltd 17,000 152,601 Wharf Holdings Ltd 73,000 257,972

3,524,573$




Shares Market Value Shares Market ValueIreland 0.78% Japan (cont'd)Allied Irish Banks Plc 1,000 21,291$ OJI Paper Co Ltd 13,000 76,769$ Bank of Ireland 63,228 992,667 ORIX Corp 2,200 560,112 CRH Plc 22,600 662,447 Osaka Gas Co Ltd 123,000 424,138 Depfa Bank Plc 46,638 689,299 Promise Company Ltd 14,000 931,119 Fyffes Plc 19,748 53,576 Q P Corp 19,100 170,076

2,419,280 Rakuten Inc 79 76,303 Italy 2.95% Ricoh Co Ltd 31,000 542,362 Banca Intesa SpA 325,006 1,715,539 Sanwa Shutter Corp 35,000 215,877 Banca Popolare di Milano SCRL 18,935 206,708 Sega Sammy Holdings Inc 7,700 257,689 Banche Popolari Unite 16,877 368,683 Sekisui House Ltd 22,000 276,608 Banco Popolare di Verona e Nov 16,459 331,789 Seven & I Holdings Co Ltd 3,100 132,636 Benetton Group SpA 11,913 135,180 Shimizu Corp 149,000 1,094,493 Capitalia SpA 151,540 874,083 Shionogi & Co Ltd 18,000 253,308 Edison SpA 36,969 74,437 SMC Corp/Japan 3,300 471,109 Enel SpA 64,576 505,392 Sumitomo Chemical Co Ltd 40,000 274,506 ENI SpA 119,576 3,304,704 Sumitomo Corp 154,000 1,989,748 Italcementi SpA 11,921 221,749 Sumitomo Electric Industries Ltd 58,000 880,098 Mediaset SpA 28,606 301,993 Sumitomo Heavy Industries Ltd 93,000 780,056 Snam Rete Gas SpA 44,093 180,604 Sumitomo Metal Industries Ltd 348,000 1,338,575 Telecom Italia SpA 118,277 292,281 Sumitomo Mitsui Financial Group 78 826,061 UniCredito Italiano SpA 83,894 575,931 Sumitomo Trust & Banking Co Ltd 24,000 245,022

9,089,073 Taisei Corporation 45,000 203,974 Japan 25.27% Taisho Pharmaceutical Co Ltd 7,000 131,068 Acom Co Ltd 10,290 660,834 Takeda Pharmaceutical Co Ltd 29,600 1,600,000 Advantest Corp 10,100 1,017,445 Takefuji Corporation 12,260 832,014 Aiful Corp 4,125 344,245 Tanabe Seiyaku Co Ltd 19,000 184,479 Ajinomoto Co Inc 18,000 184,072 Tdk Corp 4,000 275,523 Asahi Breweries Ltd 15,000 182,877 Teijin Limited 19,000 120,571 Asahi Kasei Corp 99,000 669,338 Tohoku Electric Power Co Inc 23,900 485,978 Bridgestone Corp 29,000 603,194 Tokyo Electric Power Co Inc 14,100 342,256 Canon Inc 44,300 2,589,765 Tokyo Electron Ltd 9,300 583,860 Chiyoda Corporation 14,000 321,444 Toshiba Corp 52,000 310,158 Chubu Electric Power Co Inc 50,900 1,211,802 Toyo Suisan Kaisha Ltd 23,000 371,024 Coca-Cola West Japan Co Ltd 3,400 79,361 Toyota Motor Corp 96,400 4,998,459 Computershare Limited 133,423 664,554 West Japan Railway Co 28 116,716 COMSYS Holdings Corp 93,000 1,329,247 Yamada Denki Co Ltd 6,400 800,339 Dai Nippon Printing Co Ltd 35,000 622,723 Yamaha Corporation 5,000 83,072 Dainippon Screen Mfg Co Ltd 59,000 493,375 Yamaha Motor Co Ltd 17,800 464,492 Daito Trust Construct Co Ltd 2,800 144,709 Yamanouchi Pharm 17,200 670,338 Daiwa House Industry Co Ltd 14,000 218,724 Yamazaki Baking Co Ltd 11,000 89,469 Daiwa Securities Group Inc 17,000 192,570 77,888,093 Denso Corp 16,200 558,621 Netherlands 4.30%East Japan Railway Co 35 240,490 ABN AMRO Holding NV 28,962 754,641 Familymart Co 3,100 104,795 Aegon NV 59,389 963,219 Fanuc Ltd 800 67,847 Buhrmann NV 26,810 393,083 Fuji Television Network Inc 247 621,528 Corio NV 7,675 415,535 Fujikura Ltd 94,000 761,366 European Aeronautic Defence 2,299 86,506 Fujitsu Ltd 57,000 433,669 ING Groep NV 90,000 3,110,473 Hankyu Department Stores 9,000 78,539 James Hardie Industries NV 42,595 281,210 Honda Motor Co Ltd 39,000 2,223,757 Koninklijke DSM NV 24,002 976,749 Hoya Corp 46,400 1,666,830 Koninklijke Kpn Nederland 41,853 418,144 Ibiden Co Ltd 14,500 776,413 Randstad Holdings NV 3,713 160,690 Isetan Co Ltd 10,200 217,343 Reed Elsevier NV 5,441 75,732 Itochu Corp 50,000 416,843 Royal Dutch Shell Plc 92,897 2,824,407 Japan Tobacco Inc 140 2,040,159 TNT NV 10,466 325,913 JFE Holdings Inc 35,600 1,194,408 Unilever NV 25,103 1,712,953 JSR Corporation 10,100 265,272 Wereldhave NV 3,569 335,312 Kamigumi Co Ltd 61,000 541,108 Wolters Kluwer 20,251 407,991 Kansai Electric Power Co Inc 25,600 549,826 13,242,558 Katokichi Co Ltd 28,500 193,896 New Zealand 0.23%KDDI Corporation 53 305,346 Fletcher Building 80,326 413,031 Keio Corporation 15,000 89,596 Telecom Corp Of New Zealand 73,454 300,655 Keyence Corp 1,700 483,225 713,686 Kikkoman Corp 32,000 310,430 Norway 0.85%Kobe Steel Ltd 124,000 401,322 DNB NOR Asa 91,997 978,221 Komatsu Ltd 111,000 1,834,796 Norsk Hydro Asa 9,138 935,224 Kubota Corp 185,000 1,553,291 Statoil Asa 13,000 297,582 Kyocera Corp 2,900 211,302 Telenor Asa 8,865 86,735 Kyushu Electric Power Co Inc 19,900 431,619 Yara International Asa 22,321 323,875 Leopalace 21 Corp 2,100 76,150 2,621,637 Makita Corp 41,000 1,007,371 Portugal 0.35%Marubeni Corp 69,000 370,050 Banco BPI SA 70,028 318,842 Matsushita Electric Industrial 66,000 1,272,134 Banco Comercial Portugues SA 48,033 132,012 Mitsubishi Corp 88,000 1,945,946 Energias de Portugal SA 202,109 619,833 Mitsubishi Electric Corp 20,000 141,489 1,070,687 Mitsubishi Gas Chemical Co Inc 127,000 1,199,737 Singapore 0.77%Mitsubishi Heavy Industries 44,000 193,849 DBS Group Holdings Ltd 22,000 218,306 Mitsubishi Rayon Co Ltd 53,000 350,250 Fraser and Neave Ltd 10,000 111,258 Mitsubishi UFJ Financial 173 2,345,166 Haw Par Corp Ltd 5,000 15,486 Mitsui & Co Ltd 47,000 603,279 Jardine Cycle & Carriage Ltd 53,000 353,801 Mitsui OSK Lines Ltd 171,000 1,490,799 Keppel Corp Ltd 66,000 436,613 Mizuho Financial Group Inc 259 2,053,918 Keppel Land Ltd 40,000 88,044 NEC Corp 22,000 136,813 Neptune Orient Lines 212,000 428,386 NGK Spark Plug Co Ltd 16,000 345,675 Oversea-Chinese Banking Corp 34,400 138,610 NHK Spring Co Ltd 16,000 166,602 Singapore Airlines Ltd 54,000 402,694 Nidec Corp 15,100 1,283,174 Singapore Post Ltd 150,000 103,741 Nintendo Co Ltd 1,200 144,878 United Overseas Bank Ltd 8,500 74,633 Nippon Electric Glass Co Ltd 4,000 87,266 United Overseas Land Ltd 2,000 3,019 Nippon Meat Packers Inc 6,000 62,933 2,374,591 Nippon Oil Corp 105,000 813,988 Spain 3.77%Nippon Shokubai Co Ltd 53,000 599,466 Acerinox SA 4,204 60,944 Nippon Steel Corp 98,000 348,725 ACS Actividades Cons y Serv 14,815 475,496 Nippon Yusen Kabushiki Kaisha 121,000 828,332 Banco Bilbao Vizcaya Argentari 86,149 1,532,385 Nissan Motor Co Ltd 141,500 1,432,623 Banco Santander Central Hispano SA 184,094 2,421,201 Nisshin Seifun Group Inc 34,500 364,204 Corp Mapfre SA 3,861 63,532 NTT Corp 464 2,107,125 Endesa SA 49,591 1,299,760 NTT Data Corp 61 303,372 FCC 4,479 253,065 NTT Docomo Inc 511 779,293 Grupo Ferrovial SA 2,835 195,625 Obayashi Corp 61,000 449,115 Iberdrola SA 24,862 677,137




Shares Market Value Shares Market ValueSpain (cont'd)Inditex SA 9,230 299,944$ Short - Term Investments 0.60%Metrovacesa SA 3,727 225,524 US Treasury Bill * 1,850,000 1,835,374$ Repsol YPF SA 70,864 2,062,107 (Amortized Cost $1,835,374) 1,835,374 Telefonica SA 74,378 1,115,081 Union Fenosa SA 25,374 940,697 Total Invested Assets 97.61% 300,945,989

11,622,498 (Cost $266,504,434)Sweden 2.75%Capio Ab 36,815 654,553 Other Asset and Liabilities 2.39%Eniro AB 42,043 528,271 Foreign currency (Cost $6,946,944) 6,876,248 Ericsson 412,126 1,413,696 Interest receivable 1,152 Modern Times Group AB 15,337 638,833 Dividends receivable 589,328 Skandinaviska Enskilda Banken 40,002 821,794 Variation margin payable for future contracts (78,541) Ssab Svenskt Stal AB 19,775 718,088 Accrued expenses and other payables (22,239) Svenska Cellulosa AB 6,000 223,909 7,365,948 Svenska Handelsbanken 11,600 287,136 Swedish Match AB 52,157 612,756 Net Assets 100.00% 308,311,937$ TeliaSonera AB 133,488 716,199 Volvo AB 39,746 1,870,287 FOOTNOTES:

8,485,522 * - Pledged to broker as part of collateral for open futures contractsSwitzerland 7.46%ABB Ltd 24,022 232,392 At December 31, 2005, the following futures contracts were outstanding:Ciba Specialty Chemicals AG 2,484 160,203 Clariant Ag Reg 6,626 97,282 Notional UnrealizedNotional Unrealized Credit Suisse Group 61,130 3,107,637 Contracts Description Market Value Gains(Losses)Market Value Gains(Losses)Holcim Ltd 10,140 688,592 6 SPI 200 Index March 2006 - Long 714,150$ 22,227$ Kudelski SA 2,376 70,399 14 Hang Seng Index January 2006 - Long 10,386,600 (36,925) Nestle SA 10,217 3,046,611 16 DJ Euro Stoxx March 2006 - Long 574,080 4,400 Nobel Biocare Holding AG 534 117,095 35 Nikkei 225 Index March 2006 - Long 2,822,750 106,150 Novartis AG 64,696 3,389,552 39 FTSE 100 Index March 2006 - Long 2,190,240 37,914 Phonak Holding AG 2,521 108,266 16,687,820$ 133,766$ Roche Holding AG 18,441 2,760,658 SGS SA 715 601,100 At December 31, 2005, the Fund's Industry Exposure as a % of total invested assets was as follows:Straumann Holding AG 523 120,834 Sulzer AG 733 387,092 Automobiles & Components - 5% Insurance - 5%Swatch Group AG 669 98,983 Banks - 16% Materials - 9%Swatch Group Ag 2,402 72,445 Capital Goods - 8% Media 1%Swiss Reinsurance 15,851 1,156,999 Commercial Services & Supplies - 1%Swisscom AG 1,962 617,428 Consumer Durables & Apparel - 3% Real Estate - 2%Syngenta AG 1,459 180,998 Hotels, Restaurants & Leisure - 1% Retailing - 1%UBS AG 41,654 3,953,805 Diversified Financials - 6%Valora Holding AG 133 25,708 Energy - 9% Software & Services - 1%Zurich Financial Services AG 9,512 2,020,835 Food & Staples Retailing - 1%

23,014,914 Food, Beverage & Tobacco - 5% Telecommunication Services - 6%Health Care Equipment & Services - 1% Transportation - 3%

Total Common Stock 97.01% 299,110,615$ Utilities - 4%(Cost $264,669,060)

Pharmaceuticals & Biotechnology - 7%

Semiconductors & Semiconductor Equipment - 1%

Technology Hardware & Equipment - 4%



DRYDEN INTERNATIONAL FUND (SAI)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:

Dividends, net of Foreign income tax of $810,864 7,178,545$

Interest 65,407

7,243,952

Expenses:



Asset charge 3,366

Audit fees 8,500

2,271,561



on investments:


Net realized gains (losses) - futures 1,604,335











NET ASSETS

Beginning of year -


Net increase (decrease) for the year 27,459,732

End of year 308,311,937$


INSTITUTIONALLY SUBADVISED FUNDSDRYDEN S&P 500 INDEX FUND (SAB)


Shares Market Value Shares Market ValueCommon StockAutomotive 0.52% Consumer Durables & Apparel (cont'd)Cooper Tire & Rubber 4,000 61,280$ Pulte Homes Inc 60,092 2,365,221$ Dana Corp 42,701 306,593 Reebok International Ltd 12,020 699,925 Ford Motor Company 528,226 4,077,905 Snap On Inc 16,801 631,046 General Motors 159,917 3,105,588 Stanley Works 18,488 888,164 Goodyear Tire & Rubber Co 50,024 869,417 VF Corp 22,826 1,263,191 Harley Davidson 79,800 4,108,902 Whirlpool Corp 18,930 1,585,577 Johnson Controls 54,312 3,959,888 40,958,529

16,489,573 Energy 9.06%Banks 7.18% Amerada Hess Corp 22,003 2,790,420 Amsouth Bancorp 100,900 2,644,589 Anadarko Petroleum Corp 64,545 6,115,639 BB&T Corporation 149,500 6,265,545 Apache Corp 90,326 6,189,138 Bank of America Corp 1,107,474 51,109,925 Baker Hughes Inc 93,098 5,658,496 Comerica Inc 47,900 2,718,804 BJ Services 91,600 3,358,972 Compass Bancshares 35,300 1,704,637 Burlington Resources 104,520 9,009,624 Countrywide Financial Corp 165,400 5,655,026 Chevron Corporation 624,012 35,425,161 Fannie Mae 264,432 12,906,926 Conoco Phillips 386,656 22,495,646 Fifth Third Bancorp 151,076 5,698,587 Devon Energy Corporation 123,400 7,717,436 First Horizon National Corp 36,100 1,387,684 El Paso Corp 186,951 2,273,324 Freddie Mac 190,252 12,432,968 EOG Resources Inc 65,300 4,791,061 Golden West Financial Corp 69,342 4,576,572 Exxon Mobil Corporation 1,721,846 96,716,090 Huntington Bancshares 65,981 1,567,049 Halliburton Co 141,068 8,740,573 Keycorp 113,510 3,737,884 Kerr Mcgee Corporation 32,943 2,993,201 M & T Bank Corporation 22,400 2,442,720 Kinder Morgan Inc 26,500 2,436,675 MGIC Invt Corp 24,200 1,592,844 Marathon Oil Corp 102,121 6,226,317 Marshall & Ilsley 56,800 2,444,672 Murphy Oil Corp 46,800 2,526,732 National City Corp 155,800 5,230,206 Nabors Industries Ltd 43,800 3,317,850 North Fork Bancorp 133,800 3,660,768 National Oilwell Inc 46,300 2,903,010 PNC Financial Services Group 80,696 4,989,434 Noble Corp 38,600 2,722,844 Regions Financial Corporation 123,814 4,229,486 Occidental Petroleum 110,684 8,841,438 Sovereign Bancorp 103,100 2,229,022 Rowan Companies Inc 29,765 1,060,825 Suntrust Banks 98,782 7,187,378 Schlumberger Ltd 161,416 15,681,564 Synovus Financial 86,600 2,339,066 Sunoco Inc 37,664 2,952,104 US Bancorp 501,718 14,996,351 Transocean Inc 90,511 6,307,712 Wachovia Corporation 428,390 22,644,695 Valero Energy Corp 170,800 8,813,280 Washington Mutual Inc 270,337 11,759,660 Weatherford International 79,400 2,874,280 Wells Fargo Financial 461,128 28,972,672 Williams Cos 155,176 3,595,428 Zions Bancorp 25,900 1,957,004 XTO Energy Inc 100,633 4,421,815

229,082,174 288,956,655 Capital Goods 8.60% Financial Services 8.15%3M Co 213,608 16,554,620 American Express 341,634 17,580,486 American Power Conversion 50,900 1,119,800 Ameriprise Financial 71,406 2,927,646 American Standard Inc 50,800 2,029,460 Bank of New York 211,200 6,726,720 Boeing Co 221,840 15,582,042 Bear Stearns Co Inc 32,092 3,707,589 Caterpillar Inc 188,000 10,860,760 Block H and R Inc 94,384 2,317,127 Cooper Industries Inc 23,839 1,740,247 Capital One Financial 82,000 7,084,800 Cummins Inc 12,376 1,110,498 Charles Schwab Corp 286,850 4,208,090 Danaher Corp 65,900 3,675,902 Cit Group Inc 54,600 2,827,188 Deere & Co 66,765 4,547,364 Citigroup Inc 1,402,113 68,044,544 Dover Corp 58,528 2,369,799 E Trade Financial Corporation 104,000 2,169,440 Eaton Corp 41,012 2,751,495 Federated Investors Inc 22,900 848,216 Emerson Elec Co 113,408 8,471,578 Franklin Resources Inc 40,300 3,788,603 Fluor Corp 23,682 1,829,671 Goldman Sachs Group Inc 129,300 16,512,903 General Dynamics Corp 56,996 6,500,394 Janus Capital Group Inc 62,500 1,164,375 General Elec Cap Corp 2,912,408 102,079,900 JP Morgan Chase & Co 967,170 38,386,977 Goodrich Corp 33,696 1,384,906 Lehman Brothers Holdings 73,900 9,471,763 Grainger W W Inc 21,014 1,494,095 MBNA Corp 345,815 9,392,335 Honeywell International Inc 233,252 8,688,637 Mellon Financial Corporation 118,564 4,060,817 Illinois Tool Works 57,436 5,053,794 Merrill Lynch Medium Term Note 255,300 17,291,469 Ingersoll Rand 96,844 3,909,592 Moodys Corp 68,364 4,198,917 ITT Industries 26,579 2,732,853 Morgan Stanley 299,246 16,979,218 L-3 Communications Corp 33,700 2,505,595 Northern Trust 51,100 2,648,002 Lockheed Martin Corp 101,602 6,464,935 Principal Financial Group 75,400 3,576,222 Masco Corp 113,314 3,420,950 SLM Corp 116,700 6,429,003 Navistar Intl Corp 18,854 539,601 State Street Corp 89,900 4,984,056 Northrop Grumman Corp 98,136 5,898,955 T Rowe Price Group Inc 36,000 2,593,080 Paccar Inc 46,992 3,253,256 259,919,586 Pall Corp 29,024 779,585 Food & Drug Retailers 2.27%Parker Hannifin Corp 34,134 2,251,479 Albertsons Inc 101,460 2,166,171 Raytheon Co 122,116 4,902,957 Costco Wholesale Corporation 132,216 6,540,726 Rockwell Automation Inc 51,634 3,054,667 CVS Corp 225,712 5,963,311 Rockwell Collins 46,134 2,143,847 Kroger Co 200,824 3,791,557 Textron Inc 34,792 2,678,288 Safeway Inc 127,000 3,004,820 Tyco International 555,950 16,044,717 Supervalu Inc 38,686 1,256,521 United Technologies 282,036 15,768,633 Sysco Corp 170,024 5,279,245

274,194,872 Wal Mart Stores Inc 686,564 32,131,195 Commercial Services & Supplies 0.72% Walgreen Co 278,892 12,343,760 Allied Waste Industries Inc 48,000 419,520 72,477,306 Avery Dennison Corp 31,448 1,738,131 Food, Beverage & Tobacco 4.55%Cendant Corporation 298,061 5,141,552 Altria Group Inc 573,460 42,848,931 Cintas Corp 38,400 1,581,312 Anheuser Busch Cos Inc 212,524 9,130,031 Donnelley RR and Sons 57,242 1,958,249 Archer Daniels Midland 178,750 4,407,975 Equifax Inc 36,400 1,383,928 Brown Forman Corporation 18,870 1,308,068 Monster Worldwide Inc 32,600 1,330,732 Campbell Soup Company 49,378 1,469,983 Pitney Bowes 65,056 2,748,616 Coca Cola Co 572,820 23,090,375 Robert Half International Inc 49,200 1,864,188 Coca Cola Enterprises 85,300 1,635,201 Waste Management Inc 153,307 4,652,867 Conagra Foods Inc 146,806 2,977,226

22,819,095 Constellation Brands Inc 50,900 1,335,107 Consumer Durables & Apparel 1.28% General Mills Inc 99,134 4,889,289 Black & Decker Corp 21,804 1,896,076 Heinz Co 95,121 3,207,480 Brunswick Corp 26,856 1,091,965 Hershey Foods 51,088 2,822,612 Centex Corp 35,632 2,547,331 Kellogg Co 72,464 3,131,894 Coach Inc 105,300 3,510,702 McCormick & Co 36,500 1,128,580 DR Horton Inc 75,400 2,694,042 Molson Inc 16,274 1,090,195 Eastman Kodak Co 79,509 1,860,510 Pepsi Bottling Group Inc 40,200 1,150,122 Fortune Brands 39,153 3,054,717 Pepsico Inc 455,591 26,916,316 Hasbro Inc 50,460 1,018,283 Reynolds American Inc 23,100 2,202,123 Jones Apparel Group 34,400 1,056,768 Sara Lee Corp 209,580 3,961,062 KB Home 22,208 1,613,633 Tyson Foods Inc 71,200 1,217,520 Leggett & Platt 44,500 1,021,720 UST Inc 47,764 1,950,204 Lennar Corp 38,100 2,324,862 Wrigley WM Jr 48,188 3,204,020 Liz Claiborne 34,384 1,231,635 145,074,314 Mattel Inc 113,215 1,791,061 Healthcare 5.19%Maytag Corp 22,645 426,179 Aetna Inc 82,038 7,737,004 Newell Rubbermaid Inc 78,757 1,872,841 AmerisourceBergen Corporation 56,800 2,351,520 Nike Inc 52,000 4,513,080 Bard CR 28,852 1,901,924

The Notes to Financial Statements are an integral part of these statements.14



Shares Market Value Shares Market ValueHealthcare (cont'd) Materials (cont'd)Bausch & Lomb Inc 15,708 1,066,573$ United States Steel Corp 32,465 1,560,593$ Baxter International 179,422 6,755,238 Vulcan Materials 29,200 1,978,300 Becton Dickinson & Co 72,404 4,350,032 Weyerhaeuser Co 65,952 4,375,256 Biomet Inc 73,073 2,672,280 92,672,104 Boston Scientific 167,000 4,089,830 Media 3.24%Cardinal Health Inc 120,200 8,263,750 CCE Spinco Inc 1 7 Caremark Rx Inc 126,900 6,572,151 Clear Channel Communications 151,700 4,770,965 Coventry Health Care Inc 45,000 2,563,200 Comcast Corp 598,814 15,545,211 Express Scripts Inc 41,000 3,435,800 Dow Jones & Co 17,320 614,687 Fisher Scientific Intl 35,700 2,208,402 Gannett Co 69,310 4,198,107 Guidant Corp 91,300 5,911,675 Interpublic Group 102,108 985,342 HCA Inc 120,935 6,107,218 Knight Ridder Inc 20,154 1,275,748 Health Mgmt Associates 75,300 1,653,588 McGraw Hill Companies 103,280 5,332,346 Hospira Inc 46,261 1,979,046 Meredith Corp 11,512 602,538 Humana Inc 44,400 2,412,252 New York Times Co 39,912 1,055,672 IMS Health Incorporated 69,864 1,741,011 News Corp Inc 661,300 10,283,215 Laboratory Corp Amer Hldgs 36,300 1,954,755 Omnicom Group Inc 49,600 4,222,448 Manor Care Inc 24,998 994,170 Scripps E W Co 13,600 653,072 McKesson Corp 84,060 4,336,655 Time Warner Inc 1,278,112 22,290,274 Medco Health Solutions 82,835 4,622,193 Tribune Co New 80,265 2,428,819 Medtronic Inc 337,416 19,425,039 Univision Communications Inc 69,100 2,030,849 Millipore Corp 15,370 1,015,035 Viacom Inc 441,186 14,382,664 Patterson Cos Inc 32,800 1,095,520 Walt Disney Company 530,463 12,715,198 PerkinElmer Inc 42,746 1,007,096 103,387,162 Quest Diagnostic Inc 49,200 2,532,816 Pharmaceuticals & Biotech 7.76%St Jude Medical Inc 105,268 5,284,454 Abbott Laboratories 425,618 16,782,118 Stryker Corporation 84,100 3,736,563 Allergan Inc 37,188 4,014,816 Tenet Healthcare Corp 140,660 1,077,456 Amgen Inc 339,708 26,789,373 Thermo Electron 49,500 1,491,435 Applera Corp 52,344 1,390,257 UnitedHealth Group Inc 369,700 22,973,157 Biogen Idec Inc 91,640 4,154,041 Waters Corp 37,900 1,432,620 Bristol Myers Squibb 538,464 12,373,903 Wellpoint Inc 175,400 13,995,166 Chiron Corp 26,200 1,164,852 Zimmer Holdings 71,336 4,810,900 Forest Labs 90,700 3,689,676

165,557,524 Genzyme Corp 71,700 5,074,926 Hotel, Restaurant & Leisure 1.52% Gilead Sciences 123,100 6,478,753 Apollo Group Inc 39,500 2,388,170 Johnson & Johnson 825,318 49,601,612 Carnival Corporation 118,800 6,352,236 King Pharmaceuticals Inc 81,233 1,374,462 Darden Restaurants 39,175 1,523,124 Lilly Eli & Co 314,164 17,778,541 Harrahs Entertainment 47,314 3,373,015 Medimmune Inc 71,000 2,486,420 Hilton Hotels Corp 85,223 2,054,727 Merck & Co Inc 602,942 19,179,585 International Game Technology 88,200 2,714,796 Mylan Labs 61,300 1,223,548 Marriott International Inc 43,910 2,940,653 Pfizer Inc 2,032,706 47,402,704 McDonalds Corp 350,600 11,822,231 Schering Plough Corp 407,940 8,505,549 Starbucks Corp 211,000 6,332,110 Watson Pharmaceuticals 28,800 936,288 Starwood Hotels and Resorts 58,000 3,703,880 Wyeth 369,300 17,013,651 Wendys Intl 29,178 1,612,376 247,415,075 Yum! Brands Inc 81,854 3,837,316 Real Estate 0.70%

48,654,634 Apartment Invt & Mgmt Co 27,000 1,022,490 Household Products 2.38% Archstone Smith Trust 54,200 2,270,438 Alberto Culver Co 18,504 846,558 Equity Office Properties Trust 110,100 3,339,333 Avon Prods Inc 126,824 3,620,825 Equity Residential 76,200 2,980,944 Clorox Co 43,348 2,466,068 Plum Creek Timber Co Inc 52,700 1,899,835 Colgate Palmolive 142,288 7,804,497 Prologis 64,000 2,990,080 Kimberly Clark Co 127,936 7,631,382 Public Storage 20,400 1,381,488 Procter & Gamble Co 924,306 53,498,831 Simon Property Group 49,500 3,793,185

75,868,161 Vornado Realty LP 29,900 2,495,753 Insurance 4.75% 22,173,546 Ace Limited 89,300 4,772,192 Retail 3.85%AFLAC Incorporated 136,300 6,327,046 Amazon.com Inc 70,900 3,342,935 Allstate Corp 180,834 9,777,694 Autonation Inc 44,200 960,466 Ambac Financial Group Inc 27,600 2,126,856 Autozone Inc 15,300 1,403,775 American International Group 714,892 48,777,081 Bed Bath & Beyond 83,700 3,025,755 Aon Corp 83,050 2,985,648 Best Buy Co 111,925 4,866,499 Chubb Corp 54,802 5,351,415 Big Lots Inc 33,300 399,933 Cincinnati Financial Corp 47,451 2,120,111 Circuit City Stores 47,244 1,067,242 Genworth Financial Inc 91,300 3,157,154 Dillards Inc 13,474 334,425 Hartford Financial Services 83,458 7,168,208 Dollar General 91,960 1,753,677 Jefferson Pilot Corp 38,983 2,219,302 Ebay Inc 304,500 13,169,625 Lincoln National Corp 46,240 2,452,107 Family Dollar Stores 45,300 1,122,987 Loews Corp 38,400 3,642,240 Federated Department Stores 75,380 4,999,956 Marsh & McLennan 142,138 4,514,303 Gap Inc 154,749 2,729,772 MBIA Inc 37,850 2,277,056 Genuine Parts 50,088 2,199,865 MetLife Inc 209,600 10,270,400 Home Depot Inc 593,763 24,035,526 Progressive Corp Ohio 53,400 6,236,052 JC Penney Co 70,012 3,892,667 Prudential Financial Inc 139,600 10,217,324 Kohls Corp 91,200 4,432,320 Safeco Corp 32,338 1,827,097 Limited Brands 91,506 2,045,159 St Paul Travelers Cos Inc 195,830 8,747,726 Lowes Companies Inc 216,560 14,435,890 Torchmark Corp 30,524 1,697,134 Nordstrom Inc 57,312 2,143,469 Unumprovident Corp 82,314 1,872,644 Office Depot Inc 86,100 2,703,540 XL Capital Limited 42,300 2,850,174 OfficeMax Inc 18,092 458,813

151,386,964 Radioshack Corporation 38,036 799,897 Materials 2.90% Sears Holdings Corp 26,933 3,111,569 Air Products and Chemicals Inc 60,868 3,602,777 Sherwin Williams 29,250 1,328,535 Alcoa Inc 237,250 7,015,483 Staples Inc 197,525 4,485,793 Allegheny Technologies Inc 18,985 684,979 Target Corporation 238,348 13,101,990 Ashland Inc 16,883 977,526 Tiffany & Co 39,400 1,508,626 Ball Corp 32,416 1,287,564 TJX Companies 131,884 3,063,665 Bemis Co 30,668 854,410 122,924,371 Dow Chemical 265,603 11,638,723 Semiconductors & Semiconductor Equipment 3.17%Dupont EI De Nemours 254,615 10,821,137 Advanced Micro Devices 111,870 3,423,222 Eastman Chemical Company 22,377 1,154,429 Altera Corp 102,000 1,890,060 Ecolab Inc 53,156 1,927,968 Analog Devices 102,400 3,673,088 Engelhard Corp 36,078 1,087,752 Applied Materials 437,800 7,854,132 Freeport Mcmoran Copper & Gold 49,700 2,673,860 Applied Micro Circuits Corp 70,000 179,900 Hercules Inc 31,439 355,260 Broadcom Corporation 80,700 3,805,005 International Flavors 20,941 701,524 Freescale Semiconductor Inc 111,294 2,801,270 International Paper Company 132,556 4,455,207 Intel Corporation 1,686,576 42,096,937 Louisiana Pacific Corp 33,410 917,773 KLA Tencor Corporation 50,400 2,486,232 MeadWestvaco Corporation 50,262 1,408,844 Linear Technology Corp 88,400 3,188,588 Monsanto Company 71,738 5,561,847 LSI Logic Corp 109,800 878,400 Newmont Mining Corp Holding Co 122,584 6,545,986 Maxim Integrated Prod 90,800 3,290,592 Nucor Corp 43,264 2,886,574 Micron Technology Inc 165,500 2,202,805 Pactiv Corporation 42,905 943,910 National Semiconductor 93,158 2,420,245 Phelps Dodge Corp 28,138 4,048,214 Novellus Systems 39,800 959,976 PPG Industries Inc 45,090 2,610,711 Nvidia Corporation 46,600 1,703,696 Praxair Inc 89,664 4,748,605 PMC Sierra Inc 49,400 380,874 Rohm & Haas Co 39,370 1,906,295 Teradyne Inc 55,700 811,549 Sealed Air Corp 22,571 1,267,813 Texas Instruments Inc 459,192 14,726,287 Sigma Aldrich 19,900 1,259,471 Xilinx Inc 91,400 2,304,194 Temple Inland Inc 31,512 1,413,313 101,077,052$




Shares Market Value Shares Market ValueSoftware & Services 4.89% Utilities (cont'd)Adobe Systems Incorporated 156,500 5,784,240$ Sempra Energy 71,244 3,194,581$ Affiliated Computer Services 34,200 2,023,956 Southern Co 201,562 6,959,936 Autodesk Inc 57,816 2,483,197 Teco Energy Inc 53,800 924,284 Automatic Data Processing 157,360 7,221,250 TXU Corporation 137,146 6,883,360 BMC Software 60,800 1,245,792 Xcel Energy Inc 114,575 2,115,055 Citrix Systems Inc 48,200 1,387,196 104,083,066 Computer Association 125,231 3,530,262 Computer Science 52,076 2,637,129 Compuware Corp 110,000 986,700 Total Common Stock 97.29% 3,103,523,281 Convergys Corp 40,900 648,265 (Cost $3,005,606,639)Electronic Arts 81,300 4,252,803 Electronic Data Systems 146,500 3,521,860 Short Term Investments 0.16%First Data Corp 212,389 9,134,851 US Treasury Bill * 5,200,000 5,158,996 Fiserv Inc 56,900 2,462,063 (Amortized Cost $5,158,996)Intuit 45,900 2,446,470 Mercury Interactive Corp 18,200 505,778 Microsoft Corp 2,541,400 66,457,610 Total Invested Assets 97.45% 3,108,682,277 Novell Inc 108,140 954,876 (Cost $3,010,765,635)Oracle Corp 1,038,324 12,677,936 Parametric Technology 80,200 489,220 Paychex Inc 92,350 3,520,382 Sabre Holdings 37,780 910,875 Other Assets and Liabilities 2.55%Siebel Systems Inc 130,120 1,376,670 Cash and cash equivalents 60,408,153 Symantec Corp 302,579 5,295,133 Dividends receivable 4,135,976 Unisys Corp 71,407 416,303 Interest receivable 165,214 Yahoo Inc 349,700 13,701,246 Receivable for investments sold 17,228,759

156,072,063 Payable for investments purchased (384,384) Technology Hardware & Equipment 6.66% Variation margin payable for futures contracts (284,875) ADC Telecommunications Inc 26,985 602,845 Accrued expenses and other payables (143,057) Agilent Technologies Inc 99,830 3,323,341 81,125,786 Andrew Corp 45,504 488,258 Apple Computer 230,440 16,566,332 Avaya Inc 116,991 1,248,294 Net Assets 100.00% 3,189,808,063$ Ciena Corp 142,400 422,928 Cisco Systems Inc 1,711,900 29,307,728 Comverse Technology 51,300 1,364,067 FOOTNOTES:Corning Inc 416,093 8,180,388 Dell Inc 649,000 19,463,510 * Pledged to Broker as collateral for open futures contractsEMC Corp 663,712 9,039,757 Hewlett Packard 793,854 22,728,040 IBM Corp 443,576 36,461,947 At December 31, 2005, the following futures contracts were outstanding:Jabil Circuit Inc 50,700 1,880,463 JDS Uniphase Corp 391,700 924,412 Notional Market UnrealizedLexmark International Inc 29,500 1,322,485 Contracts Description Value Gains/(Losses)Lucent Technologies 1,235,793 3,287,209 215 S & P 500 Index Futures March 06-Long 67,445,500$ (986,050)$ Molex Inc 41,675 1,081,466 Motorola Inc 690,100 15,589,359 NCR Corporation 54,400 1,846,336 Network Appliance Inc 105,000 2,835,000 QLogic Corporation 24,300 789,993 Qualcomm Inc 458,900 19,769,412 Sanmina SCI Corp 150,400 640,704 Scientific Atlanta Inc 42,764 1,841,845 Solectron Corp 267,600 979,416 Sun Microsystems 893,040 3,741,838 Symbol Technologies 66,350 850,607 Tektronix Inc 20,328 573,453 Tellabs Inc 132,300 1,442,070 Xerox Corp 261,298 3,828,016

212,421,519 Telecommunication Services 2.92%Alltel Corp 104,507 6,594,392 AT&T Inc 1,081,776 26,492,694 Bellsouth Corporation 504,536 13,672,926 Centurytel Inc 36,800 1,220,288 Citizen Communications Co 95,200 1,164,296 Qwest Communications Intl 425,595 2,404,611 Sprint Nextel Corp 808,280 18,881,421 Verizon Communications 759,145 22,865,447

93,296,075 Transportation 1.77%Burlington North Santa Fe 103,015 7,295,522 CSX Corp 60,132 3,052,901 FedEx Corporation 83,404 8,623,140 Norfolk Southern Corp 112,464 5,041,761 Ryder System Inc 18,603 763,095 Southwest Airlines 184,218 3,026,702 Union Pacific Corp 73,166 5,890,595 United Parcel Service 304,300 22,868,145

56,561,861 Utilities 3.26%AES Corporation 175,900 2,784,497 Allegheny Energy Inc 38,300 1,212,195 Ameren Corporation 55,419 2,839,670 American Electric Pwr 110,805 4,109,757 Carolina Power & Light 70,504 3,096,536 Centerpoint Energy Inc 87,884 1,129,309 Cinergy Corp 56,366 2,393,300 CMS Energy Corp 62,100 901,071 Consolidated Edison 69,083 3,200,615 Constellation Energy Group 49,390 2,844,864 Dominion Resources Inc 94,637 7,305,976 DTE Energy Company 49,750 2,148,703 Duke Energy Corp 256,330 7,036,259 Dynegy Inc 97,100 469,964 Edison International 91,098 3,972,784 Entergy Corp New 56,516 3,879,823 Exelon Corp 184,464 9,802,417 First Energy Corp 91,189 4,467,349 FPL Group 108,804 4,521,894 Keyspan Energy 45,400 1,620,326 Nicor Inc 12,742 500,888 Nisource Inc 75,300 1,570,758 Peoples Energy Corp 10,749 376,967 PG&E Corporation 93,544 3,472,353 Pinnacle West Capital 28,000 1,157,800 PPL Corporation 105,300 3,095,820 Public Service Enterprise 63,013 4,093,955




FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:

Dividends 58,367,487$

Interest 2,175,223


60,741,976

Expenses:



Asset charge 2,557,552

Audit fees 97,358

11,661,665



on investments:

Net realized gains (losses) - securities (2,626,278)

Net realized gains (losses) - futures 2,050,488











NET ASSETS

Beginning of year -

Transfer to PRIAC from CIGNA 3,295,111,562


End of year 3,189,808,063$


INSTITUTIONALLY SUBADVISED FUNDSGLOBAL GROWTH/MARVIN & PALMER FUND (SAGG1)


Shares Market Value Shares Market Value

Common Stock Austrialia 1.73% Sweden 0.61%BHP Billiton Ltd 5,300 88,448$ Atlas Copco AB 2,400 53,376$ MacQuarie Bank 2,500 124,979 Sandvik 900 41,842Rinker Group Ltd 4,700 56,714 95,218

270,141 Switzerland 5.69%

Bermuda 1.22% ABB Ltd 20,300 196,384 Marvell Technology 3,400 190,706 Alcon Inc 300 38,880

190,706 Nestle SA 450 134,186 Novartis AG 3,300 172,894

Brazil 0.32% Roche Holding AG 2,300 344,315 Companhia De Bebidas 1,300 49,465 886,659

49,465 United Kingdom 4.38%

Canada 1.85% BG Group PLC 15,300 150,900 Talisman Energy Inc 2,100 110,739 British American Tobacco Plc 2,900 64,721 Petro Canada 2,600 103,831 Imperial Tobacco Group PLC 4,800 143,136 Toronto Dominion Bank 1,400 73,263 Rio Tinto PLC 7,100 323,616

287,833 682,373

Denmark 0.60% United States 46.35%AP Moller - Maersk A/S 9 92,797 Advanced Micro Devices 2,900 88,740

92,797 Altria Group Inc 3,500 261,520 America Movil SA de CV 2,700 79,002

Finland 0.25% Amgen Inc 4,300 339,098 Fortum Oyj 2,100 39,237 Apple Computer 6,500 467,285

39,237 Bear Stearns Co Inc 1,100 127,083 Broadcom Corporation 7,400 348,910

France 6.37% Caremark Rx Inc 1,900 98,401 AXA SA 5,000 160,773 Caterpillar Inc 3,200 184,864 Business Objects SA ADR 1,000 40,410 Celgene Corp 1,600 103,680 LVMH Moet Hennessy Louis Vuitton 1,200 106,230 Charles Schwab Corp 5,400 79,218 Societe Generale 1,000 122,555 Chicago Mercantile Exchange 400 146,996 Technip SA 3,500 209,724 Corning Inc 6,800 133,688 Total SA 200 50,060 Crown Castle International 2,800 75,348 Veolia Environnement 6,700 302,210 CVS Corp 3,000 79,260

991,962 Federated Department Stores 1,000 66,330 Genentech Inc 3,500 323,750

Germany 1.25% Genzyme Corp 2,300 162,794 E.ON AG 800 82,531 Gilead Sciences 5,300 278,939 Merck KGaA 1,350 111,547 Goldman Sachs Group Inc 2,400 306,504

194,078 Google Inc 700 290,402 Halliburton Co 1,700 105,332

Greece 0.52% Hewlett Packard 2,700 77,301 National Bank of Greece SA 1,900 80,681 Janus Capital Group Inc 3,300 61,479

80,681 KLA Tencor Corporation 1,600 78,928 Legg Mason Inc 2,200 263,318

Hong Kong 0.30% Lehman Brothers Holdings 2,800 358,876 China Mobile Hong Kong Ltd 10,000 47,333 Lowes Companies Inc 3,600 239,976

47,333 Merrill Lynch Medium Term Note 1,100 74,503 Motorola Inc 3,400 76,806

Italy 1.23% Qualcomm Inc 1,700 73,236 ENI SpA 2,000 55,274 Robert Half International Inc 2,700 102,303 Saipem SpA 8,300 135,693 Schlumberger Ltd 1,600 155,440

190,967 Sirius Satellite Radio Inc 25,200 168,839 Texas Instruments Inc 8,100 259,767

Japan 17.35% UnitedHealth Group Inc 7,500 466,049 Chugai Pharmaceutical Co Ltd 5,900 126,468 Wellpoint Inc 1,400 111,706 Eisai Co Ltd 1,100 46,132 Whole Foods Market Inc 2,600 201,214 Fanuc Ltd 600 50,885 Yahoo Inc 7,600 297,768 Hoya Corp 1,600 57,477 7,214,653 Ibiden Co Ltd 3,200 171,346 Japan Tobacco Inc 9 131,153 JGC Corporation 2,000 38,041 Total Common Stock 97.03% 15,107,602 Keyence Corp 200 56,850 (Cost $12,433,509)Komatsu Ltd 9,000 148,767 Marubeni Corp 18,000 96,535 Total Invested Assets 97.03% 15,107,602 Mitsubishi UFJ Financial 4 54,224 (Cost $12,433,509)Mitsui Fudosan Co Ltd 14,000 284,080 Mitsui Sumitomo Insurance Co Ltd 10,000 122,257 Nikko Cordial Corp 6,500 102,872 Nippon Electric Glass Co Ltd 4,000 87,266 Other Assets and Liabilities 2.97%ORIX Corp 1,800 458,273 Cash and cash equivalents 249,055 Shin-Etsu Chemical Co Ltd 2,600 138,117 Foreign currency (Cost $219,323) 217,963 Sompo Japan Insurance 4,000 54,054 Dividends receivable 15,962 Sumitomo Mitsui Financial Group 19 201,221 Interest receivable 772 Yamada Denki Co Ltd 2,200 275,117 Forward foreign contracts receivable (742)

2,701,135 Forward foreign contracts payable (19,252) Accrued expenses and other payables (933)

Mexico 0.30% 462,825 Cemex SA de CV 8,000 47,432

47,432 Net Assets 100.00% 15,570,427$

Netherlands 1.23%Aegon NV 4,700 76,228 ASML Holding NV 5,800 115,620 FOOTNOTES:

191,848 At December 31, 2005, the following forward foreign currency contracts were outstanding:

Norway 0.94%Statoil ASA 6,400 146,502 In Exchange Unrealized

146,502 Settlement Date Contracts to Deliver For Gains/(Losses)01/27/2006 JPY 70,930,000 592,456$ (10,662)$

Singapore 0.68% 01/27/2006 USD 611,708 603,119 (8,590) Keppel Corp Ltd 16,000 105,846 1,195,575$ (19,252)$

105,846

South Korea 3.57% At December 31, 2005, the Fund's industry exposure as a % of invested assets was as follows:Hana Financial Holdings 909 41,545 Hyundai Motor Co 500 48,128 Banks - 5% Materials - 4%Kookmin Bank 700 52,975 Capital Goods - 6% Media - 1%NHN Corp 640 170,945 Commercial Services & Supplies - 1% Pharmaceuticals & Biotechnology - 13%Samsung Electronics Co Ltd 310 202,097 Consumer Durables & Apparel - 1% Real Estate - 2%Shinhan Financial Group Co Ltd 1,000 40,610 Diversified Financials - 14% Retail - 4%

556,300 Energy - 8% Semiconductors & Equipement - 9%Food & Staples Retailing - 2% Software & Services - 5%Food, Beverage & Tobacco - 5% Technology Hardware & Equip. - 8%

Spain 0.29% Health Care Equipment & Services - 5% Transportation - 1%Banco De Sabadell SA 1,700 44,436 Insurance - 3% Utilities - 3%

44,436$


INSTITUTIONALLY SUBADVISED FUNDSGLOBAL GROWTH/MARVIN & PALMER FUND (SAGG1)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Dividends, net of foreign tax of $20,805 230,479$ Interest 10,746

241,225 Expenses: Investment management fees 177,971 Custodian fees 16,767 Asset charge 14,214 Audit fees 475

209,427 Net investment income 31,798

Realized and unrealized gains (losses) on investments: Net realized gains (losses) - securities (658,661) Net realized gains (losses) - forward foreign currency exchange 881 Net realized gains (losses) - foreign currency (33,209) Net change in unrealized gains 2,653,481






NET ASSETS

Beginning of year - Transfer to PRIAC from CIGNA 16,586,079 Net increase (decrease) for the year (1,015,652) End of year 15,570,427$


INSTITUTIONALLY SUBADVISED FUNDSGLOBAL VALUE/MORGAN STANLEY FUND (SAGSF)


Shares Market Value Shares Market ValueCommon Stocks Australia 2.25% United States (Cont'd)Boral Limited 40,571 241,063$ Gap Inc 9,178 161,900$ Fosters Group Ltd 74,790 306,131 General Dynamics Corp 1,766 201,412 National Australia Bank Ltd 15,929 378,585 Hewlett Packard 19,195 549,553

925,779 IBM Corp 11,650 957,630 Loews Corp 1,115 49,049

Bermuda 0.82% MBIA Inc 723 43,496 XL Capital Limited 5,002 337,035 McDonalds Corp 14,965 504,620

337,035 Mellon Financial Corporation 14,512 497,036 Merrill Lynch Medium Term Note 8,355 565,884

France 5.57% New York Times Co 6,173 163,276 BNP Paribas 6,870 553,875 Northrop Grumman Corp 6,036 362,824 Lafarge 5,131 459,973 Pfizer Inc 28,268 659,210 Sanofi-Aventis 6,938 605,595 Schering Plough Corp 40,366 841,631 Total SA 2,693 674,059 St Paul Travelers Cos Inc 11,000 491,370

2,293,502 Tyco International 33,973 980,461 Verizon Communications 12,366 372,464

Germany 1.56% Viacom Inc 11,037 359,806 BASF AG 2,984 227,835 Wyeth 19,489 897,858 Bayerische Motoren Werke AG 9,512 415,136 Xerox Corp 31,534 461,973

642,971 16,651,804

Hong Kong 0.58%HongKong Electric Holdings 48,500 240,200 Total Common Stock 96.82% 39,902,812

240,200 (Cost $38,559,666)

Ireland 2.34%Bank of Ireland 1,559 24,458 Total Invested Assets 96.82% 39,902,812 Bank of Ireland 36,646 575,335 (Cost $38,559,666)Kerry Group Plc 16,566 365,601

965,394

Italy 3.06% Other Assets and Liabilities 3.18%ENI SpA 28,052 775,269 Cash and cash equivalents 1,766,260 Telecom Italia SpA 195,617 483,400 Foreign currency (Cost $45,339) 46,443

1,258,669 Dividends receivable 110,245 Interest receivable 5,828

Japan 8.82% Receivable for investments sold 5,579 Canon Inc 8,500 496,908 Payable for investments purchased (623,098) Fuji Photo Film Co Ltd 12,400 409,726 Accrued expenses and other payables (2,475) Kao Corp 20,000 535,457 1,308,782 Mitsui Sumitomo Insurance Co Ltd 22,320 272,878 Sekisui House Ltd 4,000 50,292 Sumitomo Electric Industries Ltd 37,500 569,029 Net Assets 100.00% 41,211,594$ Takeda Pharmaceutical Co Ltd 12,200 659,459 Toyota Motor Corp 4,200 217,775 Yamanouchi Pharm 10,900 424,807

3,636,331 At December 31, 2005, the Fund's industry exposure as a % of invested assets was as follows:

Netherlands 4.30%Royal Dutch Shell Plc 15,034 924,441 Automotive - 2%Royal Philips 6,263 193,922 Banks - 9%Unilever NV 5,585 381,103 Capital Goods - 10%Wolters Kluwer 13,573 273,451 Consumer Durables & Apparel - 2%

1,772,917 Consumer Services - 1%Energy - 7%

New Zealand 0.90% Financial Services - 9%Telecom Corp Of New Zealand 90,738 371,401 Food & Staples Retailing - 2%

371,401 Food & Beverage - 12%Household & Personal Products - 2%

Spain 1.87% Insurance - 4%Banco Bilbao Vizcaya Argentari 23,048 409,969 Materials - 4%Telefonica SA 24,154 362,119 Media - 4%

772,088 Pharmaceuticals - 15%Software & Services - 1%

Switzerland 4.00% Technology - 6%Nestle SA 1,733 516,764 Telecommunications - 7%Novartis AG 3,736 195,736 Transport - 1%Syngenta AG 3,758 466,204 Utilities - 2%UBS AG 4,953 470,139

1,648,843

South Korea 0.77%SK Telecom Co Ltd ADR 15,722 318,999

318,999

Taiwan 0.72%Chunghwa Telecom Co Ltd 16,256 298,298

298,298

United Kingdom 18.85%Amvescap Plc 30,445 231,018 BAA Plc 24,824 267,207 Barclays Plc 53,636 562,606 Cadbury Schweppes Plc 89,190 841,378 Diageo Plc 32,400 468,621 GlaxoSmithKline Plc 43,657 1,100,988 Imperial Tobacco Group Plc 24,698 736,493 Morrison WM Supermarkets 127,883 424,816 Reckitt Benckiser Plc 2,845 93,776 Reed Elsevier Plc 73,703 690,852 Rentokil Initial Plc 58,941 165,441 Rolls-Royce Group Plc 98,858 725,529 Royal Bank of Scotland Group Plc 21,644 652,111 Vodafone Group Plc 267,937 577,276 WPP Group Plc 21,343 230,469

7,768,581

United States 40.41%Alcoa Inc 10,804 319,474 Altria Group Inc 12,729 951,111 American Electric Pwr 10,847 402,315 American International Group 3,722 253,952 AT&T Inc 8,483 207,749 BJs Wholesale Club Inc 11,309 334,294 Boeing Co 16,426 1,153,762 Bristol Myers Squibb 20,120 462,358 Chevron Corporation 8,089 459,213 Citigroup Inc 35,321 1,714,128 Exxon Mobil Corporation 3,236 181,766 First Data Corporation 10,692 459,863 Freddie Mac 9,646 630,366


INSTITUTIONALLY SUBADVISED FUNDSGLOBAL VALUE/MORGAN STANLEY FUND (SAGSF)


FOR THE YEAR ENDED

DECEMBER 31, 2005



1,107,050 Expenses: Investment management fees 242,024 Custodian fees 27,941 Asset charge 9,134 Audit fees 1,308


Realized and unrealized gains (losses) on investments: Net realized gains (losses) - securities 27,588 Net realized gains (losses) - foreign currency (51,959) Net change in unrealized gains 1,344,250






NET ASSETS



INSTITUTIONALLY SUBADVISED FUNDSINTERNATIONAL BLEND/THE BOSTON COMPANY FUND (SABIA)


Shares Market Value Shares Market ValueCommon Stock Austria 2.14% Japan 23.30%Boehler-Uddeholm AG 21,200 3,573,423$ Aeon Co Ltd 137,200 3,487,249$ OMV AG 176,600 10,311,272 Bridgestone Corp 175,000 3,639,964 Pacific Brands Ltd 1,001,500 1,954,170 Canon Inc 147,600 8,628,653

15,838,865 Chubu Electric Power Co Inc 85,100 2,026,019 Australia 4.14% Daiwa Securities Group Inc 445,000 5,040,795 Caltex Australia Ltd 365,600 5,197,442 Diamond Lease Co Ltd 44,100 2,013,886 Fosters Group Ltd 483,100 1,977,429 Eisai Co Ltd 107,500 4,508,388 MacQuarie Bank 133,700 6,683,854 Fujitsu Ltd 452,000 3,438,922 Qantas Airways Ltd 1,124,000 3,331,021 Honda Motor Co Ltd 141,000 8,039,735 QBE Insurance Group Ltd 261,300 3,756,862 Hoya Corp 194,600 6,990,629 Rinker Group Ltd 630,600 7,609,386 Japan Tobacco Inc 219 3,191,392 Westpac Banking Corp 129,700 2,164,468 Kobe Steel Ltd 2,211,000 7,155,825

30,720,462 Komatsu Ltd 663,000 10,959,188 Belgium 1.05% Kubota Corp 943,000 7,917,588 KBC Bancassurance Holding 83,700 7,764,984 Kyowa Hakko Kogyo Co Ltd 333,000 2,321,943

7,764,984 Matsushita Electric Industrial 180,000 3,469,457 Bermuda 0.33% Mitsubishi Corp 409,000 9,044,226 Kerry Properties Ltd 916,700 2,429,621 Mitsui OSK Lines Ltd 677,000 5,902,169

2,429,621 Mizuho Financial Group Inc 539 4,274,371 Denmark 0.82% Nippon Steel Corp 2,403,000 8,550,877 Novo Nordisk AS 108,090 6,059,652 Nisshin Seifun Group Inc 266,500 2,813,344

6,059,652 Nomura Holdings Inc 129,500 2,479,624 Finland 2.16% NTT Corp 1,504 6,829,992 Fortum Oyj 117,200 2,189,773 Sankyo Co Ltd/Gunma 57,100 3,304,185 Kesko OYJ 141,200 3,988,931 Santen Pharmaceutical Co 114,900 3,173,549 Nokia OYJ 314,200 5,725,996 Sanyo Shinpan Finance Co Ltd 72,400 5,189,392 Rautaruukki Oyj 168,500 4,084,398 Sumitomo Electric Industries Ltd 329,200 4,995,316

15,989,098 Sumitomo Rubber Industries Inc 364,000 5,181,056 France 8.66% Sumitomo Trust & Banking Co Ltd 593,000 6,054,096 BNP Paribas 126,600 10,206,776 Takeda Pharmaceutical Co Ltd 98,400 5,318,919 Bouygues 108,100 5,266,136 Tokyo Electron Ltd 37,400 2,347,996 Elior 198,800 2,602,889 Toshiba Corp 627,000 3,739,795 France Telecom SA 113,600 2,812,595 Toyo Suisan Kaisha Ltd 189,100 3,050,465 Sanofi-Aventis 61,300 5,350,675 Toyota Motor Corp 92,000 4,770,312 Societe Generale 109,600 13,432,055 Yamanouchi Pharm 73,400 2,860,629 Suez SA 114,400 3,548,936 172,709,946 Total SA 35,900 8,985,788 Luxembourg 0.53%Vinci SA 43,400 3,719,133 Arcelor 158,600 3,919,255 Vivendi Universal SA 264,700 8,261,523 3,919,255

64,186,506 Netherlands 3.96%Germany 6.38% Buhrmann N.V. 412,700 6,050,928 Bayerische Motoren Werke AG 43,900 1,915,943 ING Groep NV 412,500 14,256,336 Continental AG 121,900 10,769,657 Koninklijke DSM Nv 69,300 2,820,127 Deutsche Bank AG 51,300 4,960,685 Royal Dutch Shell PLC A Shares 206,000 6,263,150 Deutsche Telekom AG 158,300 2,625,322 29,390,541 E.ON AG 86,700 8,944,271 New Zealand 0.30%Fresenius AG 19,000 2,563,870 Fletcher Building 432,900 2,225,940 Henkel KGAA-Vorzug 40,700 4,080,653 2,225,940 SAP AG 13,860 2,504,273 Norway 1.74%Schering AG 74,100 4,942,733 DNB NOR ASA 413,100 4,392,571 ThyssenKrupp AG 192,600 4,007,479 Norsk Hydro ASA 34,300 3,510,415

47,314,886 Orkla ASA 121,800 5,027,595 Great Britain 21.19% 12,930,581 Alliance Unichem Plc 242,900 3,338,074 AstraZeneca Plc 191,200 9,285,983 Papua New Guinea 0.44%Aviva Plc 582,900 7,054,890 Oil Search Ltd 1,203,300 3,257,092 Barclays Plc 624,541 6,551,024 3,257,092 Barratt Developments Plc 334,400 5,660,441 Spain 3.02%BHP Billiton Plc 315,200 5,137,931 ACS Actividades Cons y Serv 156,700 5,029,374 BP Plc 1,294,500 13,756,241 Banco Santander Central Hispan 158,600 2,085,904 British Airways Plc 642,500 3,684,060 Corp Mapfre SA 237,000 3,899,769 British American Tobacco Plc 323,500 7,219,792 Gestvision Telecinco SA 99,300 2,497,197 BT Group Plc 974,700 3,727,312 Repsol YPF SA 219,000 6,372,790 Diageo Plc 210,100 3,038,806 Union Fenosa SA 67,300 2,495,030 Enterprise Inns Plc 322,600 5,194,865 22,380,064 GlaxoSmithKline Plc 102,300 2,579,910 Sweden 2.51%Greene King Plc 223,500 2,848,925 Atlas Copco AB 106,500 2,368,570 HBOS Plc 680,800 11,605,821 Ericsson 915,200 3,139,366 Inchcape Plc 161,810 6,336,329 Nordea Bank AB 209,000 2,166,524 International Power Plc 888,100 3,651,526 Skandinaviska Enskilda Banken 219,700 4,513,476 Kelda Group Plc 404,000 5,368,209 Volvo AB 136,300 6,413,735 National Grid Plc 353,000 3,445,182 18,601,671 Old Mutual Plc 2,825,400 7,991,208 Switzerland 7.11%Royal Bank of Scotland Group Plc 151,300 4,558,512 Baloise Holding AG 31,200 1,816,913 Royal Dutch Shell Plc 29,100 928,209 Compagnie Financiere Richemont 100,100 4,344,414 Sage Group Plc 769,900 3,410,053 Credit Suisse Group 242,700 12,338,025 Schroders Plc 126,800 2,067,997 Logitech International-Reg 106,800 5,003,907 Standard Chartered Plc 119,900 2,665,606 Nestle SA 25,655 7,650,074 Tullow Oil Plc 586,000 2,716,242 Novartis AG 103,000 5,396,373 Vodafone Group Plc 5,685,800 12,250,177 Sulzer AG 10,840 5,724,527 Wolseley Plc 243,200 5,114,542 UBS AG 29,600 2,809,636 Xstrata Plc 253,300 5,913,998 Zurich Financial Services AG 35,900 7,626,996

157,101,865 52,710,865 Greece 1.04%Hellenic Bottling Co 188,400 5,529,013 Total Common Stock 95.76% 709,879,079 National Bank of Greece SA 51,400 2,182,639 (Cost $614,761,415)

7,711,652 Hong Kong 1.38% Total Invested Assets 95.76% 709,879,079 Cheung Kong 188,000 1,928,845 (Cost $614,761,415)China Mobile Hong Kong Ltd 1,185,200 5,609,926 Wharf Holdings Ltd 772,000 2,728,144 Other Asset and Liabilities 4.24%

10,266,915 Cash and cash equivalents 17,722,425 Ireland 1.18% Foreign currency (Cost $114,047) 66,498 Anglo Irish Bank Corp Plc 305,400 4,618,207 Interest receivable 18,881 CRH Plc 141,100 4,135,897 Dividends receivable 1,740,072

8,754,104 Receivable for investments sold 11,953,110 Italy 2.38% Accrued expenses and other payables (97,663) Banca Intesa SpA 1,270,600 6,706,845 31,403,323 Capitalia SpA 946,200 5,457,681 ENI SpA 197,200 5,449,988 Net Assets 100.00% 741,282,402$

17,614,514$


INSTITUTIONALLY SUBADVISED FUNDSINTERNATIONAL BLEND/THE BOSTON COMPANY FUND (SABIA)


At December 31, 2005, the Funds's Industry Exposure as a % of total invested assets was as follows:

Automotive - 5%Banks - 14%Capital Goods - 9%Commercial Services & Supplies - 1%Consumer Durables & Apparel - 2%Energy - 9%Financial Services - 9%Food & Drug Retailers - 1%Food, Beverage & Tobacco - 6%Healthcare - 1%Hotel, Restaurant & Leisure - 1%Household Products - 1%Insurance - 3%Materials - 8%Media - 2%Pharmaceuticals & Biotechnology - 7%Real Estate - 1%Retail - 1%Semiconductors & Semiconductor Equipment - 1%Software & Services - 1%Technology Hardware & Equipment - 5%Telecommunication Services - 6%Transportation - 2%Utilities - 4%



INTERNATIONAL BLEND/THE BOSTON COMPANY FUND (SABIA)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:

Dividends, net of foreign tax of $1,870,788 16,294,666$

Interest 286,577

16,581,243

Expenses:




Audit fees 20,710

8,148,900



on investments:

Net realized gains (losses) - securities 3,511,121

Net realized gains (losses) - foreign currency (550,195)











NET ASSETS

Beginning of year -



End of year 741,282,402$


INSTITUTIONALLY SUBADVISED FUNDSINTERNATIONAL EQUITY/JULIUS BAER FUND (SAIE2)


Shares Market Value Shares Market ValueCommon Stocks Australia 2.51% Germany (cont'd)BHP Billiton Ltd 228,463 3,812,651$ DaimlerChrysler AG 21,943 1,115,034$ Brambles Industries Limited 84,462 627,006 Deutsche Bank AG 29,960 2,897,117 CSL Ltd/Australia 29,433 917,600 Deutsche Boerse AG 11,776 1,200,407 Macquarie Airports Management 251,794 585,510 Deutsche Post AG 111,372 2,695,692 Newcrest Mining Ltd 235,138 4,191,397 Deutsche Postbank 12,321 711,838 News Corp Inc 181,066 3,007,506 Deutsche Telekom AG 91,194 1,512,404 Patrick Corp Ltd 139,080 754,964 Deutsche Wohnen AG 4,152 926,067 Rio Tinto Ltd 32,896 1,665,029 E.ON AG 28,849 2,976,162

15,561,663 Fraport AG Frankfurt Airport 124,543 6,597,490 Austria 2.51% Freenet de AG 10,488 260,783 Erste Bank der Oesterreichisch 9,782 542,880 Fresenius AG 7,266 910,614 Flughafen Wien AG 19,992 1,426,449 Fresenius Medical Care AG 27,692 2,908,411 Immoeast Immobilien Anlagen AG 106,055 1,040,808 Henkel KGaA 12,025 1,108,487 OMV AG 95,988 5,604,521 Henkel KGAA-Vorzug 1,943 194,809 Raiffeisen Intl Bank Holding 44,694 2,928,530 Hypo Real Estate Holding AG 11,776 610,343 Telekom Austria AG 88,650 1,986,775 INDEXCHANGE - DAXEX 302,155 18,540,289 Wiener Staedtische Versicher 20,191 1,187,242 IVG Immobilien AG 38,349 804,723 Wienerberger AG 22,169 883,851 KarstadtQuelle AG 21,149 317,816

15,601,056 Linde AG 17,564 1,362,805 Belgium 1.82% MAN AG 6,216 330,530 Almancora Comm Va 11,546 1,259,765 Metro AG 13,161 633,226 Fortis 69,228 2,200,680 Muenchener Rueckversicherungs 4,350 586,837 InBev NV 16,578 719,022 Prakitiker Bau-und Heimwerk 26,111 472,768 KBC Bancassurance Holding 77,034 7,146,568 ProSieben SAT 1 Media AG 75,248 1,440,555

11,326,035 Q-Cells AG 520 30,257 Bermuda 0.18% Rhoen-Klinikum AG 15,656 596,301 Central European Media 9,100 526,890 RWE AG 25,511 1,877,108 Clear Media Ltd 304,000 247,009 Schering AG 9,356 624,078 Texwinca Holdings Ltd 445,996 322,121 Siemens AG 47,786 4,079,206

1,096,020 Solarworld AG 3,599 475,462 Brazil 0.09% Volkswagen AG PFD 2,424 92,496 Diagnosticos Da America 29,689 552,975 68,776,339

552,975 Greece 1.06%Bulgaria 0.00% Alpha Bank AE 53,068 1,546,130 PKB Compensator Bond 84,566 30,035 Bank of Cyprus Public Co Ltd 201,716 1,094,497

30,035 Hellenic Telecommunications Or 96,144 2,041,320 Canada 0.16% National Bank of Greece SA 44,305 1,881,359 Bema Gold Corp 153,101 441,682 6,563,306 Centerra Gold Inc 1,946 46,895 Hong Kong 0.10%Eldorado Gold Corp 86,624 421,941 China Merchants Holdings Inter 274,154 595,791 Ivanhoe Mines Ltd/CA 8,892 63,560 595,791

974,078 Hungary 0.58%China 0.17% Egis Rt 6,345 665,414 Beijing Capital International 724,000 331,487 Matav Magyar Tavkozlesi Rt 270,031 1,204,919 Weiqiao Textile Co 533,496 729,351 OTP Bank Rt 52,336 1,703,677

1,060,838 3,574,010 Czech Republic 1.33% India 0.58%Komercni Banka AS 59,258 8,280,882 CLSA Financial - CW10 30,551 627,120

8,280,882 CLSA Financial Pro 372,807 3,008,292 Denmark 0.81% 3,635,412 Alk Abello A/S 5,260 560,650 Indonesia 0.14%Bryggerigruppen A/S 13,175 1,108,430 Telekomunikasi Indonesia Tbk P 1,410,006 845,430 Danske Bank A/S 49,604 1,741,468 845,430 Novo Nordisk AS 5,550 311,139 Italy 5.49%TDC A/S 12,100 722,351 Assicurazioni Generali SpA 70,951 2,470,536 Vestas Wind Systems 37,383 611,872 Autostrada Torino-Milano SpA 7,763 146,052

5,055,910 Banca Intesa SpA 372,515 1,966,315 Egypt 0.07% Banca Intesa SpA 445,276 2,192,816 Telecom Egypt 22,425 409,496 Banca Popol Emilia Romagna 8,254 419,622

409,496 Banca Popolare di Milano SCRL 217,774 2,377,381 Finland 0.61% Banca Popolare di Sondrio 25,265 364,768 Fortum Oyj 43,078 804,872 Banche Popolari Unite 52,617 1,149,432 Nokia OYJ 128,588 2,343,394 Banco Popolare di Verona e Nov 54,675 1,102,167 Stockmann Oyj Abp 16,020 614,700 Beni Stabili SpA 260,577 250,348

3,762,966 Buzzi Unicem 59,269 924,220 France 9.70% Capitalia SpA 168,922 974,342 Accor SA 5,745 314,837 Cassa di Risparmio di Firenze 567,449 1,673,336 Air Liquide 10,992 2,106,912 Credito Emiliano SpA 185,456 2,061,762 Alcatel SA 153,476 1,895,412 Finmeccanica 30,551 589,196 Alstom RGPT 6,287 360,558 Geox SpA 5,934 65,060 Atos Origin 8,047 528,221 Luxottica Group SpA 21,417 541,374 BNP Paribas 72,037 5,807,784 Parmalat SpA 166,390 404,797 Bouygues 52,136 2,539,827 Safilo SpA 121,226 692,082 Carrefour SA 11,557 539,557 Societa Iniziative Autostradal 13,706 166,681 Cie de Saint-Gobain 19,920 1,180,706 Unicredito Italiano SpA 1,985,490 13,583,515 Electricite De France 15,892 599,478 34,115,802 Eurazeo 2,544 264,518 Japan 14.54%France Telecom SA 100,563 2,489,815 Aeon Credit Service Co Ltd 14,054 1,328,837 Generale De Sante 34,852 1,196,292 Aiful Corp 22,250 1,856,837 Havas SA 41,611 179,150 Aisin Seiki Co Ltd 14,300 524,604 JC Decaux SA 8,065 187,407 Asahi Breweries Ltd 24,166 294,627 Lafarge 60,239 5,400,173 Bank of Fukuoka Ltd/The 26,000 222,266 Lagardere SCA 7,966 610,759 Bank of Yokohama Ltd/The 125,000 1,021,986 LVMH Moet Hennessy Louis Vuitt 57,862 5,122,247 Bosch Corporation 85,027 410,619 Pernod-Ricard 21,585 3,752,890 Bridgestone Corp 23,000 478,395 PPR 18,348 2,059,273 Canon Inc 37,543 2,194,753 Publicis Groupe 14,609 506,622 Chiba Bank Ltd/The 44,000 368,686 Remy Cointreau 6,490 306,211 Credit Saison Co Ltd 43,946 2,193,018 Renault SA 11,190 909,422 Dai Nippon Printing Co Ltd 12,000 213,505 Sanofi-Aventis 86,501 7,550,387 Daikin Industries Ltd 13,300 388,757 Schneider Electric SA 12,133 1,078,370 Denso Corp 39,851 1,374,172 Societe Television Francaise 1 78,463 2,169,396 Dentsu Inc 107 348,115 Suez SA 49,911 1,548,347 East Japan Railway Co 99 680,242 Total SA 22,112 5,534,645 Exedy Corp 7,600 212,488 Vinci SA 18,846 1,614,995 Fanuc Ltd 8,100 686,952 Vivendi Universal SA 60,432 1,886,137 Fuji Photo Film Co Ltd 13,250 437,812

60,240,348 Fuji Television Network Inc 643 1,617,987 Germany 11.08% Fujitsu Ltd 39,000 296,721 Aareal Bank AG 41,698 1,573,916 Gunma Bank 31,000 229,027 Adidas-Salomon AG 8,306 1,570,906 Hitachi Capital Corp 30,800 613,234 Allianz AG 5,999 905,390 Honda Motor Co Ltd 50,912 2,902,972 BASF AG 15,184 1,159,333 Ibiden Co Ltd 18,000 963,823 Bilfinger Berger AG 19,023 907,192 Itochu Corp 79,000 658,612 Commerzbank AG 105,012 3,247,790 Jafco Co Ltd 4,700 419,309 Continental AG 5,905 521,697 Japan Tobacco Inc 102 1,486,402




Shares Market Value Shares Market ValueJapan (cont'd) Russia (cont'd)JS Group Corp 15,428 308,482$ Sberbank RF 6,246 8,182,260$ Koito Manufacturing Co Ltd 42,507 652,569 24,091,268 Leopalace 21 Corp 9,754 353,699 Singapore 0.07%LEPO Nikkei 225 Index 28,565 3,753,649 SingTel 296,000 464,614 LEPO Topix Index 95,966 1,304,155 464,614 Matsushita Electric Industrial 228,915 4,412,282 South Korea 1.07%Mitsubishi UFJ Financial 550 7,455,731 NHN Corp 1,428 381,421 Mitsui Fudosan Co Ltd 35,747 725,358 Samsung Electronics Co Ltd 9,577 6,243,498 Mizuho Financial Group Inc 583 4,623,299 6,624,919 NGK Spark Plug Co Ltd 20,000 432,094 Spain 1.73%Nikko Cordial Corp 48,134 761,792 ACS Actividades Cons y Serv 18,168 583,112 Nissan Motor Co Ltd 26,696 270,285 Banco Bilbao Vizcaya Argentari 228,903 4,071,638 Nitto Denko Corp 18,600 1,448,225 Corp Mapfre SA 29,534 485,974 Nomura ETF - Nikkei 225 Exch 31,480 4,310,063 Empresa Nacional De Celu 23,300 720,068 Nomura Holdings Inc 101,738 1,948,046 Endesa SA 56,012 1,468,052 NSK Ltd 48,000 327,781 Fadesa Inmobiliaria SA 8,242 270,656 ORIX Corp 3,900 992,926 Grupo Ferrovial SA 17,828 1,230,198 Ricoh Co Ltd 66,000 1,154,706 Inditex SA 27,742 901,521 Secom Co Ltd 13,000 679,573 Promotora de Informaciones SA 30,482 517,753 Sega Sammy Holdings Inc 15,300 512,031 Telefonica SA 35,061 525,637 Seiyu Ltd/The 133,501 380,042 10,774,609 Seven & I Holdings Co Ltd 18,462 789,910 Sweden 3.43%Sharp Corp 60,000 911,972 Capio Ab 76,157 1,354,034 SMC Corp/Japan 3,708 529,355 Elekta AB 23,674 351,008 Sony Corp 60,044 2,452,021 Ericsson 263,305 903,202 Sumitomo Corp 48,411 625,492 ForeningsSparbanken AB 167,444 4,555,026 Sumitomo Mitsui Financial Grou 489 5,178,768 Getinge AB 72,436 996,625 Sumitomo Rubber Industries Inc 24,000 341,608 Hennes & Mauritz AB 12,350 418,981 Sumitomo Trust & Banking Co Ltd 104,483 1,066,695 Modern Times Group AB 44,150 1,838,982 Suzuki Motor Corp 16,100 298,047 Nordea Bank AB 463,000 4,799,525 Takeda Pharmaceutical Co Ltd 9,300 502,703 Skandinaviska Enskilda Banken 190,823 3,920,232 Takefuji Corporation 2,620 177,804 Skanska AB 121,459 1,846,624 Tdk Corp 3,900 268,635 TeliaSonera AB 55,500 297,772 Tokyo Price Index 470,200 6,624,948 21,282,011 Toppan Printing Co Ltd 20,000 233,500 Switzerland 6.80%Toshiba Corp 167,204 997,302 BKW FMB Energie AG 2,650 176,941 Toyota Motor Corp 121,559 6,302,982 Compagnie Financiere Richemont 46,955 2,037,882 Trend Micro Inc 8,500 321,190 Credit Suisse Group 83,749 4,257,508 Yamaha Motor Co Ltd 37,200 970,736 Dufry Group 7,687 484,101 Yamanouchi Pharm 7,368 287,154 Holcim Ltd 61,211 4,156,747 Yamato Holdings Co Ltd 11,053 183,171 Nestle SA 34,815 10,381,498

90,295,539 Novartis AG 148,165 7,762,657 Luxembourg 0.07% Roche Holding AG 54,651 8,181,374 Millicom Intl Cellular SA 16,014 429,816 SGS SA 1,176 988,663

429,816 Swatch Group AG 24,405 3,610,892 Mexico 0.68% Unique Zurich Airport 926 165,745 Fomento Economico Mexicano 28,500 2,066,535 42,204,008 Fomento Economico Mexicano SA 135,973 984,233 Turkey 4.17%Grupo Financiero Banorte SA de 553,700 1,146,162 Akbank TAS 606,327 4,934,959

4,196,930 Dogan Sirketler Grubu Holding 1,165,544 3,794,594 Netherlands 3.35% Haci Omer Sabanci Holding AS 729,418 4,128,781 Aegon NV 35,033 568,194 Koc Holdings 570,363 2,679,839 Euronext NV 16,983 881,421 Turkcell Iletisim Hizmetleri 1 6 European Aeronautic Defence 24,067 905,585 Turkiye Garanti Bankasi 1,046,200 3,793,103 Heineken NV 36,506 1,153,164 Turkiye Is Bankasi 624,050 5,402,431 ING Groep NV 109,599 3,787,831 Turkiye Vakiflar Bankasi 218,775 1,157,411 Koninklijke Kpn Nederland 306,615 3,063,326 25,891,124 Royal Numico NV 23,949 988,152 Ukraine 0.02%Royal Philips 146,796 4,545,272 Centrenergo Sponsored ADR 1,995 11,449 TNT NV 96,385 3,001,440 Ukrnafta 204 49,244 Unilever NV 21,376 1,458,633 UkrTelecom 9,647 61,072 VNU NV 13,047 431,062 121,765

20,784,080 United Kingdom 11.94%New Zealand 0.12% Aegis Group 270,876 567,332 Auckland International Airport 544,921 734,815 Anglo American Plc 22,584 767,280

734,815 Associated British Ports Holdi 110,080 1,109,312 Norway 1.97% BAA Plc 238,297 2,565,034 Acta Holding Asa 375,500 992,645 Balfour Beatty Plc 79,799 487,702 DNB NOR Asa 53,997 574,160 Barclays Plc 316,576 3,320,674 Norsk Hydro Asa 39,961 4,089,787 BG Group Plc 33,725 332,621 Orkla Asa 17,057 704,070 BP Plc 50,424 535,840 Sparebanken Rogaland 2 68 British Aerospace Plc 89,301 585,251 Statoil Asa 206,343 4,723,377 British Land Co Plc 28,468 520,980 Telenor Asa 30,871 302,042 British Sky Broadcasting Plc 51,635 440,119 Tomra Systems Asa 121,878 869,368 Burberry Group Plc 172,463 1,272,386

12,255,517 Cadbury Schweppes Plc 62,911 593,474 Philippines 0.09% Celtic Resources Holdings Plc 43,524 138,979 Philippine Long Distance Telep 16,868 583,629 Compass Group Plc 420,235 1,590,772

583,629 Depfa Bank Plc 9,726 143,748 Poland 3.67% Diageo Plc 445,288 6,440,476 Agora SA 31,176 660,387 Dragon Oil Plc 671,754 2,289,169 Bank BPH 8,518 1,962,534 GlaxoSmithKline Plc 360,687 9,096,186 Bank Handlowy w Warszawie 23,697 483,776 Highland Gold Mining Ltd 80,307 338,464 Bank Pekao SA 129,774 6,952,036 Hilton Group Plc 642,435 4,009,043 Bank Zachodni WBK SA 42,106 1,829,066 Imperial Tobacco Group Plc 57,838 1,724,726 CCC SA 31,910 305,640 Kazakhmys Plc 20,173 267,879 Polski Koncern Miesny Duda SA 171,199 572,871 Kingfisher Plc 73,882 300,921 Powszechna Kasa Oszczednosci 893,361 7,953,420 London Stock Exchange Plc 27,628 294,068 Telekomunikacja Polska SA 287,206 2,063,185 Meinl European Land Ltd 14,359 252,533

22,782,915 National Grid Plc 38,856 379,224 Portugal 0.23% Nykredit 157,701 1,261,617 Banco Comercial Portugues SA 220,691 606,536 Pearson Plc 50,499 596,022 Jeronimo Martins 14,315 214,443 Peter Hambro Mining Plc 53,788 852,303 Portugal Telecom SGPS SA 62,705 632,389 Prudential Plc 143,705 1,356,881

1,453,368 Reckitt Benckiser Plc 65,261 2,151,107 Romania 0.26% Rolls-Royce Group Plc 212,020 1,556,037 SNP Petrom SA 10,727,750 1,638,191 Royal Bank of Scotland Group Plc 159,513 4,805,961

1,638,191 Sabmiller Plc 30,972 564,146 Russia 3.88% Scottish & Newcastle Plc 134,855 1,126,307 JSC MMC Norilsk Nickel ADR 41,961 3,944,879 Scottish Power Plc 113,302 1,057,168 Lukoil 83,400 4,962,300 Smith & Nephew Plc 97,809 899,177 Morgan Stanley Gazprom 87,194 6,365,162 Smiths Group Plc 27,925 501,455 NovaTek OAO 1,272 27,666 Telewest Global Inc 21,296 507,271 Novatek OAO 277 602,475 Tesco Plc 840,729 4,784,611 RBC Information Systems 974 6,526 Vodafone Group Plc 3,673,500 7,914,634

William Hill Plc 123,045 1,131,177 Wolseley Plc 25,358 533,283




Shares Market ValueUnited Kingdom (cont'd)WPP Group Plc 200,198 2,161,810$

74,125,160

United States 0.83%Autoliv Inc 15,564 702,067 ISHARES 68,535 4,075,091 Southern Copper Corporation 5,434 363,969

5,141,127



Other Assets and Liabilities 2.09%Cash and cash equivalents 6,995,828 Foreign currency (Cost $8,510,345) 8,452,149 Dividends receivable 564,103 Interest receivable 11,699 Receivable for investments sold 3,279,159 Payable for investments purchased (6,306,482) Accrued expenses and other payables (47,428)

12,949,028

Net Assets 100.00% 620,882,825$

At December 31, 2005, the Fund's industry exposure as a % of total invested assets was as follows:

Automotive - 3%Banks - 25%Capital Goods - 5%Commercial Services & Supplies - 1%Consumer Durables & Apparel - 5%Hotel, Restaurant & Leisure - 1%Financial Services - 12%Energy - 5%Food & Drug Retailers - 1%Food, Beverage & Tobacco - 6%Healthcare - 2%Household Products - 1%Insurance - 1%Materials - 6%Media - 3%Pharmaceuticals & Biotechnology - 6%Real Estate - 1%Retail - 1%Semiconductors & Semiconductor Equipment - 1%Technology Hardware & Equipment - 2%Telecommunication Services - 5%Transportation - 4%Utilities - 3%

At December 31, 2005, the following foreign currency contracts were outstanding:

Settlement Date Contracts to Deliver In Exchange For1/23/2006 CZK 46,035,983 1,859,288$ 1/23/2006 PLN 8,750,375 2,678,167 1/23/2006 USD 4,926,860 5,033,052 2/28/2006 CZK 40,248,636 1,633,626 2/28/2006 USD 3,599,241 3,590,268 3/27/2006 HUF 221,777,419 1,044,101 3/27/2006 CZK 6,176,720 255,712 3/27/2006 CZK 35,380,000 1,462,358 3/27/2006 CZK 27,380,048 1,131,697 3/27/2006 TRY 1,984,198 1,432,117

20,120,386$

4,730 7,902

(8,973) (1,560)

127,173$ (6,351) 19,150 24,746

106,191 (8,074)

Unrealized Gains/(Losses)(10,588)$




FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Dividends, net of foreign tax of $1,305,988 9,251,844$ Interest 120,466

9,372,310 Expenses: Investment management fees 5,260,230 Custodian Fees 434,245 Asset charge 96,852 Audit fees 14,328

5,805,655 Net investment income 3,566,655

Realized and unrealized gains (losses) on investments: Net realized gains (losses) - securities 10,482,560 Net realized gains (losses) - forward foreign currency exchange (5,140,583) Net realized gains (losses) - foreign currency (3,268,485) Net change in unrealized gains 75,773,533





Net increase (decrease) from contractholder transactions 172,783,345

NET ASSETS



INSTITUTIONALLY SUBADVISED FUNDSINTERNATIONAL GROWTH/ARTISAN PARTNERS FUND (SAIG2)



Common Stocks Austrialia 0.45% Portugal 0.91%Wiener Staedtische Versicher 20,225 1,189,241$ Banco Comercial Portugues SA 872,926 2,399,108$

1,189,241 2,399,108

Belgium 4.25% Russia 3.18%Fortis 238,076 7,551,318 AFK Sistema - 144A Spons 62,553 1,363,655 InBev NV 85,363 3,702,369 Lukoil 118,400 7,044,800

11,253,687 8,408,455

Brazil 0.39% Singapore 3.05%Telesp Celular Participac 273,907 1,035,368 Keppel Corp Ltd 381,300 2,522,432

1,035,368 Singapore Airlines Ltd 490,100 3,654,823 SingTel 1,207,848 1,895,889

Canada 1.80% 8,073,144 Corus Entertainment Inc 3,000 80,127 EnCana Corp 104,100 4,683,898 South Korea 4.37%

4,764,025 Hana Financial Holdings 62,570 2,859,682 Kookmin Bank 78,480 5,939,276

Denmark 0.12% Kookmin Bank - Spon ADR 1,600 119,536 Vestas Wind Systems 19,900 325,716 Shinhan Financial Group Co Ltd 65,280 2,650,980

325,716 11,569,474

Finland 0.48% Spain 2.60%Fortum Oyj 68,100 1,272,385 Banco Bilbao Vizcaya Argentari 156,662 2,786,643

1,272,385 Inditex SA 56,615 1,839,795 Promotora de Informaciones SA 133,458 2,266,854

France 7.03% 6,893,292 Accor SA 19,043 1,043,592 AXA SA 85,150 2,737,959 Switzerland 9.88%Carrefour SA 82,509 3,852,063 Nestle SA 20,535 6,123,339 JC Decaux SA 51,361 1,193,483 Nobel Biocare Holding AG 1,283 281,336 LVMH Moet Hennessy Louis Vuitt 31,533 2,791,466 Novartis AG 54,481 2,854,367 PagesJaunes Groupe SA 86,439 2,242,081 Roche Holding AG 30,217 4,523,551 PPR 26,604 2,985,878 Swiss Reinsurance 42,274 3,085,670 Safran SA 59,590 1,419,846 Synthes Inc 2,174 243,471 Sanofi-Aventis 3,733 325,841 UBS AG 94,916 9,009,440

18,592,209 26,121,174

Germany 9.29% Taiwan 0.62%Allianz AG 28,849 4,353,990 Chunghwa Telecom Co Ltd 90,100 1,653,335 Commerzbank AG 120,400 3,723,707 1,653,335 Deutsche Post AG 110,640 2,677,971 E.ON AG 37,022 3,819,317 United Kingdom 8.47%Heidelberger Druckmaschinen 20,643 789,166 Barclays Plc 84,607 887,472 ProSieben SAT 1 Media AG 152,777 2,924,778 British Sky Broadcasting Plc 391,482 3,336,861 RWE AG 19,854 1,460,864 Cadbury Schweppes Plc 173,552 1,637,210 SAP AG 7,691 1,389,636 Carnival Plc 41,427 2,346,953 Siemens AG 40,340 3,443,585 ITV Plc 1,535,091 2,964,788

24,583,014 Kingfisher Plc 1,226,693 4,996,308 Morrison WM Supermarkets 847,344 2,814,802

Hong Kong 5.24% Smith & Nephew Plc 51,418 472,696 Cheung Kong 112,900 1,158,333 Tesco Plc 520,660 2,963,090 China Construction Bank 2,840,000 988,966 22,420,180 China Merchants Holdings Inter 166,000 360,751 China Mobile Hong Kong Ltd 1,515,800 7,174,760 United States 0.33%MTR Corporation 574,100 1,129,163 ASM Holding NV 44,100 885,528 Sun Hung Kai Properties 314,400 3,061,463 885,528

13,873,436

Italy 5.78% Total Common Stock 97.46% 257,885,273 Assicurazioni Generali SpA 94,394 3,286,829 (Cost $221,429,883)ENI SpA 106,520 2,943,878 Saipem SpA 279,097 4,562,834 UniCredito Italiano SpA 654,925 4,496,048 Total Invested Assets 97.46% 257,885,273

15,289,589 (Cost $221,429,883)

Japan 21.57% Other Assets and Liabilities 2.54%Aeon Co Ltd 6,000 152,504 Cash and cash equivalents 6,795,103 Bridgestone Corp 90,200 1,876,142 Foreign currency (Cost $245) 5,344 Chugai Pharmaceutical Co Ltd 92,700 1,987,046 Dividends receivable 468,215 Credit Saison Co Ltd 192,000 9,581,293 Interest receivable 29,301 Honda Motor Co Ltd 56,200 3,204,490 Receivable for investments sold 539,734 Japan Tobacco Inc 150 2,185,885 Dividends receivable foreign exchange (36,265) Jupiter Telecommunications 3,947 3,146,765 Payable for investments purchased (1,048,417) Keyence Corp 8,400 2,387,698 Payable on forward foriegn exchange contracts (850) Mitsubishi Corp 181,400 4,011,302 Accrued expenses and other payables (19,676) Mitsubishi Estate Co Ltd 101,000 2,096,501 6,732,489 Mitsubishi Heavy Industries 67,200 296,060 Mitsubishi UFJ Financial 38 515,123 Net Assets 100.00% 264,617,762$ Mitsui & Co Ltd 105,800 1,358,019 Mitsui Fudosan Co Ltd 79,000 1,603,025 Mizuho Financial Group Inc 873 6,923,053 NTT Data Corp 58 288,452 ORIX Corp 26,600 6,772,261 At December 31, 2005, the Fund's industry exposure as a % of invested assets was as follows:Sega Sammy Holdings Inc 188,224 6,299,117 SMC Corp/Japan 16,100 2,298,441 Automobiles & Components - 2% Media - 8%Sumco Corp 1,500 78,666 Banks - 13% Pharmaceuticals & Biotechnology - 4%

57,061,843 Capital Goods - 6% Real Estate - 3%Commercial Services & Supplies - 1% Retailing - 4%

Luxembourg 1.38% Consumer Durables & Apparel - 4% Semiconductors & Equipement - 2%RTL Group SA 15,305 1,227,605 Consumer Services - 1% Software & Services - 2%Stolt Offshores SA 209,700 2,431,080 Diversified Financials - 14% Technology Hardware & Equip. - 1%

3,658,685 Energy - 8% Telecommunication Services - 5%Food & Staples Retailing - 5% Transportation - 3%

Mexico 3.15% Food, Beverage & Tobacco - 5% Utilities - 3%Grupo Televisa Spon ADR 63,000 5,071,500 Insurance - 6%Wal-Mart de Mexico SA de CV 587,700 3,259,583

8,331,083

Netherlands 3.11%ASML Holding NV 230,963 4,604,108 ING Groep NV 104,528 3,612,573

8,216,681

Norway 0.01%Aker ASA A Shares 500 14,621

14,621$ The Notes to Financial Statements are an integral part of these statements. 29

INSTITUTIONALLY SUBADVISED FUNDSINTERNATIONAL GROWTH/ARTISAN PARTNERS FUND (SAIG2)


At December 31, 2005, the following foreign currency contracts were outstanding:

Settlement Date Contracts to Deliver In Exchange for:Unrealized

Gains/Losses1/3/2006 GBP 4,559 7,827$ (10)$ 1/3/2006 CAD 6,192 5,301 121/3/2006 SGD 83,588 50,269 (87)1/3/2006 EUR 55,895 65,931 1671/3/2006 EUR 15,017 17,713 (45)1/3/2006 EUR 202,130 238,422 (1,122)1/4/2006 GBP 12,558 21,559 891/4/2006 CAD 18,577 15,903 541/4/2006 SGD 164,864 99,148 92

522,073$ (850)$



INTERNATIONAL GROWTH/ARTISAN PARTNERS FUND (SAIG2)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:


Interest 238,379

4,991,373

Expenses:




Audit fees 7,555

3,047,101



on investments:


Net realized gains (losses) - foreign curency (61,427)











NET ASSETS

Beginning of year -



End of year 264,617,762$


INSTITUTIONALLY SUBADVISED FUNDSINTERNATIONAL VALUE/LSV ASSET MANAGEMENT FUND (SAIV1)


Shares Market Value Shares Market ValueCommon Stocks Australia 4.28% Japan (cont'd)Australia & New Zealand Bankin 134,100 2,355,939$ Noritake Co Ltd 116,000 698,771$ BlueScope Steel Ltd 227,800 1,164,706 NSK Ltd 212,000 1,447,700 Commonwealth Bank of Australia 60,400 1,894,099 NTT Corp 700 3,178,853 CSR Ltd 301,800 770,421 NTT Docomo Inc 2,100 3,202,576 National Australia Bank Ltd 25,100 596,552 Okasan Holdings Inc 7,000 60,552 Santos Ltd 118,200 1,062,144 Osaka Gas Co Ltd 456,000 1,572,414 Telstra Corporation Limited 151,600 437,040 Rengo Co Ltd 171,000 1,034,432

8,280,901 Sanyo Electric Credit Co Ltd 23,500 478,840 Austria 0.74% Shikoku Electric Power Co 30,500 621,473 Boehler-Uddeholm AG 1,000 168,558 Shinmaywa Industires Ltd 144,000 834,500 Voestalpine AG 12,600 1,265,527 Sumitomo Bakelite Co Ltd 145,000 1,196,560

1,434,085 Sumitomo Trust & Banking Co Ltd 250,000 2,552,317 Belgium 1.14% Takefuji Corporation 9,500 644,709 Fortis 69,100 2,196,611 Tanabe Seiyaku Co Ltd 59,000 572,854

2,196,611 Tohoku Electric Power Co Inc 95,200 1,935,779 Bermuda 0.63% Tokyo Electric Power Co Inc/Th 35,500 861,709 Chinese Estates Holdings Ltd 232,000 227,406 Toyota Motor Corp 83,760 4,343,058 Guoco Group Ltd 47,000 520,097 47,475,386 Orient Overseas International 139,100 471,826 Netherlands 3.68%

1,219,329 ABN AMRO Holding NV 25,800 672,251 Denmark 1.08% Aegon NV 116,500 1,889,492 Danske Bank A/S 20,600 723,213 Akzo Nobel NV 15,300 706,544 TDC A/S 22,800 1,361,124 ING Groep NV 63,458 2,193,160

2,084,337 Koninklijke BAM Groep NV 8,700 727,582 Finland 1.12% Koninklijke Kpn Nederland 71,800 717,339 OKO Bank 28,400 397,301 Royal Dutch Shell 7,000 212,862 Rautaruukki Oyj 72,800 1,764,654 7,119,230

2,161,955 New Zealand 0.35%France 9.32% Fletcher Building 130,200 669,479 Assurances Generales de France 8,400 829,318 669,479 AXA SA 87,000 2,797,444 Norway 0.83%BNP Paribas 56,500 4,555,157 Norsk Hydro ASA 15,600 1,596,574 Cie de Saint-Gobain 10,600 628,287 1,596,574 Credit Agricole SA 31,300 982,439 Portugal 0.37%Euler Hermes SA 7,800 701,077 Energias de Portugal SA 236,200 724,385 Michelin 9,700 543,249 724,385 Natexis Banques Populaires 4,200 697,043 Singapore 0.60%Peugeot SA 16,500 947,827 Neptune Orient Lines 574,640 1,161,168 Rallye SA 1,600 68,490 1,161,168 Societe Generale 26,500 3,247,714 Sweden 1.89%Suez SA 22,100 685,590 Electrolux AB 72,700 1,886,330 Total SA 5,500 1,376,653 ForeningsSparbanken AB 26,800 729,048

18,060,288 Hexagon AB 1,000 29,779 Germany 6.03% Nordea Bank AB 98,100 1,016,919 BASF AG 35,400 2,702,870 3,662,076 Bayer AG 17,400 723,067 Spain 4.18%DaimlerChrysler AG 18,800 955,322 Banco Bilbao Vizcaya Argentari 110,900 1,972,646 Deutsche Bank AG 29,500 2,852,636 Banco Santander Central Hispan 134,300 1,766,311 IWKA AG 26,600 571,671 Endesa SA 33,200 870,159 RWE AG 9,500 699,013 FCC 9,200 519,804 Salzgitter AG 18,200 978,932 Repsol YPF SA 78,517 2,284,805 ThyssenKrupp AG 33,900 705,366 Union Fenosa SA 17,933 664,835 TUI AG 37,900 770,713 8,078,560 Volkswagen AG 13,400 706,369 Switzerland 7.00%

11,665,959 Baloise Holding AG 15,500 902,633 Greece 0.71% Ciba Specialty Chemicals AG 500 32,247 Intracom SA 206,600 1,364,692 Credit Suisse Group 91,300 4,641,375

1,364,692 Georg Fischer AG 3,000 1,022,042 Hong Kong 0.98% Rieter Holding AG 3,900 1,154,065 CITIC Intl Financial Holdings 3,329,000 1,234,386 Swisscom AG 3,000 944,080 CNOOC Ltd 968,000 655,442 UBS AG 13,600 1,290,914

1,889,828 Valora Holding AG 2,800 541,219 Ireland 1.05% Verwaltungs-und Privat-Bank AG 400 66,740 Fyffes Plc 23,700 63,777 Zurich Financial Services AG 13,900 2,953,071 Fyffes Plc 192,200 521,432 13,548,386 Irish Life & Permanent Plc 71,200 1,449,563 United Kingdom 24.56%

2,034,772 Alfred McAlpine Group 132,500 903,053 Italy 3.98% Alliance & Leicester Plc 93,300 1,592,117 Banca Intesa SpA 130,900 690,954 Arriva Plc 60,400 604,004 Banche Popolari Unite 56,200 1,227,704 AstraZeneca Plc 32,800 1,592,993 Benetton Group SpA 117,400 1,332,170 Aviva Plc 75,200 910,152 ENI SpA 54,600 1,508,972 Barclays Plc 408,200 4,281,750 IFIL-Investments SpA 257,100 1,094,019 Barratt Developments Plc 48,800 826,045 Milano Assicurazioni SpA 165,695 1,128,698 Boots Group Plc 3,800 39,468 Sanpaolo IMI SpA 45,600 710,533 BP Plc 261,000 2,773,564

7,693,050 Bradford & Bingley Plc 25,900 182,524 Japan 24.53% Brit Insurance Holdings Plc 538,300 822,473 Asahi Breweries Ltd 140,500 1,712,950 BT Group Plc 491,300 1,878,761 Cosmo Oil Co Ltd 237,000 1,184,699 Cable and Wireless 233,100 477,208 Daiwa Securities Group Inc 136,000 1,540,557 Dairy Crest Group Plc 68,500 643,258 Denki Kagaku Kogyo KK 268,000 1,182,987 Firstgroup Plc 100,700 694,532 Hitachi Capital Corp 31,000 617,216 GKN Plc 238,200 1,177,719 Hitachi Ltd 101,000 680,293 GlaxoSmithKline Plc 24,600 620,389 Hokuetsu Paper Mills Ltd 10,000 51,682 Hanson Plc 149,600 1,641,117 Honda Motor Co Ltd 63,400 3,615,030 HBOS Plc 253,500 4,321,498 Hosiden Corp 7,700 94,268 House Of Fraser Plc 130,936 254,568 Japan Securities Finance Co 9,000 103,550 HSBC Holdings Plc 54,300 869,738 JS Group Corp 35,900 717,817 Legal & General Group Plc 985,100 2,063,228 JSAT Corp 40 78,963 Lloyds TSB Group Plc 339,300 2,845,480 Kaken Pharmaceutical Co Ltd 9,000 70,075 Northern Foods Plc 204,400 531,619 Kurabo Industries Ltd 26,000 97,365 Northumbrian Water Group Plc 168,770 705,508 Kyushu Electric Power Co Inc 28,500 618,148 Old Mutual Plc 704,000 1,991,155 Maeda Road Construction Co Ltd 5,000 36,559 Pendragon Plc 32,900 289,183 Marubeni Corp 245,000 1,313,946 Pilkington Plc 579,489 1,482,308 Mitsubishi Chemical Holdings 20,000 125,900 Royal Dutch Shell Plc 179,300 5,719,171 Mitsui Chemicals Inc 221,000 1,484,817 Royal & Sun Alliance Ins 723,700 1,562,333 Mori Seiki Co LTD 67,200 1,007,744 Scottish Power Plc 88,800 828,552 Nippon Oil Corp 312,000 2,418,707 Shanks Group Plc 122,086 324,866 Nipro Corp 29,000 423,833 Taylor Woodrow Plc 223,000 1,456,688 Nissan Motor Co Ltd 234,520 2,374,408 Nithon Kohden Corporation 42,000 686,775


INSTITUTIONALLY SUBADVISED FUNDSINTERNATIONAL VALUE/LSV ASSET MANAGEMENT FUND (SAIV1)


Shares Market ValueUnited Kingdom (cont'd)TT electronics Plc 16,300 41,135$ Viridian Group Plc 38,430 590,144

47,538,301



Other Asset and Liabilities 0.95%Cash and cash equivalents 1,118,497 Foreign currency (Cost $586,566) 581,283 Interest receivable 6,293 Dividends receivable 129,843 Receivable for investments sold 80,897 Payable for investments purchased (70,383) Accrued expenses and other payables (11,026)

1,835,404

Net Assets 100.00% 193,494,756$

At December 31, 2005, the Fund's industry exposure as a % of total invested assets was as follows:

Automotive - 8%Banks - 22%Capital Goods - 6%Commercial Services & Supplies - 1%Consumer Durables & Apparel - 3%Energy - 10%Financial Services - 10%Food & Drug Retailers - 0.5%Food, Beverage & Tobacco - 2%Healthcare - 1%Hotel, Restaurant & Leisure - 0.5%Insurance - 9%Materials - 10%Pharmaceuticals & Biotech - 1%Real Estate - 0.5%Retail - 0.5%Technology Hardware & Equipment - 1%Telecommunication Services - 6%Transportation - 2%Utilities - 6%



INTERNATIONAL VALUE/LSV ASSET MANAGEMENT FUND (SAIV1)


FOR THE PERIOD JANUARY 5, 2005 (DATE OF

INCEPTION) TO

DECEMBER 31, 2005


Income:


Interest 68,194

2,018,521

Expenses:



Asset charge 67,136

Audit fees 2,493

1,224,326

Net investment income 794,195


on investments:











contractholder transactions 171,718,081

NET ASSETS

Beginning of period -

Net increase (decrease) for the period 193,494,756

End of period 193,494,756$


INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP BLEND/VICTORY FUND (SA9V)


Shares Market Value Market ValueCommon Stock Banks 3.19% Other Assets and Liabilities 4.26%Bank of America Corp 318,400 14,694,160$ Cash and cash equivalents 8,595,640$

14,694,160 Dividends receivable 519,626 Capital Goods 9.41% Interest receivable 51,819 ABB Ltd Spon ADR 888,600 8,637,192 Receivable for investments sold 13,269,192 Deere & Co 119,900 8,166,389 Payable for investments purchased (2,800,211) General Elec Cap Corp 487,300 17,079,865 Accrued expenses and other payables (19,406) Honeywell International Inc 189,600 7,062,600 19,616,660 Pentair Inc 69,200 2,388,784

43,334,830 Consumer Durables & Apparel 3.59% Net Assets 100.00% 460,446,549$ Nike Inc 100,131 8,690,369 Philips Electronics ADR 252,400 7,849,640

16,540,009 Energy 6.80%Amerada Hess Corp 39,600 5,022,072 Canadian Natural Resources 113,900 5,651,718 Chevron Corporation 64,420 3,657,123 Halliburton Co 153,400 9,504,664 Transocean Inc 107,300 7,477,737

31,313,314 Financial Services 3.18%Morgan Stanley 135,061 7,663,361 Streettracks Gold Trust 135,450 6,993,284

14,656,645 Food, Beverage & Tobacco 0.63%Coca Cola Co 71,700 2,890,227

2,890,227 Healthcare 7.19%Baxter International 129,047 4,858,620 McKesson Corp 226,000 11,659,340 Medco Health Solutions 72,400 4,039,920 Medtronic Inc 218,000 12,550,260

33,108,140 Hotel, Restaurant & Leisure 1.78%Starwood Hotels and Resorts 128,300 8,193,238

8,193,238 Household Products 4.30%Avon Prods Inc 226,675 6,471,571 Procter & Gamble Co 229,900 13,306,612

19,778,183 Insurance 6.79%American International Group 220,100 15,017,423 Genworth Financial Inc 80,700 2,790,606 Marsh & McLennan 187,100 5,942,296 St Paul Travelers Cos Inc 168,500 7,526,895

31,277,220 Materials 5.47%Newmont Mining Corp Holding Co 352,300 18,812,820 Rio Tinto PLC-Spon ADR 34,800 6,361,092

25,173,912 Media 0.09%Viacom Inc 12,500 407,500

407,500 Pharmaceuticals & Biotech 10.34%Amgen Inc 218,100 17,199,366 Biogen Idec Inc 227,000 10,289,910 Johnson & Johnson 73,600 4,423,360 Pfizer Inc 364,798 8,507,089 Novartis AG- ADR 137,400 7,210,752

47,630,477 Real Estate 1.70%Equity Office Properties Trust 258,000 7,825,140

7,825,140 Retail 1.45%Tiffany & Co 174,450 6,679,691

6,679,691 Semiconductors & Semiconductor Equipment 6.34%Applied Materials 813,100 14,587,014 Freescale Semiconductor Inc 276,200 6,951,954 Micron Technology Inc 574,200 7,642,602

29,181,570 Software & Services 8.83%Microsoft Corp 633,500 16,566,025 Oracle Corp 934,500 11,410,245 Yahoo Inc 323,600 12,678,648

40,654,918 Technology Hardware & Equipment 9.63%Cisco Systems Inc 844,500 14,457,840 EMC Corp 52,400 713,688 IBM Corp 207,650 17,068,830 Nokia Corp 661,600 12,107,280

44,347,638 Telecommunication Services 1.80%Sprint Nextel Corp 354,000 8,269,440

8,269,440 Transportation 3.23%JetBlue Airways Corp 353,850 5,442,213 Union Pacific Corp 117,146 9,431,424

14,873,637


Total Invested Assets 95.74% 440,829,889$ (Cost $406,735,404)



LARGE CAP BLEND VICTORY FUND (SA9V)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:


Interest 328,756

Miscellaneous Income 3,403

6,408,563

Expenses:




Audit fees 12,779

3,639,869



on investments:


Net realized gains (losses) - foreign currency transactions 111











NET ASSETS

Beginning of year -


Net increase for the year 56,377,311

End of year 460,446,549$


INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP BLEND/AJO FUND (SA9W)

(FORMERLY KNOWN AS LARGE CAP BLEND/INVESCO-NATIONAL ASSET MANAGEMENT FUND)STATEMENT OF NET ASSETS

DECEMBER 31, 2005

Shares Market Value Shares Market ValueCommon StockAutomotive 0.89% Pharmaceuticals & Biotech 7.57%Ford Motor Company 223,900 1,728,508$ Abbott Laboratories 31,100 1,226,273$

1,728,508 Amgen Inc 45,500 3,588,130 Banks 7.06% Genentech Inc 10,700 989,750 BB&T Corporation 40,400 1,693,164 Johnson & Johnson 72,700 4,369,270 Comerica Inc 33,100 1,878,756 Pfizer Inc 195,200 4,552,064 Keycorp 40,400 1,330,372 14,725,487 National City Corp 21,600 725,112 Retail 4.11%US Bancorp 98,300 2,938,187 Home Depot Inc 84,200 3,408,416 UnionBanCal Corporation 27,700 1,903,544 Nordstrom Inc 53,800 2,012,120 Washington Mutual Inc 57,700 2,509,950 Office Depot Inc 26,600 835,240 Wells Fargo Financial 12,200 766,526 Target Corporation 31,700 1,742,549

13,745,611 7,998,325 Capital Goods 6.80% Semiconductors & Semiconductor Equipment 0.38%Eaton Corp 12,100 811,789 National Semiconductor 28,400 737,832 General Dynamics Corp 6,100 695,705 737,832 Ingersoll Rand 48,200 1,945,834 Software & Services 5.62%Lockheed Martin Corp 39,400 2,507,022 Electronic Data Systems 33,300 800,532 Northrop Grumman Corp 40,600 2,440,466 Fiserv Inc 41,900 1,813,013 Paccar Inc 26,400 1,827,672 Intuit 25,700 1,369,810 Raytheon Co 33,400 1,341,010 Microsoft Corp 232,100 6,069,415 Textron Inc 21,700 1,670,466 Oracle Corp 73,100 892,551

13,239,964 Seagate Technology Inc Escrow 7,400 - Commercial Services & Supplies 0.65% 10,945,321 Cendant Corporation 73,600 1,269,600 Technology Hardware & Equipment 9.13%

1,269,600 Apple Computer 17,200 1,236,508 Consumer Durables & Apparel 3.85% Cisco Systems Inc 222,300 3,805,776 Coach Inc 56,800 1,893,712 Hewlett Packard 119,300 3,415,559 DR Horton Inc 52,800 1,886,544 IBM Corp 18,500 1,520,700 Lennar Corp 27,000 1,647,540 Intel Corporation 175,800 4,387,968 Nike Inc 23,800 2,065,602 Qualcomm Inc 16,500 710,820

7,493,398 Texas Instruments Inc 83,700 2,684,259 Energy 9.96% 17,761,590 Anadarko Petroleum Corp 7,800 739,050 Telecommunication Services 2.29%Burlington Resources 10,800 930,960 BCE Inc 53,400 1,278,930 Canadian Natural Resources 35,100 1,741,662 Verizon Communications 105,400 3,174,648 Conoco Phillips 53,700 3,124,266 4,453,578 Devon Energy Corporation 36,700 2,295,218 Transportation 1.98%Exxon Mobil Corporation 70,500 3,959,985 Burlington North Santa Fe 28,000 1,982,960 Sunoco Inc 20,100 1,575,438 CSX Corp 18,900 959,553 Talisman Energy Inc 37,000 1,956,560 FedEx Corporation 8,900 920,171 Valero Energy Corp 32,000 1,651,200 3,862,684 Petro-Canada 34,800 1,395,132 Utilities 3.24%

19,369,471 American Electric Pwr 19,700 730,673 Financial Services 11.04% Edison International 46,800 2,040,948 Cit Group Inc 40,500 2,097,090 Entergy Corp 18,100 1,242,565 Citigroup Inc 116,500 5,653,745 TXU Corporation 45,800 2,298,702 Goldman Sachs Group Inc 22,800 2,911,788 6,312,888 Lehman Brothers Holdings 21,200 2,717,204 Merrill Lynch Medium Term Note 46,300 3,135,899 Total Common Stock 97.65% 190,027,773 Morgan Stanley 50,500 2,865,370 (Cost $181,873,361)Principal Financial Group 43,900 2,082,177

21,463,273 Total Invested Assets 97.65% 190,027,773 Food & Drug Retailers 1.07% (Cost $181,873,361)Kroger Co 110,800 2,091,904

2,091,904 Other Asset and Liabilities 2.35%Food, Beverage & Tobacco 5.59% Cash and cash equivalents 4,238,673 Altria Group Inc 44,500 3,325,040 Interest receivable 13,501 Coca Cola Co 65,700 2,648,367 Dividends receivable 330,247 Conagra Foods Inc 40,600 823,368 Accrued expenses and other payables (8,820) Heinz Co 27,200 917,184 4,573,601 Pepsico Inc 53,700 3,172,596

10,886,555 Net Assets 100.00% 194,601,374$ Healthcare 5.10%Aetna Inc 26,000 2,452,060 Alcon Inc 11,900 1,542,240 Becton Dickinson & Co 25,800 1,550,064 Cardinal Health Inc 31,600 2,172,500 McKesson Corp 42,800 2,208,052

9,924,916 Hotel, Restaurant & Leisure 1.56%Marriott International Inc 16,300 1,091,611 Yum! Brands Inc 41,400 1,940,832

3,032,443 Household Products 1.14%Kimberly Clark Co 37,200 2,218,980

2,218,980 Insurance 2.84%Allstate Corp 41,300 2,233,091 Loews Corp 10,700 1,014,895 Progressive Corp Ohio 19,500 2,277,210

5,525,196 Materials 3.05%Freeport Mcmoran Copper & Gold 36,100 1,942,180 Georgia Pacific Corp 40,800 1,958,400 Nucor Corp 30,400 2,028,288

5,928,868 Media 2.73%EchoStar Communications 23,900 649,363 Gannett Co 18,900 1,144,773 McGraw Hill Companies 39,400 2,034,222 Time Warner Inc 42,400 739,456 Univision Communications Inc 25,300 743,567

5,311,381$

The notes to the Financial Statements are an integral part of these statements. 37


LARGE CAP BLEND/AJO FUND (SA9W)

(FORMERLY KNOWN AS LARGE CAP BLEND/INVESCO-NATIONAL ASSET MANAGEMENT FUND)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:

Dividends, net of foreign income tax of $9,113 3,267,416$

Interest 117,043


3,395,996

Expenses:




Audit fees 5,803

2,107,648



on investments:












NET ASSETS

Beginning of year -



End of year 194,601,374$


INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP GROWTH FUND (SUB-ADVISED BY WELLINGTON MANAGEMENT) (SALG3)

(FORMERLY KNOWN AS LARGE CAP GROWTH/DRESDNER RCM FUND)STATEMENT OF NET ASSETS

DECEMBER 31, 2005


Common Stock Banks 6.73% Software & Services 16.25%Commerce Bancorp Inc 396,860 13,655,953$ Adobe Systems Incorporated 338,290 12,503,198$ Countrywide Financial Corp 737,820 25,226,066 Electronic Arts 413,520 21,631,231

38,882,019 Google Inc 41,110 17,054,895 Capital Goods 10.15% Microsoft Corp 581,270 15,200,211 Boeing Co 260,600 18,304,544 Yahoo Inc 702,700 27,531,786 Danaher Corp 257,550 14,366,139 93,921,321 General Dynamics Corp 129,560 14,776,318 Technology Hardware & Equipment 10.63%General Elec Cap Corp 320,400 11,230,020 Apple Computer 199,660 14,353,557

58,677,021 Network Appliance Inc 747,000 20,169,000 Energy 4.66% Qualcomm Inc 455,560 19,625,525 Cameco Corp 193,120 12,241,877 Sandisk Corp 116,510 7,319,158 Halliburton Co 75,540 4,680,458 61,467,240 Petro-Canada 249,830 10,015,685 Telecommunication Services 1.02%

26,938,020 America Movil SA de CV 201,600 5,898,816 Financial Services 13.28% 5,898,816 Chicago Mercantile Exchange 56,170 20,641,913 Franklin Resources Inc 181,180 17,032,732 Total Common Stock 97.74% 565,077,840 Legg Mason Inc 101,040 12,093,478 (Cost $510,258,377)Moodys Corp 93,950 5,770,409 Nasdaq Stock Market Inc 203,440 7,157,019 Total Invested Assets 97.74% 565,077,840 UBS AG 148,670 14,111,777 (Cost $510,258,377)

76,807,328 Healthcare 12.14% Other Asset and Liabilities 2.26%Coventry Health Care Inc 129,495 7,376,035 Cash and cash equivalents 7,743,487 Medtronic Inc 435,240 25,056,767 Interest receivable 36,779 UnitedHealth Group Inc 417,510 25,944,071 Dividends receivable 548,524 Wellpoint Inc 148,260 11,829,665 Receivable for investments sold 4,779,792

70,206,538 Accrued expenses and other payables (25,061) Hotel, Restaurant & Leisure 2.05% 13,083,521 Starwood Hotels and Resorts 185,870 11,869,658

11,869,658 Net Assets 100.00% 578,161,361$ Household Products 2.00%Procter & Gamble Co 199,310 11,536,063

11,536,063 Insurance 0.95%Progressive Corp Ohio 46,810 5,466,472

5,466,472 Media 2.43%Pixar 57,920 3,053,542 XM Satellite Radio Hldgs 403,500 11,007,480

14,061,022 Pharmaceuticals & Biotech 14.25%Amgen Inc 189,440 14,939,238 Astrazeneca Plc 527,820 25,652,052 Genzyme Corp 73,260 5,185,343 Gilead Sciences 174,320 9,174,462 Sanofi Synthelabo SA 331,950 14,572,605 Schering Plough Corp 617,260 12,869,871

82,393,571 Retail 1.20%Abercrombie & Fitch Co 106,670 6,952,751

6,952,751$


INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP GROWTH FUND (SUB-ADVISED BY WELLINGTON MANAGEMENT) (SALG3)

(FORMERLY KNOWN AS LARGE CAP GROWTH/DRESDNER RCM FUND)STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS

FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Dividends, net of foreign income tax of $51,971 3,632,601$ Interest 381,448

4,014,049 Expenses: Investment management fees 4,874,982 Custodian fees 79,481 Asset charge 300,432 Audit fees 15,241

5,270,136 Net investment loss (1,256,087)

Realized and unrealized gains (losses) on investments: Net realized gains (losses) - securities (23,634,015) Net change in unrealized gains 54,819,463






NET ASSETS



INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP GROWTH/GOLDMAN SACHS FUND (SACG)


Shares Market Value Shares Market ValueCommon Stock Banks 6.03% Technology Hardware & Equipment 8.99%Freddie Mac 420,390 27,472,487$ Cisco Systems Inc 705,020 12,069,942$ Golden West Financial Corp 50,290 3,319,140 Dell Inc 386,750 11,598,632

30,791,627 EMC Corp 369,220 5,028,776 Qualcomm Inc 399,450 17,208,306

Capital Goods 0.51% 45,905,656 United Technologies 46,760 2,614,352

2,614,352 Telecommunication Services 2.80%American Tower Corp 212,660 5,763,086

Commercial Services & Supplies 1.49% Crown Castle International 317,810 8,552,267 Cendant Corporation 439,790 7,586,378 14,315,353

7,586,378

Consumer Durables & Apparel 1.45% Total Common Stock 98.76% 504,424,929 Fortune Brands 95,210 7,428,284 (Cost $478,763,870)

7,428,284 Total Invested Assets 98.76% 504,424,929

Energy 6.96% (Cost $478,763,870)Schlumberger Ltd 236,690 22,994,434 Suncor Energy Inc 199,070 12,567,289

35,561,723 Other Assets and Liabilities 1.24%

Financial Services 5.00% Cash and cash equivalents 2,012,750 American Express 75,170 3,868,248 Dividends receivable 358,140 Charles Schwab Corp 883,130 12,955,517 Interest receivable 10,912 Moodys Corp 142,280 8,738,838 Receivable for investments sold 5,279,407

25,562,603 Payable for investments purchased (1,281,218) Accrued expenses and other payables (26,750)

Food & Drug Retailers 2.38% 6,353,241 Wal Mart Stores Inc 259,210 12,131,028

12,131,028 Net Assets 100.00% 510,778,170$

Food, Beverage & Tobacco 5.17%Pepsico Inc 299,570 17,698,596 Wrigley WM Jr 130,980 8,708,860

26,407,456

Healthcare 11.11%Caremark Rx Inc 186,843 9,676,599 Fisher Scientific Intl 150,330 9,299,414 Medco Health Solutions 191,100 10,663,380 Medtronic Inc 214,720 12,361,430 Stryker Corporation 160,013 7,109,377 Zimmer Holdings 112,960 7,618,022

56,728,222

Hotel, Restaurant & Leisure 5.45%Carnival Corporation 194,300 10,389,221 Harrahs Entertainment 109,150 7,781,304 Marriott International Inc 144,620 9,685,201

27,855,726

Household Products 1.02%Procter & Gamble Co 90,170 5,219,040

5,219,040

Insurance 0.60%Willis Group Holdings Ltd 82,850 3,060,479

3,060,479

Media 13.85%CCE Spinco Inc 1 10 Clear Channel Communications 226,030 7,108,644 Lamar Advertising Co 119,540 5,515,575 McGraw Hill Companies 404,350 20,876,591 Time Warner Inc 492,760 8,593,734 Univision Communications Inc 448,570 13,183,472 Valassis Communications 118,340 3,440,144 Viacom Inc 367,920 11,994,192

70,712,362

Pharmaceuticals & Biotech 5.62%Amgen Inc 146,690 11,567,973 Lilly Eli & Co 88,040 4,982,184 Pfizer Inc 194,020 4,524,546 Wyeth 165,730 7,635,182

28,709,885

Retail 4.28%Lowes Companies Inc 234,910 15,659,100 Target Corporation 113,130 6,218,756

21,877,856

Semiconductors & Semiconductor Equipment 3.17%Intel Corporation 215,500 5,378,880 Linear Technology Corp 300,020 10,821,721

16,200,601

Software & Services 12.88%Electronic Arts 199,240 10,422,244 First Data Corp 476,750 20,505,018 Google Inc 18,130 7,521,412 Microsoft Corp 851,500 22,266,725 Yahoo Inc 128,660 5,040,899

65,756,298$

The Notes to Financial Statements are an intergral part of these statements. 41

INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP GROWTH/GOLDMAN SACHS FUND (SACG)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Dividends, net of foreign tax of $1,891 6,068,803$ Interest 193,412 Miscellaneous Income 29,743

6,291,958 Expenses: Investment management fees 5,455,297 Custodian Fees 93,684 Asset charge 315,861 Audit fees 19,252

5,884,094 Net investment income 407,864







NET ASSETS



INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP GROWTH/JENNISON FUND (SALG6)



Common Stock Banks 1.03% Technology Hardware & Equipment 7.78%Bank of America Corp 1,400 64,610$ Agilent Technologies Inc 111 3,695$

64,610 Apple Computer 1,700 122,213Cisco Systems Inc 3,800 65,056

Capital Goods 3.20% Dell Inc 2,100 62,979General Elec Cap Corp 5,700 199,785 EMC Corp 4,600 62,652

199,785 Nokia Corp 4,800 87,840Qualcomm Inc 1,900 81,852

Consumer Durables & Apparel 3.11% 486,287 Coach Inc 2,700 90,018Nike Inc 1,200 104,148 Telecommunication Services 1.33%

194,166 Sprint Nextel Corp 3,549 82,90582,905

Energy 3.95%Occidental Petroleum 900 71,892 Total Common Stock 97.40% 6,089,701 Schlumberger Ltd 1,800 174,870 (Cost $5,257,616)

246,762

Financial Services 9.09% Total Invested Assets 97.40% 6,089,701 American Express 3,000 154,380 (Cost $5,257,616)Charles Schwab Corp 7,400 108,558Goldman Sachs Group Inc 600 76,626JP Morgan Chase & Co 1,900 75,411Lehman Brothers Holdings 300 38,451 Other Assets and Liabilities 2.60%Merrill Lynch Medium Term Note 1,700 115,141 Cash and cash equivalents 72,683

568,567 Dividends receivable 3,403Interest receivable 419

Food & Drug Retailers 1.98% Receivable for investments sold 99,911Whole Foods Market Inc 1,600 123,824 Payable for investments purchased (13,813)

123,824 Accrued expenses and other payables (257)162,346

Food, Beverage & Tobacco 2.49%Cadbury Schweppes 1,900 72,751Pepsico Inc 1,400 82,712 Net Assets 100.00% 6,252,047$

155,463

Healthcare 8.01%Alcon Inc 900 116,640Caremark Rx Inc 2,000 103,580St Jude Medical Inc 1,900 95,380UnitedHealth Group Inc 1,700 105,638Wellpoint Inc 1,000 79,790

501,028

Hotel, Restaurant & Leisure 1.70%Cheesecake Factory 600 22,434Marriott International Inc 800 53,576Starbucks Corp 1,000 30,010

106,020

Household Products 2.94%Procter & Gamble Co 3,172 183,595

183,595

Insurance 2.51%American International Group 2,300 156,929

156,929

Media 0.29%Getty Images Inc 200 17,854

17,854

Pharmaceuticals & Biotech 12.21%Abbott Laboratories 1,000 39,430Amgen Inc 1,700 134,062Genentech Inc 1,400 129,500Gilead Sciences 2,300 121,049Roche Holdings LTD-Spons ADR 1,800 134,732Sanofi Synthelabo SA 1,800 79,020Novartis AG- ADR 2,400 125,952

763,745

Retail 11.21%Chicos Fas Inc 3,000 131,790Ebay Inc 4,700 203,275Federated Department Stores 1,200 79,596Lowes Companies Inc 1,400 93,324Target Corporation 2,500 137,425Williams Sonoma Inc 1,300 56,095

701,505

Semiconductors & Semiconductor Equipment 9.47%Applied Materials 5,300 95,082Intel Corporation 3,500 87,360Marvell Technology 2,700 151,443Maxim Integrated Prod 3,500 126,840Texas Instruments Inc 4,100 131,487

592,212

Software & Services 15.10%Adobe Systems Incorporated 4,100 151,536Electronic Arts 2,200 115,082Google Inc 600 248,916Microsoft Corp 4,000 104,600Navteq Corp 1,100 48,257Yahoo Inc 4,400 172,392SAP AG Sponsored ADR 2,300 103,661

944,444$


INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP GROWTH/JENNISON FUND (SALG6)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Dividends, net of foreign income tax of $932 36,662$ Interest 3,393

40,055 Expenses: Investment management fees 341 Custodian fees 3,251

Audit fees 168 3,760


Realized and unrealized gains (losses) on investments: Net realized gains (losses) - securities (65,013) Net change in unrealized gains 832,085

Net realized and unrealized gains (losses) on investments 767,072

Net increase (decrease) from investment activities 803,367


Contractholder contributions 42,655 Contractholder withdrawals 11

Net increase (decrease) from contractholder transactions 42,666

NET ASSETS

Beginning of year - Transfer to PRIAC from CIGNA 5,406,014 Net increase (decrease) for the year 846,033 End of year 6,252,047$


INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP GROWTH/TURNER INVESTMENT PARTNERS FUND (SALC2)

(FORMERLY KNOWN AS LARGE CAP GROWTH/MORGAN STANLEY FUND)STATEMENT OF NET ASSETS

DECEMBER 31, 2005


Automotive 0.99% Retail 2.31%Toyota Motors Corp 72,860 7,622,613$ Chicos Fas Inc 146,780 6,448,045$

7,622,613 Ebay Inc 262,870 11,369,128 17,817,173

Banks 2.90%HDFC Bank LTD 82,710 4,209,939 Semiconductors & Semiconductor Equipment 6.03%Kookmin Bank - Spon ADR 73,900 5,521,069 Advanced Micro Devices 214,600 6,566,760 Mitsubishi UFJ Financial Group 923,790 12,646,685 Applied Materials 852,590 15,295,465

22,377,693 Broadcom Corporation 248,420 11,713,003 Marvell Technology 164,570 9,230,731

Capital Goods 8.22% Micron Technology Inc 274,900 3,658,919 Boeing Co 132,950 9,338,408 46,464,878General Elec Cap Corp 1,073,600 37,629,680 Joy Global Inc 154,160 6,166,400 Software & Services 5.85%Precision Castparts Corp 91,780 4,755,122 Electronic Arts 115,490 6,041,282 Roper Industries Inc 139,520 5,512,435 Global Payments Inc 111,220 5,183,964

63,402,045 Google Inc 53,950 22,381,697 Seagate Technology Inc Escrow 60,300 -

Consumer Durables & Apparel 0.93% Yahoo Inc 293,830 11,512,259 Coach Inc 215,740 7,192,772 45,119,202

7,192,772 Technology Hardware & Equipment 8.91%

Energy 10.88% Apple Computer 178,790 12,853,213 Consol Energy Inc 62,570 4,078,313 Corning Inc 333,170 6,550,122 Halliburton Co 120,690 7,477,952 EMC Corp 647,800 8,823,036 Kinder Morgan Inc 83,300 7,659,435 Hewlett Packard 230,470 6,598,356 National Oilwell Inc 130,070 8,155,389 IBM Corp 165,890 13,636,158 Newfield Exploration 108,730 5,444,111 Motorola Inc 306,120 6,915,251 Noble Corp 95,930 6,766,902 Qualcomm Inc 308,754 13,301,122 Peabody Energy Corporation 123,500 10,178,870 68,677,258 Southwestern Energy 163,550 5,877,987 Ultra Petroleum Corp 100,020 5,581,116 Telecommunication Services 3.48%Valero Energy Corp 171,010 8,824,116 America Movil SA de CV 397,200 11,622,072 Williams Cos 258,850 5,997,555 NII Holdings Inc 206,670 9,027,346 XTO Energy Inc 178,866 7,859,371 Nippon Telegraph & Telephone 269,830 6,154,822

83,901,117 26,804,240

Financial Services 14.05% Transportation 1.54%American Express 203,400 10,466,964 AMR Corporation 286,000 6,357,780 Ameritrade Holding Corp 223,990 5,375,760 Burlington North Santa Fe 78,290 5,544,498 Charles Schwab Corp 959,440 14,074,985 11,902,278 Chicago Mercantile Exchange 30,630 11,256,219 Eaton Vance 212,020 5,800,867 Utilities 1.39%Legg Mason Inc 98,870 11,833,750 Aqua America Inc 181,230 4,947,579 Mellon Financial Corporation 373,310 12,785,868 Questar Corp 75,900 5,745,630 Merrill Lynch Medium Term Note 229,530 15,546,067 10,693,209 Nasdaq Stock Market Inc 201,328 7,082,719 Sei Investments Company 15,027 555,999 T Rowe Price Group Inc 187,620 13,514,269 Total Common Stock 97.68% 753,066,075

108,293,467 (Cost $657,319,757)

Food & Drug Retailers 0.88% Total Invested Assets 97.68% 753,066,075 Whole Foods Market Inc 87,580 6,777,816 (Cost $657,319,757)

6,777,816

Food, Beverage & Tobacco 3.96%Archer Daniels Midland 270,070 6,659,926 Other Assets and Liabilities 2.32%Pepsico Inc 300,770 17,769,492 Cash and cash equivalents 15,440,578 Wrigley WM Jr 91,970 6,115,085 Dividends receivable 888,814

30,544,503 Interest receivable 26,657 Receivable for investments sold 6,084,281

Healthcare 5.86% Payable for investments purchased (4,546,995) Caremark Rx Inc 130,330 6,749,791 Accrued expenses and other payables (28,833) Dade Behring Holdings Inc 147,930 6,048,858 17,864,502 Express Scripts Inc 94,490 7,918,262 Omnicare Inc 62,680 3,586,550 St Jude Medical Inc 181,880 9,130,376 Net Assets 100.00% 770,930,577$ UnitedHealth Group Inc 61,996 3,852,431 Wellpoint Inc 99,120 7,908,785

45,195,053

Hotel, Restaurant & Leisure 2.60%Scientific Games Corp 212,440 5,795,363 Starbucks Corp 240,970 7,231,510 Starwood Hotels and Resorts 109,830 7,013,744

20,040,617

Household Products 3.20%Procter & Gamble Co 426,240 24,670,771

24,670,771

Insurance 3.75%AFLAC Incorporated 197,060 9,147,525 American International Group 289,810 19,773,736

28,921,261

Materials 2.59%Cemex SA -Spons ADR Part Cer 126,590 7,510,585 Companhia Vale do Rio Doce 127,670 5,252,344 Freeport Mcmoran Copper & Gold 133,570 7,186,066

19,948,995

Media 0.44%Sirius Satellite Radio Inc 504,060 3,377,202

3,377,202

Pharmaceuticals & Biotech 6.92%Allergan Inc 38,930 4,202,883 Amgen Inc 176,830 13,944,813 Genentech Inc 125,840 11,640,200 Genzyme Corp 45,820 3,243,140 Gilead Sciences 170,480 8,972,362 Roche Holdings LTD-Spons ADR 98,120 7,344,390 Teva Pharmaceutical 92,400 3,974,124

53,321,912$


INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP GROWTH/TURNER INVESTMENT PARTNERS FUND (SALC2)

(FORMERLY KNOWN AS LARGE CAP GROWTH/MORGAN STANLEY FUND)STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS

FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Dividends, net of foreign income tax of $15,548 6,114,822$ Interest 373,557 Miscellaneous Income 77,785









NET ASSETS



INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP GROWTH/WADDELL & REED FUND (SALG5)



Aerospace/defense 7.18% Software & Services (cont'd)Boeing Co 27,350 1,921,064$ Paychex Inc 185,250 7,061,730$ Caterpillar Inc 43,450 2,510,106 Yahoo Inc 68,000 2,664,240 General Dynamics Corp 52,000 5,930,600 SAP AG Sponsored ADR 57,700 2,600,539 General Elec Cap Corp 245,190 8,593,910 47,393,488

18,955,680 Technology Hardware & Equipment 3.33%Commercial Services & Supplies 1.59% Apple Computer 83,550 6,006,410 Robert Half International Inc 111,000 4,205,790 Qualcomm Inc 64,600 2,782,968

4,205,790 8,789,378 Consumer Durables & Apparel 1.00% Transportation 1.87%Harman International 26,850 2,627,273 Expeditors Intl Wash Inc 73,000 4,928,230

2,627,273 4,928,230 Hotel, Restaurant & Leisure 1.46%Las Vegas Sands Corp 44,300 1,748,521 Total Common Stock 95.40% 251,884,720 Starwood Hotels and Resorts 33,100 2,113,766 (Cost $216,192,450)

3,862,287 Diversified Financials 13.13% Total Invested Assets 95.40% 251,884,720 Chicago Mercantile Exchange 6,450 2,370,310 (Cost $216,192,450)Franklin Resources Inc 68,650 6,453,787 Goldman Sachs Group Inc 18,800 2,400,948 Other Asset and Liabilities 4.60%Legg Mason Inc 73,500 8,797,215 Cash and cash equivalents 13,765,309 Moodys Corp 49,150 3,018,793 Interest receivable 26,018 SLM Corp 210,950 11,621,236 Dividends receivable 205,980

34,662,289 Receivable for investments sold 719,597 Energy 8.70% Payable for investments purchased (2,541,002) Baker Hughes Inc 79,200 4,813,776 Accrued expenses and other payables (17,190) Schlumberger Ltd 96,850 9,408,977 12,158,712 Smith Intl 235,900 8,754,249

22,977,002 Net Assets 100.00% 264,043,432$ Food & Staples Retailing 3.28%Walgreen Co 195,962 8,673,278

8,673,278 Food, Beverage & Tobacco 0.71%Pepsico Inc 31,900 1,884,652

1,884,652 Health Care Equipment & Services 10.86%Alcon Inc 50,150 6,499,440 Dentsply International 45,450 2,440,210 Medtronic Inc 105,050 6,047,729 Stryker Corporation 58,050 2,579,161 UnitedHealth Group Inc 178,700 11,104,418

28,670,958 Household & Personal Products 2.12%Colgate Palmolive 8,900 488,165 Procter & Gamble Co 88,100 5,099,228

5,587,393 Insurance 0.96%AFLAC Incorporated 54,400 2,525,248

2,525,248 Materials 2.83%Monsanto Company 96,350 7,470,015

7,470,015 Media 0.03%Morningstar 1,950 67,548

67,548 Pharmaceuticals & Biotechnology 10.91%Allergan Inc 26,350 2,844,746 Amgen Inc 31,550 2,488,033 Genentech Inc 102,384 9,470,520 Gilead Sciences 106,900 5,626,147 Johnson & Johnson 139,750 8,398,975

28,828,421 Retailing 4.26%Best Buy Co 48,350 2,102,258 Ebay Inc 57,900 2,504,175 Home Depot Inc 101,650 4,114,792 Staples Inc 111,575 2,533,868

11,255,093 Semiconductors & Semiconductor Equipment 3.23%Broadcom Corporation 53,850 2,539,028 Maxim Integrated Prod 55,850 2,024,004 Microchip Technology 123,100 3,957,665

8,520,697 Software & Services 17.95%Adobe Systems Incorporated 106,250 3,927,000 Autodesk Inc 35,400 1,520,430 Automatic Data Processing 123,850 5,683,476 Checkfree Corporation 53,850 2,471,715 Google Inc 29,550 12,259,113 Microsoft Corp 352,017 9,205,245



LARGE CAP GROWTH/WADDELL & REED FUND (SALG5)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:


Interest 302,525

2,317,469

Expenses:



Asset charge 48,991

Audit fees 7,005

2,087,167



on investments:












NET ASSETS

Beginning of year -



End of year 264,043,432$


INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP VALUE/BARROW HANLEY FUND (SALV4)



Common Stock Banks 9.26% Transportation 2.35%Bank of America Corp 172,640 7,967,336$ Burlington North Santa Fe 132,300 9,369,486$ Fannie Mae 86,600 4,226,946 9,369,486 MGIC Invt Corp 74,800 4,923,336 PNC Financial Services Group 53,600 3,314,088 Utilities 4.76%Washington Mutual Inc 184,800 8,038,800 American Electric Pwr 149,900 5,559,791 Wells Fargo Financial 133,900 8,412,937 Duke Energy Corp 190,700 5,234,715

36,883,443 Entergy Corp 108,800 7,469,120 Reliant Energy Inc 66,213 683,318

Capital Goods 7.92% 18,946,944 American Power Conversion 358,000 7,876,000 Emerson Elec Co 80,700 6,028,290 Honeywell International Inc 179,400 6,682,650 Total Common Stock 97.62% 388,723,544 Illinois Tool Works 69,300 6,097,707 (Cost $372,379,130)Tyco International 167,700 4,839,822


Commercial Services & Supplies 2.45% (Cost $372,379,130)Pitney Bowes 136,000 5,746,000 Waste Management Inc 132,500 4,021,375

9,767,375 Other Assets and Liabilities 2.38%Cash and cash equivalents 8,942,169

Consumer Durables & Apparel 3.34% Dividends receivable 509,464 Mattel Inc 355,900 5,630,338 Interest receivable 35,900 Stanley Works 159,500 7,662,380 Accrued expenses and other payables (14,923)

13,292,718 9,472,610

Energy 13.43%Anadarko Petroleum Corp 66,300 6,281,925 Net Assets 100.00% 398,196,154$ BP Plc ADR 148,400 9,530,248 Chevron Corporation 137,600 7,811,552 Conoco Phillips 188,900 10,990,203 Exxon Mobil Corporation 7,800 438,126 Marathon Oil Corp 133,500 8,139,495 Occidental Petroleum 128,900 10,296,532

53,488,081

Financial Services 9.96%Capital One Financial 77,300 6,678,720 Citigroup Inc 168,600 8,182,158 JP Morgan Chase & Co 159,400 6,326,586 MBNA Corp 369,500 10,035,620 SLM Corp 153,300 8,445,297

39,668,381

Food, Beverage & Tobacco 8.07%Altria Group Inc 168,400 12,582,848 Heinz Co 106,200 3,581,064 Imperial Tobacco Group - ADR 130,800 7,912,092 UST Inc 197,300 8,055,759

32,131,763

Healthcare 8.57%Baxter International 196,819 7,410,235 Cigna Corp 55,800 6,232,860 HCA Inc 160,700 8,115,350 Wellpoint Inc 154,800 12,351,492

34,109,937

Hotel, Restaurant & Leisure 1.99%Carnival Corporation 148,400 7,934,948

7,934,948

Insurance 7.93%Allstate Corp 140,200 7,580,614 Hartford Financial Services 118,300 10,160,787 St Paul Travelers Cos Inc 128,415 5,736,298 XL Capital Limited 120,500 8,119,290

31,596,989

Materials 2.06%Dupont EI De Nemours 145,600 6,188,000 Lyondell Chemical Co 85,200 2,029,464

8,217,464

Media 0.89%Gannett Co 58,300 3,531,231

3,531,231

Pharmaceuticals & Biotech 7.19%Bristol Myers Squibb 267,900 6,156,342 Pfizer Inc 452,880 10,561,162 Schering Plough Corp 207,100 4,318,035 Wyeth 164,900 7,596,943

28,632,482

Retail 1.83%Dollar General 381,700 7,279,019

7,279,019

Technology Hardware & Equipment 2.64%Nokia Corp 573,700 10,498,710

10,498,710

Telecommunication Services 2.98%AT&T Inc 252,164 6,175,496 Verizon Communications 188,400 5,674,608

11,850,104$


INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP VALUE/BARROW HANLEY FUND (SALV4)


FOR THE YEAR ENDED

DECEMBER 31, 2005



8,318,373 Expenses: Investment management fees 2,791,164 Custodian fees 46,848 Asset charge 69,153 Audit Fees 9,330


Realized and unrealized gains (losses) on investments: Net realized gains (losses) - securities 5,564,847 Net change in unrealized gains 16,344,414






NET ASSETS



INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP VALUE/AJO FUND (SACV)

(FORMERLY LARGE CAP VALUE/JOHN A. LEVIN CO. FUND)STATEMENT OF NET ASSETS

DECEMBER 31, 2005


Automotive 1.08% Materials 4.09%Autoliv Inc 99,600 4,523,832$ Agrium Inc 244,600 5,378,754$ Ford Motor Company 274,300 2,117,596 Eastman Chemical Company 35,500 1,831,445

6,641,428 Freeport Mcmoran Copper & Gold 100,800 5,423,040 Martin Marietta Materials 49,900 3,828,328

Banks 15.30% Nucor Corp 81,300 5,424,336 BB&T Corporation 120,900 5,066,919 IPSCO Inc 39,800 3,302,604 Comerica Inc 100,700 5,715,732 25,188,507 Indymac Bancorp Inc 134,200 5,236,484 Keycorp 220,100 7,247,893 Media 2.21%PMI Group Inc 148,200 6,086,574 McGraw Hill Companies 61,300 3,164,919 PNC Financial Services Group 40,100 2,479,383 Shaw Communications Inc 247,600 5,367,968 Radian Group Inc 111,500 6,532,785 Time Warner Inc 156,300 2,725,872 US Bancorp 402,600 12,033,714 Wiley (John) & Sons 60,600 2,365,824 UnionBanCal Corporation 86,700 5,958,024 13,624,583 Wachovia Corporation 201,000 10,624,860 Washington Mutual Inc 254,700 11,079,450 Pharmaceuticals & Biotech 5.11%Wells Fargo Financial 256,500 16,115,895 Amgen Inc 32,100 2,531,406

94,177,713 King Pharmaceuticals Inc 354,700 6,001,524 Pfizer Inc 982,700 22,916,564

Capital Goods 2.48% 31,449,494 Cummins Inc 64,300 5,769,639 Northrop Grumman Corp 118,000 7,092,980 Real Estate 0.90%Timken Co 75,400 2,414,308 CB Richard Ellis Group 93,600 5,508,360

15,276,927 5,508,360

Consumer Durables & Apparel 3.42% Retail 1.99%Beazer Homes USA Inc 74,000 5,390,160 Abercrombie & Fitch Co 89,200 5,814,056 Coach Inc 123,900 4,130,826 Nordstrom Inc 172,100 6,436,540 DR Horton Inc 99,100 3,540,843 12,250,596 Jones Apparel Group 35,300 1,084,416 KB Home 35,500 2,579,430 Semiconductors & Semiconductor Equipment 1.05%Liz Claiborne 119,800 4,291,236 Intel Corporation 123,300 3,077,568

21,016,911 Texas Instruments Inc 104,800 3,360,936 6,438,504

Energy 12.77%Anadarko Petroleum Corp 90,900 8,612,775 Software & Services 2.62%Chevron Corporation 151,100 8,577,947 Accenture Ltd 138,700 4,004,269 Conoco Phillips 249,700 14,527,546 Computer Science 59,000 2,987,760 Devon Energy Corporation 147,600 9,230,904 Fair Isaac Corp 78,500 3,467,345 Exxon Mobil Corporation 435,000 24,433,950 Fiserv Inc 131,000 5,668,370 Sunoco Inc 83,200 6,521,216 16,127,744 Talisman Energy Inc 126,300 6,678,744

78,583,082 Technology Hardware & Equipment 2.81%Hewlett Packard 460,800 13,192,704

Financial Services 14.60% Ingram Micro Inc 205,300 4,091,629 Bank of New York 78,600 2,503,410 17,284,333 Cit Group Inc 49,500 2,563,110 Citigroup Inc 651,300 31,607,589 Telecommunication Services 3.96%Goldman Sachs Group Inc 84,000 10,727,640 BCE Inc 234,500 5,616,275 Lehman Brothers Holdings 75,100 9,625,567 Centurytel Inc 125,300 4,154,948 Merrill Lynch Medium Term Note 191,600 12,977,068 Verizon Communications 485,400 14,620,248 Morgan Stanley 210,300 11,932,422 24,391,471 Nuveen Investments-CL A 25,500 1,086,810 Principal Financial Group 144,000 6,829,920 Transportation 1.23%

89,853,536 Burlington North Santa Fe 39,800 2,818,636 CNF Inc 84,500 4,722,705

Food & Drug Retailers 1.65% 7,541,341 Kroger Co 374,900 7,078,112 Supervalu Inc 95,600 3,105,088 Utilities 6.42%

10,183,200 American Electric Pwr 159,400 5,912,146 Constellation Energy Group 62,400 3,594,240

Food, Beverage & Tobacco 2.78% DTE Energy Company 145,700 6,292,783 Altria Group Inc 105,600 7,890,432 Edison International 167,700 7,313,397 Del Monte Foods Co 490,200 5,112,786 Entergy Corp New 3,800 260,870 Pepsi Bottling Group Inc 82,900 2,371,769 First Energy Corp 156,600 7,671,834 Pilgrims Pride Corp 52,800 1,750,848 Sempra Energy 57,100 2,560,364

17,125,835 TXU Corporation 118,200 5,932,458 39,538,092

Healthcare 3.00%Aetna Inc 35,600 3,357,436 AmerisourceBergen Corporation 164,000 6,789,600 Total Common Stock 96.96% 596,736,139 Cardinal Health Inc 120,500 8,284,375 (Cost $583,730,394)


Hotel, Restaurant & Leisure 1.60% (Cost $583,730,394)Brinker Intl 74,800 2,891,768Darden Restaurants 149,300 5,804,784Panera Bread Company 17,800 1,169,104


Household Products 0.42% Dividends receivable 1,042,227 Clorox Co 45,300 2,577,117 Interest receivable 32,086

2,577,117 Receivable for investments sold 2,087,160 Accrued expenses and other payables (35,787)

Insurance 5.47% 18,691,478 Allstate Corp 191,800 10,370,626 Assurant Inc 65,500 2,848,595 CNA Financial Corp 75,400 2,467,842 Net Assets 100.00% 615,427,617$ First American Corporation 126,500 5,730,450 Loews Corp 65,100 6,174,735 Safeco Corp 68,500 3,870,250 StanCorp Financial Group Inc 44,000 2,197,800

33,660,298$


INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP VALUE/AJO FUND (SACV)

(FORMERLY LARGE CAP VALUE/JOHN A. LEVIN CO. FUND)STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS

FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Dividends, net of foreign tax of $70,583 19,260,493$ Interest 304,907 Miscellaneous income 3,846



Realized and unrealized gains (losses) on investments: Net realized gains (losses) - securities (10,574,294) Net change in unrealized gains on securities 13,005,745






NET ASSETS

Beginning of year - Transfer to PRIAC from CIGNA 1,185,726,823 Net increase (decrease) for the year (570,299,206) End of year 615,427,617$


INSTITUTIONALLY SUBADVISED FUNDS LARGE CAP VALUE/LSV ASSET MANAGEMENT FUND (SALV5)


Shares Market Value Shares Market ValueCommon Stock Hotel, Restaurant & Leisure 0.68%Automotive 2.43% Darden Restaurants 126,500 4,918,320$ Autoliv Inc 115,200 5,232,384$ Jack in the Box Inc 55,200 1,928,136Ford Motor Company 391,400 3,021,608 6,846,456Goodyear Tire & Rubber Co 505,600 8,787,328Harley Davidson 67,800 3,491,022 Household Products 0.23%Johnson Controls 54,700 3,988,177 Energizer Holdings Inc 46,800 2,330,172

24,520,519 2,330,172

Banks 14.77% Insurance 9.80%Amsouth Bancorp 98,300 2,576,443 Allstate Corp 266,600 14,415,062Astoria Finl Corp 107,200 3,151,680 American Financial Group 86,000 3,294,660Bank of America Corp 592,700 27,353,104 Amerus Group Co 68,600 3,887,562Comerica Inc 214,400 12,169,344 Aon Corp 374,400 13,459,680Countrywide Financial Corp 59,000 2,017,210 Cincinnati Financial Corp 121,100 5,410,748Freddie Mac 67,700 4,424,195 Horace Mann Educators 225,200 4,269,792Huntington Bancshares 145,300 3,450,875 Jefferson Pilot Corp 94,300 5,368,499Keycorp 318,700 10,494,791 Lincoln National Corp 220,300 11,682,509MGIC Invt Corp 183,000 12,045,060 Loews Corp 91,700 8,697,745National City Corp 312,400 10,487,268 MBIA Inc 123,800 7,447,808North Fork Bancorp 15,849 433,629 MetLife Inc 83,100 4,071,900PNC Financial Services Group 130,400 8,062,632 Old Republic International 151,600 3,981,016Popular Inc 96,600 2,043,090 St Paul Travelers Cos Inc 84,300 3,765,681UnionBanCal Corporation 640,400 19,141,556 StanCorp Financial Group Inc 104,200 5,204,790US Bancorp 60,300 4,143,816 Zenith National Insurance Corp 85,200 3,929,424Wachovia Corporation 207,600 10,973,736 98,886,876Washington Mutual Inc 367,156 15,971,286

148,939,715 Materials 1.95%Eastman Chemical Company 99,400 5,128,046

Capital Goods 6.15% FMC Corp 53,400 2,839,278Cummins Inc 41,400 3,714,822 Lafarge North America Inc 47,500 2,613,450Deere & Co 79,600 5,421,556 Om Group Inc 62,000 1,163,120Goodrich Corp 17,200 706,920 Owens Illinois Inc 111,700 2,350,168Griffon Corp 137,800 3,281,018 PPG Industries Inc 95,500 5,529,450Lockheed Martin Corp 101,100 6,432,993 19,623,512Masco Corp 137,900 4,163,201Navistar Intl Corp 179,500 5,137,290 Media 1.24%Northrop Grumman Corp 240,000 14,426,400 Scholastic Corp 78,200 2,229,482Raytheon Co 131,300 5,271,695 Viacom Inc 313,700 10,226,620Teleflex Inc 68,400 4,444,632 12,456,102Textron Inc 22,600 1,739,748Tredegar Corp 213,500 2,752,015 Pharmaceuticals & Biotech 6.24%Walter Industries Inc 90,300 4,489,716 Alpharma Inc 112,500 3,207,375

61,982,006 King Pharmaceuticals Inc 309,000 5,228,280Merck & Co Inc 559,000 17,781,790

Commercial Services & Supplies 0.34% Pfizer Inc 1,576,300 36,759,316Cendant Corporation 187,100 3,227,475 62,976,761PHH Corp 6,840 191,657

3,419,132 Retail 3.09%Barnes & Noble 99,400 4,241,398

Consumer Durables & Apparel 2.98% Borders Group 356,500 7,725,355Eastman Kodak Co 226,400 5,297,760 Federated Department Stores 56,800 3,767,544KB Home 65,600 4,766,496 JC Penney Co 122,500 6,811,000Maytag Corp 112,300 2,113,486 Limited Brands 255,500 5,710,425NVR Inc 6,200 4,352,400 Sherwin Williams 64,200 2,915,964Stanley Works 74,300 3,569,372 31,171,686Whirlpool Corp 118,400 9,917,184

30,016,698 Semiconductors & Semiconductor Equipment 0.02%Freescale Semiconductor Inc 9,837 247,597

Energy 15.16% 247,597Amerada Hess Corp 92,700 11,756,214Anadarko Petroleum Corp 155,100 14,695,725 Software & Services 3.83%Chevron Corporation 500,400 28,407,708 BMC Software 120,500 2,469,045Conoco Phillips 298,500 17,366,730 CSG Systems Intl Inc 145,800 3,254,256Exxon Mobil Corporation 740,900 41,616,353 Computer Science 99,400 5,033,616Kerr Mcgee Corporation 55,900 5,079,074 Convergys Corp 273,000 4,327,050Marathon Oil Corp 81,400 4,962,958 Earthlink Inc 542,900 6,031,619Occidental Petroleum 36,800 2,939,584 Sabre Holdings 384,300 9,265,473Sunoco Inc 145,200 11,380,776 Sybase Inc 165,700 3,622,202Tesoro Petroleum 67,900 4,179,245 Synopsys Inc 230,700 4,627,842Valero Energy Corp 202,800 10,464,480 38,631,103

152,848,847Technology Hardware & Equipment 4.07%

Financial Services 10.70% Hewlett Packard 876,400 25,091,332Bear Stearns Co Inc 42,300 4,886,919 IBM Corp 62,800 5,162,160Cit Group Inc 106,800 5,530,104 Sanmina SCI Corp 1,157,300 4,930,098Citigroup Inc 491,200 23,837,936 Western Digital 317,000 5,899,370Edwards AG Inc 119,200 5,585,712 41,082,960JP Morgan Chase & Co 946,700 37,574,523Merrill Lynch Medium Term Note 125,900 8,527,207 Telecommunication Services 3.31%Morgan Stanley 145,900 8,278,366 AT&T Inc 377,691 9,249,653Principal Financial Group 289,500 13,730,985 Bellsouth Corporation 145,200 3,934,920

107,951,752 Centurytel Inc 258,600 8,575,176Verizon Communications 384,300 11,575,116

Food & Drug Retailers 1.50% 33,334,865Albertsons Inc 196,900 4,203,815BJs Wholesale Club Inc 92,400 2,731,344 Transportation 1.99%Kroger Co 191,200 3,609,856 Alaska Air Group 120,700 4,311,404Supervalu Inc 142,600 4,631,648 Burlington North Santa Fe 82,100 5,814,322

15,176,663 ExpressJet Holdings Inc 222,800 1,802,452Ryder System Inc 73,300 3,006,766

Food, Beverage & Tobacco 2.66% Swift Transportation 251,800 5,111,540Altria Group Inc 66,500 4,968,880 20,046,484Archer Daniels Midland 366,700 9,042,822Molson Inc 13,400 897,666 Utilities 4.94%PepsiAmericas 106,300 2,472,538 American Electric Pwr 403,600 14,969,524Reynolds American Inc 50,300 4,795,099 Centerpoint Energy Inc 106,300 1,365,955Tyson Foods Inc 270,400 4,623,840 Duquesne Light Holdings Inc 154,400 2,519,808

26,800,845$ National Fuel Gas 131,700 4,107,723


INSTITUTIONALLY SUBADVISED FUNDS LARGE CAP VALUE/LSV ASSET MANAGEMENT FUND (SALV5)


Shares Market ValueUtilities (cont'd)Nicor Inc 66,300 2,606,253$ OGE Energy Corp 99,400 2,662,926Puget Energy Inc 184,800 3,773,616Sempra Energy 46,100 2,067,124TXU Corporation 158,400 7,950,096Xcel Energy Inc 421,300 7,777,198

49,800,223

Total Common Stock 98.08% 989,090,974(Cost $924,815,680)

WarrantsBanks 0.00%Dime Bancorp Inc New Wts To 2,500 325(Cost $475) 325

Total Invested Assets 98.08% 989,091,299(Cost $924,816,155)

Other Assets and Liabilities 1.92%Cash and cash equivalents 20,624,816Dividends receivable 1,573,788Interest receivable 52,169Receivable for investments sold 145,335Payable for investments purchased (2,987,092)Accrued expenses and other payables (35,782)

19,373,234

Net Assets 100.00% 1,008,464,533$



LARGE CAP VALUE/LSV ASSET MANAGEMENT FUND (SALV5)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:


Interest 415,055

18,413,754

Expenses:




Audit fees 21,788

6,906,798



on investments:












NET ASSETS

Beginning of year -



End of year 1,008,464,533$


INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP VALUE FUND (SUB-ADVISED BY WELLINGTON MANAGEMENT) (SALV3)

(FORMERLY KNOWN AS LARGE CAP VALUE/WELLINGTON MANAGEMENT FUND) STATEMENT OF NET ASSETS

DECEMBER 31, 2005

Shares Market Value Shares Market Value Automotive 0.63% Pharmaceuticals & Biotech 5.45%Borg Warner Inc 25,200 1,527,876$ Abbott Laboratories 122,700 4,838,061$ TRW Automotive Holdings 128,100 3,375,435 Lilly Eli & Co 115,500 6,536,145

4,903,311 Merck & Co Inc 270,900 8,617,329 Pfizer Inc 148,800 3,470,016

Banks 11.98% Schering Plough Corp 535,700 11,169,345 Bank of America Corp 819,400 37,815,310 Wyeth 166,800 7,684,476 City National 33,100 2,397,764 42,315,372 Comerica Inc 91,900 5,216,244 Countrywide Financial Corp 158,300 5,412,277 Real Estate 3.05%Freddie Mac 231,100 15,102,385 General Growth Properties 281,960 13,249,300 Golden West Financial Corp 189,700 12,520,200 Kimco Realty 323,900 10,390,712 UnionBanCal Corporation 195,900 13,462,248 23,640,012 Webster Financial Corp 23,800 1,116,220

93,042,648 Retail 1.59%Abercrombie & Fitch Co 34,800 2,268,264

Capital Goods 3.82% Michaels Stores 239,800 8,481,726 Emerson Elec Co 84,600 6,319,620 Talbots Inc 58,100 1,616,342 General Elec Cap Corp 274,600 9,624,730 12,366,332 Honeywell International Inc 119,800 4,462,550 Ingersoll Rand 73,400 2,963,158 Semiconductors & Semiconductor Equipment 0.49%Northrop Grumman Corp 55,200 3,318,072 Fairchild Semiconductor Intl 226,900 3,836,879 Precision Castparts Corp 58,000 3,004,980 3,836,879

29,693,110 Software & Services 1.87%

Commercial Services & Supplies 0.29% Accenture Ltd 52,100 1,504,127 Pitney Bowes 53,500 2,260,375 BISYS Group Inc 159,500 2,234,595

2,260,375 First Data Corp 111,300 4,787,013 Microsoft Corp 228,500 5,975,275

Consumer Durables & Apparel 0.77% 14,501,010 Lennar Corp 97,500 5,949,450

5,949,450 Technology Hardware & Equipment 2.43%Corning Inc 120,900 2,376,894

Energy 14.14% EMC Corp 46,800 637,416 Chevron Corporation 452,800 25,705,456 Hewlett Packard 397,200 11,371,836 Conoco Phillips 266,808 15,522,889 Motorola Inc 5,800 131,022 Exxon Mobil Corporation 764,000 42,913,880 Xerox Corp 298,100 4,367,165 Halliburton Co 217,600 13,482,496 18,884,333 Noble Energy Inc 38,200 1,539,460 Pride International Inc 167,900 5,162,925 Telecommunication Services 4.95%Williams Cos 234,000 5,421,780 AT&T Inc 151,868 3,719,247

109,748,886 Citizen Communications Co 533,000 6,518,590 Deutsche Telekom AG 905,100 15,051,814

Financial Services 13.72% Sprint Nextel Corp 410,093 9,579,772 Capital One Financial 91,042 7,866,029 Verizon Communications 116,800 3,518,016 Citigroup Inc 926,800 44,977,604 38,387,439 E Trade Financial Corporation 272,000 5,673,920 Goldman Sachs Group Inc 92,500 11,813,175 Transportation 1.58%Merrill Lynch Medium Term Note 204,500 13,850,785 CNF Inc 83,800 4,683,582 Northern Trust 51,200 2,653,184 Canadian National Railway Co 50,750 4,059,493 State Street Corp 161,300 8,942,472 Southwest Airlines 216,600 3,558,738 UBS AG 113,100 10,735,468 12,301,813

106,512,637 Utilities 6.29%

Food & Drug Retailers 0.52% Constellation Energy Group 61,700 3,553,920 Costco Wholesale Corporation 81,700 4,041,699 Dominion Resources Inc 69,300 5,349,960

4,041,699 Exelon Corp 340,050 18,070,257 FPL Group 91,400 3,798,584

Food, Beverage & Tobacco 3.81% Northeast Utilities 69,200 1,362,548 Altria Group Inc 237,500 17,746,000 PG&E Corporation 240,500 8,927,360 Constellation Brands Inc 159,300 4,178,439 TXU Corporation 85,800 4,306,302 General Mills Inc 155,000 7,644,600 Ugi Corp 169,200 3,485,520

29,569,039 48,854,451

Healthcare 2.01%McKesson Corp 172,800 8,914,752 Total Common Stock 96.93% 752,626,565 Wellpoint Inc 84,000 6,702,360 (Cost $ 712,906,070)


Hotel, Restaurant & Leisure 1.34% (Cost $ 712,906,070)McDonalds Corp 199,500 6,727,140 Outback Steakhouse 89,000 3,703,290


Household Products 0.82% Cash and cash equivalents* 25,620,420 Alberto Culver Co 41,500 1,898,625 Dividends receivable 1,091,454 Procter & Gamble Co 77,105 4,462,837 Interest receivable 62,649

6,361,462 Receivable for investments sold 200,895 Payable for investments purchased (3,011,319)

Insurance 6.30% Variation margin payable for futures contracts (87,680) American International Group 166,600 11,367,118 Accrued expenses and other payables (31,481) Conseco Inc 156,100 3,616,837 23,844,938 MBIA Inc 222,400 13,379,584 MetLife Inc 106,300 5,208,700 Reinsurance Group 52,500 2,507,400 Net Assets 100.00% 776,471,503$ St Paul Travelers Cos Inc 169,500 7,571,565 Unumprovident Corp 230,600 5,246,150

48,897,354 FOOTNOTES:

Materials 4.88% *- Pledged to broker as collateral for open futures contracts:Alcoa Inc 298,700 8,832,559 Bowater Inc 141,200 4,337,664 Dow Chemical 86,600 3,794,812 Dupont EI De Nemours 175,400 7,454,500 At December 31, 2005, the following futures contracts were outstanding:Sealed Air Corp 76,000 4,268,920 Valspar Corporation 116,300 2,869,121 Notional UnrealizedWeyerhaeuser Co 95,100 6,308,934 Contracts Description Market Value Gains/(Losses)

37,866,510 292 S&P 500 EMINI - March 06 18,320,080$ (254,177)$

Media 4.20%Comcast Corp 200,100 5,140,569 Liberty Global Inc 35,500 798,750 Liberty Global Inc 33,800 716,560 Omnicom Group Inc 45,800 3,898,954 Scripps E W Co 88,400 4,244,968 Time Warner Inc 533,900 9,311,216 Viacom Inc 225,600 7,354,560 Warner Music Group Corp 61,200 1,179,324

32,644,901$


INSTITUTIONALLY SUBADVISED FUNDSLARGE CAP VALUE FUND (SUB-ADVISED BY WELLINGTON MANAGEMENT) (SALV3)

(FORMERLY KNOWN AS LARGE CAP VALUE/WELLINGTON MANAGEMENT FUND)STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS

FOR THE YEAR ENDED

DECEMBER 31, 2005





Realized and unrealized gains (losses) on investments: Net realized gains (losses) - securities 13,054,955 Net realized gains (losses) - futures (207,949) Net change in unrealized gains 39,466,318






NET ASSETS



INSTITUTIONALLY SUBADVISED FUNDS MID CAP BLEND/NEW AMSTERDAM PARTNERS FUND (SAMCG)


Shares Market Value Shares Market ValueCommon Stock Banks 3.26% Utilities 4.33%Countrywide Financial Corp 91,900 3,142,061$ Oneok Inc 106,400 2,833,432$

3,142,061 PPL Corporation 45,500 1,337,700 4,171,132

Capital Goods 8.59%Alliant Techsystems 14,400 1,096,848 Graco Inc 47,700 1,740,096 Total Common Stock 97.73% 94,104,776 ITT Industries 20,100 2,066,682 (Cost $83,713,152)Wesco International 78,800 3,367,124

8,270,750 Total Invested Assets 97.73% 94,104,776 (Cost $83,713,152)

Commercial Services & Supplies 6.82%Equifax Inc 62,600 2,380,052 Resources Connection Inc 96,800 2,522,608 Waste Connections Inc 48,300 1,664,418 Other Assets and Liabilities 2.27%

6,567,078 Cash and cash equivalents 2,146,088 Dividends receivable 32,142

Consumer Durables & Apparel 7.12% Interest receivable 6,914 KB Home 29,600 2,150,736 Accrued expenses and other payables (4,025) Pulte Homes Inc 87,200 3,432,192 2,181,119 The Yankee Candle Company Inc 49,600 1,269,760

6,852,688 Net Assets 100.00% 96,285,895$

Education 2.63%ITT Educational Services Inc 42,900 2,535,819

2,535,819

Energy 10.88%Carbo Ceramics Inc 49,150 2,777,958 National Oilwell Inc 35,500 2,225,850 Valero Energy Corp 50,000 2,580,000 Holly Corp 49,100 2,890,517

10,474,325

Financial Services 11.30%Federated Investors Inc 51,400 1,903,856 Franklin Resources Inc 35,400 3,327,954 Lehman Brothers Holdings 24,300 3,114,531 SLM Corp 46,000 2,534,140

10,880,481

Food, Beverage & Tobacco 1.85%Constellation Brands Inc 68,100 1,786,263

1,786,263

Healthcare 9.82%Amerigroup Corporation 49,200 957,432 Coventry Health Care Inc 38,400 2,187,264 Lincare Holdings Inc 51,100 2,141,601 Omnicare Inc 28,700 1,642,214 Sybron Dental Specialties 63,500 2,527,935

9,456,446

Hotel, Restaurant & Leisure 2.83%Gtech Holdings 85,800 2,723,292

2,723,292

Household Products 1.87%Alberto Culver Co 21,900 1,001,925 Usana Health Sciences Inc 20,700 794,052

1,795,977

Insurance 2.40%Protective Life Corp 52,700 2,306,679

2,306,679

Materials 2.31%Cytec Industry Inc 46,700 2,224,321

2,224,321

Pharmaceuticals & Biotech 2.85%Barr Pharmaceuticals Inc 44,100 2,746,989

2,746,989

Retail 6.61%Aeropostale Inc 88,900 2,338,070 Chicos Fas Inc 60,700 2,666,551 Ross Stores Inc 47,200 1,364,080

6,368,701

Software & Services 3.63%Cognizant Technology Solutions 69,400 3,494,290

3,494,290

Technology Hardware & Equipment 5.04%Amphenol Corp 55,700 2,465,282 Mettler-Toledo International 19,900 1,098,480 Plantronics Inc 45,500 1,287,650

4,851,412

Transportation 3.59%Landstar System Inc 82,800 3,456,072

3,456,072$



MID CAP BLEND/NEW AMSTERDAM PARTNERS FUND (SAMCG)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:

Dividends 637,043$

Interest 73,790

710,833

Expenses:

Investment management fees 865,480


Asset charge 19,798

Audit fees 2,663

903,147

Net investment loss (192,314)


on investments:












NET ASSETS

Beginning of year -



End of year 96,285,895$


INSTITUTIONALLY SUBADVISED FUNDSMID CAP GROWTH/ARTISAN PARTNERS (SAMG1)


Shares Market Value Shares Market ValueCommon Stock Automotive 0.51% Retail (cont'd)Borg Warner Inc 108,400 6,572,292$ Office Depot Inc 267,900 8,412,060$

6,572,292 TJX Companies 284,700 6,613,581 Banks 2.06% 65,067,797 Golden West Financial Corp 102,200 6,745,200 Semiconductors & Semiconductor Equipment 6.03%MGIC Invt Corp 303,200 19,956,624 Advanced Micro Devices 358,600 10,973,160

26,701,824 Broadcom Corporation 320,600 15,116,290 Capital Goods 9.50% Intersil Corporation 266,500 6,630,520 American Standard Inc 364,400 14,557,780 Marvell Technology 203,100 11,391,879 Danaher Corp 286,300 15,969,814 Maxim Integrated Prod 498,000 18,047,520 Gatx Corp 133,300 4,809,464 Microchip Technology 497,200 15,984,980 ITT Industries 99,800 10,261,436 78,144,349 Joy Global Inc 260,910 10,436,400 Software & Services 12.37%McDermott Intl Inc 361,700 16,135,437 Adobe Systems Incorporated 511,554 18,907,036 Pentair Inc 73,300 2,530,316 Autodesk Inc 136,400 5,858,380 Precision Castparts Corp 412,200 21,356,082 Cadence Design Systems 366,100 6,194,412 Quanta Services Inc 400,200 5,270,634 Checkfree Corporation 430,000 19,737,000 Rockwell Automation Inc 231,300 13,683,708 Cognizant Technology Solutions 160,500 8,081,175 Roper Industries Inc 202,400 7,996,824 Electronic Arts 343,000 17,942,330

123,007,895 Hewitt Associates Inc 494,300 13,845,343 Commercial Services & Supplies 2.84% Intuit 39,700 2,116,010 Equifax Inc 343,800 13,071,276 Iron Mountain Incorporated 409,600 17,293,312 Resources Connection Inc 119,900 3,124,594 Navteq Corp 104,900 4,601,963 Robert Half International Inc 544,290 20,623,148 Paychex Inc 117,600 4,482,912

36,819,018 TIBCO Software Inc 836,900 6,251,643 Consumer Durables & Apparel 1.51% VeriSign Inc 584,700 12,816,624 Brunswick Corp 168,800 6,863,408 Yahoo Inc 561,700 22,007,406 Marvel Entertainment Inc 495,600 8,117,928 160,135,546 Polo Ralph Lauren Corp 81,800 4,592,252 Technology Hardware & Equipment 12.23%

19,573,588 Agilent Technologies Inc 279,400 9,301,226 Energy 7.65% Andrew Corp 280,700 3,011,911 Consol Energy Inc 173,000 11,276,140 Avid Technology 169,800 9,298,248 Cooper Cameron Corporation 429,400 17,777,160 Comverse Technology 735,200 19,548,968 Kinder Morgan Inc 159,700 14,684,415 Corning Inc 663,200 13,038,512 Peabody Energy Corporation 187,700 15,470,234 F5 Networks 116,800 6,679,792 Smith Intl 1,073,400 39,833,874 Flir Systems Inc 161,100 3,597,363

99,041,823 Freescale Semiconductor Inc 366,100 9,222,059 Financial Services 4.11% Jabil Circuit Inc 539,400 20,006,346 Bear Stearns Co Inc 58,600 6,770,058 Juniper Networks Inc 946,900 21,115,870 Capital Source Inc 460,400 10,312,960 Network Appliance Inc 636,400 17,182,800 First Marblehead Corp 352,900 11,596,294 Trimble Navigation Ltd 71,400 2,533,986 Investors Financial Svcs 168,200 6,194,806 Zebra Technologies 118,200 5,064,870 Northern Trust 355,200 18,406,464 UNOVA Inc 557,800 18,853,640

53,280,582 158,455,591 Food, Beverage & Tobacco 2.15% Telecommunication Services 1.09%Constellation Brands Inc 1,062,200 27,861,506 NII Holdings Inc 322,000 14,064,960

27,861,506 14,064,960 Healthcare 11.74% Transportation 1.45%AmerisourceBergen Corporation 363,800 15,061,320 Expeditors Intl Wash Inc 232,000 15,662,320 Caremark Rx Inc 187,200 9,695,088 Southwest Airlines 193,100 3,172,633 Cerner Corp 170,000 15,454,700 18,834,953 Coventry Health Care Inc 360,250 20,519,840 Fisher Scientific Intl 380,500 23,537,730 Total Common Stock 96.60% 1,250,998,725 Gen Probe Inc 168,700 8,230,873 (Cost $1,107,226,212)Laboratory Corp Amer Hldgs 124,400 6,698,940 Millipore Corp 106,400 7,026,656 Total Invested Assets 96.60% 1,250,998,725 St Jude Medical Inc 265,800 13,343,160 (Cost $1,107,226,212)Varian Medical Systems Inc 646,100 32,524,674

152,092,981 Other Asset and Liabilities 3.40%Hotel, Restaurant & Leisure 1.81% Cash and cash equivalents 41,202,244 PF Changs China Bistro Inc 140,400 6,968,052 Interest receivable 153,028 Royal Caribbean Cruises 156,649 7,058,604 Dividends receivable 1,556,759 Yum! Brands Inc 199,900 9,371,312 Receivable for investments sold 2,660,870

23,397,968 Payable for investments purchased (1,482,304) Insurance 2.24% Accrued expenses and other payables (55,484) Aon Corp 451,500 16,231,425 44,035,113 Willis Group Holdings Ltd 345,200 12,751,688

28,983,113 Net Assets 100.00% 1,295,033,838$ Materials 2.54%Air Products and Chemicals Inc 142,000 8,404,980 Ecolab Inc 673,400 24,424,218

32,829,198 Media 1.77%Clear Channel Outdoor Holdings 354,300 7,103,715 Getty Images Inc 176,700 15,774,009

22,877,724 Pharmaceuticals & Biotech 6.45%Allergan Inc 207,700 22,423,292 Celgene Corp 18,000 1,166,400 Forest Labs 205,000 8,339,400 Genzyme Corp 249,200 17,638,376 Invitrogen Corp 84,800 5,651,072 Medimmune Inc 186,600 6,534,732 Neurocrine Biosciences 105,800 6,636,834 Protein Design Labs 115,700 3,288,194 Sepracor Inc 59,800 3,085,680 Shire Pharmaceuticals Group 214,700 8,328,213 Threshold Pharmaceuticals 27,900 403,155

83,495,348 Real Estate 1.53%CB Richard Ellis Group 119,100 7,009,035 St Joe Company 189,700 12,751,634

19,760,669 Retail 5.02%Chicos Fas Inc 305,132 13,404,449 Dick's Sporting Goods Inc 146,800 4,879,632 Kohls Corp 464,600 22,579,560 Michaels Stores 259,500 9,178,515


INSTITUTIONALLY SUBADVISED FUNDSMID CAP GROWTH/ARTISAN PARTNERS (SAMG1)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Dividends, net of foreign income tax of $5,443 6,635,529$ Interest 1,355,577 Miscellaneous income 47,447









NET ASSETS

Beginning of year - Transfer to PRIAC from CIGNA 1,197,612,027 Net increase (decrease) for the year 97,421,811

End of year 1,295,033,838$


INSTITUTIONALLY SUBADVISED FUNDSMID CAP GROWTH/GOLDMAN SACHS FUND (SAMG4)


Shares Market Value Shares Market ValueCommon Stock Software & Services 15.71%Automotive 2.05% Activision Inc 44,320 608,957$ Gentex Corp 39,220 764,790$ Alliance Data Systems Corp 20,220 719,832

764,790 CNET Networks Inc 31,220 458,622 Banks 0.61% Ceridian Corp 24,430 607,086 City National 300 21,732 Cognizant Technology Solutions 10,340 520,619 Commerce Bancorp Inc 6,010 206,804 Cognos Inc 17,760 616,450

228,536 Fiserv Inc 6,920 299,428 Capital Goods 9.08% Iron Mountain Incorporated 14,320 604,590 Alliant Techsystems 8,250 628,403 Moneygram International Inc 22,980 599,318 American Standard Inc 16,590 662,771 Navteq Corp 13,200 579,084 Grainger W W Inc 12,030 855,333 Salesforce com Inc 7,710 247,105 Pentair Inc 12,080 417,002 5,861,091 Rockwell Automation Inc 13,130 776,771 Technology Hardware & Equipment 11.58%Suntech Power Holdings Co 1,780 48,505 Amphenol Corp 17,750 785,615

3,388,785 Avocent Corporation 23,190 630,536 Commercial Services & Supplies 3.58% Cogent Inc 23,680 537,062 Aramark Corp 24,530 681,443 Dolby Laboratories Inc 16,760 285,758 Choicepoint Inc 14,650 652,072 Flir Systems Inc 34,580 772,171

1,333,515 Juniper Networks Inc 15,190 338,737 Consumer Durables & Apparel 4.29% Research In Motion 3,270 215,853 Fortune Brands 10,220 797,364 Zebra Technologies 17,620 755,017 Harman International 8,220 804,327 4,320,749

1,601,691 Telecommunication Services 3.08%Energy 5.96% Crown Castle International 24,970 671,943 Cooper Cameron Corporation 13,530 560,142 Neustar Inc 15,630 476,559 Smith Intl 16,020 594,502 1,148,502 Weatherford International 16,180 585,716 XTO Energy Inc 10,953 481,275 Total Common Stock 97.44% 36,350,029

2,221,635 (Cost $34,589,217)Food, Beverage & Tobacco 0.68%McCormick & Co 8,240 254,781 Total Invested Assets 97.44% 36,350,029

254,781 (Cost $34,589,217)Healthcare 12.48%Advanced Medical Optics 13,330 557,193 Other Asset and Liabilities 2.56%Bard CR 8,760 577,459 Cash and cash equivalents 1,247,784 Biomet Inc 23,670 865,612 Interest receivable 3,282 Caremark Rx Inc 7,530 389,979 Dividends receivable 7,407 Fisher Scientific Intl 11,775 728,402 Payable for investments purchased (301,871) Gen Probe Inc 7,390 360,558 Accrued expenses and other payables (1,326) Kinetic Concepts Inc 10,030 398,793 955,276 Medco Health Solutions 10,290 574,182 VCA Antech Inc 7,250 204,450 Net Assets 100.00% 37,305,305$

4,656,628 Hotel, Restaurant & Leisure 3.64%Harrahs Entertainment 6,770 482,632 Marriott International Inc 5,160 345,565 PF Changs China Bistro Inc 10,660 529,056

1,357,253 Insurance 0.66%Willis Group Holdings Ltd 6,630 244,912

244,912 Media 7.38%Entravision Communications 66,340 472,341 Lamar Advertising Co 15,980 737,317 Scripps E W Co 4,010 192,560 Univision Communications Inc 26,410 776,190 XM Satellite Radio Hldgs 21,040 573,971

2,752,379 Pharmaceuticals & Biotech 2.93%Charles River Laboratories 16,470 697,834 OSI Pharmaceuticals Inc 14,110 395,644

1,093,478 Retail 7.47%Chicos Fas Inc 9,980 438,421 Petco Animal Supplies Inc 32,000 702,400 Select Comfort Corporation 11,090 303,312 Urban Outfitters Inc 22,630 572,765 Williams Sonoma Inc 17,830 769,365

2,786,263 Semiconductors & Semiconductor Equipment 6.26%Linear Technology Corp 20,890 753,502 Marvell Technology 4,540 254,649 Microchip Technology 12,150 390,623Tessera Technologies Inc 21,220 548,537 Xilinx Inc 15,380 387,730

2,335,041$



MID CAP GROWTH/GOLDMAN SACHS FUND (SAMG4)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:

Dividends 115,079$

Interest 28,549

143,628

Expenses:



Asset charge 6,369

Audit fees 784

269,109



on investments:

Net realized gains (losses) - securities 599,553











NET ASSETS

Beginning of year -



End of year 37,305,305$


INSTITUTIONALLY SUBADVISED FUNDS MID CAP GROWTH/TIMESSQUARE CAPITAL MANAGEMENT FUND (SAMG3)



Common Stock Automotive 2.54% Software & Services 8.74%Autoliv Inc 77,900 3,538,218$ Activision Inc 99,900 1,372,626$

3,538,218 Adobe Systems Incorporated 28,500 1,053,360 Banks 1.77% Affiliated Computer Services 24,900 1,473,582 Countrywide Financial Corp 71,400 2,441,166 Alliance Data Systems Corp 80,900 2,880,040

2,441,166 Amdocs 108,800 2,992,000 Capital Goods 2.86% Check Point Software Tech 76,500 1,537,650 Ametek Inc WI 20,900 889,086 Navteq Corp 19,400 851,078 L-3 Communications Corp 22,800 1,695,180 12,160,336 Roper Industries Inc 35,400 1,398,654 Technology Hardware & Equipment 2.17%

3,982,920 Avid Technology 27,800 1,522,328 Commercial Services & Supplies 4.64% Cogent Inc 29,900 678,132 Choicepoint Inc 54,400 2,421,344 Electronics For Imaging 30,500 811,605 Donnelley RR and Sons 37,800 1,293,138 3,012,065 Dun & Bradstreet Corp 19,000 1,272,240 Telecommunication Services 4.11%Stericycle Inc 25,000 1,472,000 American Tower Corp 178,900 4,848,190

6,458,722 Neustar Inc 28,600 872,014 Consumer Durables & Apparel 5.48% 5,720,204 Marvel Entertainment Inc 69,600 1,140,048 Mohawk Industries 29,100 2,531,118 Total Common Stock 94.98% 132,102,906 SCP Pool Corp 106,000 3,945,320 (Cost $119,735,045)

7,616,486 Energy 6.08% Total Invested Assets 94.98% 132,102,906 BJ Services 59,400 2,178,198 (Cost $119,735,045)Denbury Resources 54,900 1,250,622 GlobalSantaFe Corp 46,200 2,224,530 Other Asset and Liabilities 5.02%Patterson Uti Energy Inc 25,900 853,405 Cash and cash equivalents 6,475,816 Range Resource Corp 74,000 1,949,160 Interest receivable 19,325

8,455,915 Dividends receivable 607,178 Financial Services 6.67% Other receivables 76,245 Capital Source Inc 251,600 5,635,840 Receivable for investments sold 301,659 Legg Mason Inc 13,300 1,591,877 Payable for investments purchased (486,913) Moodys Corp 15,200 933,584 Accrued expenses and other payables (5,169) Sei Investments Company 30,300 1,121,100 6,988,141

9,282,401 Food, Beverage & Tobacco 0.78% Net Assets 100.00% 139,091,047$ Constellation Brands Inc 41,100 1,078,053

1,078,053 Healthcare 16.31%CYTYC Corporation 69,100 1,950,693 Davita Inc 152,500 7,722,600 Edwards Lifesciences Corp 41,100 1,710,171 Fisher Scientific Intl 37,300 2,307,378 IMS Health Incorporated 72,400 1,804,208 Laboratory Corp Amer Hldgs 32,900 1,771,665 Lincare Holdings Inc 96,400 4,040,124 VCA Antech Inc 48,800 1,376,160

22,682,999 Hotel, Restaurant & Leisure 3.06%Education Management Corp 77,600 2,600,376 Weight Watchers International 33,500 1,655,905

4,256,281 Insurance 3.51%Ambac Financial Group Inc 20,200 1,556,612 Endurance Specialty Holdings 47,500 1,702,875 Markel Corp 5,100 1,616,955

4,876,442 Materials 4.56%Martin Marietta Materials 19,400 1,488,368 Potash Corp of Saskatchewan 24,000 1,925,280 Sealed Air Corp 17,100 960,507 Vulcan Materials 29,100 1,971,525

6,345,680 Media 5.97%Entercom Communications Corp 15,100 448,017 Getty Images Inc 16,700 1,490,809 Lamar Advertising Co 79,700 3,677,358 Meredith Corp 20,900 1,093,906 NTL Inc 23,500 1,599,880

8,309,970 Pharmaceuticals & Biotech 5.38%Cephalon Inc 24,400 1,579,656 Sepracor Inc 35,600 1,836,960 Shire Pharmaceuticals Group 70,200 2,723,058 Valeant Pharmaceuticals 74,600 1,348,768

7,488,442 Real Estate 2.18%CB Richard Ellis Group 51,600 3,036,660

3,036,660 Retail 2.41%Advance Auto Parts 50,300 2,186,038 Tiffany & Co 30,300 1,160,187

3,346,225 Semiconductors & Semiconductor Equipment 5.76%ASM Holding NV 62,000 1,244,960 Advanced Micro Devices 32,500 994,500 Broadcom Corporation 28,500 1,343,775 Fairchild Semiconductor Intl 90,400 1,528,664 Microchip Technology 55,600 1,787,540 Xilinx Inc 44,200 1,114,282

8,013,721$

The Notes to the Financial Statements are an integral part of these statements. 64


MID CAP GROWTH/TIMESSQUARE CAPITAL MANAGEMENT FUND (SAMG3)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:


Interest 128,778

1,184,725

Expenses:



Asset charge 2,494

Audit fees 3,305

277,252



on investments:









Contractholder withdrawals (359,575)



NET ASSETS

Beginning of year -



End of year 139,091,047$


INSTITUTIONALLY SUBADVISED FUNDSMID CAP VALUE/COOKE & BIELER FUND (SAMV2)


Shares Market Value Market ValueCommon StockAutomotive 1.36% Other Asset and Liabilities 4.43%Superior Indus Intl 67,202 1,495,917$ Cash and cash equivalents 5,631,637$

1,495,917 Interest receivable 18,815 Banks 1.51% Dividends receivable 374,877 South Financial Group Inc 60,309 1,660,910 Payable for investments purchased (1,138,835)

1,660,910 Accrued expenses and other payables (3,259) Capital Goods 18.25% 4,883,235 American Power Conversion 147,900 3,253,800 Carlisle Cos Inc 47,142 3,259,869 Net Assets 100.00% 110,118,677$ Dover Corp 82,122 3,325,120 Federal Signal 147,177 2,209,127 Hubbell Inc 77,863 3,513,179 Pall Corp 134,404 3,610,091 Tennant Co 18,000 936,000

20,107,186 Commercial Services & Supplies 6.95%Aramark Corp 86,100 2,391,858 G & K Services Inc 50,000 1,962,500 Steelcase Inc 152,962 2,421,388 Viad Corp 30,000 879,900

7,655,646 Consumer Durables & Apparel 5.57%Hasbro Inc 74,500 1,503,410 Jones Apparel Group 94,522 2,903,716 Tommy Hilfiger Corp 106,000 1,721,440

6,128,566 Financial Services 2.24%Capital Source Inc 110,000 2,464,000

2,464,000 Food, Beverage & Tobacco 4.14%Hain Celestial Group 166,500 3,523,140 PepsiAmericas 44,400 1,032,744

4,555,884 Healthcare 8.29%Haemonetics Corp 39,000 1,905,540 IMS Health Incorporated 101,000 2,516,920 Medco Health Solutions 40,000 2,232,000 Universal Health Services 53,000 2,477,220

9,131,680 Hotel, Restaurant & Leisure 2.91%CBRL Group Inc 91,094 3,201,954

3,201,954 Insurance 6.21%Ambac Financial Group Inc 16,075 1,238,740 MBIA Inc 45,726 2,750,876 Unumprovident Corp 125,000 2,843,750

6,833,366 Materials 4.60%Albemarle Corp 58,979 2,261,845 Valspar Corporation 113,540 2,801,032

5,062,877 Media 3.81%Catalina Marketing 106,000 2,687,100 Harte Hanks Inc 57,173 1,508,795

4,195,895 Retail 8.04%Big Lots Inc 375,627 4,511,280 Dollar General 47,242 900,905 Zale Corporation 136,932 3,443,840

8,856,025 Semiconductors & Semiconductor Equipment 3.93%Entegris Inc 459,000 4,323,780

4,323,780 Software & Services 6.93%Moneygram International Inc 159,331 4,155,352 Parametric Technology 569,000 3,470,900

7,626,252 Technology Hardware & Equipment 10.83%AVX Corporation 98,800 1,430,624 Flextronics Intl Ltd 183,000 1,910,520 Itron Inc 26,781 1,072,311 Mettler-Toledo International 96,289 5,315,153 Seagate Technology 110,400 2,206,896

11,935,504


Total Invested Assets 95.57% 105,235,442$ (Cost $103,660,137)


INSTITUTIONALLY SUBADVISED FUNDSMID CAP VALUE/COOKE & BIELER FUND (SAMV2)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Dividends 847,709$ Interest 102,717

950,426 Expenses: Investment management fees 610,887 Custodian fees 13,132 Asset charge 42,152 Audit fees 1,717








NET ASSETS



INSTITUTIONALLY SUBADVISED FUNDSMID CAP VALUE/CRM FUND (SAMV3)


Shares Market Value Shares Market ValueCommon StockBanks 6.94% Utilities 13.34%Huntington Bancshares 6,300 149,625$ AGL Resources Inc 6,700 233,227$ Marshall & Ilsley 5,200 223,808 CMS Energy Corp 10,500 152,355 North Fork Bancorp 12,000 328,320 First Energy Corp 6,000 293,940 PNC Financial Services Group 5,800 358,614 Keyspan Energy 4,300 153,467

1,060,367 Northeast Utilities 7,900 155,551 Capital Goods 11.53% PG&E Corporation 6,050 224,576 American Standard Inc 6,600 263,670 PPL Corporation 7,700 226,380 Carlisle Cos Inc 4,200 290,430 Public Service Enterprise 2,300 149,431 Goodrich Corp 10,150 417,165 Questar Corp 5,950 450,415 ITT Industries 2,250 231,345 2,039,342 Precision Castparts Corp 3,500 181,335 Textron Inc 4,900 377,202

1,761,147 Total Common Stock 95.11% 14,531,437 Commercial Services & Supplies 8.92% (Cost $14,023,821)Brinks Co/The 5,000 239,550 Choicepoint Inc 7,900 351,629 Total Invested Assets 95.11% 14,531,437 Dun & Bradstreet Corp 4,850 324,756 (Cost $14,023,821)Manpower Inc 6,350 295,275 Pitney Bowes 3,600 152,100

1,363,310 Consumer Durables & Apparel 3.08% Other Asset and Liabilities 4.89%Fortune Brands 3,100 241,862 Cash and cash equivalents 858,892 Thomson 10,950 229,293 Interest receivable 4,955

471,155 Dividends receivable 13,354 Financial Services 5.53% Payable for investments purchased (130,594) Brookfield Asset Management 4,650 234,035 Accrued expenses and other payables (185) E Trade Financial Corporation 11,150 232,589 746,422 Nuveen Investments-CL A 3,400 144,908 State Street Corp 4,200 232,848 Net Assets 100.00% 15,277,859$

844,380 Food & Drug Retailers 1.52%Sysco Corp 7,500 232,875

232,875 Food, Beverage & Tobacco 1.19%McCormick & Co 5,900 182,428

182,428 Healthcare 7.31%Bard CR 6,500 428,480 Millipore Corp 3,450 227,838 PerkinElmer Inc 19,550 460,598

1,116,916 Hotel, Restaurant & Leisure 5.55%Brinker Intl 6,000 231,960 Harrahs Entertainment 4,400 313,676 Royal Caribbean Cruises 6,700 301,902

847,538 Insurance 4.32%Aon Corp 6,200 222,890 Assurant Inc 5,200 226,148 MBIA Inc 3,500 210,560

659,598 Materials 2.69%Praxair Inc 3,000 158,880 Syngenta AG-ADR 10,100 251,591

410,471 Media 2.41%Arbitron Inc 3,750 142,425 Scripps E W Co 4,700 225,694

368,119 Retail 6.05%Dollar Tree Stores 10,400 248,976 Federated Department Stores 5,350 354,866 Saks Incorporated 3,900 65,754 Sherwin Williams 5,600 254,352

923,948 Software & Services 2.45%Activision Inc 5,400 74,196 Amdocs 10,900 299,750

373,946 Technology Hardware & Equipment 6.07%Amphenol Corp 4,800 212,448 Avaya Inc 24,400 260,348 NCR Corporation 13,400 454,796

927,592 Transportation 6.21%CNF Inc 3,200 178,848 CSX Corp 6,750 342,697 Florida East Coast Industries 4,200 177,954 Norfolk Southern Corp 5,550 248,806

948,305$



MID CAP VALUE/CRM FUND (SAMV3)


FOR THE PERIOD

JUNE 1, 2005 (DATE

OF INCEPTION) TO

FROM INVESTMENT ACTIVITIES DECEMBER 31, 2005

Income:

Dividends, net of foreign income tax of $342 78,930$

Interest 18,318

97,248

Expenses:


Custodian fees 691

Asset charge 120

Audit fees 138

13,611



on investments:


Net change in unrealized gains 507,616


on investments 611,570


investment activities 695,207



Contractholder withdrawals 3,028



NET ASSETS





INSTITUTIONALLY SUBADVISED FUNDSMID CAP VALUE/INTEGRITY FUND (SAMV4)


Shares Market Value Shares Market ValueCommon StockAutomotive 0.71% Media 0.83%Johnson Controls 703 51,256$ Tribune Co 1,992 60,278$

51,256 60,278

Banks 12.36% Pharmaceuticals & Biotech 0.99%Comerica Inc 2,400 136,224 Shire Pharmaceuticals Group 1,860 72,149First Horizon National Corp 2,189 84,145 72,149 Firstfed Financial 2,067 112,693New York Community Bancorp Inc 6,630 109,528 Real Estate 7.15%South Financial Group Inc 3,847 105,946 Annaly Mortgage Management 4,260 46,604Sovereign Bancorp 7,644 165,263 Archstone Smith Trust 3,760 157,506Zions Bancorp 2,440 184,367 Brandywine Realty Trust 2,640 73,682

898,166 Camden Property Trust 1,770 102,518Equity Residential 1,377 53,868

Capital Goods 5.06% Thornburg Mortgage 3,261 85,438Alliant Techsystems 680 51,796 519,616 Aviall Inc 1,678 48,326Hexcel Corporation 4,116 74,294 Retail 3.26%Kennametal Inc 1,285 65,586 Advance Auto Parts 1,196 51,978NCI Building Systems Inc 1,608 68,308 Anntaylor Stores 1,888 65,174United Rentals Inc 2,535 59,294 Foot Locker Inc 2,624 61,900

367,604 Office Depot Inc 1,834 57,588236,640

Commercial Services & Supplies 1.80%Manpower Inc 1,250 58,125 Semiconductors & Semiconductor Equipment 2.32%Republic Services Inc 1,930 72,472 Fairchild Semiconductor Intl 4,343 73,440

130,597 Novellus Systems 3,934 94,888168,328

Consumer Durables & Apparel 1.85%Brunswick Corp 1,829 74,367 Software & Services 1.49%Warnaco Group Inc 2,250 60,120 Mercury Interactive Corp 1,418 39,406

134,487 Parametric Technology 11,328 69,101108,507

Energy 5.63%Goodrich Petroleum Corp. 2,374 59,706 Technology Hardware & Equipment 5.40%Noble Energy Inc 1,709 68,873 Andrew Corp 6,883 73,855Oil States International Inc 1,898 60,129 Freescale Semiconductor Inc 3,354 84,487Peabody Energy Corporation 822 67,749 Hutchinson Technology Inc 1,918 54,567Range Resource Corp 2,536 66,798 Lucent Technologies 22,808 60,669Weatherford International 2,378 86,084 NCR Corporation 2,323 78,843

409,339 Sun Microsystems 9,510 39,847392,268

Food & Drug Retailers 1.87%Kroger Co 4,271 80,636 Telecommunication Services 1.31%Longs Drug Stores 1,513 55,058 Centurytel Inc 2,870 95,169

135,694 95,169

Food, Beverage & Tobacco 5.14% Transportation 2.62%Corn Products Intl Inc 2,448 58,483 Norfolk Southern Corp 2,430 108,937Heinz Co 1,374 46,331 Ryder System Inc 1,983 81,343Molson Inc 706 47,295 190,280 Pepsi Bottling Group Inc 2,390 68,378Reynolds American Inc 840 80,077 Utilities 10.84%Smithfield Foods 2,370 72,522 AGL Resources Inc 2,429 84,554

373,086 American Electric Pwr 2,003 74,291Constellation Energy Group 1,160 66,816

Healthcare 6.13% Edison International 2,448 106,757Beckman Coulter Inc 1,050 59,745 Energen Corp 1,643 59,674Cigna Corp 1,111 124,099 PPL Corporation 3,170 93,198Community Health Systems 1,801 69,050 Public Service Enterprise 1,090 70,818Humana Inc 1,390 75,519 Sempra Energy 1,870 83,851Manor Care Inc 1,360 54,087 Ugi Corp 3,534 72,800Thermo Electron 2,091 63,002 Wisconsin Energy Corp 1,922 75,073

445,502 787,832

Hotel, Restaurant & Leisure 2.00% Total Common Stock 93.35% 6,781,862 Brinker Intl 1,872 72,371 (Cost $6,463,211)Harrahs Entertainment 1,020 72,716

145,087 Total Invested Assets 93.35% 6,781,862

Insurance 7.85% (Cost $6,463,211)Amerus Group Co 1,280 72,538Aon Corp 2,393 86,028 Other Assets and Liabilities 6.65%Assurant Inc 1,862 80,978 Cash and cash equivalents 469,794 Genworth Financial Inc 2,232 77,183 Dividends receivable 12,364 Lincoln National Corp 1,417 75,144 Interest receivable 1,237 Nationwide Financial Services 1,860 81,840 Accrued expenses and other payables (199) Unumprovident Corp 4,258 96,869 483,196

570,580 Net Assets 100.00% 7,265,058$

Materials 6.74%Airgas Inc 1,782 58,628Carpenter Technology 800 56,376Cytec Industry Inc 1,100 52,393FMC Corp 1,614 85,817Lafarge North America Inc 1,010 55,570Lyondell Chemical Co 2,610 62,170PPG Industries Inc 1,030 59,637Pactiv Corporation 2,673 58,806

489,397$



MID CAP VALUE/INTEGRITY FUND (SAMV4)


FOR THE PERIOD

JUNE 1, 2005 (DATE

OF INCEPTION) TO

FROM INVESTMENT ACTIVITIES DECEMBER 31, 2005

Income:

Dividends 60,210$ Interest 7,714

67,924

Expenses:


Custodian fees 507

Audit fees 104

4,048



on investments:




on investments 523,206








NET ASSETS





INSTITUTIONALLY SUBADIVSED FUNDSMID CAP VALUE FUND (SUB-ADVISED BY WELLINGTON MANAGEMENT) (SAMV1)

(FORMERLY KNOWN AS MID CAP VALUE/WELLINGTON MANAGEMENT FUND)STATEMENT OF NET ASSETS

DECEMBER 31, 2005

Shares Market Value Shares Market ValueCommon Stock Automotive 3.85% Retail 3.74%American Axle & Mfg Holdings 291,900 5,350,527$ Foot Locker Inc 618,400 14,588,056$ Borg Warner Inc 126,800 7,687,884 Office Depot Inc 431,200 13,539,680 Michelin 182,381 10,214,254 28,127,736 TRW Automotive Holdings 217,000 5,717,950

28,970,615 Semiconductors & Semiconductor Equipment 5.73%Banks 4.33% Fairchild Semiconductor Intl 943,700 15,957,967 City National 19,300 1,398,092 Lam Research 254,300 9,073,424 Indymac Bancorp Inc 134,600 5,252,092 Teradyne Inc 346,300 5,045,591 Radian Group Inc 185,800 10,886,022 Varian Semiconductor Equipment 296,676 13,032,977 UnionBanCal Corporation 91,600 6,294,752 43,109,959 Webster Financial Corp 187,100 8,774,990 Software & Services 1.18%

32,605,948 BearingPoint Inc 645,700 5,075,202 Capital Goods 10.75% Unisys Corp 649,100 3,784,253 Acuity Brands Inc 266,300 8,468,340 8,859,455 Carlisle Cos Inc 82,400 5,697,960 Technology Hardware & Equipment 8.85%Goodrich Corp 405,700 16,674,270 Arris Group Inc 750,100 7,103,447 GrafTech International Ltd 1,040,900 6,474,398 Arrow Electronics Inc 524,400 16,796,532 Grupo IMSA SA de CV 824,500 2,712,770 Flextronics Intl Ltd 690,200 7,205,688 Hughes Supply Inc 239,000 8,568,150 NCR Corporation 111,400 3,780,916 Parker Hannifin Corp 165,000 10,883,400 QLogic Corporation 102,100 3,319,271 Terex Corporation 107,100 6,361,740 Seagate Technology 540,400 10,802,596 Trinity Inds Inc 270,100 11,903,307 Tektronix Inc 347,400 9,800,154 URS Corp 85,700 3,223,177 Vishay Intertechnology 566,626 7,796,774

80,967,512 66,605,378 Commercial Services & Supplies 2.80% Telecommunication Services 0.38%Acco Brands Corp 46,900 1,149,050 Citizen Communications Co 234,300 2,865,489 Donnelley RR and Sons 320,100 10,950,621 2,865,489 United Stationers Inc 184,800 8,962,800 Transportation 1.69%

21,062,471 Continental Airlines 127,500 2,715,750 Consumer Durables & Apparel 3.34% Yellow Corp 224,300 10,006,023 Fossil Inc 227,100 4,884,921 12,721,773 Newell Rubbermaid Inc 261,600 6,220,848 Utilities 4.17%VF Corp 111,300 6,159,342 Northeast Utilities 78,900 1,553,541 Whirlpool Corp 93,800 7,856,688 PPL Corporation 520,500 15,302,700

25,121,799 Ugi Corp 207,000 4,264,200 Energy 4.13% Wisconsin Energy Corp 263,600 10,296,216 Arch Coal Inc 114,000 9,063,000 31,416,657 Newfield Exploration 197,800 9,903,846 Noble Energy Inc 241,500 9,732,450 Total Common Stock 98.93% 744,735,594 SBM Offshore NV 29,619 2,384,456 (Cost $687,199,658)

31,083,752 Financial Services 5.05% WarrantsAffiliated Managers Group Inc 120,100 9,638,025 Banks 0.00%Apollo Investment Corp 641,900 11,509,267 Dime Bancorp 4,000 520 Cit Group Inc 326,100 16,885,458 (Cost $760) 520

38,032,750 Food, Beverage & Tobacco 3.45%Bunge Limited 143,900 8,146,179 Total Invested Assets 98.93% 744,736,114 Ralcorp Holdings Inc 102,500 4,090,775 (Cost $687,200,418)Smithfield Foods 286,700 8,773,020 Tyson Foods Inc 289,000 4,941,900 Other Asset and Liabilities 1.07%

25,951,874 Cash and cash equivalents 6,732,890 Healthcare 1.87% Foreign currency (Cost $27,606) 27,722 Bio Rad Laboratories 56,800 3,716,992 Interest receivable 36,959 Coventry Health Care Inc 96,250 5,482,400 Dividends receivable 442,592 Health Net Inc 19,900 1,025,845 Receivable for investments sold 972,780 IMS Health Incorporated 155,500 3,875,060 Payable for investments purchased (95,129)

14,100,297 Accrued expenses and other payables (62,526) Hotel, Restaurant & Leisure 2.65% 8,055,288 CBRL Group Inc 286,500 10,070,475 Ruby Tuesday 381,900 9,887,391

19,957,866 Net Assets 100.00% 752,791,402$ Insurance 7.80%Ambac Financial Group Inc 229,010 17,647,511 Everest Reinsurance Holdings 97,300 9,764,055 Platinum Underwriters Holdings 285,590 8,873,281 Reinsurance Group 281,010 13,421,038 Unumprovident Corp 396,000 9,009,000

58,714,885 Materials 9.71%Albemarle Corp 160,400 6,151,340 Cytec Industry Inc 227,100 10,816,773 Engelhard Corp 211,000 6,361,650 Huntsman Corporation 427,400 7,359,828 Inco Ltd 219,500 9,563,615 Pactiv Corporation 657,200 14,458,400 Rinker Group Ltd 230,762 2,784,581 Sappi Ltd - Sponsored ADR 216,000 2,447,280 Smurfit Stone Container Corp 396,400 5,616,988 Temple Inland Inc 169,300 7,593,105

73,153,560 Media 5.29%Dex Media Inc 490,500 13,287,645 Cinram International Inc 843,900 19,794,427 RH Donnelley Corp 109,700 6,759,714

39,841,786 Pharmaceuticals & Biotech 6.29%Barr Pharmaceuticals Inc 201,800 12,570,122 Endo Pharmaceuticals 612,500 18,534,250 Impax Laboratories Inc 746,500 7,987,550 Theravance Inc 366,000 8,242,320

47,334,242 Real Estate 1.88%CB Richard Ellis Group 122,900 7,232,665 KKR Financial Corp 287,500 6,897,125

14,129,790$

The notes to the Financial Statements are an integral part of these statements. 72


MID CAP VALUE FUND (SUB-ADVISED BY WELLINGTON MANAGEMENT) (SAMV1)

(FORMERLY KNOWN AS MID CAP VALUE/WELLINGTON MANAGEMENT FUND)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:


Interest 364,017


8,099,817

Expenses:




Audit fees 23,029

8,276,542



on investments:


Net realized gains (losses) - foreign currency transactions 2,584











NET ASSETS

Beginning of year -



End of year 752,791,402$


INSTITUTIONALLY SUBADVISED FUNDSSMALL CAP BLEND/WHV FUND (SASB1)


Common Stock Shares Market Value Shares Market ValueBanks 2.05% Retail 4.00%Commercial Capital Bancorp 30,001 513,617$ Aaron Rents Inc 30,000 632,400$ UCBH Holdings Inc 27,500 491,700 Freds Inc 35,000 569,450Washington Federal 15,000 344,850 JOS A Bank Clothiers Inc 16,000 694,560

1,350,167 Select Comfort Corporation 22,000 601,700Tuesday Morning Corp 6,600 138,072

Capital Goods 3.84% 2,636,182 LaBarge Inc 17,300 248,601Nordson Corp 14,000 567,140 Semiconductors & Semiconductor Equipment 4.11%Regal Beloit Corp 16,000 566,400 Agere Systems Inc 34,700 447,630Thomas & Betts 11,000 461,560 Cypress Semiconductor 88,200 1,256,850Washingrton Group Intl Inc 13,000 688,610 Kopin Corp 55,000 294,250

2,532,311 Triquent Semiconductor Inc 160,000 712,0002,710,730

Commercial Services & Supplies 3.08%Labor Ready Inc 27,000 562,140 Software & Services 7.42%McGrath Rentcorp 18,000 500,400 Ariba Inc 60,000 441,000NCO Group Inc 26,000 439,920 Digital River Inc 20,000 594,800Navigant Consulting Inc 24,000 527,520 Embarcadero Technologies Inc 40,000 291,200

2,029,980 Gevity HR Inc 26,000 668,720Internet Security Systems Inc 27,500 576,125

Consumer Durables & Apparel 3.04% J2 Global Communications Inc 12,500 534,250Meritage Corporation 9,000 566,280 Manugistics Group Inc 175,000 306,250Oakley Inc 57,000 837,330 Sonic Solutions 37,500 566,625Quicksilver 43,500 602,040 TIBCO Software Inc 70,000 522,900

2,005,650 Tyler Technologies Inc 45,000 395,1004,896,970

Energy 26.65%Alpha Natural Resources Inc 16,000 307,360 Technology Hardware & Equipment 10.62%Atwood Oceanics Inc 12,300 959,769 Aeroflex Inc 52,000 559,000Dril Quip Inc 15,800 745,760 Anixter International Inc 15,000 586,800Grey Wolf Inc 153,200 1,184,236 Arris Group Inc 52,000 492,440Gulfmark Offshore Inc 41,400 1,226,268 Bell Microproducts Inc 70,000 535,500Hornbeck Offshore Services 24,000 784,800 CTS Corp 54,000 597,240Hydril 15,000 939,000 Ixia 45,000 665,100Lone Star Technologies 27,500 1,420,650 Measurement Specialties Inc 22,000 535,700Maverick Tube Corp 34,900 1,391,114 Newport Corp 40,000 541,600NS Group Inc 33,800 1,413,178 OSI Systems Inc 38,000 698,820Parker Drilling Co 112,500 1,218,375 Park Electrochemical 25,000 649,500Pioneer Drilling Company 46,300 830,159 ViaSat Inc 26,000 694,980Quicksilver Resources Inc 39,000 1,638,390 X Rite 45,000 450,000Superior Energy Services Inc 26,000 547,300 7,006,680 Tetra Technologies Inc 30,000 915,600Tidewater Inc 18,400 818,064 Utilities 2.92%Todco 23,400 890,604 Energen Corp 28,200 1,024,224Trico Marine Services Inc 13,600 353,600 Southern Union Co 38,325 905,620

17,584,227 1,929,844

Financial Services 0.93%Espeed Inc 80,000 616,800 Total Common Stock 94.41% 62,297,968

616,800 (Cost $58,663,665)

Healthcare 7.34% Total Invested Assets 94.41% 62,297,968 Allscripts Healthcare Solution 41,000 549,400 (Cost $58,663,665)Bio Rad Laboratories 17,000 1,112,480Digirad Corporation 75,000 301,500Gentiva Health Serivices Inc 35,000 515,900Merge Technologies 21,000 525,840 Other Assets and Liabilities 5.59%Per-Se Technologies Inc 25,000 584,000 Cash and cash equivalents 4,983,723 Psychiatric Solutions Inc 11,000 646,140 Dividends receivable 20,108 Symmetry Medical Inc 31,500 610,785 Interest receivable 17,156

4,846,045 Payable for investments purchased (1,332,093) Accrued expenses and other payables (2,382)

Hotel, Restaurant & Leisure 3.21% 3,686,512 CEC Entertainment Inc 16,000 544,640RARE Hospitality Intl Inc 17,000 516,630Scientific Games Corp 18,000 491,040 Net Assets 100.00% 65,984,480$ Steiner Leisure LTD 16,000 568,960

2,121,270

Household Products 1.25%Central Garden & Pet Co 18,000 826,920

826,920

Materials 7.49%Commercial Metals Co 3,000 112,620Ferro Corp 43,000 806,680Georgia Gulf Corp 12,500 380,250Headwaters Inc 17,000 602,480Om Group Inc 40,000 750,400Oregon Steel Mills Inc 47,100 1,385,682Polyone Corporation 140,000 900,200

4,938,312

Media 0.67%Gemstar TV Guide Intl Inc 170,000 443,700

443,700

Pharmaceuticals & Biotech 4.14%Alpharma Inc 15,000 427,650Cambrex Corp 45,000 844,650Martek Biosciences Corp 20,000 492,200Pain Therapeutics Inc 70,000 473,200Serologicals Corporation 25,000 493,500

2,731,200

Real Estate 1.65%MeriStar Hospitality Corp 59,000 554,600Redwood Trust Inc 13,000 536,380

1,090,980$

The Notes to Financial Statements are an integral part of these statemetnts. 74

INSTITUTIONALLY SUBADVISED FUNDSSMALL CAP BLEND/WHV FUND (SASB1)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Dividends 406,858$ Interest 77,703

484,561 Expenses: Investment management fees 634,765 Custodian fees 8,822 Asset charge 51,181 Audit fees 1,511

696,279 Net investment loss (211,718)







NET ASSETS



INSTITUTIONALLY SUBADVISED FUNDSSMALL CAP GROWTH/GRANAHAN FUND (SASG3)


Shares Market Value Shares Market ValueCommon Stock Banks 1.98% Pharmaceuticals & Biotech 14.55%Cullen Frost Bankers Inc 97,200 5,217,696$ Abgenix Inc 104,166 2,240,610$

5,217,696 Adolor Corporation 4,500 65,700 Capital Goods 9.04% Affymetrix Inc 28,200 1,346,550 Albany International Corp 81,800 2,957,888 Arena Pharmaceuticals 42,600 605,772 American Superconductor Corp 11,900 93,653 Axcan Pharma Inc 85,800 1,299,012 Aviall Inc 38,800 1,117,440 Cambridge Antibody Tech 102,200 1,227,524 Chicago Bridge & Iron 40,100 1,010,921 Cell Genesys Inc 169,827 1,007,074 Donaldson Inc 125,496 3,990,773 Cephalon Inc 57,826 3,743,655 Essex Corp 11,950 203,748 Cubist Pharmaceuticals 45,900 975,375 Hughes Supply Inc 73,800 2,645,730 CV Therapeutics Inc 68,373 1,690,864 MSC Indl Direct Inc 88,400 3,555,448 Human Genome Sciences 117,571 1,006,408 Trex Company Inc 35,633 999,505 Immunogen Inc 62,051 318,322 URS Corp 51,200 1,925,632 Immunomedics Inc 36,500 106,580 United Rentals Inc 70,745 1,654,726 Impax Laboratories Inc 71,427 764,269 Watsco Inc 61,500 3,678,315 Intermune Inc 74,300 1,248,240

23,833,779 King Pharmaceuticals Inc 43,000 727,560 Commercial Services & Supplies 3.49% Medarex Inc 190,000 2,631,500 Advisory Board Co/The 46,362 2,210,076 Millennium Pharmaceuticals 190,594 1,848,762 CRA International Inc 31,629 1,508,387 Nektar Therapeutics 134,700 2,217,162 Dun & Bradstreet Corp 64,378 4,310,751 Noven Pharmaceuticals 12,232 185,070 Labor Ready Inc 55,800 1,161,756 Nuvelo Inc 80,169 650,171

9,190,970 Onyx Pharmaceuticals 25,400 730,504 Consumer Durables & Apparel 5.50% Protein Design Labs 86,800 2,466,856 Brunswick Corp 45,811 1,862,675 Qiagen NV 115,600 1,358,300 Carters Inc 18,129 1,066,892 QLT Inc 165,488 1,052,504 Fossil Inc 89,253 1,919,832 Regeneron Pharmaceuticals 53,000 845,350 Garmin LTD 26,548 1,761,460 Serologicals Corporation 109,400 2,159,556 Helen of Troy Ltd 105,000 1,691,550 Vertex Pharmaceutical 64,753 1,791,716 Leapfrog Enterprises Inc 70,300 818,995 Watson Pharmaceuticals 62,600 2,035,126 Palm Harbor Homes Inc 23,643 444,488 38,346,092 Phillips Van Heusen 49,577 1,606,295 Real Estate 0.96%Quicksilver 128,400 1,777,056 Equity Inns Inc 84,000 1,138,200 SCP Pool Corp 41,600 1,548,352 U-Store-It Trust 65,800 1,385,090

14,497,595 2,523,290 Energy 5.81% Retail 7.64%Cal Dive International Inc 104,314 3,743,829 Aaron Rents Inc 59,500 1,254,260 Carbo Ceramics Inc 45,210 2,555,269 Build-a-Bear Workshop Inc 26,200 776,568 Patterson Uti Energy Inc 67,149 2,212,560 DSW Shoe Warehouse 36,400 954,408 St Mary Land & Exploration 81,100 2,985,291 Foot Locker Inc 79,552 1,876,631 Tidewater Inc 85,500 3,801,330 Freds Inc 100,175 1,629,847

15,298,279 Genesco Inc 36,800 1,427,472 Financial Services 2.59% Guess? Inc 35,944 1,279,606 Affiliated Managers Group Inc 17,500 1,404,375 Hibbett Sporting Goods Inc 86,862 2,473,830 Cash America International 96,003 2,226,308 Hot Topic Inc 57,100 813,675 First Cash Finl Svcs Inc 13,800 402,409 O Reilly Automotive Inc 45,157 1,445,476 Jefferies Group Inc 62,022 2,789,750 Pacific Sunwear of California 73,101 1,821,677

6,822,842 Priceline Com Inc 66,886 1,492,896 Food, Beverage & Tobacco 0.19% Regis Corporation 31,800 1,226,526 American Italian Pasta Co 74,000 503,200 Tuesday Morning Corp 30,897 646,365

503,200 Urban Outfitters Inc 40,416 1,022,929 Healthcare 9.49% 20,142,166 AMN Healthcare Service Inc 64,600 1,277,787 Advanced Medical Optics 43,300 1,809,940 Semiconductors & Semiconductor Equipment 2.40%American Healthways Inc 37,094 1,678,504 Atheros Communications 162,732 2,115,516 Arrow International 31,555 914,779 Integrated Device Tech 73,800 972,684 Bausch & Lomb Inc 41,228 2,799,381 Microsemi Corp 51,100 1,413,426 Cooper Cos 31,289 1,605,126 Zoran Corp 111,976 1,815,131 Cutera Inc 19,000 500,840 6,316,757 Cyberonics Inc 39,100 1,262,930 Software & Services 14.89%Dentsply International 41,873 2,248,161 Akamai Technologies 92,900 1,851,497 Edwards Lifesciences Corp 33,018 1,373,879 Ariba Inc 165,275 1,214,771 Emdeon Corp 125,110 1,058,431 CNET Networks Inc 81,600 1,198,704 Intralase Corp 80,308 1,431,892 Cadence Design Systems 144,263 2,440,930 Lifeline Systems Inc 43,229 1,580,452 Concur Technologies Inc 107,516 1,385,881 Per-Se Technologies Inc 38,053 888,918 Euronet Worldwide Inc 111,000 3,085,800 Pharmaceutical Product Devel 23,900 1,480,605 Informatica Corporation 203,295 2,439,540 Schein Henry Inc 60,816 2,654,010 Internet Security Systems Inc 84,877 1,778,173 Syneron Medical Ltd 14,000 444,500 Ivillage Inc 162,796 1,305,624

25,010,135 MPS Group Inc 225,800 3,086,685 Hotel, Restaurant & Leisure 1.81% Marchex Inc 94,641 2,128,476 Bright Horizon Family Solution 31,107 1,152,514 Progress Software 73,722 2,092,230 Intrawest Corporation 46,134 1,335,579 RSA Security Inc 148,983 1,673,079 Marcus Corp 51,400 1,207,901 Red Hat Inc 131,273 3,575,877 Red Robbin 21,300 1,085,448 Sapient Corporation 365,982 2,082,438

4,781,442 Sonic Solutions 69,571 1,051,218 Household Products 1.11% Ulticom Inc 83,069 814,907 Playtex Products Inc 173,700 2,374,479 ValueClick Inc 155,944 2,824,146 Revlon Inc 173,700 538,470 Webex Communications Inc 73,479 1,589,351

2,912,949 Witness System Inc 82,732 1,627,338 Insurance 0.44% 39,246,665 Phoenix Companies Inc 84,300 1,149,852 Technology Hardware & Equipment 9.30%

1,149,852 Brocade Communications Systems 480,338 1,954,976 Materials 1.03% Ciena Corp 699,300 2,076,921 Aptargroup Inc 51,800 2,703,960 EFJ Inc 101,400 1,029,210

2,703,960 Foundry Networks Inc 200,512 2,769,071 Media 1.95% Hutchinson Technology Inc 73,300 2,085,385 Lamar Advertising Co 57,722 2,663,293 Ixia 94,800 1,401,144 Nelson Thomas Inc 53,100 1,308,915 Littelfuse Inc 19,800 539,550 Imax Corp 164,300 1,159,958 Maxtor Corp 313,800 2,177,772

5,132,166$




Technology Hardware & Equipment (cont'd)Mettler-Toledo International 28,004 1,545,821$ Plantronics Inc 18,689 528,899 Stratex Networks Inc 301,364 1,078,883 Sycamore Networks Inc 304,200 1,314,144 Synaptics Inc 3,462 85,581 Trimble Navigation Ltd 58,200 2,065,518 ViaSat Inc 30,300 809,919 Western Digital 163,828 3,048,839

24,511,633 Telecommunication Services 0.51%Wireless Facilities Inc 261,239 1,332,319

1,332,319 Transportation 3.90%CH Robinson Worldwide Inc 81,200 3,006,836 Heartland Express 118,542 2,405,217 Knight Transportation Inc 123,450 2,559,119 Swift Transportation 113,888 2,311,926

10,283,098



Other Asset and Liabilities 1.42%Cash and cash equivalents 6,309,424 Interest receivable 23,813 Dividends receivable 44,874 Receivable for investments sold 2,532,896 Payable for investments purchased (5,155,151) Accrued expenses and other payables (8,192)

3,747,664

Net Assets 100.00% 263,504,549$




FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Dividends, net of foreign tax of $1,433 579,342$ Interest 198,522 Miscellaneous income 66

777,930 Expenses: Investment management fees 1,732,936 Custodian fees 32,805 Asset charge 105,013 Audit fees 4,495








NET ASSETS



INSTITUTIONALLY SUBADVISED FUNDSSMALL CAP GROWTH/TIMESSQUARE FUND (SAFTF)


Shares Market Value Shares Market Value Automotive 0.33% Media 1.51%Thor Industries Inc 82,100 3,289,747$ Advo Inc 1,300 36,634$

3,289,747 Entercom Communications Corp 230,000 6,824,100 Lodgenet Entertn 255,122 3,556,401

Banks 0.61% Radio One Inc 464,700 4,809,645 UCBH Holdings Inc 341,500 6,106,020 15,226,780

6,106,020 Pharmaceuticals & Biotech 0.11%

Capital Goods 3.60% Panacos Pharmaceuticals Inc 160,000 1,108,800 Actuant Corp 9,500 530,100 1,108,800 Axsys Technologies Inc 155,000 2,782,250 Beacon Roofing Supply Inc 219,700 6,311,981 Real Estate 1.90%MTC Technologies 239,700 6,562,986 CB Richard Ellis Group 325,000 19,126,250 Orbital Sciences Corp 750,000 9,630,000 19,126,250 UAP Holding Corp 250,000 5,105,000 Williams Scotsman Intl Inc 310,100 5,367,831 Retail 0.52%

36,290,148 Advance Auto Parts 119,700 5,202,162 5,202,162

Commercial Services & Supplies 10.90%Choicepoint Inc 395,000 17,581,450 Semiconductors & Semiconductor Equipment 4.07%Corporate Executive Board Co 215,000 19,285,500 ATMI Inc 290,000 8,111,300 Mobile Mini Inc 294,700 13,968,780 Cymer Inc 120,500 4,278,955 Portfolio Recovery Associate 183,000 8,498,520 Microsemi Corp 385,000 10,649,100 Resources Connection Inc 585,000 15,245,100 PMC Sierra Inc 700,000 5,397,000 Ritchie Bros Auctioneers 65,000 2,746,250 Semtech Corp 253,300 4,625,258 Stericycle Inc 248,100 14,608,128 Varian Semiconductor Equipment 180,000 7,907,400 West Corp 422,600 17,812,590 40,969,013

109,746,318 Software & Services 16.84%

Consumer Durables & Apparel 3.61% Alliance Data Systems Corp 766,800 27,298,079 Marvel Entertainment Inc 490,050 8,027,019 Anteon International 215,000 11,685,250 SCP Pool Corp 703,400 26,180,548 CSG Systems Intl Inc 375,500 8,381,160 Tempur-Pedic International Inc 189,100 2,174,650 Digitas Inc 760,000 9,515,200

36,382,217 Fair Isaac Corp 100,000 4,417,000 Filenet Corp 126,700 3,275,195

Education 3.14% Global Payments Inc 350,000 16,313,500 Corinthian Colleges Inc 206,700 2,434,926 Hewitt Associates Inc 180,065 5,043,621 Educate Inc 368,500 4,348,300 Informatica Corporation 800,600 9,607,200 Education Management Corp 742,300 24,874,473 J2 Global Communications Inc 175,000 7,479,500

31,657,699 Jack Henry and Associates 645,000 12,306,600 Micros Systems Inc 200,000 9,664,000

Energy 6.16% SI International Inc 211,300 6,459,441 Cooper Cameron Corporation 110,000 4,554,000 Sapient Corporation 354,500 2,017,105 Denbury Resources 365,000 8,314,700 Serena Software Inc 435,000 10,196,400 Hydril 90,000 5,634,000 Verint Systems Inc 155,000 5,342,850 James River Coal 185,000 7,067,000 Wind River Systems 666,500 9,844,205 Quicksilver Resources Inc 188,400 7,914,684 Wright Express Corp 489,700 10,773,400 Range Resource Corp 547,500 14,421,150 169,619,706 Universal Compression Hldgs 345,000 14,186,400

62,091,934 Technology Hardware & Equipment 3.81%Avid Technology 202,600 11,094,376

Financial Services 8.02% Cogent Inc 268,600 6,091,848 Capital Source Inc 800,000 17,920,000 Cognex Corp 330,000 9,929,700 Investors Financial Svcs 443,600 16,337,788 Dolby Laboratories Inc 300,000 5,115,000 ISHARES 250,000 17,405,000 ViaSat Inc 230,500 6,161,265 Jackson Hewitt Tax Service 353,900 9,806,569 38,392,189 Jefferies Group Inc 230,000 10,345,400 Primus Guaranty Ltd 684,300 8,930,115 Telecommunication Services 1.90%

80,744,872 Alamosa Holdings Inc 500,000 9,305,000 New Skies Satellites Hldgs 211,000 4,593,470

Food & Drug Retailers 0.83% Premiere Global Services Inc 648,000 5,268,240 United Natural Foods Inc 315,000 8,316,000 19,166,710

8,316,000 Transportation 1.93%

Healthcare 14.82% PAM Transportation Services 68,850 1,224,841 American Dental Partners Inc 383,200 6,928,256 Pacer International Inc 212,697 5,542,884 Bio Rad Laboratories 150,000 9,816,000 UTI Worldwide 136,300 12,654,092 Davita Inc 557,385 28,225,977 19,421,817 Dionex Corp 142,100 6,974,268 Eclipsys Corporation 448,700 8,493,891 Edwards Lifesciences Corp 265,682 11,055,028 Genesis Healthcare Corp 140,000 5,112,800 Total Common Stock 91.56% 922,225,309 Haemonetics Corp 130,600 6,381,116 (Cost $833,148,915)Magellan Health Svcs 427,900 13,457,455 Pediatrix Medical Group Inc 208,400 18,457,988 Total Invested Assets 91.56% 922,225,309 PolyMedica Corp 245,686 8,223,110 (Cost $833,148,915)Respironics Inc 402,500 14,920,675 VCA Antech Inc 400,000 11,280,000


Hotel, Restaurant & Leisure 2.35% Cash and cash equivalents 82,632,433 Gaylord Entertainment 240,000 10,461,600 Dividends receivable 2,200,903 Kerzner International Ltd 148,300 10,195,625 Interest receivable 267,904 Widerthan Co Ltd-ADR 200,000 3,030,000 Payable for investments purchased (31,545)

23,687,225 Accrued expenses and other payables (44,423) 85,025,272

Household Products 2.43%Central Garden & Pet Co 277,700 12,757,538 Herbalife Ltd 360,000 11,707,200 Net Assets 100.00% 1,007,250,581$

24,464,738

Insurance 1.26%Markel Corp 40,000 12,682,000

12,682,000

Materials 0.91%Martin Marietta Materials 120,000 9,206,400

9,206,400$


INSTITUTIONALLY SUBADVISED FUNDSSMALL CAP GROWTH/TIMESSQUARE FUND (SAFTF)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Dividends, net of foreign tax of $9,060 4,262,325$ Interest 2,167,507 Miscellaneous income 2,111









NET ASSETS

Beginning of year - Transfer to PRIAC from CIGNA 1,050,181,785 Net increase (decrease) for the year (42,931,204) End of year 1,007,250,581$


INSTITUTIONALLY SUBADVISED FUNDS SMALL CAP VALUE/INTEGRITY FUND (SASV5)

STATEMENT OF NET ASSETS DECEMBER 31, 2005

Common Stock Shares Market Value Shares Market ValueAutomotive 1.53% Materials 7.59%Aftermarket Technology Corp 6,043 117,476$ Airgas Inc 6,383 210,001$ Tenneco Automotive Inc 12,213 239,497 Amcol International Corp 6,991 143,455

356,973 Bowater Inc 4,070 125,030 Carpenter Technology 2,470 174,061

Banks 12.61% Commercial Metals Co 6,228 233,799 Amcore Financial Inc 8,570 260,614 Cytec Industry Inc 5,070 241,484 Central Pacific Financial 4,460 160,203 FMC Corp 4,121 219,114 Dime Community Bancshares 17,671 258,173 Georgia Gulf Corp 4,589 139,597 First Midwest Bancorp 8,000 280,480 RTI International Metals 3,286 124,704 Firstfed Financial 2,200 119,944 Schnitzer Steel Industries Inc 5,353 163,748 Greater Bay Bancorp 9,160 234,679 1,774,993 Independent Bank Corp/MI 6,535 177,948 International Bancshares Corp 1,159 34,028 Media 3.00%Irwin Financial Corp 8,126 174,059 Carmike Cinemas Inc 4,954 125,633 MAF Bancorp Inc 5,927 245,259 Entercom Communications Corp 5,534 164,194 PFF Bancorp Inc 3,936 120,127 Media General Inc 3,160 160,212 Republic Bancorp 20,922 248,972 RH Donnelley Corp 4,080 251,410 South Financial Group Inc 4,100 112,914 701,449 Sterling Financial Corp 4,958 123,851 Trustmark Corp 7,151 196,438 Pharmaceuticals & Biotech 0.55%Whitney Holding Corp 7,226 199,149 Andrx Group 7,800 128,466 Zions Bancorp 29 2,190 128,466

2,949,028 Real Estate 6.81%

Capital Goods 7.29% Alexandria Real Est Equities 1,738 139,909 Aviall Inc 5,704 164,275 Annaly Mortgage Management 8,800 96,272 Axsys Technologies Inc 6,800 122,060 Corporate Office Properties 10,430 370,682 Comfort Systems USA Inc 21,561 198,361 ECC Capital Corp 43,975 99,384 EDO Corporation 5,610 151,807 Equity Inns Inc 17,900 242,545 Hexcel Corporation 9,476 171,042 MeriStar Hospitality Corp 25,050 235,470 Kennametal Inc 3,126 159,551 Northstar Realty Finance Corp 10,450 106,486 NCI Building Systems Inc 4,264 181,135 Republic Property Trust 11,456 137,472 RBC Bearings Inc 8,458 137,443 Saxon Capital Inc 14,397 163,118 United Rentals Inc 7,970 186,418 1,591,338 Wabtec 8,640 232,415

1,704,507 Retail 1.63%Anntaylor Stores 4,152 143,327

Commercial Services & Supplies 2.49% The Sports Authority Inc 3,810 118,605 Banta Corporation 4,080 203,184 West Marine Inc 8,546 119,473 Labor Ready Inc 6,848 142,575 381,405 Mobile Mini Inc 3,686 174,716 WCA Waste Corp 7,874 62,205 Semiconductors & Semiconductor Equipment 5.48%

582,680 Axcelis Technologies 17,353 82,774 Brooks Automation Inc 12,599 157,865

Consumer Durables & Apparel 1.59% Cypress Semiconductor 11,834 168,635 Marinemax Inc 5,153 162,680 Entegris Inc 17,547 165,293 Warnaco Group Inc 7,854 209,859 Fairchild Semiconductor Intl 11,508 194,600

372,539 Integrated Device Tech 14,002 184,546 Mattson Technology Inc 14,055 141,393

Energy 5.34% Photronics Inc 12,365 186,217 Goodrich Petroleum Corp 6,042 151,956 1,281,323 KCS Energy Inc 7,911 191,604 Oil States International Inc 4,781 151,462 Software & Services 4.03%Union Drilling Inc 7,895 114,714 Borland Software Corporation 21,545 140,689 Unit Corp 3,738 205,702 Lawson Software Inc 18,561 136,423 Veritas DGC Inc 6,018 213,579 MPS Group Inc 15,206 207,866 Whiting Petroleum Corp 5,477 219,080 MRO Software Inc 9,060 127,202

1,248,097 Parametric Technology 34,155 208,346 Financial Services 4.58% Stellent Inc 12,298 122,119 Advanta Corp 7,915 256,763 942,645 Affiliated Managers Group Inc 3,380 271,245 Investment Technology Group 4,460 158,062 Technology Hardware & Equipment 5.79%Raymond James Financial Inc 5,190 195,507 3COM Corp 27,134 97,682 World Acceptance 6,683 190,466 Adaptec Inc 18,384 106,995

1,072,043 Andrew Corp 18,248 195,801 Food & Drug Retailers 1.58% Benchmark Electronics 4,092 137,614 Caseys General Stores Inc 7,795 193,316 Brightpoint Inc 5,002 138,705 Longs Drug Stores 2,488 90,538 C Cor Net Corp 19,815 96,301 Pathmark Stores Inc 8,660 86,513 CommScope Inc 6,562 132,093

370,367 Hutchinson Technology Inc 6,549 186,319 Komag Inc 4,625 160,303

Food, Beverage & Tobacco 2.02% SYNNEX Corp 6,726 101,630 Corn Products Intl Inc 6,282 150,077 1,353,443 J & J Snack Foods Corp 3,319 197,182 Premium Standard Farms 8,426 126,053 Telecommunication Services 1.07%

473,312 Iowa Telecommunications Servic 8,324 128,939 Premiere Global Services Inc 14,981 121,796

Healthcare 2.77% 250,735 Kindred Healthcare Inc 4,190 107,934 Lifepoint Hospitals Hldg 2,910 109,125 Transportation 3.51%Parexel International Corp 5,920 119,939 Genesee & Wyoming Inc 5,533 207,764 Sybron Dental Specialties 4,670 185,913 HUB Group Inc 3,045 107,641 Symmetry Medical Inc 6,381 123,728 Pacer International Inc 4,918 128,163

646,639 Park-Ohio Holdings Corp 3,179 44,824 USA Truck Inc 4,915 143,174

Hotel, Restaurant & Leisure 2.87% Werner Enterprises 9,655 190,204 Ameristar Casinos 6,433 146,029 821,770 La Quinta Properties Inc 27,200 303,008 Ruby Tuesday 8,550 221,360 Utilities 4.88%

670,397 Allete Inc 3,386 148,984 Idacorp Inc 5,929 173,720

Insurance 6.97% New Jersey Resources 4,640 194,370 American Equity Invt Life Hld 17,503 228,414 Northwest Natural Gas Co 4,125 140,993 Arch Capital Group Ltd 2,011 110,102 Otter Tail Corp 4,543 131,656 Argonaut Group 7,502 245,841 Sierra Pacific Resources 10,273 133,960 Assured Guaranty Ltd 7,794 197,890 Vectren Corporation 8,005 217,416 Ceres Group Inc 21,282 110,028 1,141,099 Delphi Financial Group 4,885 224,759 Navigators Group Inc 3,549 154,772 Total Common Stock 95.98% 22,444,721 Ohio Casualty 9,699 274,675 (Cost $21,457,815)Quanta Capital Holdings Ltd 16,273 82,992

1,629,473$ Total Invested Assets 95.98% 22,444,721$ (Cost $21,457,815)


INSTITUTIONALLY SUBADVISED FUNDS SMALL CAP VALUE/INTEGRITY FUND (SASV5)


Market ValueOther Assets and Liabilities 4.02%Cash and cash equivalents 953,828$ Dividends receivable 44,137 Interest receivable 2,403 Receivable for investments sold 16,378 Payable for investments purchased (75,846) Accrued expenses and other payables (477)

940,423

Net Assets 100.00% 23,385,144$



SMALL CAP VALUE/INTEGRITY FUND (SASV5)


FOR THE PERIOD

JUNE 1, 2005 (DATE OF

INCEPTION) TO

DECEMBER 31, 2005


Income:

Dividends 131,054$

Interest 22,383

153,437

Expenses:



Asset charge 43

Audit fees 284

48,874



on investments:












NET ASSETS





INSTITUTIONALLY SUBADVISED FUNDSSMALL CAP VALUE/PERKINS, WOLF, MCDONNELL FUND (SABSC)



Automotive 4.58% Retail 1.77%Cooper Tire & Rubber 1,250,000 19,150,000$ Aeropostale Inc 290,000 7,627,000$ Monaco Coach Corp 825,000 10,972,500 Freds Inc 500,000 8,135,000 Superior Indus Intl 475,000 10,573,500 15,762,000

40,696,000 Semiconductors & Semiconductor Equipment 0.46%

Banks 12.37% Pixelworks Inc 800,000 4,064,000 Brookline Bancorp Inc 800,000 11,336,000 4,064,000 Community Bank System Inc 340,000 7,667,000 Dime Community Bancshares 725,000 10,592,250 Software & Services 2.89%FNB Corp 1,450,000 25,172,000 Covansys Corp 600,000 8,166,000 First Charter Corp 690,000 16,325,400 Manhattan Associates Inc 187,800 3,846,144 First Financial Bancorp 1,050,000 18,396,000 NetIQ 650,000 7,988,500 Old Natl Bancorp 350,000 7,574,000 SonicWall Inc 585,300 4,635,576 Provident Financial Services 700,000 12,957,000 TNS Inc 56,100 1,075,998

110,019,650 25,712,218

Capital Goods 8.78% Technology Hardware & Equipment 3.22%Albany International Corp 400,000 14,464,000 Foundry Networks Inc 275,000 3,797,750 Global Power Equipment Group 2,200,000 9,944,000 Inter Tel Inc 350,000 6,849,500 Kaydon Corp 550,000 17,677,000 Packeteer Inc 12,300 95,571 Lincoln Electric Holdings 150,000 5,949,000 Stratex Networks Inc 2,000,000 7,160,000 Smith AO 160,000 5,616,000 TTM Technologies 600,000 5,640,000 Trex Company Inc 188,900 5,298,645 Technitrol Inc 300,000 5,130,000 UAP Holding Corp 935,186 19,096,498 28,672,821

78,045,143 Telecommunication Services 1.42%

Consumer Durables & Apparel 3.78% IDT Corp 455,900 5,334,030 Kellwood Co 375,000 8,955,000 Wireless Facilities Inc 1,430,000 7,293,000 Wolverine World Wide 1,100,000 24,706,000 12,627,030

33,661,000 Transportation 4.82%

Energy 6.91% Kansas City Southern 600,000 14,658,000 Forest Oil Corp 360,000 16,405,200 Laidlaw International 900,000 20,907,000 Remington Oil & Gas Corp 62,000 2,263,000 Werner Enterprises 370,000 7,289,000 St Mary Land & Exploration 575,000 21,165,750 42,854,000 Stone Energy Corp 300,000 13,659,000 Petrohawk Energy Corp 600,000 7,932,000

61,424,950 Total Common Stock 90.46% 804,447,255

Financial Services 3.26% (Cost $807,433,490)Waddell & Reed Financial 1,381,300 28,965,861

28,965,861 Total Invested Assets 90.46% 804,447,255 (Cost $807,433,490)

Food & Drug Retailers 2.31%Caseys General Stores Inc 550,000 13,640,000 Ruddick Corp 325,000 6,916,000


Food, Beverage & Tobacco 0.74% Dividends receivable 1,129,227 Corn Products Int'l Inc 275,000 6,569,750 Interest receivable 287,396

6,569,750 Receivable for investments sold 3,605,499 Payable for investments purchased (1,439,695)

Healthcare 7.20% Accrued expenses and other payables (48,673) Dendrite International Inc 450,000 6,484,500 84,799,923 Invacare Corp 380,000 11,966,200 Lifepoint Hospitals Hldg 300,000 11,250,000 Molina Healthcare Inc 300,000 7,992,000 Net Assets 100.00% 889,247,178$ Steris Corp 440,000 11,008,800 Symmetry Medical Inc 200,800 3,893,512 Vistacare Inc 300,000 3,750,000 Wright Medical Group Inc 375,000 7,650,000

63,995,012

Hotel, Restaurant & Leisure 0.39%Bob Evans Farms 150,000 3,459,000

3,459,000

Insurance 2.29%Harleysville Group 535,200 14,182,800 IPC Holdings Limited 225,000 6,160,500

20,343,300

Materials 10.81%Ferro Corp 650,000 12,194,000 Glatfelter 1,600,000 22,704,000 MacDermid 400,000 11,160,000 Potlatch Corp 225,000 11,470,500 Schulman Inc A Com 400,000 8,608,000 Schweitzer Mauduit Inc 375,000 9,292,500 Spartech Corp 300,000 6,585,000 Wausau Mosinee Paper Corp 1,195,200 14,163,120

96,177,120

Media 1.40%Entercom Communications Corp 420,000 12,461,400

12,461,400

Pharmaceuticals & Biotech 2.85%Perrigo Co 1,700,000 25,347,000

25,347,000

Real Estate 8.21%Alexandria Real Est Equities 150,000 12,075,000 Biomed Realty Trust Inc 350,000 8,540,000 Brandywine Realty Trust 600,000 16,746,000 Equity One Inc 400,000 9,248,000 Home Properties of NY Inc 375,000 15,300,000 Equity Lifestyle Properties 250,000 11,125,000

73,034,000$



SMALL CAP VALUE/PERKINS, WOLF, MCDONNELL FUND (SABSC)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:

Dividends 18,999,119$

Interest 2,689,597


21,691,662

Expenses:




Audit fees 36,077

13,190,876



on investments:


Net change in unrealized gains (losses) (2,986,235)










NET ASSETS

Beginning of year -

Transfer to PRIAC from CIGNA 1,500,578,314


End of year 889,247,178$


INSTITUTIONALLY SUBADVISED FUNDS SMALL CAP VALUE/MUNDER FUND (SASV4)


Common Stock Shares Market Value Shares Market ValueAutomotive 5.74% Real Estate 18.14%American Axle & Mfg Holdings 68,300 1,251,939$ Aames Investment Corp 404,275 2,611,617$ Borg Warner Inc 99,175 6,012,980 American Home Mortgage Inves 241,625 7,869,726 Drew Industries Inc 81,850 2,307,352 Ashford Hospitality Trust 303,975 3,188,698 Noble International LTD 58,750 1,224,350 Corporate Office Properties 89,300 3,173,722 Spartan Motors Inc 37,000 380,730 Equity One Inc 127,300 2,943,176 Thor Industries Inc 107,775 4,318,544 First Potomac Realty Trust 61,025 1,623,265 Winnebago Indus 102,075 3,397,056 Gramercy Capital Corp 83,750 1,907,825

18,892,951 Homebanc Corp 300,075 2,244,561 Banks 6.04% Jer Investors Trust Inc 209,305 3,547,720 Accredited Home Lenders 108,975 5,402,980 KKR Financial Corp 264,400 6,342,956 Bank of the Ozarks 47,700 1,760,130 Luminent Mortgage Capital Inc 145,375 1,091,766 Cathay General Bancorp 71,950 2,585,883 New Century Financial Corp 64,375 2,322,006 Center Financial Corp 54,800 1,378,768 Newcastle Investment Corp 196,230 4,876,316 Commercial Capital Bancorp 229,150 3,923,048 Northstar Realty Finance Corp 318,575 3,246,279 Harbor Florida Bancshares 42,700 1,582,035 Rait Investment Trust 130,875 3,392,280 Mercantile Bank Corp 38,411 1,478,824 Saxon Capital Inc 93,800 1,062,754 Triad Guaranty Inc 40,325 1,773,897 LaSalle Hotel Properties 101,500 3,727,080

19,885,565 MortgageIT Holdings Inc 113,400 1,549,043 Capital Goods 13.79% Redwood Trust Inc 71,750 2,960,404 Actuant Corp 71,925 4,013,415 59,681,194 Alliant Techsystems 21,250 1,618,613 Retail 4.21%Ametek Inc WI 117,175 4,984,625 Cabelas Inc 153,750 2,552,250 Builders Firstsource Inc 237,825 5,082,320 Conn's Inc 35,825 1,320,868 Carlisle Cos Inc 56,450 3,903,518 Guitar Center Inc 49,850 2,492,998 Ceradyne Inc 104,675 4,584,765 Lithia Motors Inc 90,100 2,832,744 Commercial Vehicle Group Inc 156,225 2,933,906 United Auto Group Inc 122,250 4,669,950 Graco Inc 91,600 3,341,568 13,868,810 Middleby Corp 39,425 3,410,263 Software & Services 4.27%Oshkosh Truck Corp 150,650 6,717,481 Caci International 84,550 4,851,479 Raven Industries 77,475 2,235,154 J2 Global Communications Inc 57,150 2,442,591 Universal Forest Products 25,770 1,423,793 SI International Inc 67,650 2,068,061 Rush Enterprises Inc 76,225 1,134,228 Sonic Solutions 212,175 3,205,964

45,383,649 Tom Online Inc. 18,900 374,598 Consumer Durables & Apparel 6.25% Websense Inc 16,650 1,092,906 Comstock Homebuilding Cos 263,429 3,716,983 14,035,599 Meritage Corporation 49,400 3,108,248 Technology Hardware & Equipment 3.47%Orleans Homebuilders Inc 41,725 765,654 Digi International 262,975 2,758,608 Ryland Group 100,925 7,279,719 Flir Systems Inc 68,600 1,531,838 Technical Olympic USA Inc 155,950 3,288,986 Netgear Inc 175,200 3,372,600 Wolverine World Wide 106,925 2,401,536 Rimage Corp 72,425 2,098,877

20,561,126 Stratasys Inc 66,525 1,663,790 Energy 9.32% 11,425,713 Brigham Exploration Company 246,125 2,919,043 Transportation 2.85%Cimarex Energy Co 85,081 3,659,334 ExpressJet Holdings Inc 120,000 970,800 Core Laboratories NV 79,600 2,973,856 Genesee & Wyoming Inc 96,650 3,629,207 FMC Technologies Inc 45,075 1,934,619 Landstar System Inc 30,425 1,269,940 Nordic American Tanker 28,750 827,713 Old Dominion Freight Line 129,937 3,505,700 Oil States International Inc 117,725 3,729,528 9,375,647 Pason Systems Inc 63,200 1,826,480 Utilities 0.79%Southwestern Energy 178,250 6,406,304 Allete Inc 27,575 1,213,300 Tetra Technologies Inc 53,725 1,639,687 New Jersey Resources 33,375 1,398,079 Unit Corp 69,775 3,839,718 2,611,379 Petrohawk Energy Corp 68,925 911,189

30,667,471 Total Common Stock 95.21% 313,292,189 Financial Services 4.07% (Cost $293,779,035)Ace Cash Express Inc 129,175 3,016,236 Affiliated Managers Group Inc 62,450 5,011,612 Total Invested Assets 95.21% 313,292,189 Asset Acceptance Capital 76,900 1,727,174 (Cost $293,779,035)First Cash Finl Svcs Inc 75,575 2,203,767 MarketAxess Holdings Inc 124,350 1,421,321 Other Invested Assets 4.79%

13,380,110 Cash and cash equivalents 14,913,073 Food & Drug Retailers 0.60% Interest receivable 25,494 Ruddick Corp 51,300 1,091,664 Dividends receivable 900,900 United Natural Foods Inc 32,750 864,600 Receivable for investments sold 590,366

1,956,264 Payable for investments purchased (645,315) Healthcare 3.93% Accrued expenses and other payables (8,652) Kensey Nash Corporation 56,300 1,240,289 15,775,866 Merit Medical Systems 159,175 1,932,385 Orthofix International N.V. 64,925 2,589,858 Net Assets 100.00% 329,068,055$ PolyMedica Corp 89,775 3,004,769 Respironics Inc 46,200 1,712,634 VCA Antech Inc 86,725 2,445,645

12,925,580 Hotel, Restaurant & Leisure 1.86%Ritchie Bros Auctioneers 32,550 1,375,238 Rush Enterprises Inc 88,250 1,270,800 Penn National Gaming Inc 105,550 3,477,872

6,123,910 Insurance 3.50%American Equity Invt Life Hld 35,800 467,190 Aspen Insurance Holdings Ltd 106,500 2,520,855 Assured Guaranty Ltd 79,450 2,017,236 Hub International Limited 62,800 1,620,240 Max Re Capital Ltd 62,500 1,623,125 Scottish Re Group Ltd 49,875 1,224,431 Tower Group Inc 92,500 2,033,150

11,506,227 Materials 4.71%Amcol International Corp 160,400 3,291,408 Aptargroup Inc 22,150 1,156,230 Century Aluminum Company 110,985 2,908,917 Eagle Materials Inc 11,475 1,404,081 Headwaters Inc 50,475 1,788,834 Novamerican Steel Inc 43,925 1,728,932 Quanex Corp 33,600 1,678,992 Reliance Steel and Aluminum 25,450 1,555,504

15,512,898 Media 1.67%Diodes Inc 143,025 4,440,926 Sigmatel Inc 80,700 1,057,170

5,498,096$



SMALL CAP VALUE/MUNDER FUND (SASV4)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:


Interest 389,838

3,985,631

Expenses:



Asset charge 12,066

Audit fees 4,279

1,928,109



on investments:












NET ASSETS

Beginning of year -



End of year 329,068,055$


INSTITUTIONALLY SUBADVISED FUNDS SMALL CAP VALUE/TS & W FUND (SASV2)

(FORMERLY KNOWN AS SMALL CAP VALUE/STERLING CAPITAL FUND) STATEMENT OF NET ASSETS

DECEMBER 31, 2005

Common Stock Shares Market Value Shares Market ValueBanks 5.29% Real Estate 5.78%UCBH Holdings Inc 168,100 3,005,628$ CentraCore Properties Trust 36,900 991,503$ Wintrust Financial Corporation 55,300 3,035,970 Corporate Office Properties 73,400 2,608,636CVB Financial Corp 130,200 2,644,362 Omega Healthcare Investors 182,100 2,292,639Hanmi Financial Corp 136,600 2,439,676 Parkway Properties Inc 73,400 2,946,276Texas Regional Bancshares Inc 51,500 1,457,450 Jones Lang LaSalle Inc 68,300 3,438,905WSFS Financial Corp 21,200 1,298,500 LaSalle Hotel Properties 78,900 2,897,208

13,881,586 15,175,167

Capital Goods 12.86% Retail 6.30%AGCO Corporation 116,200 1,925,434 Aaron Rents Inc 188,600 3,975,688American Science & Enginering 49,200 3,068,604 Childrens Place 93,900 4,640,538Chicago Bridge & Iron 210,400 5,304,184 Movie Gallery Inc 147,200 825,792Clarcor Inc 99,700 2,962,087 Charming Shoppes 228,700 3,018,840Curtis Wright Corp 42,000 2,293,200 JOS A Bank Clothiers Inc 93,900 4,076,199DRS Technologies Inc 75,000 3,856,500 16,537,057 Gatx Corp 130,400 4,704,832Granite Construction Inc 76,400 2,743,524 Software & Services 9.34%ESCO Technologies Inc 46,000 2,046,540 Ansys Inc 105,200 4,490,988Nuco2 Inc 45,300 1,262,964 CSG Systems Intl Inc 105,100 2,345,832USG Corp 55,200 3,588,000 Digital Insight Corporation 92,000 2,945,840

33,755,869 Perot Systems Corp CL A 181,200 2,562,168SPSS Inc 69,500 2,149,635

Energy 15.08% TALX Corp 73,400 3,355,114Frontier Oil Corp 72,300 2,713,419 THQ Inc 153,800 3,668,130GMX Resources Inc 69,100 2,487,600 Transaction Systems Architects 105,100 3,025,829General Maritime Corp 105,200 3,896,608 24,543,536 Gulf Island Fabrication Inc 73,700 1,791,647Houston Exploration Co 44,600 2,354,880 Technology Hardware & Equipment 4.99%Maverick Tube Corp 78,900 3,144,954 MTS Systems Corp 96,200 3,332,368Offshore Logistics 105,200 3,071,840 Nam Tai Electronics Inc 131,650 2,962,125Unit Corp 60,300 3,318,309 Comtech Telecommunication Corp 124,900 3,814,446Universal Compression Hldgs 60,300 2,479,536 Fargo Electronics Inc 154,900 2,981,825Berry Petroleum Co 53,300 3,048,760 13,090,764 Giant Industries Inc 76,400 3,969,744Penn Virginia Corp 65,600 3,765,440 Transportation 3.26%World Fuel Services Corp 105,500 3,557,460 Dollar Thrifty Automotive Grp 89,900 3,242,693

39,600,197 Kirby Corp 52,600 2,744,142Celadon Group Inc 89,500 2,577,600

Financial Services 4.46% 8,564,435 Cash America International 98,300 2,279,577ISHARES 38,500 2,537,920 Utilities 2.97%World Acceptance 92,100 2,624,850 El Paso Electric Company 120,900 2,543,736Asta Funding Inc 92,100 2,518,014 Energen Corp 145,000 5,266,400Ezcorp Inc 114,400 1,748,032 7,810,136

11,708,393

Food & Drug Retailers 1.00% Total Common Stock 97.75% 256,641,757 Caseys General Stores Inc 105,400 2,613,920 (Cost $242,770,286)

2,613,920

Food, Beverage & Tobacco 1.01% Total Invested Assets 97.75% 256,641,757 Sanderson Farms 86,800 2,650,004 (Cost $242,770,286)

2,650,004

Healthcare 6.46%Amedisys Inc 105,200 4,443,648 Other Assets and Liabilities 2.25%Respironics Inc 141,800 5,256,526 Cash and cash equivalents 11,169,958Sierra Health Services 50,100 4,005,996 Dividends receivable 243,321VCA Antech Inc 115,800 3,265,560 Interest receivable 37,273

16,971,730 Receivable for investments sold 72,536Payable for investments purchased (5,608,502)

Hotel, Restaurant & Leisure 3.84% Accrued expenses and other payables (8,160)Intrawest Corporation 98,800 2,860,260 5,906,426 Isle of Capri Casinos 81,700 1,990,212Scientific Games Corp 191,800 5,232,304

10,082,776 Net Assets 100.00% 262,548,183$

Insurance 6.77%Hilb Rogal and Hamilton Co 92,100 3,546,771Philadelphia Consolidated 50,100 4,844,169Selective Insurance Group 84,000 4,460,400Fpic Insurance Group Inc 73,400 2,546,980PMA Capital Corp 259,500 2,369,235

17,767,555

Materials 7.09%Airgas Inc 129,000 4,244,100Crown Holdings Inc 62,400 1,218,672Georgia Gulf Corp 57,700 1,755,234Headwaters Inc 65,800 2,331,952Schweitzer Mauduit Inc 65,800 1,630,524Texas Industries Inc 39,500 1,968,680Royal Gold Inc 68,300 2,372,059Schnitzer Steel Industries Inc 100,700 3,080,413

18,601,634

Pharmaceuticals & Biotech 1.25%Kendle International Inc 127,700 3,286,998

3,286,998$


INSTITUTIONALLY SUBADVISED FUNDSSMALL CAP VALUE/TS & W FUND (SASV2)

(FORMERLY KNOWN AS SMALL CAP VALUE/STERLING CAPITAL FUND)STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS

FOR THE YEAR ENDED

DECEMBER 31, 2005




1,969,430 Net investment loss (249,463)







NET ASSETS



INSTITUTIONALLY SUBADVISED FUNDS SMALL CAP VALUE/KENNEDY CAPITAL FUND (SASV3)

(FORMERLY KNOWN AS SMALL CAP VALUE/TCW FUND) STATEMENT OF NET ASSETS

DECEMBER 31, 2005

Common Stock Shares Market Value Shares Market ValueAutomotive 2.30% Energy 13.17%Aftermarket Technology Corp 15,700 305,208$ Allis-Chalmers Energy Inc 39,850 496,132$ ArvinMeritor Inc 31,500 453,285 Bois D' Arc Energy Inc 12,800 203,008Bandag Inc 9,700 413,899 Callon Petroleum Co 145,100 2,561,015Bandag Inc 8,550 308,227 CE Franklin LTD 14,750 204,877R&B Inc 33,413 316,755 Compton Petroleum Corp 44,850 659,295Sauer-Danfoss Inc 20,900 393,129 Crew Energy Inc 27,500 440,275Thor Industries Inc 23,750 951,663 Edge Petroleum Corp 10,550 262,800

3,142,166 Exploration Co of Delaware Inc 114,100 737,086Gasco Energy Inc 143,450 936,729

Banks 5.26% Global Industries Ltd 62,794 712,7121st Source Corp 2,050 51,557 Gulf Island Fabrication Inc 6,350 154,369Albemarle First Bank 3,400 40,120 Gulfmark Offshore Inc 68,650 2,033,413Bank Mutual Corp 45,250 479,650 Holly Corp 16,000 941,920BankUnited Financial Corp 4,850 128,864 James River Coal 3,200 122,240Banner Corp 36,084 1,125,821 KCS Energy Inc 19,800 479,556Berkshire Hills Bancorp Inc 6,815 228,303 Lone Star Technologies 21,600 1,115,856Beverly Hills Bancorp Inc 33,020 342,417 Maverick Tube Corp 15,600 621,816BFC Financial Corporation 24,950 137,724 Penn Virginia Corp 14,850 852,390Carver Bancorp Inc 5,300 81,249 Petrofund Energy Trust 19,750 348,390Citizens First Bancorp Inc 15,950 376,101 Petrohawk Energy Corp 60,674 802,110Fidelity Bankshares Inc 15,550 508,485 Pioneer Natural Resources Co 34,650 1,776,506Fidelity Southern Corp 1,950 34,905 Provident Energy Trust -UTS 16,750 181,068First Niagara Financial Group 68,128 985,812 ShawCor Ltd 27,550 366,966Flushing Financial Corp 15,360 239,155 T-3 Energy Services Inc 18,602 180,551FNB Corporation 500 15,335 Top Tankers Inc 29,450 362,235Franklin Bank Corp/Houston TX 3,000 53,970 WH Energy Services Inc 13,950 461,466International Bancshares Corp 3,650 107,164 18,014,781Pacific Premier Bancorp Inc 2,000 23,600Peoples Bank/Bridgeport CT 8,325 258,575 Financial Services 0.33%Rome Bancorp Inc 9,250 100,270 Knight Capital Group Inc 46,050 455,435Sterling Financial Corp 61,685 1,540,891 455,435Triad Guaranty Inc 3,150 138,569Washington Trust Bancorp 7,560 197,921 Food, Beverage & Tobacco 2.77%

7,196,458 Cal - Maine Foods Inc 134,988 916,569Diamond Foods Inc 14,768 291,963

Capital Goods 10.11% Gold Kist Inc 39,900 596,505Alamo Group Inc 31,450 644,725 MGP Ingredients Inc 63,473 748,981Ameron International Corp 11,050 503,659 Ralcorp Holdings Inc 30,850 1,231,224Applied Signal Technology 25,850 586,795 3,785,242Armor Holdings Inc 15,450 658,942Briggs & Stratton 12,650 490,694 Healthcare 5.19%CPI Aerostructures Inc 34,000 342,040 Amedisys Inc 7,800 329,472Deswell Industries Inc 16,205 174,366 Amerigroup Corporation 11,900 231,574Ducommun Inc 4,600 98,256 Bioanalytical Systems Inc 19,265 108,077Elcor 23,300 784,278 Bio-Logic Systems Corp 27,000 235,710GrafTech International Ltd 181,100 1,126,442 Capital Senior Living Corp 65,400 676,236Hardinge Inc 41,938 723,431 Eclipsys Corporation 38,900 736,376HEICO Corp 16,690 342,479 Escalon Medical Corp 1,250 5,713Hurco Cos Inc 41,405 1,276,102 Gentiva Health Serivices Inc 28,500 420,090Key Technology Inc 20,650 265,146 Hanger Orthopedic Group Inc 58,250 332,607Ladish Company Inc 18,460 412,581 HealthTronics Inc 120,003 918,023Michael Baker Corp 31,950 816,322 Inverness Medical Innovations 9,050 214,576NCI Building Systems Inc 3,900 165,672 Option Care Inc 30,000 400,800Perini Corp 15,900 383,985 Res-Care Inc 29,000 503,730Portec Rail Products Inc 17,793 233,266 Staar Surgical Co 171,800 1,357,220Regal Beloit Corp 23,700 838,980 SunLink Health Systems Inc 9,200 97,060Rush Enterprises Inc 60,435 899,273 Wright Medical Group Inc 26,050 531,420Ultralife Batteries Inc 44,247 530,964 7,098,684United Industrial Corp 17,300 715,701Wabash National Corporation 38,650 736,283 Hotel, Restaurant & Leisure 5.38%Zareba Systems Inc 10,603 85,831 Benihana Inc 18,355 422,899

13,836,213 Bluegreen Corp 27,100 428,180Carriage Services Inc 42,000 210,000

Commercial Services & Supplies 2.14% Centerplate Inc 38,850 504,273Angelica Corp 21,250 351,475 Checkers Drive-In Restaurant 6,000 90,960Bennett Environmental Inc 46,200 143,220 EVCI Career Colleges Holding 88,639 141,822Ennis Inc 41,750 758,597 Fox & Hound Restaurant Group 33,800 520,182Geo Group Inc 2,450 56,178 Gtech Holdings 14,900 472,926KFORCE Inc 9,650 107,694 Jameson Inns Inc 254,533 547,246Perma-Fix Environmental Ser 59,589 99,514 Mikohn Gaming Corp 36,350 358,774Rush Enterprises Inc 20,583 296,394 Nevada Gold & Casinos Inc 62,550 649,895TRC Companies Inc 64,100 701,895 O Charleys Inc 29,783 461,934WCA Waste Corp 53,061 419,182 Ruby Tuesday 26,350 682,202

2,934,149 Ryans Restaurant Group Inc 97,183 1,172,027Sunterra Corp 48,850 694,647

Consumer Durables & Apparel 3.63% 7,357,967Cobra Electronics Corp 7,050 94,258CSS Industries Inc 9,600 295,008 Household Products 0.80%Dixie Group Inc 84,919 1,170,183 CCA Industries Inc 15,450 142,913Gametech International Inc 22,638 86,704 NBTY Inc 58,300 947,375G-Iii Apparel Group Ltd 24,047 324,875 1,090,288K2 Inc 27,150 274,487Lenox Group Inc 14,000 185,360 Insurance 3.19%Marine Products 27,650 290,049 Bristol West Holdings Inc 37,750 718,383Skechers USA Inc 73,900 1,132,148 Direct General Corp 82,650 1,396,785Tandy Brands Accessories Inc 20,722 248,664 Donegal Group Inc 34,433 800,223True Religion Apparel Inc 34,200 526,680 Nymagic Inc 29,180 723,372WCI Communities Inc 12,650 339,652 Scottish Re Group Ltd 21,500 527,825

4,968,068$ USI Holdings Corporation 14,135 194,6394,361,227$


INSTITUTIONALLY SUBADVISED FUNDS SMALL CAP VALUE/KENNEDY CAPITAL FUND (SASV3)

(FORMERLY KNOWN AS SMALL CAP VALUE/TCW FUND) STATEMENT OF NET ASSETS

DECEMBER 31, 2005

Shares Market Value Shares Market ValueMaterials 12.69% Technology Hardware & Equipment 5.78%Aleris International Inc 50,700 1,634,568$ Adaptec Inc 26,650 155,103$ Balchem Corp 10,703 319,056 Avid Technology 1,950 106,782Buckeye Technologies Inc 84,250 678,212 Benthos Inc 21,450 370,870Century Aluminum Company 25,700 673,597 Bonso Electronics Intl Inc 25,822 104,837Fording Canadian Coal Trust 48,500 1,676,645 Communications Systems Inc 9,550 117,274Georgia Gulf Corp 15,250 463,905 Creative Technology Ltd 14,990 126,215Gibraltar Industries Inc 40,650 932,511 Dataram Corp 17,300 90,998Hercules Inc 61,650 696,645 Ditech Communication 5,400 45,090Intertape Polymer Group Inc 102,500 919,425 EMS Technologies Inc 22,278 394,321IPSCO Inc 21,350 1,771,623 Eon Communications Corp 59,080 50,808Lubrizol Corp 14,750 640,593 Excel Technology Inc 16,975 403,666MacDermid 22,850 637,515 GSI Group Inc 26,650 289,419Metal Management Inc 36,200 842,012 Hutchinson Technology Inc 44,800 1,274,560NL Industries 37,000 521,330 Image Sensing Systems Inc 15,181 202,555Nn Inc 73,140 775,284 Innovex Inc 55,524 191,558Olin Corp 23,270 457,954 Inter Tel Inc 19,450 380,637Om Group Inc 29,450 552,482 Intricon Corp 20,900 85,899Penford Corporation 25,806 314,833 LeCroy Corporation 20,850 318,797Polyone Corporation 87,700 563,911 Maxtor Corp 109,600 760,624Quaker Chemical Corp 6,300 121,149 Nam Tai Electronics Inc 48,550 1,092,375Roanoke Electric Steel Corp 8,051 190,004 O I Corporation 10,700 132,680Schnitzer Steel Industries Inc 11,700 357,903 Overland Storage Inc 34,950 280,299Universal Stainless & Alloy 64,234 963,510 Powerwave Technologies Inc 6,228 78,286Wellman Inc 97,050 657,999 Remec Inc 42,739 54,279

17,362,666 Sigmatron International Inc 5,180 54,960Somera Communications Inc 6,450 5,031

Media 0.79% Sunrise Telecom Inc 14,000 23,800Cadmus Communications Corp 11,158 224,610 SYNNEX Corp 22,400 338,464Cox Radio Inc 6,750 95,040 Transact Technologies Inc 12,800 101,120Hearst-Argyle Television Inc 15,500 369,675 Westell Technologies Inc 60,646 272,907MDC Partners Inc 45,904 293,786 7,904,214Nelson Thomas Inc 4,150 102,298

1,085,409 Telecommunication Services 1.23%Atlantic Tele-Network Inc 27,700 1,160,630

Pharmaceuticals & Biotech 0.60% Hickory Tech Corp 35,703 281,697Andrx Group 9,850 162,230 North Pittsburgh Systems Inc 12,542 236,667Salix Pharmaceuticals Ltd 13,650 239,967 1,678,994Third Wave Technologies 140,000 417,200

819,397 Transportation 3.35%ABX Air Inc 130,550 1,022,206

Real Estate 8.21% Covenant Transport Inc 20,640 288,547Affordable Residential Commun 68,300 650,899 Diana Shipping Inc 20,500 263,630American Home Mortgage Inves 35,000 1,139,950 Excel Maritime Carriers Ltd 64,700 740,815Amerivest Properties Inc 72,500 302,325 Mesa Air Group Inc 28,565 298,790Ashford Hospitality Trust 120,150 1,260,374 Park-Ohio Holdings Corp 22,400 315,840Cedar Shopping Centers Inc 40,600 571,242 Quality Distribution Inc 58,839 468,947Crescent Real Estate Eqt Co 43,250 857,215 RailAmerica Inc 78,350 861,067Education Realty Trust Inc 14,200 183,038 USA Truck Inc 2,950 85,933Health Care REIT Inc 44,650 1,513,635 Vitran Corp Inc 12,850 253,145Kite Realty Group Trust 31,100 481,117 4,598,920LTC Properties Inc 61,700 1,297,551MortgageIT Holdings Inc 23,850 325,791 Utilities 2.35%Sizeler Property Investors 38,900 499,865 Avista Corp 21,650 383,422Urstadt Biddle Properties Inc 77,700 1,259,517 Great Plains Energy Inc 35,000 978,600Windrose Medical Properties Tr 59,850 889,371 MDU Resources Group 14,600 478,004

11,231,890 OGE Energy Corp 31,000 830,490Vectren Corporation 13,150 357,154

Retail 2.62% Westar Energy Inc 8,850 190,275Aeropostale Inc 37,550 987,565 3,217,945Charming Shoppes 29,900 394,680Hastings Entertainment Inc 40,250 220,570New York & Co 7,650 162,180 Total Common Stock 97.97% 134,048,404Pomeroy IT Solutions Inc 27,340 228,289 (Cost $129,980,191)Shoe Carnival Inc 28,282 619,941Stage Stores Inc 32,800 976,784

3,590,009 Total Invested Assets 97.97% 134,048,404(Cost $129,980,191)

Semiconductors & Semiconductor Equipment 4.47%August Technology Corp 23,650 259,913Cascade Microtech Inc 36,064 454,406Chipmos Technologies Bermuda 35,200 204,160 Other Assets and Liabilities 2.03%Emcore Corp 33,200 246,344 Cash and cash equivalents 2,640,997Genesis Microship Inc 14,450 261,401 Foreign currency (Cost $191) 192Integrated Device Tech 39,800 524,564 Dividends receivable 172,988Integrated Silicon Solution 61,350 395,094 Interest receivable 4,043IXYS Coporation 8,300 97,027 Receivable for investments sold 72,657Nanometrics Inc 30,033 330,660 Payable for investments purchased (109,389)Omnivision Technologies 48,850 975,046 Accrued expenses and other payables (4,970)Pixelworks Inc 79,900 405,892 2,776,518Ramtron International Corp 43,234 86,468Semitool Inc 23,350 254,048Silicon Storage Technology Inc 100,150 505,758 Net Assets 100.00% 136,824,922$ Zoran Corp 68,790 1,115,086

6,115,867

Software & Services 1.61%Carreker Corporation 66,595 332,309DocuCorp International Inc 30,610 194,985Ebix Inc 18,358 362,846Edgewater Technology Inc 4,850 28,615Evans & Sutherland CMP Corp 20,100 98,490Evolving Systems Inc 54,800 115,628Intervideo Inc 25,750 271,663Jack Henry and Associates 4,900 93,492Keynote Systems Inc 14,400 185,040Mind CTI Ltd 63,050 165,191Omtool Ltd 2,753 19,409QAD Inc 9,250 70,670TeleCommunication Systems Inc 60,200 132,440WPCS International Inc 12,200 131,637

2,202,415$



SMALL CAP VALUE/KENNEDY CAPITAL FUND (SASV3)

(FORMERLY KNOWN AS SMALL CAP VALUE/TCW FUND)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:

Dividends, net of foreign tax of $ 27,571 1,489,658$

Interest 244,492


1,741,414

Expenses:



Asset charge 43,278

Audit fees 3,013

1,216,777



on investments:


Net realized gains (losses) - foreign currency 465











NET ASSETS

Beginning of year -



End of year 136,824,922$


PRUDENTIAL RETIREMENT INSURANCE AND ANNUITY COMPANY INSTITUTIONALLY SUBADVISED FUNDS NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 2005

93

NOTE 1 - ORGANIZATION AND OPERATION: The Institutionally SubAdvised Funds (each individually, a “Fund”, collectively, the “Funds”) are organized as pooled separate accounts of Prudential Retirement Insurance and Annuity Company (“PRIAC”) an ultimate wholly owned subsidiary of Prudential Financial, Inc. (Prudential), as investment vehicles for qualified retirement plans. On January 1, 2005 the separate account assets included in these financial statements were transferred to Prudential from Connecticut General Life Insurance Company, under the terms of the purchase and sale agreement (“Agreement”) dated April 1, 2004. Effective on the date of transfer, ownership of securities was legally transferred to PRIAC. For accounting purposes, separate account assets were transferred at fair market value. These financial statements reflect the commencement of operations of these Funds. Effective January 1, 2005 PRIAC became the investment advisor and distributor of the Funds. Under applicable insurance law, the assets and liabilities of the Funds are clearly identified and distinguished from PRIAC’s other assets and liabilities. The assets of the Funds are the property of PRIAC. However, the Fund’s assets will not be chargeable with liabilities arising out of any other business PRIAC may conduct. These financial statements include the following funds: Fund Name Fund # Sub-Advisor Inception Balanced I Fund (Sub-Advised by Wellington Management) SA55K Wellington Management Company, LLC 1999 Dryden Emerging Markets Fund SAEMG Prudential Investment Management 1995 Dryden International Fund SAI Prudential Investment Management 1984 Dryden S&P 500® Index Fund SAB Prudential Investment Management 1987 Global Growth/Marvin & Palmer Fund SAGG1 Marvin & Palmer Associates, Inc. 2001 Global Value/Morgan Stanley Fund SAGSF Morgan Stanley Dean Witter Investment Management, Inc. 1998 International Blend/The Boston Company Fund SABIA International Blend/The Boston Company 1997 International Equity/Julius Baer Fund SAIE2 Julius Baer Investment Management 2003 International Growth/Artisan Partners Fund SAIG2 Artisan Partners 2001 International Value/LSV Asset Management SAIV1 LSV Asset Management 2005 Large Cap Blend/Victory Fund SA9V Victory Asset Management 1993 Large Cap Blend/AJO Fund SA9W AJO Asset Management 1995 Large Cap Growth Fund (Sub-Advised by Wellington Management) SALG3 Wellington Management Company, LLP 2001 Large Cap Growth/Goldman Sachs Fund SACG Goldman Sachs 1997 Large Cap Growth/Jennison Fund SALG6 Jennison 2004 Large Cap Growth/Turner Investment Partners Fund SALC2 Turner Investment Partners 1998 Large Cap Growth/Waddell & Reed Fund SALG5 Waddell & Reed IVY Investment Company 2004 Large Cap Value/Barrow Hanley Fund SALV4 Barrow, Hanley, Mewhinney & Strauss, Inc. 2002 Large Cap Value/AJO Fund SACV AJO Asset Management 1997 Large Cap Value/LSV Asset Management Fund SALV5 LSV Asset Management 2002 Large Cap Value Fund (Sub-Advised by Wellington Management) SALV3 Wellington Management Company, LLP 2000 Mid Cap Blend/New Amsterdam Partners Fund SAMCG Amsterdam Partners LLC 2000 Mid Cap Growth/Artisan Partners SAMG1 Artisan Partners 2000 Mid Cap Growth/Goldman Sachs Fund SAMG4 Goldman Sachs 2004 Mid Cap Growth/TimesSquare Capital Mgmt. Fund SAMG3 Asset Management Group 2004 Mid Cap Value/Cooke & Bieler Fund SAMV2 Cooke & Bieler 2004 Mid Cap Value/CRM Fund SAMV3 Cramer, Rosenthal, McGlynn 2005 Mid Cap Value/Integrity Fund SAMV4 Integrity Asset Management 2005 Mid Cap Value Fund (Sub-Advised by Wellington Management) SAMV1 Wellington Management Company, LLC 2000 Small Cap Blend/WHV Fund SASB1 Wentworth, Hauser and Violich 2001 Small Cap Growth/Granahan Fund SASG3 Granahan Investment Management, Inc. 2002 Small Cap Growth/TimesSquare Fund SAFTF Asset Management Group 1997 Small Cap Value/Integrity Fund SASV5 Integrity Asset Management 2005 Small Cap Value/Perkins, Wolf, McDonnell Fund SABSC Perkins, Wolf, McDonnell 1997 Small Cap Value/Munder Fund SASV4 Munder and Munder 2004 Small Cap Value/TS&W Fund SASV2 TS&W Asset Management 2001 Small Cap Value/Kennedy Capital Fund SASV3 Kennedy Capital 2001

NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES: These financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America. Amounts recorded in the financial statements reflect management’s estimates and assumptions, such as those regarding fair market value. Significant


94

NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES—continued estimates are discussed throughout these Notes; however, actual results could differ from those estimates. CASH AND CASH EQUIVALENTS. Cash and cash equivalents may include cash and short-term common collective trust funds sponsored by custodial banks.

SECURITY VALUATION. Securities for which quotations are readily available are valued at the last sale price, or if no sale price, at the closing bid price on the principal exchange on which such securities are normally traded. Securities for which quotations are not readily available are valued primarily using dealer-supplied valuations. Short-term securities with remaining maturities of one year or less are valued at amortized cost or original cost plus accrued interest which approximates fair value.

INVESTMENT INCOME. Dividend income is recorded on the ex-dividend date, or, in the case of certain foreign securities, upon notification of the ex-dividend date to the Fund. Dividend income on foreign securities is recorded net of any foreign tax withholding. Non-cash dividends included in dividend income, if any, are recorded at the fair value of the securities received. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on an accrual basis. SECURITY TRANSACTIONS. Security transactions are accounted for as of the trade date (date the order to buy or sell is executed). Gains and losses on securities sold are determined on the basis of specific identified cost. FOREIGN CURRENCY TRANSLATION. The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing rates of exchange at period end. Purchases and sales of securities and income receipts are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

Net realized gains and losses on foreign currency transactions represent net gains and losses on disposition of foreign currencies, the difference between the amount of net investment income accrued and the U.S. dollar amount actually received, and gains and losses between trade and settlement date on purchases and sales of securities. The effects of changes in foreign currency exchange rates on investments in securities are included with the net realized and unrealized gain or loss on investment securities.

FUTURES CONTRACTS. A futures contract is an agreement between parties to buy or sell a security at a set price on a future date. Certain Funds use futures primarily as a substitute on an unleveraged basis for direct investments for the purpose of either maintaining sufficient liquidity or to reduce transaction costs. Funds may also use futures contracts to manage the overall duration of the portfolio or as a hedge against unfavorable changes in the value of securities. Upon entering into such a contract, a Fund is required to pledge to the broker an amount of cash, U.S. Government obligations or other high-quality debt securities equal to the minimum "initial margin" requirements of the exchange on which the futures contract is traded. The Fund then receives from or pays to the


95

NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES – continued broker, an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as "variation margin" and are recorded by the Fund as realized gains or losses. Futures contracts are subject to market risk; the risk that future changes in market conditions may make an instrument less valuable. Depending on the nature of the underlying security, changes in market prices, interest rates or exchange rates can affect the market value of futures contracts. Risks of entering into futures contracts also include the possibility that there may be an illiquid market and that a change in the value of the contract may not correlate with changes in the value of the underlying securities. FORWARD FOREIGN CURRENCY CONTRACTS. A forward foreign currency contract is an over the counter agreement between two parties to buy or sell currency at a set price on a future date. Certain Funds may enter into forward foreign currency contracts generally to hedge against foreign currency exchange rate risks on its non-U.S. denominated investments, and, in certain situations, to gain exposure to foreign currency in lieu of purchasing foreign denominated securities. Fluctuations in the value of such contracts are recorded as unrealized appreciation or depreciation in the Statement of Operations. Upon settlement of a forward foreign currency contract, a realized gain or loss is recorded in the Statement of Operations. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gain on the contract, if any, at the date of default. Risks may also arise from unanticipated movements in the value of the foreign currencies and related interest rates relative to the U.S. dollar. OPTIONS. The Fund may purchase or write option contracts to manage exposure to the securities markets and to fluctuations in interest rates. Writing puts and buying calls tend to increase the Fund’s exposure to the underlying instrument. Buying puts and writing calls tend to decrease the Fund’s exposure to the underlying instrument held by the Fund, or hedge the fair value of other Fund investments. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price. Options traded over-the-counter are valued using dealer-supplied valuations. Gain or loss is recognized when the option contract is exercised, expired or is closed. There are two distinct types of options, call options and put options. A call option, upon payment of a premium, gives the purchaser of the option the right to buy, and the seller the obligation to sell, the underlying instrument at the exercise price. A put option gives the purchaser of the option, upon payment of a premium, the right to sell, and the writer the obligation to buy, the instrument at the exercise price. Certain Funds use options primarily as a substitute, on an unleveraged basis, for direct investments for the purpose of either maintaining sufficient liquidity or as a means to reducing transaction costs. When a purchased option expires, the premium paid is recorded as a realized loss. When a purchased call option is exercised, the premium paid is included in the cost basis of the security acquired. When a purchased put option is exercised, the premium paid is added to the gain or loss realized on the sale of the underlying security. When a Fund writes an option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. Fluctuations in the value of written options are recorded as unrealized gains or losses in the Statement of Operations. Upon expiration, premiums received on written options are recorded as realized gains. When written options are exercised the proceeds less the premium originally received is recorded as a realized gain/loss. Risks may arise from an imperfect correlation between the change in the price of an option and the change in the market value of the related securities held by the Fund and from the possible lack of a liquid secondary market for an


96

NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - continued option. Losses may also arise from the potential inability of counterparties to meet the terms of an option that they have written or purchased. Possible losses from purchased options cannot exceed the total amount invested. Potential losses on options written may exceed the amount of the premium received. SWAP AGREEMENTS. Certain Funds may enter into swap agreements to exchange an interest rate on, or a return generated by one nominal instrument for the return generated by another nominal instrument based on a notional quantity or par amount. Typically, swap agreements call for the parties to make or receive payments on a monthly or quarterly basis based on the net change in value of the swap agreement. Swap agreements are marked to market daily based on the current value of the net amount due to be paid or received according to the terms of the agreement. Changes in the value of swap contracts are reflected in the Statement of Operations as unrealized gains. Net periodic payments received or paid are recorded in the Statement of Operations as either interest income or as realized gains or losses, as appropriate. Because there is no organized market for swap agreements, the value reported in the Statement of Net Assets may differ from that which would be realized in the event that the Fund terminated its position in the agreement. Risks may arise upon entering into these agreements from the potential inability of the counterparties to meet the terms of the agreements and are generally limited to the amount of net payments to be received, if any, at the date of default. FORWARD PURCHASE COMMITMENTS. Certain Funds may make forward commitments to purchase or sell securities or to purchase securities on a when-issued – TBA (“To Be Announced”) or delayed delivery basis. Securities purchased on a when-issued or delayed delivery basis are purchased for delivery beyond the normal settlement date at a stated price and yield, and no income accrues to the Fund on such securities prior to delivery. Payment and delivery may take place one month or more after the date of the transaction. When the Fund enters into a purchase transaction on a when-issued or delayed delivery basis, it maintains liquid assets in an amount at least equal in value to the Fund's commitments. The underlying securities are valued at current market value with daily fluctuations in the market value recorded as unrealized gains or losses. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under contract. CONCENTRATION OF RISK. Certain Funds have all or a portion of their investments in capital markets which are developing. These investments may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Funds’ investments and the income they generate, as well as the Funds’ ability to repatriate such amounts. NOTE 3 - TAXES:

All contracts under which investments are directed to the Funds are qualified as variable contracts under Section 817(d) of the Internal Revenue Code. Therefore, there is no taxable income attributable to the Funds and therefore, no tax provisions have been provided in the accompanying financial statements.


97

NOTE 4 - CONTRACTHOLDER TRANSACTIONS AND EXPENSES:

Affiliated Participation in the Funds To facilitate initial operations, PRIAC contributed assets (“Seed Money”) to certain Funds. There are no Prudential employee benefit plans that currently participate in the Funds. PRIAC’s participation in the Funds at December 31, 2005 was as follows:

Seed Money Fund $000 % Fund Global Value/Morgan Stanley Fund 29,932 72.63% Large Cap Growth/Jennison Fund 6,204 99.22% Mid Cap Value/CRM Fund 5,444 35.63% Mid Cap Value/Integrity Fund 5,551 76.41% Small Cap Value/Integrity Fund 7,473 31.96%

Investment Management Fees Investment management fees represent the management fee paid to PRIAC under terms of the contractholders’ Group Annuity contracts. The fee is computed daily based on an annual rate applied to net assets. The annual rate varies for each of the Funds as follows: Range, Range, Fund Basis Points Fund Basis Points Balanced I Fund (Sub-Advised by Wellington Management) 70 – 125 Large Cap Value/LSV Asset Management Fund 43 – 125 Dryden Emerging Markets Fund 0 – 100 Large Cap Value Fund (Sub-Advised by Wellington Management) 43 – 135 Dryden International Fund 80 – 140 Mid Cap Blend/New Amsterdam Partners Fund 80 – 150 Dryden S&P 500® Index Fund 5 – 95 Mid Cap Growth/Artisan Partners 53 – 150 Global Growth/Marvin & Palmer Fund 100 – 150 Mid Cap Growth/Goldman Sachs Fund 60 – 150 Global Value/Morgan Stanley Fund 20 – 150 Mid Cap Growth/Times Square Capital Mgmt. Fund 18 – 150 International Blend/The Boston Company Fund 75 – 150 Mid Cap Value/Cooke & Bieler Fund 55 – 150 International Equity/Julius Baer Fund 58 – 150 Mid Cap Value/CRM Fund 0 – 150 International Growth/Artisan Partners Fund 90 – 150 Mid Cap Value/Integrity Fund 0 – 115 International Value/LSV Asset Management 100 – 150 Mid Cap Value Fund (Sub-Advised by Wellington Management) 53 – 150 Large Cap Blend/Victory Fund 40 – 125 Small Cap Blend/WHV Fund 90 – 150 Large Cap Blend/AJO Fund 60 – 125 Small Cap Growth/Granahan Fund 65 – 150 Large Cap Growth Fund (Sub-Advised by Wellington Management) 60 – 125 Small Cap Growth/TimesSquare Fund 58 – 150 Large Cap Growth/Goldman Sachs Fund 60 – 125 Small Cap Value/Integrity Fund 0 – 160 Large Cap Growth/Jennison Fund 0 – 125 Small Cap Value/Perkins, Wolf, McDonnell Fund 58 – 150 Large Cap Growth/Turner Investment Partners Fund 43 – 125 Small Cap Value/Munder Fund 58 – 160 Large Cap Growth/Waddell & Reed Fund 55 – 130 Small Cap Value/TS&W Fund 90 – 160 Large Cap Value/Barrow Hanley Fund 55 – 125 Small Cap Value/Kennedy Capital Fund 85 – 160 Large Cap Value/AJO Fund 60 – 125


98

NOTE 4 - CONTRACTHOLDER TRANSACTIONS AND EXPENSES - continued Asset Charge Defined contribution plans invested in the Funds pay an asset charge which represents the amount paid by these plans to PRIAC for reimbursement of certain administrative expenses. The asset charge varies in accordance with the terms of the Group Annuity contracts. The fee is computed daily based on an annual rate applied to net assets. The annual rate for each of the Funds ranges as follows: Range, Range, Fund Basis Points Fund Basis Points Balanced I Fund (Sub-Advised by Wellington Management) 0 – 150 Large Cap Value/LSV Asset Management Fund 0 – 175 Dryden Emerging Markets Fund * Large Cap Value Fund (Sub-Advised by Wellington Management) 0 – 100 Dryden International Fund 0 – 85 Mid Cap Blend/New Amsterdam Partners Fund 0 – 120 Dryden S&P 500® Index Fund 0 – 175 Mid Cap Growth/Artisan Partners 0 – 175 Global Growth/Marvin & Palmer Fund 0 – 100 Mid Cap Growth/Goldman Sachs Fund 0 – 110 Global Value/Morgan Stanley Fund 0 – 100 Mid Cap Growth/Times Square Capital Mgmt. Fund 0 – 90 International Blend/The Boston Company Fund 0 – 120 Mid Cap Value/Cooke & Bieler Fund 0 – 95 International Equity/Julius Baer Fund 0 – 105 Mid Cap Value/CRM Fund 0 – 40 International Growth/Artisan Partners Fund 0 – 125 Mid Cap Value/Integrity Fund 0 – 0 International Value/LSV Asset Management 0 – 95 Mid Cap Value Fund (Sub-Advised by Wellington Management) 0 – 130 Large Cap Blend/Victory Fund 0 – 145 Small Cap Blend/WHV Fund 0 – 100 Large Cap Blend/AJO Fund 0 – 60 Small Cap Growth/Granahan Fund 0 – 110 Large Cap Growth Fund (Sub-Advised by Wellington Management) 0 – 125 Small Cap Growth/TimesSquare Fund 0 – 130 Large Cap Growth/Goldman Sachs Fund 0 – 120 Small Cap Value/Integrity Fund 0 – 95 Large Cap Growth/Jennison Fund 0 – 0 Small Cap Value/Perkins, Wolf, McDonnell Fund 0 –130 Large Cap Growth/Turner Investment Partners Fund 0 – 175 Small Cap Value/Munder Fund 0 – 90 Large Cap Growth/Waddell & Reed Fund 0 – 105 Small Cap Value/TS&W Fund 0 – 95 Large Cap Value/Barrow Hanley Fund 0 – 130 Small Cap Value/Kennedy Capital Fund 0 – 95 Large Cap Value/AJO Fund 0 – 120 *- Not currently offered to Defined Contribution (DC) plans

NOTE 5 - UNIT VALUES: Due to the different methods of assessing fees and charges described in Note 4, as well as the historical timing of purchase of units, net unit values as of December 31, 2005 ranged as follows: Range, Range, Fund $ Unit Value Fund $ Unit Value Balanced I Fund (Sub-Advised by Wellington Management) 39.72 – 45.01 Large Cap Value/LSV Asset Management Fund 16.09 – 17.03 Dryden Emerging Markets Fund 18.83 – 19.63 Large Cap Value Fund (Sub-Advised by Wellington Management) 12.11 – 13.10 Dryden International Fund 97.64 – 110.37 Mid Cap Blend/New Amsterdam Partners Fund 14.19 – 16.30 Dryden S&P 500® Index Fund 11.58 – 74.61 Mid Cap Growth/Artisan Partners 10.42 – 11.41 Global Growth/Marvin & Palmer Fund 9.17 – 9.76 Mid Cap Growth/Goldman Sachs Fund 11.33 – 11.60 Global Value/Morgan Stanley Fund 12.75 – 14.97 Mid Cap Growth/Times Square Capital Mgmt. Fund 12.90 – 13.20 International Blend/The Boston Company Fund 12.62 – 15.83 Mid Cap Value/Cooke & Bieler Fund 11.16 – 11.45 International Equity/Julius Baer Fund 18.66 – 19.53 Mid Cap Value/CRM Fund 10.76 – 10.88 International Growth/Artisan Partners Fund 11.47 – 12.33 Mid Cap Value/Integrity Fund 11.02 – 11.10 International Value/LSV Asset Management 11.38 – 11.55 Mid Cap Value Fund (Sub-Advised by Wellington Management) 17.27 – 18.96 Large Cap Blend/Victory Fund 9.98 – 33.04 Small Cap Blend/WHV Fund 12.34 – 13.35 Large Cap Blend/AJO Fund 8.05 – 24.83 Small Cap Growth/Granahan Fund 11.84 – 12.71 Large Cap Growth Fund (Sub-Advised by Wellington Management) 6.72 – 7.23 Small Cap Growth/TimesSquare Fund 19.34 – 23.95 Large Cap Growth/Goldman Sachs Fund 7.09 – 11.29 Small Cap Value/Integrity Fund 10.98 – 11.15 Large Cap Growth/Jennison Fund 12.22 – 12.40 Small Cap Value/Perkins, Wolf, McDonnell Fund 22.72 – 27.43 Large Cap Growth/Turner Investment Partners Fund 10.70 – 12.56 Small Cap Value/Munder Fund 10.81 – 10.99 Large Cap Growth/Waddell & Reed Fund 10.67 – 11.07 Small Cap Value/TS&W Fund 15.81 – 17.02 Large Cap Value/Barrow Hanley Fund 13.32 – 14.18 Small Cap Value/Kennedy Capital Fund 12.15 – 13.02 Large Cap Value/AJO Fund 12.88 – 17.17


99

NOTE 6 - FINANCIAL HIGHLIGHTS: The following financial highlights have been calculated in accordance with the provisions of the AICPA Audit and Accounting Guide, “Audits of Investment Companies”, as amended. DECEMBER 31, 2005

Fund # (1)

Number of Units (000’s)

$ Unit Fair Value

Lowest to Highest

Net Assets $(000’s)

Investment Income Ratio (2)

%

Expense Ratio Lowest to

Highest (3),(5) %

Total Return Lowest to Highest (4)

% SA55K 2,946 39.72 – 45.01 135,853 3.09 0.72 – 2.77 4.02 – 6.07 SAEMG 5,603 18.83 – 19.63 114,626 2.80 0.16 – 1.16 32.92 – 33.92 SAI 2,542 97.64 – 110.37 308,312 2.58 0.88 – 2.33 13.69 – 15.14 SAB 44,918 11.58 – 74.61 3,189,808 1.89 0.07 – 2.72 2.22 – 4.87 SAGG1 1,610 9.17 – 9.76 15,570 1.55 1.11 – 2.61 12.95 – 14.45 SAGSF 2,780 12.75 – 14.97 41,212 2.58 0.27 – 2.57 3.79 – 6.09 SABIA 33,418 12.62 – 15.83 741,282 2.44 0.82 – 2.77 15.62 – 17.57 SAIE2 31,517 18.66 – 19.53 620,883 1.93 0.67 – 2.64 14.65 – 16.62 SAIG2 16,422 11.47 – 12.33 264,618 2.00 0.98 – 2.83 14.14 – 15.99 SAIV1 3,507 11.38 – 11.55 193,495 2.08 1.07 – 2.52 12.08 – 13.53 SA9V 27,108 9.98 – 33.04 460,447 1.51 0.42 – 2.72 8.01 – 10.31 SA9W 1,287 8.05 – 24.83 194,601 1.78 0.62 – 1.87 1.74 – 2.99 SALG3 41,176 6.72 – 7.23 578,161 0.79 0.62 – 2.52 4.04 – 5.94 SACG 58,093 7.09 – 11.29 510,778 0.99 0.62 – 2.47 0.18 – 2.03 SALG6 504 12.22 – 12.40 6,252 0.72 0.06 – 1.31 13.44 – 14.69 SALC2 58,585 10.70 – 12.56 770,931 1.09 0.45 – 3.02 11.19 – 13.76 SALG5 23,009 10.67 – 11.07 264,043 0.98 0.57 – 2.37 10.26 – 12.06 SALV4 27,429 13.32 – 14.18 398,196 2.61 0.57 – 2.57 7.40 – 9.40 SACV 36,945 12.88 – 17.17 615,428 2.29 0.62 – 2.47 1.05 – 2.90 SALV5 55,598 16.09 – 17.03 1,008,465 2.44 0.45 – 3.02 9.10 – 11.67 SALV3 33,847 12.11 – 13.10 776,472 2.15 0.45 – 2.37 7.75 – 9.67 SAMCG 6,259 14.19 – 16.30 96,286 0.80 0.82 – 2.72 9.56 – 11.46 SAMG1 98,193 10.42 – 11.41 1,295,034 0.65 0.55 – 3.27 6.97 – 9.69 SAMG4 3,231 11.33 – 11.60 37,305 0.53 0.64 – 2.64 3.68 – 5.68 SAMG3 10,565 12.90 – 13.20 139,091 1.07 0.20 – 2.42 10.62 – 12.84 SAMV2 3,010 11.16 – 11.45 110,119 1.47 0.57 – 2.47 5.33 – 7.23 SAMV3 1,409 10.76 – 10.88 15,278 1.25 0.01 – 1.91 7.13 – 9.03 SAMV4 656 11.02 – 11.10 7,265 1.17 0.01 – 1.16 11.14 – 12.29 SAMV1 38,269 17.27 – 18.96 752,791 1.07 0.55 – 2.82 8.13 – 10.40 SASB1 4,812 12.34 – 13.35 65,984 0.95 0.92 – 2.52 9.38 – 10.98 SASG3 9,883 11.84 – 12.71 263,505 0.48 0.67 – 2.62 4.40 – 6.35 SAFTF 43,992 19.34 – 23.95 1,007,251 0.65 0.60 – 2.82 9.20 – 11.42 SASV5 2,427 10.98 – 11.15 23,385 0.94 0.01 – 2.56 6.53 – 9.08 SABSC 33,317 22.72 – 27.43 889,247 1.89 0.60 – 2.82 4.82 – 7.04 SASV4 28,943 10.81 – 10.99 329,068 2.42 0.60 – 2.52 6.22 – 8.14 SASV2 7,155 15.81 – 17.02 262,548 1.05 0.92 – 2.57 6.27 – 7.92 SASV3 9,026 12.15 – 13.02 136,825 1.73 0.88 – 2.58 (0.97) – 0.73

(1) See Note 1 for Fund Names. (2) These amounts represent the investment income of the securities investments of the Funds, divided by average net assets. (3) These amounts represent the contract expenses of the separate account portfolio, consisting primarily of investment management, asset charges, audit and other expenses. These ratios include only those expenses that are charged directly to the Fund. (4) The total return percentage range is calculated as the gross unit value change before expense charges, less the range of expenses charged to contract holders. Some individual contract holders’ total returns may not be within the ranges presented, where the contract holder was not invested in the fund for the entire year.


100

(5)The fund may direct certain security trades to brokers who have agreed to rebate a portion of the related brokerage commission to the fund in cash. Commission rebates are included in realized gains on securities on the accompanying financial statements. The calculation of expenses to average net assets assuming commission rebates were netted against expenses are as follows:

Fund # Commission Rebates

Expense Ratio, Net of Commission

Rebates Lowest to Highest







SA55K $10,220 0.71 - 2.76 SALC2 $282,769 0.40 – 2.97 SAMV4 $39 0.01 – 1.16 SAGG1 $13,071 1.03 – 2.53 SALG5 $104,413 0.53 – 2.33 SAMV1 $182,800 0.53 – 2.80 SABIA $15,160 0.82 – 2.77 SALV4 $34,422 0.56 – 2.56 SASB1 $29,616 0.86 – 2.46 SAIE2 $49,934 0.66 – 2.63 SACV $278,523 0.59 – 2.44 SASG3 $42,957 0.65 – 2.60 SAIG2 $90,274 0.94 – 2.79 SALV3 $181,713 0.42 – 2.34 SAFTF $218,820 0.57 – 2.79 SA9V $56,876 0.41 – 2.71 SAMCG $24,438 0.79 – 2.69 SASV5 $728 0.01 – 2.56 SA9W $34,085 0.60 – 1.85 SAMG1 $161,202 0.54 – 3.26 SABSC $333,925 0.57 – 2.79 SALG3 $34,015 0.61 – 2.51 SAMG4 $12,203 0.59 – 2.59 SASV4 $93,174 0.54 – 2.46 SACG $102,324 0.60 – 2.45 SAMG3 $50,089 0.16 – 2.38 SASV2 $177,095 0.81 – 2.46 SALG6 $1,195 0.04 – 1.29 SAMV2 $49,424 0.50 – 2.40 SASV3 $108,962 0.77 – 2.47

PricewaterhouseCoopers LLP 100 Pearl Street Hartford CT 06103 Telephone (860) 241 7000 Facsimile (860) 241 7590

Report of Independent Auditors To the Board of Directors of Prudential Retirement Insurance and Annuity Company and Contractholders of the Prudential Retirement Insurance and Annuity Company Actively Managed Fixed Income Funds: In our opinion, the accompanying statements of net assets and the related statements of operations and changes in net assets present fairly, in all material respects, the financial position of each of the separate accounts constituting the Prudential Retirement Insurance and Annuity Company Actively Managed Fixed Income Funds disclosed in Note 1 to the financial statements (hereafter referred to as the “Funds”) at December 31, 2005, the results of each of their operations and the changes in each of their net assets for each of the periods indicated in conformity with accounting principles generally accepted in the United States of America. These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these statements in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2005 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

March 31, 2006

ACTIVELY MANAGED FIXED INCOME FUNDSCORE BOND/BLACKROCK FUND (SABRC)


Par Value Market Value Par Value Market Value

BondsAsset-Backed Securities 9.33% Insurance 1.17%Bank One Issuance Trust, 4.399%, due 10/15/2009* 1,000,000$ 1,000,268$ Allstate Finl Global, 6.150%, due 02/01/2006 175,000$ 175,194$ Chase Issuance Trust, 3.220%, due 06/15/2010 800,000 778,472 ASIF Global Financial XXIII, 3.900%, due 10/22/2008 140,000 136,214 Citibank Credit Card Issuance, 2.550%, due 01/20/2009 900,000 879,006 Berkshire Hathaway Financial, 3.400%, due 07/02/2007 130,000 127,228 Citibank Credit Card Issuance, 2.900%, due 05/17/2010 925,000 885,556 Liberty Mutual Group, 6.500%, due 03/15/2035 80,000 78,050 Countrywide Asset-Backed Cert, 4.539%, due 02/25/2036* 865,625 865,694 MetLife Inc, 5.700%, due 06/15/2035 90,000 90,333 Ford Credit Auto Owner Trust, 4.170%, due 01/15/2009 875,000 868,093 Monumental Global Funding, 5.200%, due 01/30/2007 140,000 140,210 MBNA Credit Card Master Note, 2.650%, due 11/15/2010 950,000 903,324 Platinum Underwriters Fin, 7.500%, due 06/01/2017 125,000 127,385 MBNA Credit Card Master Note, 2.700%, due 09/15/2009 725,000 705,922 Protective Life Secd Tr, 3.700%, due 11/24/2008 85,000 82,493 SLM Student Loan Trust, 4.521%, due 09/16/2013* 350,837 350,981 957,107 Structured Asset Securities Co, 3.357%, due 01/25/2031 471,987 429,518 Materials 0.09%

7,666,834 Teck Cominco Limited, 6.125%, due 10/01/2035 75,000 74,171 Automotive 0.08% 74,171 Daimler Chrysler Na Hldg, 4.050%, due 06/04/2008 65,000 63,277 Media 1.35%

63,277 BSKYB Finance UK PLC, 6.500%, due 10/15/2035 40,000 39,859 Banks 5.20% Comcast Cable Comm Hldgs, 8.375%, due 03/15/2013 95,000 109,960 Bank of America Corp, 4.500%, due 08/01/2010 140,000 137,577 Comcast Corp, 6.500%, due 11/15/2035 125,000 127,382 Bank of New York, 3.750%, due 02/15/2008 150,000 146,558 Comcast Corp, 7.050%, due 03/15/2033 150,000 161,937 Bank of Scotland TSY SRV, 3.500%, due 11/30/2007 165,000 161,021 News America Holdings, 7.750%, due 01/20/2024 80,000 90,188 Bank of Scotland TSY SRV, 3.600%, due 08/15/2007 100,000 98,109 News America Holdings, 8.150%, due 10/17/2036 60,000 72,081 Barclays Bank PLC* 80,000 89,103 News America Holdings, 8.500%, due 02/23/2025 25,000 30,079 Citigroup Global Markets, 6.500%, due 02/15/2008 90,000 93,008 News America Inc, 6.400%, due 12/15/2035 25,000 25,198 Citigroup Inc, 3.500%, due 02/01/2008 455,000 442,968 News America Inc, 7.280%, due 06/30/2028 25,000 27,335 Citigroup Inc, 4.125%, due 02/22/2010 600,000 582,903 News America Inc, 7.300%, due 04/30/2028 50,000 54,858 Citigroup Inc, 4.625%, due 08/03/2010 85,000 83,823 TCI Communications Inc, 7.125%, due 02/15/2028 50,000 53,696 Depfa Acs Bank, 3.625%, due 10/29/2008 300,000 291,531 TCI Communications Inc, 7.875%, due 02/15/2026 75,000 86,567 Deutsche Bank AG, 3.843%, due 03/15/2007* 250,000 247,500 Time Warner Inc, 6.625%, due 05/15/2029 30,000 29,958 HSBC Bank, 3.870%, due 06/07/2007 400,000 394,166 Time Warner Inc, 7.570%, due 02/01/2024 135,000 147,252 JP Morgan Chase & Co, 5.350%, due 03/01/2007 125,000 125,490 Time Warner Inc, 7.625%, due 04/15/2031 45,000 50,114 JP Morgan Chase & Co, 7.000%, due 11/15/2009 125,000 133,726 1,106,464 L-Bank Landeskreditbank, 4.250%, due 09/15/2010 425,000 417,405 Mortgage-Backed Securities (incl CMO's) 54.77%National Westminster Bk, 7.375%, due 10/01/2009 100,000 108,565 Asset Securitization Corp, 6.750%, due 02/14/2043 265,000 272,974 Royal Bank of Scotland Grp PLC* 25,000 30,192 Bank of America Alternative, 5.000%, due 06/25/2019 219,857 218,588 Suntrust Bank, 4.415%, due 06/15/2009 140,000 137,830 Bank of America Alternative, 5.000%, due 07/25/2019 235,824 232,045 Suntrust Bank, 4.000%, due 10/15/2008 130,000 127,029 Bank of America Commercial Mtg, 4.561%, due 11/10/2041 540,000 524,781 UBS Pfd Funding Trust I* 25,000 28,598 Capital Auto Receivables Asset, 4.050%, due 07/15/2009 925,000 914,821 Wells Fargo Financial, 4.200%, due 01/15/2010 120,000 116,824 Chase Commercial Mtg Sec, 7.198%, due 01/15/2032 100,000 107,148 Wells Fargo Financial, 4.625%, due 08/09/2010 285,000 281,450 Countrywide Asset-Backed Cert, 4.490%, due 03/25/2036* 800,000 800,000

4,275,376 CS First Boston Mortgage Sec, 4.832%, due 04/15/2037 590,000 575,383 Capital Goods 0.56% CS First Boston Mortgage Sec, 6.300%, due 11/11/2030 235,000 242,400 Bae Systems PLC, 5.200%, due 08/15/2015 85,000 83,296 DLJ Commercial Mortgage Corp, 6.460%, due 03/10/2032 75,000 78,054 Lockheed Martin Corp, 8.500%, due 12/01/2029 75,000 102,223 DLJ Commercial Mortgage Corp, 7.180%, due 11/10/2033 200,000 215,996 Northrop Grumman Corp, 4.079%, due 11/16/2006 155,000 153,802 Fannie Mae, 2.350%, due 04/05/2007 905,000 878,536 Tyco International Group SA, 6.375%, due 10/15/2011 120,000 124,631 Fannie Mae, 4.000%, due 10/16/2006 875,000 870,039

463,952 FHLMC GOLD 4.000%, due 04/01/2010 179,543 173,894 Consumer Durables & Apparel 0.17% FHLMC GOLD 4.000%, due 05/01/2019 172,435 164,537 K Hovnanian Enterprises, 6.250%, due 01/15/2015 15,000 14,117 FHLMC GOLD 4.500%, due 03/01/2020 285,451 277,775 K Hovnanian Enterprises, 6.250%, due 01/15/2016 45,000 41,752 FHLMC GOLD 4.500%, due 04/01/2019 32,163 31,345 Lennar Corp, 5.600%, due 05/31/2015 45,000 43,448 FHLMC GOLD 4.500%, due 05/01/2019 490,959 478,480 Pulte Homes Inc, 5.200%, due 02/15/2015 45,000 42,333 FHLMC GOLD 4.500%, due 05/01/2020 92,648 90,156

141,650 FHLMC GOLD 4.500%, due 05/01/2020 95,896 93,317 Energy 0.43% FHLMC GOLD 4.500%, due 05/01/2020 194,287 189,062 Consolidated Natural Gas, 5.000%, due 03/01/2014 75,000 73,298 FHLMC GOLD 4.500%, due 08/01/2020 663,785 646,913 Consolidated Natural Gas, 6.250%, due 11/01/2011 30,000 31,415 FHLMC GOLD 5.000%, due 03/01/2035 1,038,569 1,005,465 Enterprise Products, 4.000%, due 10/15/2007 75,000 73,433 FHLMC GOLD 5.000%, due 03/01/2035 48,127 46,593 Halliburton Co, 7.600%, due 08/15/2096 50,000 59,803 FHLMC GOLD 5.000%, due 04/01/2020 185,558 183,808 Petro-Canada, 5.950%, due 05/15/2035 80,000 81,154 FHLMC GOLD 5.000%, due 06/01/2019 483,916 479,352 Texas Eastern Transmiss, 5.250%, due 07/15/2007 30,000 30,061 FHLMC GOLD 5.000%, due 07/01/2020 185,924 184,171

349,164 FHLMC GOLD 5.000%, due 07/01/2020 186,899 185,054 Financial Services 6.63% FHLMC GOLD 5.000%, due 09/01/2020 407,464 403,442 Belvoir Land LLC, 5.300%, due 12/15/2035 150,000 146,675 FHLMC GOLD 5.000%, due 09/01/2035 692,307 670,240 Berkshire Hathaway Financial, 4.125%, due 01/15/2010 120,000 116,608 FHLMC GOLD 5.000%, due 10/01/2020 592,537 586,687 Citibank Credit Card Master Tr, 6.100%, due 05/15/2008 250,000 251,205 FHLMC GOLD 5.000%, due 11/01/2020 1,000,000 990,129 Citifinancial, 6.250%, due 01/01/2008 100,000 102,815 FHLMC GOLD 5.000%, due 11/01/2020 599,999 594,076 Eksportsfinans, 3.375%, due 01/15/2008 455,000 443,695 FHLMC GOLD 5.000%, due 12/01/2020 413,041 408,964 Encana Hldings Fin Corp, 5.800%, due 05/01/2014 50,000 52,118 FHLMC GOLD 5.000%, due 12/01/2020 1,500,000 1,485,192 General Elec Cap Corp, 3.450%, due 01/15/2008 1,775,000 1,762,121 FHLMC GOLD 5.500%, due 02/01/2014 37,859 38,156 General Elec Cap Corp, 4.125%, due 09/01/2009 25,000 24,337 FHLMC GOLD 5.500%, due 10/01/2035 1,178,228 1,167,672 General Elec Cap Corp, 5.000%, due 11/15/2011 1,135,000 1,136,115 FHLMC GOLD 6.000%, due 03/01/2017 33,825 34,529 HSBC Finance Corp, 4.750%, due 05/15/2009 60,000 59,345 FHLMC GOLD 6.000%, due 04/01/2033 163,496 165,534 HSBC Finance Corp, 6.450%, due 02/01/2009 100,000 103,612 FHLMC GOLD 6.000%, due 05/01/2017 7,017 7,163 JP Morgan Chase & Co, 3.625%, due 05/01/2008 85,000 82,674 FHLMC GOLD 6.000%, due 06/01/2017 14,207 14,502 JP Morgan Chase & Co, 6.375%, due 02/15/2008 225,000 231,213 FHLMC GOLD 6.000%, due 09/01/2017 80,377 82,045 Mass Mutual Global Funding II, 2.550%, due 07/15/2008 170,000 160,508 FHLMC GOLD 6.000%, due 11/01/2033 70,835 71,626 Morgan Stanley, 5.050%, due 01/21/2011 350,000 350,104 FHLMC GOLD 6.500%, due 05/01/2032 5,453 5,609 Morgan Stanley, 6.750%, due 04/15/2011 100,000 107,653 FHLMC GOLD 7.000%, due 04/01/2032 45,902 47,820 Nationwide Bldg Society, 3.500%, due 07/31/2007 50,000 48,989 FHLMC, 5.000%, due 12/15/2017 340,000 335,715 Nationwide Bldg Society, 4.250%, due 02/01/2010 125,000 121,805 FHLMC, 5.500%, due 01/15/2031 505,432 509,354 Pricoa Global Funding I, 4.350%, due 06/15/2008 100,000 98,584 FHLMC, 5.500%, due 04/15/2035 599,946 605,848 TIAA Global Markets, 3.875%, due 01/22/2008 50,000 49,031 FHLMC, 6.500%, due 01/15/2027 107,775 110,448

5,449,207 FNMA 4.000%, due 07/01/2018 71,534 68,437 Food & Drug Retailers 0.01% FNMA 4.500%, due 09/01/2035 99,600 93,800 Delhaize America Inc, 9.000%, due 04/15/2031 5,000 5,878 FNMA 4.500%, due 10/01/2018 314,024 306,273

5,878 FNMA 4.500%, due 10/01/2035 99,251 93,472 Government 16.26% FNMA 5.000%, due 01/01/2018 243,219 241,005 Aid-Israel, 5.500%, due 04/26/2024 275,000 296,646 FNMA 5.000%, due 06/01/2018 221,924 219,869 Aid-Israel, 5.500%, due 09/18/2033 215,000 234,907 FNMA 5.000%, due 11/01/2018 196,847 195,023 Resolution Funding Strip, due 07/15/2018** 25,000 13,823 FNMA 5.000%, due 11/01/2033 1,604,672 1,560,417 Resolution Funding Strip, due 10/15/2018** 25,000 13,649 FNMA 5.000%, due 12/01/2017 983,661 974,706 Swedish Export Credit, 2.875%, due 01/26/2007 100,000 98,063 FNMA 5.000%, due 12/01/2018 354,305 351,023 United Mexican States, 6.750%, due 09/27/2034 100,000 109,375 FNMA 5.500%, due 01/01/2018 54,903 55,282 US Treasury N/B, 0.875%, due 04/15/2010 1,205,000 1,204,454 FNMA 5.500%, due 02/01/2035 1,825,090 1,812,239 US Treasury N/B, 10.375%, due 11/15/2012 650,000 718,351 FNMA 5.500%, due 04/01/2034 247,162 245,350 US Treasury N/B, 4.000%, due 09/30/2007 4,490,000 4,458,780 FNMA 5.500%, due 06/01/2018 31,959 32,172 US Treasury N/B, 4.250%, due 10/31/2007 830,000 827,568 FNMA 5.500%, due 06/01/2033 436,856 433,653 US Treasury N/B, 4.250%, due 11/30/2007 3,050,000 3,041,064 FNMA 5.500%, due 08/01/2017 16,979 17,097 US Treasury N/B, 4.375%, due 11/15/2008 660,000 660,103 FNMA 5.500%, due 10/01/2017 45,353 45,666 US Treasury N/B, 4.500%, due 11/15/2010 35,000 35,189 FNMA 5.500%, due 11/01/2017 42,308 42,600 US Treasury N/B, 4.500%, due 11/15/2015 1,070,000 1,078,777 FNMA 5.500%, due 11/01/2017 7,104 7,153 US Treasury N/B, 5.375%, due 02/15/2031 280,000 314,519 FNMA 5.500%, due 11/01/2033 118,313 117,445 US Treasury N/B, 8.500%, due 02/15/2020 180,000 252,506 FNMA 5.500%, due 11/01/2034 1,065,129 1,055,719

13,357,774 FNMA 6.000%, due 02/01/2018 59,865 61,195 Healthcare 0.14% FNMA 6.000%, due 02/01/2034 794,721 803,019 Wellpoint Inc, 5.950%, due 12/15/2034 110,000 113,396 FNMA 6.000%, due 04/01/2016 180,308 184,315

113,396$ FNMA 6.500%, due 01/01/2033 52,186 53,634


ACTIVELY MANAGED FIXED INCOME FUNDSCORE BOND/BLACKROCK FUND (SABRC)


Par Value Market Value Shares Market ValueMortgage-Backed Securities (incl CMO's) - (cont'd) Preferred StockFNMA 6.500%, due 05/01/2031 7,294$ 7,498$ Capital Goods 0.29%FNMA 6.500%, due 07/01/2032 21,954 22,563 Rc Trust I* 4,800 241,500$ FNMA 6.500%, due 08/01/2032 24,520 25,200 (Cost $250,820) 241,500 FNMA 7.000%, due 02/01/2032 70,753 73,835 FNMA 7.000%, due 05/01/2032 24,060 25,114 FNMA 7.000%, due 07/01/2034 104,560 109,150 Total Invested Assets 100.17% 82,288,916 FNMA 7.000%, due 11/01/2017 35,234 36,617 (Cost $83,315,789)FNMA, 5.000%, due 03/25/2018 160,000 157,562 FNMA, 5.500%, due 01/25/2034 509,346 511,579 FNMA, 5.500%, due 02/25/2035 440,000 443,683 Other Assets and Liabilities -0.17%FNMA, 5.500%, due 05/25/2027 943,040 949,384 Cash and cash equivalents ***, # 96,311 FNMA, 5.500%, due 05/25/2034 568,913 571,904 Interest receivable 570,134 FNMA, 5.500%, due 07/25/2035 487,673 491,623 Receivable for investments sold 18,765,941 FNMA, 5.500%, due 08/25/2035 164,578 165,667 Payable for investments purchased (19,551,243) FNMA, 6.000%, due 08/25/2028 477,130 483,013 Options written, at fair value (2,844) FNMA, 6.500%, due 07/25/2034 311,932 321,373 Variation margin payable for futures contracts (14,718) FNMA, 7.000%, due 11/25/2026 135,722 143,212 Accrued expenses and other payables (2,890) Freddie Mac, 4.625%, due 05/28/2013 150,000 143,793 (139,309) GMAC Commercial Mortgage Sec, 6.175%, due 05/15/2033 50,000 51,366 GMAC Commercial Mortgage Sec, 6.945%, due 09/15/2033 350,000 369,143 GMAC Commercial Mortgage Sec, 7.179%, due 08/15/2036 452,262 479,258 Net Assets 100.00% 82,149,607$ GMAC Commercial Mortgage Sec, 7.455%, due 08/16/2033 450,000 487,773 GNMA 3.750%, due 05/20/2034 745,919 729,207 GNMA 5.500%, due 04/15/2033 73,482 74,065 GNMA 5.500%, due 12/15/2032 56,833 57,287 GNMA 6.000%, due 07/15/2032 19,162 19,643 FOOTNOTES:GNMA 6.000%, due 11/15/2028 16,228 16,643 * - Variable coupon bondGNMA 6.500%, due 04/15/2031 91,766 96,013 ** - Zero coupon bondGNMA 7.000%, due 05/15/2032 12,783 13,422 *** - Pledged to broker as collateral for open futures contracts.GNMA 7.000%, due 09/15/2031 57,372 60,250 # - The Fund maintains liquid assets (eg.Cash) at least in the amount equivalent to the market value Greenwich Capital Commercial, 4.755%, due 06/10/2036 180,000 177,519 of the outstanding TBA's.GS Mortgage Securities Corp, 6.135%, due 10/18/2030 216,216 221,284 GSR Mortgage Loan Trust, 4.064%, due 08/25/2034* 1,012,905 985,733 Home Bank Mortgage Trust, 4.649%, due 10/25/2035* 546,800 546,381 JP Morgan Chase Commercial, 5.857%, due 10/12/2035 630,000 651,975 JP Morgan Chase Commercial, 6.162%, due 05/12/2034 560,000 588,833 JP Morgan Chase Commercial, 6.244%, due 04/15/2035 450,025 459,487 JP Morgan Chase Commercial, 6.260%, due 03/15/2033 490,000 515,248 At December 31, 2005 the following futures contracts were outstanding:JP Morgan Chase Commercial, 6.465%, due 11/15/2035 550,000 585,313 Notional UnrealizedLB UBS Commercial Mtg Trust, 4.545%, due 02/15/2030 660,000 638,742 Contracts Description Market Value Gains/(Losses)Mastr Alternative Loans Trust, 5.500%, due 05/25/2034 297,917 295,866 5 90 Day Euro FX Future - Mar 2007 - Long 1,190,625$ 753$ Merrill Lynch Mortgage Invst, 7.560%, due 11/15/2031 463,595 496,432 5 90 Day Euro FX Future - Jun 2007 - Long 1,190,813 946 Salomon Bro Mtg Sec VII, 6.499%, due 10/13/2011 1,280,000 1,363,428 5 90 Day Euro FX Future - Sep 2007 - Long 1,190,813 1,053 Small Business Admin, 4.504%, due 02/10/2014 358,530 349,855 (51) US 5 year Treasury Notes - Mar 2006 - Short (5,423,531) (25,759) Small Business Admin, 4.524%, due 02/10/2013 227,501 221,802 7 US 2 year Treasury Notes - Mar 2006 - Long 1,436,313 1,998 Structured Adjustable Rate Mtg, 4.699%, due 10/25/2035* 675,595 675,404 (16) US 10 year Treasury Notes - Mar 2006 - Short (1,750,500) (17,374) Washington Mutual Asset Sec., 5.150%, due 05/25/2036* 580,000 579,624 75 US 30 year Treasury Notes - Mar 2006 - Long 8,564,063 192,655 Wells Fargo Mtg Backed Sec, 4.479%, due 07/25/2034* 955,242 933,353 6,398,596$ 154,272$

44,989,121 Pharmaceuticals & Biotech 0.09%Wyeth, 6.000%, due 02/15/2036 75,000 77,234 At December 31, 2005 the following written options contracts were outstanding:

77,234 Strike Expiration UnrealizedReal Estate 0.67% Contracts Description Price Date Market Value Gains/(Losses)Avalonbay Communities, 4.950%, due 03/15/2013 95,000 92,988 (7) US 10 year T-Note Call 111.00 3/06 (1,750)$ 2,110$ EOP Operating Lp, 4.650%, due 10/01/2010 110,000 106,580 (7) US 10 year T-Note Put 107.00 3/06 (1,094) 2,636 EOP Operating Lp, 7.000%, due 07/15/2011 15,000 16,055 (2,844)$ 4,746$ Rouse Company, 3.625%, due 03/15/2009 190,000 177,464 Rouse Company, 5.375%, due 11/26/2013 165,000 156,621 At December 31, 2005 the following TBA's were outstanding:

549,708 UnrealizedRetail 0.15% Quantity Description Market Value Gains/(Losses)Federated Department Stores, 6.790%, due 07/15/2027 50,000 52,561 (800,000) FHLMC GOLD 4.500% TBA (778,250)$ (5,230)$ May Department Stores, 7.875%, due 03/01/2030 60,000 71,555 (1,600,000) FHLMC GOLD 5.000% TBA (1,583,501) (7,876)

124,116 300,000 FHLMC GOLD 5.500% TBA 301,688 914Telecommunication Services 1.78% 300,000 FHLMC GOLD 5.000% TBA 290,344 2,648Bellsouth Corporation, 4.258%, due 04/26/2006* 475,000 474,431 100,000 FHLMC GOLD 6.000% TBA 100,969 297GTE Corporation, 6.940%, due 04/15/2028 25,000 26,755 (300,000) FHLMC GOLD 6.000% TBA (302,906) (867)SBC Communications, 4.389%, due 06/05/2006 525,000 523,866 3,800,000 FNMA 4.500% TBA 3,696,686 25,592SBC Communications, 6.150%, due 09/15/2034 20,000 20,089 700,000 FNMA 4.500% TBA 659,093 9,187SBC Communications, 6.450%, due 06/15/2034 45,000 46,826 700,000 FNMA 5.000% TBA 692,343 3,218Telecom Italia Capital, 6.000%, due 09/30/2034 30,000 28,901 (1,400,000) FNMA 5.000% TBA (1,384,687) (6,671)Telefonica Europe Bv, 7.750%, due 09/15/2010 75,000 82,126 100,000 FNMA 5.000% TBA 96,875 891Verizon Global Fdg Corp, 7.750%, due 12/01/2030 30,000 35,660 (900,000) FNMA 5.000% TBA (871,875) (7,418)Verizon Maryland Inc, 5.125%, due 06/15/2033 55,000 46,196 1,700,000 FNMA 5.500% TBA 1,710,095 4,040Vodafone Group Plc, 5.000%, due 09/15/2015 125,000 121,751 100,000 FNMA 5.500% TBA 99,000 656Vodafone Group Plc, 7.750%, due 02/15/2010 50,000 54,763 (3,400,000) FNMA 5.500% TBA (3,366,000) (20,343)

1,461,364 100,000 FNMA 6.000% TBA 100,906 430Transportation 0.13% (800,000) FNMA 6.000% TBA (807,250) (3,375)Canadian National Railway Co, 4.400%, due 03/15/2013 50,000 47,922 (100,000) FNMA 6.500% TBA (102,563) (336)Canadian National Railway Co, 6.900%, due 07/15/2028 25,000 29,758 (1,449,033)$ (4,243)$ Canadian Pacific Rr Co, 6.250%, due 10/15/2011 25,000 26,554

104,234 Utilities 0.87%Devon Financing Corp Ulc, 7.875%, due 09/30/2031 55,000 69,888Dominion Resources Inc, 7.195%, due 09/15/2014 30,000 33,329 First Energy Corp, 7.375%, due 11/15/2031 25,000 29,499 Florida Power and Light, 4.950%, due 06/01/2035 100,000 91,399 Florida Power Corp, 6.650%, due 07/15/2011 40,000 42,939 Progress Energy Inc, 7.750%, due 03/01/2031 125,000 149,946 Scottish Power PLC, 4.910%, due 03/15/2010 125,000 123,839 Scottish Power PLC, 5.375%, due 03/15/2015 100,000 100,056 Tosco Corp, 7.250%, due 01/01/2007 75,000 76,494

717,389

Total Bonds 99.88% 82,047,416$ (Amortized Cost $83,064,969)


ACTIVELY MANAGED FIXED INCOME FUNDS

CORE BOND/BLACKROCK FUND (SABRC)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:

Dividends 12,600$

Interest 4,514,359

4,526,959

Expenses:



Asset charge 11,576

Audit fees 3,265

593,659



on investments:


Net realized gains (losses) - futures 87,105

Net realized gains (losses) - options 60,038

Net change in unrealized gains (losses) (872,098)


on investments (1,622,836)








NET ASSETS

Beginning of year -



End of year 82,149,607$


ACTIVELY MANAGED FIXED INCOME FUNDS CORE BOND ENHANCED INDEX/PIM FUND (SA12)


Par Value Market Value Par Value Market ValueBonds Food & Drug Retailers 0.78%Obligations Albertsons Inc, 7.450%, due 08/01/2029 100,000$ 92,708$ Asset Backed Secs 0.60% Archer Daniels Midland, 7.000%, due 02/01/2031 80,000 94,262 MBNA Master Credit Card Trust, 7.800%, due 10/15/2012 1,855,000$ 2,076,345$ Archer Daniels Midland, 8.125%, due 06/01/2012 660,000 769,518 Raac Series, 4.540%, due 08/25/2028 975,000 970,167 Conagra Foods Inc, 6.750%, due 09/15/2011 185,000 197,057

3,046,512 Conagra Foods Inc, 7.875%, due 09/15/2010 490,000 539,854 Automotive 0.28% Kellogg Co, 6.600%, due 04/01/2011 370,000 396,118 Daimler Chrysler Na Hldg, 6.500%, due 11/15/2013 295,000 308,879 Kraft Foods Inc, 5.625%, due 11/01/2011 560,000 574,558 Daimler Chrysler Na Hldg, 7.200%, due 09/01/2009 1,055,000 1,115,710 Kraft Foods Inc, 6.250%, due 06/01/2012 275,000 290,110

1,424,589 Kroger Co, 7.500%, due 04/01/2031 160,000 178,620 Banks 4.46% Safeway Inc, 7.250%, due 02/01/2031 105,000 113,303 Bank of America Corp, 4.500%, due 08/01/2010 2,515,000 2,471,472 Tyson Foods Inc, 8.250%, due 10/01/2011 150,000 169,359 Bank of America Corp, 4.750%, due 08/01/2015 480,000 465,520 Wal Mart Stores Inc, 5.250%, due 09/01/2035 525,000 509,605 Citicorp, 6.375%, due 11/15/2008 1,030,000 1,072,528 Wal Mart Stores Inc, 6.875%, due 08/10/2009 30,000 31,928 Citigroup Inc, 5.000%, due 09/15/2014 1,950,000 1,919,492 3,957,000 Credit Suisse Fb Usa Inc, 4.625%, due 01/15/2008 760,000 756,373 Food, Beverage & Tobacco 0.28%Credit Suisse Fb Usa Inc, 4.875%, due 01/15/2015 455,000 442,753 Anheuser Busch Cos Inc, 6.000%, due 04/15/2011 749,000 784,112 Credit Suisse Fb Usa Inc, 5.125%, due 08/15/2015 100,000 99,033 Diageo Cap PLC, 4.375%, due 05/03/2010 165,000 160,936 Inter-American Devel Bk, 5.750%, due 02/26/2008 2,580,000 2,638,940 Philip Morris, 7.500%, due 07/16/2009 465,000 492,342 JP Morgan Chase & Co, 4.500%, due 01/15/2012 1,630,000 1,576,417 1,437,390 JP Morgan Chase & Co, 5.150%, due 10/01/2015 540,000 532,344 Government 25.39%Keycorp Capital VII, 5.700%, due 06/15/2035 225,000 215,236 Aid-Israel, 4.625%, due 06/15/2013 160,000 154,702 Korea Development Bank, 4.750%, due 07/20/2009 465,000 461,006 Malaysia, 7.500%, due 07/15/2011 550,000 615,487 Korea Development Bank, 5.750%, due 09/10/2013 275,000 284,877 Peoples Republic of China, 4.750%, due 10/29/2013 115,000 112,670 Lb Baden-Wuerttemberg, 6.350%, due 04/01/2012 1,380,000 1,505,613 Quebec Province, 5.750%, due 02/15/2009 2,235,000 2,300,304 Mellon Funding Corp, 6.700%, due 03/01/2008 375,000 388,846 Republic of Chile, 5.500%, due 01/15/2013 195,000 199,193 Royal Bank of Scotland Grp PLC, 6.375%, due 02/01/2011 420,000 445,437 Republic of Italy, 6.000%, due 02/22/2011 1,700,000 1,800,397 Royal Bank of Scotland Grp PLC, 6.400%, due 04/01/2009 1,485,000 1,558,227 Republic of South Africa, 6.500%, due 06/02/2014 285,000 308,156 Santander Fin Issuances, 6.375%, due 02/15/2011 915,000 972,862 Republic of South Africa, 7.375%, due 04/25/2012 200,000 222,500 Suntrust Banks, 5.200%, due 01/17/2017 440,000 437,657 US Treasury N/B, 3.000%, due 12/31/2006 2,075,000 2,045,738 Wachovia Bank Na, 4.875%, due 02/01/2015 1,340,000 1,306,791 US Treasury N/B, 3.125%, due 05/15/2007 6,755,000 6,638,105 Wachovia Corp, 5.500%, due 08/01/2035 345,000 336,137 US Treasury N/B, 3.125%, due 10/15/2008 4,515,000 4,367,382 Washington Mutual Inc, 4.625%, due 04/01/2014 350,000 329,126 US Treasury N/B, 3.375%, due 02/15/2008 14,750,000 14,446,357 Wells Fargo Bank Na, 6.450%, due 02/01/2011 600,000 639,440 US Treasury N/B, 3.750%, due 05/15/2008 5,430,000 5,352,791 Wells Fargo Financial, 5.125%, due 02/15/2007 1,800,000 1,803,744 US Treasury N/B, 3.875%, due 07/31/2007 4,360,000 4,324,575

22,659,871 US Treasury N/B, 4.125%, due 08/15/2008 12,950,000 12,878,671 Capital Goods 1.84% US Treasury N/B, 4.250%, due 08/15/2013 14,530,000 14,400,029 Boeing Capital Corp, 6.100%, due 03/01/2011 675,000 711,196 US Treasury N/B, 4.250%, due 11/30/2007 1,135,000 1,131,674 Caterpillar Fin Serv Corp, 4.625%, due 06/01/2015 680,000 656,971 US Treasury N/B, 4.375%, due 11/15/2008 6,485,000 6,486,012 Caterpillar Inc, 7.250%, due 09/15/2009 1,080,000 1,163,675 US Treasury N/B, 4.375%, due 12/15/2010 7,575,000 7,580,916 General Dynamics Corp, 4.500%, due 08/15/2010 350,000 344,409 US Treasury N/B, 4.500%, due 11/15/2015 2,565,000 2,586,041 Honeywell International, 6.200%, due 02/01/2008 500,000 514,343 US Treasury N/B, 4.750%, due 05/15/2014 285,000 291,936 John Deere Capital Corp, 7.000%, due 03/15/2012 685,000 756,587 US Treasury N/B, 4.875%, due 02/15/2012 1,600,000 1,642,688 Lockheed Martin Corp, 8.500%, due 12/01/2029 300,000 408,890 US Treasury N/B, 5.000%, due 02/15/2011 150,000 154,494 Northrop Grumman Corp, 7.125%, due 02/15/2011 1,185,000 1,291,286 US Treasury N/B, 5.375%, due 02/15/2031 482,000 541,421 Raytheon Co, 5.375%, due 04/01/2013 500,000 506,831 US Treasury N/B, 6.125%, due 08/15/2029 3,455,000 4,208,487 Raytheon Co, 6.750%, due 08/15/2007 445,000 455,889 US Treasury N/B, 6.500%, due 10/15/2006 5,460,000 5,542,965 Telus Corporation, 8.000%, due 06/01/2011 560,000 627,794 US Treasury N/B, 7.250%, due 08/15/2022 3,330,000 4,336,546 Tyco International Group SA, 6.000%, due 11/15/2013 705,000 720,148 US Treasury N/B, 7.625%, due 02/15/2025 5,760,000 7,936,652 Tyco International Group SA, 6.750%, due 02/15/2011 180,000 189,250 US Treasury N/B, 8.000%, due 11/15/2021 3,760,000 5,180,133 United Technologies, 4.375%, due 05/01/2010 1,030,000 1,013,428 US Treasury N/B, 8.125%, due 08/15/2021 5,265,000 7,305,393

9,360,697 US Treasury N/B, 8.500%, due 02/15/2020 1,368,000 1,919,047 Commercial Services & Supplies 0.14% US Treasury N/B, 9.250%, due 02/15/2016 1,450,000 2,009,439 Waste Management Inc, 7.650%, due 03/15/2011 630,000 696,752 129,020,901

696,752 Healthcare 0.33%Consumer Durables & Apparel 0.07% Laboratory Corp Amer Hldgs, 5.625%, due 12/15/2015 175,000 177,320 DR Horton Inc, 5.625%, due 01/15/2016 160,000 152,560 Medtronic Inc, 4.750%, due 09/15/2015 400,000 388,772 Pulte Homes Inc, 5.200%, due 02/15/2015 230,000 216,369 Quest Diagnostic Inc, 5.450%, due 11/01/2015 110,000 110,823

368,929 Quest Diagnostic Inc, 6.750%, due 07/12/2006 850,000 857,488 Energy 1.24% Wellpoint Inc, 5.000%, due 12/15/2014 95,000 93,319 Burlington Resources Fin, 7.400%, due 12/01/2031 125,000 158,197 Wellpoint Inc, 5.950%, due 12/15/2034 50,000 51,544 Canadian Natural Resources, 5.850%, due 02/01/2035 170,000 171,514 1,679,266 Conoco Funding Co, 6.350%, due 10/15/2011 1,250,000 1,339,345 Hotel, Restaurant & Leisure 0.18%Conocophillips, 6.650%, due 07/15/2018 365,000 411,832 Cendant Corporation, 7.375%, due 01/15/2013 125,000 139,653 Enterprise Products, 6.650%, due 10/15/2034 125,000 129,070 Harrahs Operating Co Inc, 5.500%, due 07/01/2010 190,000 189,924 Enterprise Products, 6.875%, due 03/01/2033 105,000 111,232 Harrahs Operating Co Inc, 5.750%, due 10/01/2017 515,000 501,247 Halliburton Co, 5.500%, due 10/15/2010 90,000 91,922 Yum! Brands Inc, 8.875%, due 04/15/2011 75,000 85,869 Husky Energy Inc, 6.150%, due 06/15/2019 510,000 531,524 916,693 Nexen Inc, 5.875%, due 03/10/2035 170,000 167,164 Insurance 0.39%Norsk Hydro A/S, 7.250%, due 09/23/2027 130,000 160,213 Allstate Corp, 5.550%, due 05/09/2035 185,000 181,293 Oneok Inc, 5.510%, due 02/16/2008 430,000 431,699 American International Group, 4.250%, due 05/15/2013 505,000 480,320 Oneok Inc, 6.000%, due 06/15/2035 150,000 148,034 American International Group, 5.050%, due 10/01/2015 395,000 387,665 Pemex Project Funding Master, 6.625%, due 06/15/2035 960,000 962,400 Hartford Financial Services, 4.750%, due 03/01/2014 125,000 121,723 Petrobras Intl Finance, 9.750%, due 07/06/2011 260,000 305,500 Markel Corp, 7.350%, due 08/15/2034 130,000 139,882 Suncor Energy Inc, 5.950%, due 12/01/2034 60,000 63,468 MetLife Inc, 6.375%, due 06/15/2034 235,000 257,373 Tosco Corp, 8.125%, due 02/15/2030 325,000 438,155 St Paul Travelers Cos Inc, 5.750%, due 03/15/2007 315,000 316,658 Transocean Inc, 7.375%, due 04/15/2018 510,000 599,564 Xl Capital Ltd, 5.250%, due 09/15/2014 100,000 97,608 Valero Energy Corp, 7.500%, due 04/15/2032 85,000 103,300 1,982,522

6,324,133 Materials 0.50%Financial Services 5.57% Alcan Inc, 4.875%, due 09/15/2012 760,000 744,274 Axa, 8.600%, due 12/15/2030 80,000 106,908 Alcan Inc, 6.125%, due 12/15/2033 65,000 66,537 Bear Stearns Co Inc, 2.875%, due 07/02/2008 790,000 752,006 Dow Chemical, 6.000%, due 10/01/2012 705,000 740,939 Bear Stearns Co Inc, 5.300%, due 10/30/2015 355,000 354,210 Ici Wilmington, 5.625%, due 12/01/2013 160,000 159,259 Berkshire Hathaway Inc, 4.750%, due 05/15/2012 340,000 336,104 International Paper Company, 5.250%, due 04/01/2016 120,000 114,057 Capital One Bank, 5.125%, due 02/15/2014 295,000 290,299 International Paper Company, 5.300%, due 04/01/2015 240,000 231,155 CIT Group Co of Canada, 4.650%, due 07/01/2010 150,000 146,849 Vale Overseas Limited, 8.250%, due 01/17/2034 100,000 115,125 Cit Group Inc, 7.750%, due 04/02/2012 785,000 890,293 Weyerhaeuser Co, 7.375%, due 03/15/2032 350,000 389,098 Citibank Credit Card Issuance, 4.950%, due 02/09/2009 5,000,000 5,004,940 2,560,444 First Union Lehman Brothers, 6.560%, due 11/18/2035 6,339,666 6,515,758 Media 1.57%General Elec Cap Corp, 5.450%, due 01/15/2013 705,000 722,158 Clear Channel Communications, 4.400%, due 05/15/2011 400,000 372,094 General Elec Cap Corp, 6.750%, due 03/15/2032 1,075,000 1,261,890 Comcast Cable Comm Hldgs, 8.375%, due 03/15/2013 1,635,000 1,892,474 Goldman Sachs Group Inc, 5.000%, due 10/01/2014 235,000 230,219 Cox Communications Inc, 5.450%, due 12/15/2014 165,000 161,008 Goldman Sachs Group Inc, 6.875%, due 01/15/2011 1,670,000 1,799,044 News America Holdings, 8.250%, due 08/10/2018 285,000 342,772 HSBC Finance Corp, 4.750%, due 05/15/2009 2,400,000 2,373,816 News America Inc, 7.280%, due 06/30/2028 545,000 595,892 HSBC Finance Corp, 5.250%, due 01/14/2011 500,000 500,256 News America Inc, 7.625%, due 11/30/2028 330,000 374,220 HSBC Finance Corp, 6.500%, due 01/24/2006 660,000 660,657 Time Warner Inc, 6.750%, due 04/15/2011 2,130,000 2,236,690 HSBC Finance Corp, 7.000%, due 05/15/2012 375,000 410,202 Time Warner Inc, 7.250%, due 10/15/2017 365,000 399,018 Intl Lease Finance Corp, 5.875%, due 05/01/2013 235,000 243,187 Viacom Inc, 7.700%, due 07/30/2010 1,110,000 1,198,140 Lehman Brothers Holdings, 3.950%, due 11/10/2009 470,000 452,675 Walt Disney Company, 6.375%, due 03/01/2012 390,000 412,510 Merrill Lynch & Co, 4.125%, due 01/15/2009 540,000 529,219 7,984,818 Merrill Lynch & Co, 4.250%, due 02/08/2010 550,000 534,998 Mortgage Backed (incl CMO's) 42.79%Merrill Lynch & Co, 5.000%, due 01/15/2015 345,000 339,818 Bank of America Commercial Mtg, 4.668%, due 07/10/2043 1,280,000 1,233,496 Merrill Lynch & Co, 5.450%, due 07/15/2014 210,000 213,431 Bank of America Commercial Mtg, 5.182%, due 09/10/2047 1,400,000 1,406,498 Morgan Stanley, 4.750%, due 04/01/2014 455,000 436,375 Fannie Mae, 3.875%, due 05/15/2007 15,505,000 15,323,778 Morgan Stanley, 5.050%, due 01/21/2011 455,000 455,135 Fannie Mae, 4.750%, due 12/15/2010 2,695,000 2,695,030 Morgan Stanley, 6.100%, due 04/15/2006 250,000 250,878 Fannie Mae, 6.000%, due 05/15/2008 1,560,000 1,603,675 Morgan Stanley, 6.750%, due 04/15/2011 1,185,000 1,275,685 Fannie Mae, 6.625%, due 11/15/2030 2,740,000 3,378,508 Pemex Project Fdg Master Trust, 9.125%, due 10/13/2010 410,000 471,910 Federal Farm Credit Bank, 3.375%, due 07/15/2008 2,112,000 2,044,929 Residential Capital Corp, 6.375%, due 06/30/2010 415,000 421,688 Federal Home Loan Bank, 4.000%, due 05/15/2008 1,600,000 1,573,099 SLM Corp, 5.375%, due 05/15/2014 315,000 318,148 Federal Home Loan Bank, 4.250%, due 09/26/2008 2,200,000 2,173,558

28,298,756$ Federal Home Loan Bank, 4.375%, due 09/17/2010 3,085,000 3,037,081 Federal Home Loan Bank, 4.500%, due 11/15/2012 1,805,000 1,776,781 Federal Home Loan Bank, 5.750%, due 05/15/2012 810,000 852,924




Par Value Market Value Par Value Market ValueMortgage Backed (incl CMO's) (cont'd) Mortgage Backed (incl CMO's) (cont'd)FHLMC GOLD 5.500%, due 12/01/2033 434,848$ 431,922$ GNMA 5.500%, due 02/15/2035 3,342,796$ 3,365,778$ FHLMC GOLD 4.000%, due 04/01/2019 339,266 323,726 GNMA 6.000%, due 10/15/2034 384,161 393,415 FHLMC GOLD 4.000%, due 07/01/2019 2,038,624 1,945,249 GNMA 6.000%, due 11/15/2034 1,512,581 1,549,016 FHLMC GOLD 4.500%, due 03/01/2019 241,343 235,386 GNMA 6.000%, due 11/15/2034 1,908,273 1,954,238 FHLMC GOLD 4.500%, due 06/01/2019 2,350,916 2,290,540 GS Mortgage Securities Corp, 5.396%, due 08/10/2038 * 3,000,000 3,043,233 FHLMC GOLD 4.500%, due 06/01/2019 2,743,800 2,674,059 Illinois Taxable Pension, 4.350%, due 06/01/2018 515,000 484,620 FHLMC GOLD 4.500%, due 06/01/2019 2,546,146 2,481,429 Illinois Taxable Pension, 5.100%, due 06/01/2033 1,170,000 1,155,632 FHLMC GOLD 4.500%, due 06/01/2019 180,480 175,893 JP Morgan Chase Commercial, 4.918%, due 10/15/2042 * 2,330,000 2,285,036 FHLMC GOLD 4.500%, due 07/01/2019 883,092 860,646 JP Morgan Chase Commercial, 5.179%, due 12/15/2044 1,320,000 1,326,525 FHLMC GOLD 4.500%, due 07/01/2020 1,492,445 1,452,308 JP Morgan Chase Commercial, 5.380%, due 06/12/2041 * 1,750,000 1,792,217 FHLMC GOLD 5.000%, due 03/01/2034 2,991,494 2,902,021 LB UBS Commercial Mtg Trust, 4.739%, due 07/15/2030 520,000 504,350 FHLMC GOLD 5.000%, due 04/01/2034 874,453 848,299 Tenn Valley Authority, 5.880%, due 04/01/2036 140,000 159,048 FHLMC GOLD 5.000%, due 04/01/2034 1,821,426 1,766,948 Tenn Valley Authority, 6.000%, due 03/15/2013 900,000 965,712 FHLMC GOLD 5.000%, due 05/01/2034 748,625 726,235 United Mexican States, 6.750%, due 09/27/2034 727,000 795,156 FHLMC GOLD 5.000%, due 06/01/2019 2,880,247 2,853,087 US Treasury N/B 4.000% 05/01/2019, 4.000%, due 05/01/2019 52,147 49,759 FHLMC GOLD 5.000%, due 06/01/2035 1,515,454 1,467,149 Wachovia Bank Commercial Mgte, 5.195%, due 10/15/2044 * 1,815,000 1,829,972 FHLMC GOLD 5.000%, due 08/01/2035 1,025,864 993,164 Wachovia Bank Commercial Mgte, 5.234%, due 07/15/2041 * 975,000 985,521 FHLMC GOLD 5.000%, due 08/01/2035 1,025,605 992,914 217,484,265 FHLMC GOLD 5.000%, due 09/01/2033 932,252 905,788 Pharmaceuticals & Biotech 0.52%FHLMC GOLD 5.000%, due 10/01/2033 1,844,588 1,792,224 Abbott Laboratories, 4.350%, due 03/15/2014 315,000 301,351 FHLMC GOLD 5.500%, due 02/01/2033 973,246 966,908 Bristol Myers Squibb, 5.750%, due 10/01/2011 160,000 165,245 FHLMC GOLD 5.500%, due 03/01/2033 458,939 455,950 Cardinal HLTH, 5.850%, due 12/15/2017 255,000 259,377 FHLMC GOLD 5.500%, due 04/01/2033 692,057 687,399 Genentech Inc, 4.750%, due 07/15/2015 490,000 476,815 FHLMC GOLD 5.500%, due 04/01/2033 350,519 348,161 Merck & Co Inc, 5.950%, due 12/01/2028 90,000 92,298 FHLMC GOLD 5.500%, due 05/01/2033 459,758 456,664 Schering Plough Corp, 5.550%, due 12/01/2013 575,000 585,790 FHLMC GOLD 5.500%, due 09/01/2033 314,051 311,938 Wyeth, 5.500%, due 03/15/2013 400,000 405,507 FHLMC GOLD 5.500%, due 09/01/2033 756,411 751,320 Wyeth, 6.450%, due 02/01/2024 350,000 378,529 FHLMC GOLD 5.500%, due 09/01/2034 422,017 418,556 2,664,912 FHLMC GOLD 5.500%, due 10/01/2033 1,195,368 1,187,324 Real Estate 0.12%FHLMC GOLD 5.500%, due 10/01/2033 132,026 131,138 EOP Operating Lp, 5.875%, due 01/15/2013 210,000 213,500 FHLMC GOLD 5.500%, due 10/01/2033 427,458 424,582 Simon Property Group Lp, 4.600%, due 06/15/2010 185,000 180,348 FHLMC GOLD 5.500%, due 10/01/2033 647,233 642,877 Simon Property Group Lp, 6.375%, due 11/15/2007 220,000 224,805 FHLMC GOLD 5.500%, due 11/01/2032 174,299 173,164 618,653 FHLMC GOLD 5.500%, due 11/01/2032 369,032 366,628 Retail 0.20%FHLMC GOLD 5.500%, due 11/01/2033 445,530 442,532 May Department Stores, 6.650%, due 07/15/2024 110,000 115,654 FHLMC GOLD 6.000%, due 10/01/2024 2,059,265 2,092,943 May Department Stores, 6.700%, due 07/15/2034 335,000 356,806 FHLMC GOLD 6.000%, due 12/01/2034 134,520 135,876 Target Corporation, 7.500%, due 08/15/2010 480,000 530,894 FHLMC GOLD 6.500%, due 05/01/2032 622,044 638,608 1,003,354 FHLMC GOLD 6.500%, due 07/01/2032 736,580 756,193 Technology Hardware & Equipment 0.72%FHLMC GOLD 6.500%, due 08/01/2032 663,356 681,020 First Data Corp, 4.850%, due 10/01/2014 380,000 359,969 FHLMC GOLD 6.500%, due 09/01/2032 734,881 754,449 Hewlett Packard, 6.500%, due 07/01/2012 95,000 102,486 Financing Corp, 10.350%, due 08/03/2018 310,000 464,034 IBM Corp, 4.250%, due 09/15/2009 1,440,000 1,411,606 FNMA 4.500%, due 02/01/2035 83,630 78,760 IBM Corp, 4.875%, due 10/01/2006 1,500,000 1,501,232 FNMA 4.500%, due 03/01/2034 1,644,795 1,554,849 Motorola Inc, 6.500%, due 09/01/2025 175,000 190,840 FNMA 4.500%, due 04/01/2019 713,067 694,932 Motorola Inc, 7.625%, due 11/15/2010 68,000 75,591 FNMA 4.500%, due 06/01/2018 485,474 473,490 3,641,724 FNMA 4.500%, due 08/01/2018 417,887 407,572 Telecommunication Services 2.00%FNMA 4.500%, due 08/01/2033 859,532 812,528 America Movil SA de CV, 5.500%, due 03/01/2014 250,000 246,900 FNMA 4.500%, due 10/01/2018 907,987 885,575 AT&T Wireless Svcs Inc, 7.875%, due 03/01/2011 2,030,000 2,277,774 FNMA 4.500%, due 10/01/2018 807,562 787,629 Bellsouth Corporation, 6.000%, due 11/15/2034 210,000 209,810 FNMA 4.500%, due 10/01/2018 840,116 819,380 British Telecom Plc, 8.375%, due 12/15/2010 540,000 614,715 FNMA 4.500%, due 10/01/2033 1,110,653 1,049,916 British Telecom Plc, 8.875%, due 12/15/2030 380,000 508,418 FNMA 4.500%, due 10/01/2033 993,910 939,557 Centurytel Inc, 7.875%, due 08/15/2012 120,000 132,353 FNMA 4.500%, due 12/01/2018 139,958 136,503 Deutsche Telekom Int Fin, 8.250%, due 06/15/2030 * 390,000 496,029 FNMA 5.000%, due 01/01/2019 366,700 362,968 France Telecom, 7.750%, due 03/01/2011 * 380,000 424,437 FNMA 5.000%, due 03/01/2034 3,554,631 3,456,598 France Telecom, 8.500%, due 03/01/2031 * 100,000 133,426 FNMA 5.000%, due 03/01/2034 8,592,715 8,355,737 Koninklijke Kpn Nv, 8.375%, due 10/01/2030 55,000 65,174 FNMA 5.000%, due 03/01/2034 866,103 842,217 SBC Communications, 5.625%, due 06/15/2016 950,000 955,854 FNMA 5.000%, due 03/01/2034 3,179,472 3,091,785 Sprint Capital Corp, 6.875%, due 11/15/2028 925,000 1,010,737 FNMA 5.000%, due 04/01/2018 2,451,427 2,429,110 Telecom Italia Capital, 5.250%, due 11/15/2013 500,000 490,637 FNMA 5.000%, due 07/01/2018 3,593,832 3,560,547 Telecom Italia Capital, 6.000%, due 09/30/2034 405,000 390,159 FNMA 5.000%, due 07/01/2033 91,096 88,583 Telefonica Europe Bv, 7.750%, due 09/15/2010 375,000 410,631 FNMA 5.000%, due 07/01/2035 2,986,637 2,893,927 Telefonos De Mexico SA, 5.500%, due 01/27/2015 360,000 355,140 FNMA 5.000%, due 07/01/2035 749,088 725,835 Verizon Global Fdg Corp, 5.850%, due 09/15/2035 210,000 202,371 FNMA 5.000%, due 08/01/2033 741,653 721,199 Verizon Global Fdg Corp, 7.750%, due 12/01/2030 295,000 350,654 FNMA 5.000%, due 09/01/2025 1,713,142 1,674,954 Vodafone Group plc, 7.750%, due 02/15/2010 820,000 898,118 FNMA 5.000%, due 09/01/2033 110,987 107,926 10,173,337 FNMA 5.000%, due 10/01/2018 311,075 308,194 Transportation 0.52%FNMA 5.000%, due 10/01/2018 387,394 383,807 Burlington North Santa Fe, 6.530%, due 07/15/2037 335,000 379,785 FNMA 5.000%, due 10/01/2033 100,760 97,982 Canadian National Railway Co, 6.250%, due 08/01/2034 210,000 233,658 FNMA 5.000%, due 11/01/2018 577,816 572,464 Canadian Pacific Rr Co, 5.750%, due 03/15/2033 195,000 202,212 FNMA 5.000%, due 11/01/2032 1,287,100 1,252,243 Continental Airlines Inc, 6.648%, due 09/15/2017 213,522 208,654 FNMA 5.000%, due 12/01/2018 850,938 843,057 FedEx Corporation, 3.500%, due 04/01/2009 520,000 497,881 FNMA 5.000%, due 12/01/2018 176,664 175,027 Norfolk Southern Corp, 5.257%, due 09/17/2014 470,000 474,344 FNMA 5.500%, due 01/01/2034 4,141,738 4,111,365 Union Pacific Corp, 6.125%, due 01/15/2012 240,000 252,465 FNMA 5.500%, due 01/01/2034 822,376 815,110 Union Pacific Corp, 6.500%, due 04/15/2012 350,000 376,444 FNMA 5.500%, due 01/01/2035 1,994,747 1,975,630 2,625,443 FNMA 5.500%, due 02/01/2018 497,245 500,890 Utilities 1.84%FNMA 5.500%, due 02/01/2035 420,164 416,137 Alabama Power Co, 5.700%, due 02/15/2033 145,000 149,135 FNMA 5.500%, due 06/01/2024 2,830,596 2,826,839 Amerada Hess Corp, 7.300%, due 08/15/2031 175,000 202,525 FNMA 5.500%, due 07/01/2019 1,606,894 1,617,418 Anadarko Finance Co, 6.750%, due 05/01/2011 225,000 243,435 FNMA 5.500%, due 07/01/2023 1,813,087 1,813,446 Appalacian Power Co, 5.000%, due 06/01/2017 75,000 71,936 FNMA 5.500%, due 07/01/2033 968,484 961,382 Boston Edison Co, 4.875%, due 04/15/2014 190,000 187,809 FNMA 5.500%, due 08/01/2019 1,211,916 1,219,853 Centerpoint Energy Houston, 6.950%, due 03/15/2033 140,000 163,034 FNMA 5.500%, due 08/01/2033 2,650,561 2,631,123 Consolidated Edison Co Of Ny, 5.375%, due 12/15/2015 510,000 517,399 FNMA 5.500%, due 10/01/2033 849,250 843,023 Consumers Energy-ITC, 5.500%, due 08/15/2016 155,000 153,567 FNMA 5.500%, due 11/01/2033 11,476,331 11,392,170 Consumers Energy-ITC, 5.650%, due 04/15/2020 110,000 107,921 FNMA 5.500%, due 11/01/2033 1,480,305 1,469,449 Devon Financing Corp Ulc, 6.875%, due 09/30/2011 480,000 525,041 FNMA 5.500%, due 12/01/2034 1,814,500 1,798,470 Dominion Resources Inc, 5.250%, due 08/01/2033 565,000 553,914 FNMA 6.000%, due 01/01/2035 2,385,878 2,408,436 DTE Energy Company, 7.050%, due 06/01/2011 125,000 134,689 FNMA 6.000%, due 01/01/2035 925,205 933,953 Duke Capital Llc, 6.250%, due 02/15/2013 300,000 312,427 FNMA 6.000%, due 02/01/2025 410,541 416,998 El Paso Electric Company, 6.000%, due 05/15/2035 220,000 220,101 FNMA 6.000%, due 02/01/2034 1,469,875 1,485,222 Encana Corp, 6.500%, due 08/15/2034 175,000 195,537 FNMA 6.000%, due 08/01/2034 473,391 478,333 Energy East Corporation, 6.750%, due 06/15/2012 175,000 189,228 FNMA 6.000%, due 08/01/2035 1,123,806 1,134,458 Exelon Corporation, 4.900%, due 06/15/2015 215,000 205,192 FNMA 6.000%, due 11/01/2034 1,659,273 1,674,962 First Energy Corp, 7.375%, due 11/15/2031 635,000 749,281 FNMA 6.000%, due 11/01/2034 1,957,793 1,976,304 Georgia Power Company, 5.250%, due 12/15/2015 125,000 125,805 FNMA 6.000%, due 12/01/2034 618,049 623,893 Marathon Oil Corp, 9.375%, due 02/15/2012 530,000 645,724 FNMA 6.500%, due 07/01/2032 372,552 384,963 National Rural Utilities, 7.250%, due 03/01/2012 460,000 513,032 FNMA 6.500%, due 07/01/2034 1,287,769 1,321,138 Nisource Finance Corp, 5.250%, due 09/15/2017 350,000 340,439 FNMA 6.500%, due 09/01/2034 2,362,475 2,423,691 Nisource Finance Corp, 5.400%, due 07/15/2014 110,000 109,838 FNMA 7.000%, due 06/01/2032 1,004,176 1,046,511 Occidental Petroleum, 6.750%, due 01/15/2012 150,000 164,640 FNMA 7.000%, due 07/01/2032 599,150 624,456 Oncor Electric Delivery, 7.250%, due 01/15/2033 225,000 263,532 Freddie Mac, 3.750%, due 08/03/2007 1,600,000 1,575,669 PG&E Corp, 6.050%, due 03/01/2034 480,000 496,780 Freddie Mac, 3.875%, due 01/12/2009 6,490,000 6,325,816 Progress Energy Inc, 7.100%, due 03/01/2011 285,000 307,492 Freddie Mac, 4.625%, due 12/19/2008 7,160,000 7,142,880 PSEG Power, 6.950%, due 06/01/2012 215,000 232,999 Freddie Mac, 4.750%, due 01/18/2011 190,000 189,902 Southern Cal Edison, 5.000%, due 01/15/2016 215,000 212,561 Freddie Mac, 4.750%, due 11/17/2015 2,535,000 2,515,942 Southern Cal Edison, 5.750%, due 04/01/2035 150,000 153,729 Freddie Mac, 6.875%, due 09/15/2010 2,275,000 2,476,454 Union Oil Co Of Calif, 5.050%, due 10/01/2012 235,000 239,103 GMAC Commercial Mortgage Sec, 4.702%, due 12/10/2041 670,000 652,795 Xcel Energy Inc, 3.400%, due 07/01/2008 625,000 602,331 GNMA 5.000%, due 05/15/2033 3,086,482 3,050,354 9,290,176$ GNMA 5.500%, due 01/15/2035 494,742 498,143




Market Value

Total Obligations 92.33% 469,221,137$ (Amortized Cost $475,305,078)

Total Invested Assets 92.33% 469,221,137 (Amortized Cost $475,305,078)

Other Asset and Liabilities 7.67%Cash and cash equivalents ** 35,538,046 Interest receivable 5,050,155 Receivable for investments sold 4,762,716 Payable for investments purchased (6,330,772) Accrued expenses and other payables (22,536)

38,997,609

Net Assets 100.00% 508,218,746$

FOOTNOTE:* - Variable or Stepped Coupon Bond** - The fund maintains liquid assets (eg Cash) at least in the amount equivalent to the market value of the outstanding TBA's.At December 31, 2005 the following TBA's were outstanding:

Quantity Description 1,135,000 FNMA 5.5% TBA 1,141,740$ 3,547$ 2,000,000 FNMA 6% TBA 2,042,500 1562,500,000 FNMA 5.000% TBA 2,474,220 8,5954,500,000 FHLMC GOLD 5.000% TBA 4,355,154 11,4437,500,000 FHLMC GOLD 5.500% TBA 7,429,688 40,2344,000,000 FHLMC GOLD 6.000% TBA 4,038,752 15,0023,875,000 FNMA 5.000% TBA 3,753,906 3,0862,000,000 FNMA 5.500% TBA 1,980,000 10,3142,000,000 FNMA 6.000% TBA 2,018,124 (1,251)1,000,000 FNMA 6.500% TBA 1,025,625 625

30,259,709$ 91,751$

Gains/(Losses)Unrealized

Market Value



CORE BOND ENHANCED INDEX/PIM FUND (SA12)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:

Interest 22,115,816$

22,115,816

Expenses:




Audit fees 15,743

2,670,899



on investments:












NET ASSETS

Beginning of year -



End of year 508,218,746$


ACTIVELY MANAGED FIXED INCOME FUNDS CORE PLUS BOND/BSAM FUND (SA18)


Par Value Market Value Par Value Market ValueObligations Asset Backed Securities 6.16% Food & Drug Retailers 1.41%Ace Securities Corp, 5.429%, due 04/25/2034 * 125,000$ 126,680$ Campbell Soup Company, 5.875%, due 10/01/2008 10,000$ 10,227$ Ameriquest Mortgage Securities, 6.879%, due 02/25/2033 * 40,000 40,289 Hj Heinz Finance Co, 6.750%, due 03/15/2032 25,000 27,458 Argent Securities Inc, 4.599%, due 02/25/2034 * 19,673 19,678 Kellogg Co, 6.600%, due 04/01/2011 170,000 182,000 Citifinancial Mortgage Sec, 3.082%, due 08/25/2033 * 18,995 18,863 Kraft Foods Inc, 5.625%, due 11/01/2011 210,000 215,459 Citifinancial Mortgage Sec, 3.221%, due 10/25/2033 * 34,835 34,530 Kroger Co, 7.500%, due 04/01/2031 20,000 22,328 Countrywide Asset Backed Cert, 3.323%, due 05/25/2022 * 34,129 34,015 Safeway Inc, 7.250%, due 02/01/2031 15,000 16,186 Countrywide Asset Backed Cert, 4.879%, due 02/25/2034 * 50,000 50,110 Tyson Foods Inc, 8.250%, due 10/01/2011 35,000 39,517 Countrywide Asset-Backed Cert, 5.711%, due 01/25/2035 * 95,000 94,991 513,175 CS First Boston Mortgage Sec, 5.079%, due 12/25/2033 * 145,000 145,693 Food, Beverage & Tobacco 0.20%Equity One ABS, 4.860%, due 07/25/2033 120,000 118,382 Heinz Co, 6.375%, due 07/15/2028 15,000 15,785 GMAC Mortgage Corporation Loan, 3.970%, due 09/25/2034 * 155,000 152,580 Miller Brewing Co, 5.500%, due 08/15/2013 55,000 56,062 Gsamp Trust, 4.769%, due 03/25/2034 * 83,224 83,394 71,847 Home Equity Asset Trust, 5.829%, due 08/25/2034 * 95,000 96,419 Government 20.09%Long Beach Mortgage Loan Trust, 6.279%, due 06/25/2033 * 140,000 141,512 Bundesschatzanweisungen, 2.750%, due 06/23/2006 530,000 625,774 Master Trust Asset Backed, 6.029%, due 08/25/2033 * 100,000 100,917 Federal Republic Of Brazil, 12.500%, due 01/05/2016 * 615,000 262,669 Morgan Stanley ABS Capital I, 6.479%, due 09/25/2033 * 85,000 87,007 FICO Strip Prn, due 04/05/2019 *** 265,000 139,609 Option One Mortgage Loan Trust, 6.029%, due 07/25/2033 * 60,000 60,671 FICO Strip Prn, due 05/11/2016 *** 35,000 21,178 Option One Mortgage Loan Trust, 6.079%, due 04/25/2033 * 110,000 111,125 FICO Strip Prn, due 05/11/2018 *** 50,000 27,590 Option One Mortgage Loan Trust, 6.379%, due 06/25/2033 * 65,000 65,740 FICO Strip Prn, due 06/06/2016 *** 105,000 63,316 Popular ABS Mtg Pass-Through, 5.680%, due 12/13/2035 110,000 110,000 FICO Strip Prn, due 08/03/2018 *** 285,000 155,455 Popular ABS MTGE Trust, 3.914%, due 05/25/2035 40,000 39,424 FICO Strip Prn, due 08/03/2018 *** 125,000 68,182 Residential Asset Mortgage, 3.620%, due 07/25/2026 65,000 64,509 FICO Strip Prn, due 09/26/2019 *** 525,000 269,794 Residential Asset Mortgage, 3.810%, due 01/25/2026 76,441 76,125 FICO Strip Prn, due 10/06/2017 *** 70,000 39,860 Residential Asset Mortgage, 5.779%, due 04/25/2035 * 30,000 29,166 FICO Strip Prn, due 10/06/2017 *** 140,000 79,720 Residential Asset Sec Corp, 4.609%, due 09/25/2031 * 33,766 33,773 FICO Strip Prn, due 11/02/2018 *** 215,000 115,813 Structured Asset Invest Loan, 6.479%, due 08/25/2033 * 110,000 111,540 FICO Strip Prn, due 11/30/2017 *** 75,000 42,372 Structured Asset Securities Co, 4.370%, due 10/25/2034 200,000 198,404 FICO Strip Prn, due 11/30/2017 *** 240,000 135,590

2,245,537 FICO Strip Prn, due 12/06/2018 *** 120,000 64,322 Automotive 0.63% FICO Strip Prn, due 12/27/2016 *** 125,000 73,169 Ford Motor Company, 7.450%, due 07/16/2031 95,000 64,600 Quebec Province, 6.125%, due 01/22/2011 240,000 253,690 Ford Motor Credit Co, 7.375%, due 02/01/2011 105,000 92,034 Russian Federation, 5.000%, due 03/31/2030 * 140,000 157,850 Ford Motor Credit Co, 7.375%, due 10/28/2009 30,000 26,607 United Mexican States, 8.300%, due 08/15/2031 30,000 38,550 Genl Motors Accept Corp, 6.875%, due 09/15/2011 50,000 45,597 US Treasury N/B, 2.000%, due 07/15/2014 1,215,000 1,276,731

228,838 US Treasury N/B, 3.250%, due 08/15/2008 45,000 43,754 Banks 3.81% US Treasury N/B, 3.625%, due 06/30/2007 150,000 148,289 Citicorp, 6.375%, due 11/15/2008 145,000 150,987 US Treasury N/B, 3.875%, due 05/15/2010 1,115,000 1,093,876 Citigroup Inc, 4.625%, due 08/03/2010 100,000 98,615 US Treasury N/B, 4.750%, due 05/15/2014 514,000 526,509 Credit Suisse Fb Usa Inc, 5.500%, due 08/15/2013 30,000 30,603 US Treasury N/B, 6.000%, due 02/15/2026 1,355,000 1,597,842 Credit Suisse Fb Usa Inc, 6.500%, due 01/15/2012 15,000 16,047 7,321,504 Dresdner Fndg Trust I, 8.151%, due 06/30/2031 105,000 129,096 Household Products 0.20%Export Import Bank China, 4.875%, due 07/21/2015 75,000 72,875 Clorox Co, 4.200%, due 01/15/2010 45,000 43,605 Export Import Bank Korea, 4.125%, due 02/10/2009 * 45,000 43,835 Clorox Co, 5.000%, due 01/15/2015 25,000 24,625 Golden West Financial Corp, 4.125%, due 08/15/2007 70,000 69,281 68,230 JP Morgan Chase & Co, 5.150%, due 10/01/2015 75,000 73,937 Insurance 1.22%Korea Development Bank, 4.250%, due 11/13/2007 60,000 59,198 American International Group, 4.700%, due 10/01/2010 10,000 9,855 Manuf & Traders Trust Co, 5.585%, due 12/28/2020 56,441 56,441 American International Group, 5.050%, due 10/01/2015 100,000 98,143 Mizuho Finance, 5.790%, due 04/15/2014 60,000 61,985 American Re Corp, 7.450%, due 12/15/2026 115,000 131,784 Natexis AMBS Company LLC * 65,000 69,966 Monumental Global Fdg II, 4.625%, due 03/15/2010 55,000 54,658 RBS Capital Trust III * 100,000 99,416 Zurich Capital Trust I, 8.376%, due 06/01/2037 140,000 151,516 Resona Bank * 55,000 54,768 445,956 Santander Fin Issuances, 6.375%, due 02/15/2011 60,000 63,794 Materials 0.66%Sanwa Finance Aruba Aec, 8.350%, due 07/15/2009 100,000 110,414 International Paper Company, 5.500%, due 01/15/2014 60,000 58,970 Wells Fargo Financial, 4.625%, due 08/09/2010 110,000 108,630 Ispat Inland Ulc, 9.750%, due 04/01/2014 114,000 129,105 Wells Fargo Financial, 4.950%, due 10/16/2013 20,000 19,885 Stora Enso Oyj, 7.375%, due 05/15/2011 50,000 53,875

1,389,773 241,950 Capital Goods 1.53% Media 2.32%BAE Systems Holdings Inc, 6.400%, due 12/15/2011 140,000 148,415 Clear Channel Communications, 5.750%, due 01/15/2013 25,000 24,511 Boeing Capital Corp, 6.100%, due 03/01/2011 40,000 42,145 Comcast Cable Communication, 6.750%, due 01/30/2011 40,000 42,352 Itt Industries Inc, 7.400%, due 11/15/2025 50,000 59,689 News America Holdings, 7.750%, due 12/01/2045 15,000 17,197 Systems 2001 Asset Trust, 7.156%, due 12/15/2011 121,436 127,241 News America Holdings, 7.900%, due 12/01/2095 35,000 39,770 Telus Corporation, 8.000%, due 06/01/2011 160,000 179,370 News America Holdings, 8.250%, due 10/17/2096 10,000 11,781

556,860 Shaw Communications Inc, 8.250%, due 04/11/2010 40,000 42,950 Commercial Services & Supplies 0.20% TCI Communications Inc, 9.800%, due 02/01/2012 240,000 289,535 Yum! Brands Inc, 8.875%, due 04/15/2011 65,000 74,420 Time Warner Inc, 6.750%, due 04/15/2011 15,000 15,751

74,420 Time Warner Inc, 8.050%, due 01/15/2016 215,000 244,609 Consumer Durables & Apparel 0.36% Time Warner Inc, 8.180%, due 08/15/2007 110,000 115,063 DR Horton Inc, 5.625%, due 01/15/2016 80,000 76,280 843,519 Levi Strauss & Co, 12.250%, due 12/15/2012 50,000 55,750 Mortgage Backed Securitites (incl CMO's) 28.69%

132,030 Banc of America Commercial Mtg, 4.128%, due 07/10/2042 150,000 145,665 Energy 1.08% Banc of America Commercial Mtg, 4.875%, due 06/10/2039 220,000 218,384 Conoco Funding Co, 6.350%, due 10/15/2011 155,000 166,079 Banc of America Mortgage Sec, 5.750%, due 01/25/2035 * 171,991 170,217 Duke Energy Field Srvcs, 5.750%, due 11/15/2006 40,000 40,244 Country Wide Home Loans, 5.500%, due 12/25/2035 241,697 241,435 Gaz Capital Sa, 8.625%, due 04/28/2034 40,000 50,600 Countrywide Home Loans, 5.529%, due 05/25/2035 64,874 65,338 RAS Laffan Lng, 5.298%, due 09/30/2020 35,000 34,711 DLJ Commercial Mortgage Corp, 0.830%, due 03/10/2032 * 1,742,959 44,857 Tengizchevroil Finace, 6.124%, due 11/15/2014 100,000 101,700 DLJ Commercial Mortgage Corp, 6.410%, due 02/18/2031 163,637 167,245

393,334 DSLA Mortgage Loan Trust, 5.498%, due 07/19/2044 * 111,389 114,278 Financial Services 3.47% Fannie Mae, 2.500%, due 06/15/2008 465,000 441,260 Axa, 8.600%, due 12/15/2030 20,000 26,727 Fannie Mae, 3.875%, due 02/15/2010 380,000 367,924 Cit Group Inc, 5.750%, due 09/25/2007 55,000 55,765 FHLMC GOLD 5.000%, due 05/01/2018 118,093 117,105 Cit Group Inc, 6.875%, due 11/01/2009 10,000 10,607 FHLMC GOLD 5.000%, due 10/01/2033 154,863 150,467 Citigroup Inc, 4.700%, due 05/29/2015 25,000 24,156 FHLMC GOLD 5.500%, due 05/01/2020 71,054 71,486 Countrywide Home Loan, 5.500%, due 02/01/2007 35,000 35,170 FHLMC GOLD 5.500%, due 06/01/2020 110,751 111,423 Ford Motor Company, 7.700%, due 05/15/2097 80,000 52,000 FHLMC GOLD 5.500%, due 06/01/2020 395,072 397,677 General Elec Cap Corp, 4.125%, due 03/04/2008 115,000 113,247 FHLMC GOLD 5.500%, due 10/01/2020 137,047 137,878 General Elec Cap Corp, 4.875%, due 10/21/2010 235,000 234,479 FHLMC, 2.614%, due 07/15/2011 137,439 136,161 Glencore Funding LLC, 6.000%, due 04/15/2014 130,000 122,270 FHLMC, 3.500%, due 08/15/2022 253,153 251,140 Goldman Sachs Group Inc, 6.875%, due 01/15/2011 120,000 129,273 FHLMC, 5.000%, due 04/15/2023 102,085 15,903 HSBC Finance Corp, 4.750%, due 05/15/2009 30,000 29,673 FNMA 4.500%, due 05/01/2018 144,418 140,853 HSBC Finance Corp, 6.375%, due 11/27/2012 120,000 127,510 FNMA 4.500%, due 09/01/2020 134,197 130,884 Intl Lease Finance Corp, 6.375%, due 03/15/2009 80,000 83,092 FNMA 5.000%, due 03/01/2018 146,081 144,728 Lehman Brothers Holdings, 5.000%, due 01/14/2011 90,000 89,813 FNMA 5.000%, due 03/01/2034 98,518 95,801 Morgan Stanley, 6.750%, due 04/15/2011 85,000 91,505 FNMA 5.000%, due 03/01/2034 87,391 84,981 Qwest Capital Funding, 7.000%, due 08/03/2009 40,000 40,400 FNMA 5.000%, due 05/01/2033 77,228 75,098

1,265,687$ FNMA 5.000%, due 06/01/2033 50,594 49,199


ACTIVELY MANAGED FIXED INCOME FUNDS CORE PLUS BOND/BSAM FUND (SA18)


Par Value Market Value Par Value Market ValueMortgage Backed Securitites (incl CMO's) (cont'd) Utilities (cont'd)FNMA 5.000%, due 11/01/2033 144,571$ 140,584$ First Energy Corp, 6.450%, due 11/15/2011 155,000$ 164,300$ FNMA 5.000%, due 12/01/2034 213,575 207,358 First Energy Corp, 7.375%, due 11/15/2031 25,000 29,499 FNMA 5.500%, due 02/01/2034 229,791 227,761 Korea Electric Power, 5.125%, due 04/23/2034 35,000 34,669 FNMA 5.500%, due 03/01/2033 116,021 115,170 National Rural Utilities, 5.750%, due 08/28/2009 60,000 61,606 FNMA 5.500%, due 04/01/2020 65,629 66,047 Nisource Finance Corp, 7.875%, due 11/15/2010 55,000 60,938 FNMA 5.500%, due 04/01/2033 276,528 274,500 Occidental Petroleum, 9.250%, due 08/01/2019 30,000 41,200 FNMA 5.500%, due 11/01/2033 270,016 268,036 Ohio Power Company, 5.500%, due 02/15/2013 25,000 25,446 FNMA 6.000%, due 01/01/2035 73,992 74,691 PG&E Corp, 3.600%, due 03/01/2009 15,000 14,394 FNMA 6.000%, due 01/01/2035 53,523 54,029 PG&E Corp, 4.200%, due 03/01/2011 55,000 52,737 FNMA 6.000%, due 01/01/2035 83,194 83,980 PG&E Corp, 6.050%, due 03/01/2034 25,000 25,874 FNMA 6.000%, due 03/01/2033 111,057 112,217 Progress Energy Inc, 7.000%, due 10/30/2031 45,000 49,937 FNMA 6.000%, due 06/01/2035 122,245 123,404 Progress Energy Inc, 7.100%, due 03/01/2011 45,000 48,551 FNMA 6.000%, due 07/14/2035 227,695 229,853 Tenaska Alabama II Partners, 6.125%, due 03/30/2023 46,765 47,614 FNMA 6.000%, due 08/01/2032 342,538 346,576 Texas Genco LLC, 6.875%, due 12/15/2014 120,000 129,900 FNMA 6.000%, due 10/01/2034 55,676 56,202 TXU Corp, 4.800%, due 11/15/2009 120,000 115,425 FNMA 6.000%, due 12/01/2034 91,070 91,931 TXU Corp, 5.550%, due 11/15/2014 45,000 42,743 FNMA 6.000%, due 12/01/2034 45,025 45,450 1,428,791 FNMA 6.000%, due 12/01/2034 21,979 22,187 FNMA 6.000%, due 12/01/2034 71,035 71,707 Total Obligations 81.03% 29,525,494 FNMA 6.500%, due 11/01/2035 129,883 133,252 (Amortized Cost $29,832,029)FNMA 7.000%, due 05/01/2032 115,228 120,068 Freddie Mac, 4.000%, due 12/15/2009 385,000 375,357 Preferred Stock SharesGreenwich Capital Commercial, 5.243%, due 04/10/2037 * 285,000 285,356 Capital Goods 0.21%Greenwich Capital Commercial, 5.317%, due 06/10/2036 140,000 141,315 Rc Trust I 1,500 75,469 GS Mortgage Securities Corp, 4.761%, due 07/10/2039 115,000 111,579 (Cost $78,381)Impac Cmb Trust, 4.629%, due 06/25/2034 * 77,705 77,783 Impac Secured Assets Corp, 4.579%, due 11/25/2034 * 17,601 17,602 JP Morgan Chase Commercial, 4.475%, due 07/15/2041 185,207 180,337 Common Stock JP Morgan Chase Commercial, 5.179%, due 12/15/2044 165,000 165,816 Food & Drug Retailers 0.06%LB UBS Commercial Mtg Trust, 4.985%, due 06/15/2029 * 315,000 316,446 Vlasic Foods Intl 1,036,760 20,735 Mastr Asset Sec Trust, 5.250%, due 11/25/2035 * 276,153 272,002 (Cost $238,455)Merrill Lynch Mortgage Trust, 4.353%, due 02/12/2042 205,000 200,838 Merrill Lynch Mortgage Trust, 5.202%, due 01/12/2044 135,000 135,738 Residential Accredit Loans, 5.527%, due 07/25/2035 * 157,602 157,579 Short - Term Investments 0.07%Structured Asset Securities Co, 4.440%, due 12/25/2034 * 330,000 324,981 US Treasury Bill ** 25,000 24,810 Structured Asset Securities Co, 4.660%, due 07/25/2035 109,930 111,304 (Cost $24,810)Wachovia Bank Commercial Mgte, 4.380%, due 10/15/2041 315,000 307,443 Washington Mutual, 4.844%, due 10/25/2035 * 194,383 193,792 Washington Mutual, 5.039%, due 04/25/2045 * 124,951 124,951 Total Invested Assets 81.37% 29,646,508

10,452,609 (Cost $30,173,675)Pharmaceuticals & Biotech 0.46%Lilly Eli & Co, 6.770%, due 01/01/2036 110,000 132,072 Other Asset and Liabilities 18.63%Wyeth, 5.500%, due 02/01/2014 35,000 35,453 Cash and cash equivalents # 6,799,830

167,525 Interest receivable 312,973 Retail 0.15% Receivable for investments sold 5,705,239 May Department Stores, 4.800%, due 07/15/2009 20,000 19,721 Payable for investments purchased (6,021,966) May Department Stores, 5.750%, due 07/15/2014 35,000 35,684 Variation margin payable on futures contracts (1,187)

55,405 Accrued expenses and other payables (1,972) Telecommunication Services 3.57% 6,792,917 Bellsouth Corporation, 4.200%, due 09/15/2009 5,000 4,857 Bellsouth Corporation, 6.550%, due 06/15/2034 15,000 15,976 Net Assets 100.00% 36,439,425$ British Telecom Plc, 8.875%, due 12/15/2030 50,000 66,897 Deutsche Telekom Int Fin, 8.250%, due 06/15/2030 * 25,000 31,797 Deutsche Telekom Int Fin, 8.500%, due 06/15/2010 10,000 11,338 FOOTNOTES:France Telecom, 7.750%, due 03/01/2011 * 55,000 61,432 * - Variable or Stepped Coupon BondsIntelsat Ltd, 6.500%, due 11/01/2013 100,000 74,500 ** - Pledged to broker as part of collateral for open futures contractsSBC Communications, 4.125%, due 09/15/2009 40,000 38,625 *** - Zero Coupon BondsSBC Communications, 5.100%, due 09/15/2014 40,000 39,075 # - The fund maintains liquid assets (eg. Cash) at least in the amount equivalent to the market value Sprint Capital Corp, 6.875%, due 11/15/2028 15,000 16,390 of the outstanding TBA's.Sprint Capital Corp, 8.375%, due 03/15/2012 105,000 121,691 Sprint Capital Corp, 8.750%, due 03/15/2032 70,000 92,896 At December 31, 2005 the following futures contracts were outstanding:Telecom Italia Capital, 4.000%, due 01/15/2010 305,000 290,497 Telecom Italia Capital, 5.250%, due 10/01/2015 45,000 43,708 Notional UnrealizedTelefonica Europe Bv, 7.750%, due 09/15/2010 85,000 93,076 Contracts Description Market Value Gains(Losses)Verizon Global Fdg Corp, 5.850%, due 09/15/2035 85,000 81,912 1 U.S 30YR Tr Bond March 2006 - Long 114,188$ 1,428$ Verizon Global Fdg Corp, 7.250%, due 12/01/2010 200,000 217,026 (2) U.S 10YR Tr Note March 2006 - Short (218,813) (1,104)

1,301,693 (6) U.S 5YR Tr Note March 2006 - Short (638,063) 400 Transportation 0.90% 20 U.S 5YR Tr Note March 2006 - Long 4,103,750 (883) Burlington North Santa Fe, 6.750%, due 03/15/2029 20,000 22,879 3,361,062$ (159)$ Fedex Corp, 7.600%, due 07/01/2097 35,000 41,998 At December 31, 2005 the following TBA's were outstanding:Norfolk Southern Corp, 7.700%, due 05/15/2017 10,000 11,934 UnrealizedNorfolk Southern Corp, 7.900%, due 05/15/2097 105,000 136,956 Quantity Description Market Value Gains/LossesUnion Pacific Corp, 5.750%, due 10/15/2007 70,000 70,967 1,400,000 FHLMC GOLD 5.000% TBA 1,354,937$ 9,687$ Union Pacific Corp, 6.125%, due 01/15/2012 40,000 42,077 670,000 FHLMC GOLD 5.500% TBA 663,719 3,559

326,811 130,000 FHLMC GOLD 6.000% TBA 131,259 894 Utilities 3.92% 425,000 FNMA 5.000% TBA 420,351 2,224 Amerada Hess Corp, 7.300%, due 08/15/2031 50,000 57,864 225,000 FNMA 4.500% TBA 218,883 1,793 American Electric Pwr, 5.375%, due 03/15/2010 20,000 20,161 260,000 FNMA 4.500% TBA 244,806 1,412 Centerpoint Energy Houston, 5.700%, due 03/15/2013 25,000 25,792 110,000 FNMA 5.500% TBA 110,653 395 Centerpoint Energy Resources, 7.875%, due 04/01/2013 95,000 108,641 1,045,000 FNMA 5.500% TBA 1,034,550 10,000 Columbus Southern Power, 5.500%, due 03/01/2013 10,000 10,185 120,000 FNMA 6.000% TBA 121,087 487 Detroit Edison Company, 6.125%, due 10/01/2010 80,000 83,450 4,300,245$ 30,451$ Detroit Edison Company, 6.350%, due 10/15/2032 10,000 10,748 Devon Financing Corp Ulc, 6.875%, due 09/30/2011 50,000 54,692 Dominion Resources Inc, 6.250%, due 06/30/2012 30,000 31,386 Dpl Inc, 6.875%, due 09/01/2011 61,000 64,279 Encana Corp, 6.500%, due 08/15/2034 15,000 16,760



CORE PLUS BOND/BSAM FUND (SA18)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:

Dividends 6,094$

Interest 1,956,091


2,019,576

Expenses:



Asset charge 12,029

Audit fees 1,373

162,714



on investments:













NET ASSETS

Beginning of year -



End of year 36,439,425$


ACTIVELY MANAGED FIXED INCOME FUNDSCORE PLUS BOND/PIMCO FUND (SACPP)


Par Value Market Value Par Value Market ValueBonds Asset-Backed Securities 1.71% Mortgage-Backed Securities (incl CMO's) - (cont'd)AAA Trust, 4.291%, due 11/26/2035* 1,982,157$ 1,983,399$ FNMA, 4.000%, due 09/01/2018 50,750$ 48,552$ Ameriquest Mortgage Securities, 4.939%, due 06/25/2034* 252,926 253,428 FNMA, 4.000%, due 10/01/2018 4,109,853 3,931,894 Home Equity Asset Trust, 4.489%, due 02/25/2036* 2,310,477 2,310,872 FNMA, 4.500%, due 02/01/2035 285,312 269,313 Master Trust Asset Backed, 4.509%, due 12/25/2034* 560,638 560,671 FNMA, 4.500%, due 07/01/2035 1,989,862 1,873,994 SLM Student Loan Trust, 4.230%, due 04/25/2014* 1,675,871 1,676,647 FNMA, 4.500%, due 08/01/2033 500,238 472,883 SLM Student Loan Trust, 4.257%, due 01/25/2013* 2,700,000 2,696,533 FNMA, 4.500%, due 09/01/2033 439,223 415,204

9,481,550 FNMA, 4.500%, due 09/01/2035 6,918,562 6,515,700 Automotive 1.56% FNMA, 4.500%, due 09/01/2035 985,586 928,196 Daimler Chrysler Na Hldg, 4.700%, due 03/07/2007* 2,700,000 2,697,241 FNMA, 5.000%, due 02/01/2019 215,163 213,170 Daimler Chrysler Na Hldg, 4.990%, due 05/24/2006* 700,000 700,899 FNMA, 5.000%, due 02/01/2019 328,812 325,467 Daimler Chrysler Na Hldg, 5.300%, due 08/08/2006* 500,000 502,156 FNMA, 5.393%, due 09/01/2034* 444,743 446,266 Daimler Chrysler Na Hldg, 6.400%, due 05/15/2006 2,000,000 2,009,918 FNMA, 5.500%, due 01/01/2035 9,605,457 9,520,598 Ford Motor Credit Co, 7.875%, due 06/15/2010 2,200,000 1,979,762 FNMA, 5.500%, due 02/01/2035 9,339,612 9,257,101 General Motors, 8.375%, due 07/15/2033 1,100,000 726,000 FNMA, 5.500%, due 02/01/2035 51,963,665 51,504,592

8,615,976 FNMA, 5.500%, due 04/01/2034 18,555,683 18,419,605 Banks 0.18% FNMA, 5.500%, due 04/01/2035 3,421,262 3,388,475 HSBC Bank USA, 4.570%, due 09/21/2007* 1,000,000 1,001,695 FNMA, 5.500%, due 04/01/2035 4,538,235 4,494,743

1,001,695 FNMA, 5.500%, due 09/01/2034 10,762,698 10,667,615 Energy 0.08% FNMA, 5.500%, due 10/01/2035 995,546 986,005 Pemex Project Fdg Master Trust, 7.375%, due 12/15/2014 400,000 444,400 FNMA, 5.500%, due 11/01/2034 15,811,034 15,671,351

444,400 FNMA, 5.500%, due 11/01/2035 986,520 977,066 Financial Services 2.34% FNMA, 5.500%, due 11/01/2035 2,638,213 2,612,930 General Elec Cap Corp, 4.500%, due 12/09/2008* 5,400,000 5,396,755 FNMA, 5.500%, due 11/01/2035 2,356,947 2,334,359 Goldman Sachs Group Inc, 4.400%, due 11/10/2008* 5,300,000 5,298,993 FNMA, 5.500%, due 12/01/2034 10,736,690 10,641,837 Petroleum Export/Cayman, 4.623%, due 06/15/2010 1,100,000 1,089,165 FNMA, 5.500%, due 12/01/2035 99,889 98,932 Petroleum Export/Cayman, 4.633%, due 06/15/2010 1,200,000 1,188,180 FNMA, 6.000%, due 01/01/2023 120,465 122,581

12,973,093 FNMA, 6.000%, due 04/01/2016 123,412 126,147 Government 19.56% FNMA, 6.000%, due 06/01/2016 131,226 134,142 De Soto Texas Indpt Sch Dist, 5.000%, due 08/15/2030 1,010,000 1,044,976 FNMA, 6.000%, due 06/01/2016 21,664 22,146 Federal Republic of Brazil, 5.250%, due 04/15/2009* 41,180 40,917 FNMA, 6.000%, due 07/01/2016 23,844 24,374 Federal Republic of Brazil, 5.250%, due 04/15/2012* 76,472 75,516 FNMA, 6.500%, due 09/01/2028 193,766 199,565 Federal Republic of Brazil, 5.188%, due 04/15/2006* 120,000 119,929 FNMA, 4.629%, due 06/25/2044* 381,041 381,065 Federal Republic of Brazil, 10.125%, due 05/15/2027 100,000 125,750 FNMA, 4.979%, due 05/25/2030* 4,978,999 4,995,668 Federal Republic of Brazil, 11.000%, due 08/17/2040 4,150,000 5,349,350 FNMA, 5.029%, due 05/25/2030* 5,027,339 4,987,680 Golden St Tob Sec A1, 6.250%, due 06/01/2033 250,000 271,880 Greenpoint Mortgage Funding, 4.649%, due 11/25/2045* 2,605,871 2,602,948 Golden St Tob Sec A1, 6.750%, due 06/01/2039 300,000 335,508 Gsamp Trust, 4.541%, due 09/25/2035 2,265,186 2,228,130 Los Angeles CA Uni Sch Dist, 5.000%, due 01/01/2028 1,500,000 1,571,505 Master Asset Sec Trust, 5.500%, due 09/25/2033 303,008 298,652 Massachusetts St Wtr Gen J, 7.420%, due 08/01/2032* 125,000 132,753 Residential Asset Sec Trust, 5.500%, due 01/25/2034 1,437,420 1,436,822 Minnesota St, 7.420%, due 08/01/2013* 250,000 294,640 Residential Funding Mtg Sec I, 6.500%, due 03/25/2032 60,852 61,706 Overseas Private Invest, due 09/20/2007# 4,000,000 4,001,056 205,672,149 Russian Federation, 5.000%, due 03/31/2030* 3,900,000 4,402,710 Telecommunication Services 0.98%Salt River Project Ariz Agric, 6.084%, due 01/01/2032* 250,000 257,125 AT&T Inc, 4.542%, due 11/14/2008* 5,400,000 5,407,727 Tobacco Settlement Fing Corp, 6.000%, due 06/01/2037 800,000 828,160 5,407,727 Tobacco Settlement Fing Corp, 6.375%, due 06/01/2032 250,000 273,808 Utilities 0.74%US Treasury N/B, 0.875%, due 04/15/2010 5,800,000 5,797,373 Appalacian Power Co, 4.851%, due 06/29/2007* 200,000 200,628 US Treasury N/B, 1.625%, due 01/15/2015 1,400,000 1,406,970 Dominion Resources Inc, 4.640%, due 05/15/2006* 900,000 900,795 US Treasury N/B, 3.500%, due 12/15/2009 900,000 871,980 Ppl Capital Fund Trust I, 7.290%, due 05/18/2006 675,000 679,097 US Treasury N/B, 3.625%, due 01/15/2010 1,700,000 1,653,383 PSEG Power, 6.875%, due 04/15/2006 800,000 804,143 US Treasury N/B, 3.750%, due 05/15/2008 4,200,000 4,140,280 Public Service Enterprise, 4.875%, due 09/21/2008* 1,300,000 1,300,493 US Treasury N/B, 3.875%, due 05/15/2010 1,400,000 1,373,477 TXU Energy CO LLC, 4.920%, due 01/17/2006* 200,000 199,992 US Treasury N/B, 3.875%, due 09/15/2010 3,800,000 3,720,884 4,085,148 US Treasury N/B, 4.250%, due 08/15/2014 11,750,000 11,621,479 US Treasury N/B, 4.250%, due 11/15/2014 4,600,000 4,546,451 US Treasury N/B, 6.250%, due 08/15/2023 6,125,000 7,314,114 Total Bonds 65.33% 361,671,804 US Treasury N/B, 6.500%, due 11/15/2026 3,550,000 4,436,392 (Amortized Cost $364,740,082)US Treasury N/B, 8.125%, due 08/15/2019 100,000 135,664 US Treasury N/B, 9.000%, due 11/15/2018 23,150,000 33,097,277 US Treasury N/B, 9.125%, due 05/15/2018 5,000,000 7,150,390 Short-Term Bonds 22.26%US Treasury Strips, due 05/15/2020 # 2,600,000 1,337,456 Barclays US Funding, due 02/27/2006 14,200,000 14,104,142US Treasury Strips, due 11/15/2016 # 900,000 550,148 BNP Paribas, due 02/28/2006 5,000,000 4,964,723

108,279,301 Carolina Power and Light, due 04/21/2006 2,700,000 2,662,038Hotel, Restaurant & Leisure 0.49% CBA Finance, due 01/31/2006 16,300,000 16,271,352Harrahs Operating Co Inc, 4.900%, due 02/08/2008* 2,700,000 2,702,954 Danske Corp, due 02/06/2006 1,400,000 1,394,201

2,702,954 Federal Home Loan Bank, due 03/08/2006 15,800,000 15,680,781Household Products 0.18% Florida Power Corp, due 04/24/2006 2,700,000 2,661,012Clorox Co, 4.614%, due 12/14/2007* 1,000,000 1,001,797 FNMA, due 03/15/2006 14,900,000 14,767,841

1,001,797 General Electric Cap Corp, due 01/25/2006 14,500,000 14,458,413Media 0.36% General Electric Cap Corp, due 01/27/2006 1,500,000 1,495,343Time Warner Inc, 6.125%, due 04/15/2006 2,000,000 2,006,014 HBOS Treasury Service, due 01/26/2006 5,100,000 5,084,788

2,006,014 Societe Generale, due 01/27/2006 1,500,000 1,495,545Mortgage-Backed Securities (incl CMO's) 37.15% Societe Generale, due 02/06/2006 1,400,000 1,394,194Bear Stearns Adj Rate Mortgage, 5.932%, due 06/25/2032* 29,235 29,154 Societe Generale, due 03/06/2006 300,000 297,649Bear Stearns Alt A Trust, 5.424%, due 05/25/2035* 1,570,961 1,569,891 Spintab AB, due 02/24/2006 400,000 397,372FHLMC, 5.659%, due 06/01/2020* 49,967 50,918 Swedbank, due 02/03/2006 2,800,000 2,788,973FHLMC, 5.750%, due 04/01/2030 18,568 18,777 UBS Finance Discount Note, due 01/26/2006 2,700,000 2,692,307FHLMC GOLD, 6.000%, due 01/01/2017 367,056 374,698 UBS Finance Discount Note, due 02/22/2006 3,300,000 3,280,032FHLMC GOLD, 6.000%, due 05/01/2017 34,643 35,362 UBS Finance Discount Note, due 02/28/2006 100,000 99,319FHLMC GOLD, 6.000%, due 06/01/2016 155,877 159,123 UBS Finance LLC, due 04/28/2006 10,600,000 10,495,423FHLMC GOLD, 6.000%, due 07/01/2017 101,072 103,170 US Treasury Bill, due 03/02/2006** 650,000 645,748FHLMC GOLD, 6.000%, due 09/01/2022 479,330 487,995 US Treasury Bill, due 03/16/2006** 6,160,000 6,110,579FHLMC, 4.563%, due 07/25/2044* 8,904,261 9,036,702 123,241,775 FHLMC, 4.719%, due 12/15/2030* 1,001,502 1,004,308 FNMA, 4.000%, due 01/01/2020 585,483 559,745 Total Short-Term Bonds 22.26% 123,241,775 FNMA, 4.000%, due 04/01/2018 343,620 328,741 (Cost $123,241,775) ***FNMA, 4.000%, due 05/01/2019 804,500 769,133 FNMA, 4.000%, due 05/01/2019 581,618 556,050 Preferred Stock SharesFNMA, 4.000%, due 05/01/2019 2,542,469 2,430,699 Financial Services 0.01%FNMA, 4.000%, due 05/01/2019 154,017 147,247 Fannie Mae* 860 46,870 FNMA, 4.000%, due 05/01/2020 581,871 555,676 (Cost $48,966) 46,870 FNMA, 4.000%, due 06/01/2019 1,890,460 1,807,353 FNMA, 4.000%, due 06/01/2019 1,507,401 1,441,134 FNMA, 4.000%, due 06/01/2019 4,713,062 4,505,871 Total Invested Assets 87.60% 484,960,449$ FNMA, 4.000%, due 07/01/2018 1,474,183 1,410,350 (Cost $488,030,823)FNMA, 4.000%, due 08/01/2018 4,821,681 4,612,900 FNMA, 4.000%, due 08/01/2020 41,548 39,678




Market ValueOther Assets and Liabilities 12.40% At December 31, 2005 the following written options contracts were outstanding:Cash and cash equivalents *** 87,253,541$ Strike Expiration UnrealizedForeign currency (Cost $505,182) 497,798 Contracts Description Price Date Market Value Gains/(Losses)Dividends receivable 753 (484) 90 Day Euro Option 95.50 6/06 (48,400)$ 10,527$ Interest receivable 2,239,225 (226) 90 Day Euro Option 95.50 3/06 (50,850) (735) Receivable for investments sold 21,983,604 (49) PIMCO Put 6.00 7/06 (5,027) 39,636 Variation margin receivable for futures contracts 19,758 (49) PIMCO Call 4.00 7/06 (3,695) 44,536 Swap payable (1,800,358) (178) PIMCO Call 4.54 10/06 (122,054) 84,093 Options purchased, at fair value (Cost $825,643) 1,627,631 (69) PIMCO Call 4.30 10/06 (27,545) 24,034 Options written, at fair value ($801,613 premium received) (584,269) (51) PIMCO Call 4.50 4/06 (10,236) 28,397 Payable for investments purchased (30,316,853) (85) PIMCO Call 4.32 10/06 (37,936) 22,041 Variation margin payable for futures contracts (960) (113) PIMCO Call 4.78 8/06 (107,135) (14,645) Securities sold, not yet purchased (Amortized Cost $12,814,022) (12,257,483) (28) PIMCO Call 4.78 8/06 (26,628) (238) Payable for forward foreign exchange contracts (26,720) (25) PIMCO Call 4.65 6/06 (63,623) (26,464) Accrued expenses and other payables (20,251) (19) PIMCO Call 4.70 2/06 (1,930) 4,720

68,615,416 (127) PIMCO Call 4.78 5/06 (79,210) 1,442 (584,269)$ 217,344$

Net Assets 100.00% 553,575,865$ At December 31, 2005 the following purchased options contracts were outstanding: Strike Expiration UnrealizedContracts Description Price Date Market Value Gains/(Losses)226 90 Day Euro Option 95.25 3/06 32,488$ (16,272)$ 242 90 Day Euro Option 95.25 6/06 60,500 (3,812)

FOOTNOTES: 413 PIMCO Call 4.50 10/06 107,917 (102,713) * - Variable coupon bond 160 PIMCO Call 4.25 10/06 22,736 (28,464) ** - Pledged to broker as collateral for open futures contracts 119 PIMCO Call 4.50 10/06 6,866 (31,214) *** - The Fund maintains liquid assets (eg.Cash) at least in the amount equivalent to the market value 197 PIMCO Call 4.25 10/06 30,397 (29,885) of the outstanding TBA's. 263 PIMCO Call 4.75 8/06 97,494 3,800 # - Zero coupon bond 65 PIMCO Call 4.75 8/06 24,187 (2,334)

95 PIMCO Call 4.65 6/06 75,136 38,894 116 PIMCO Call 4.70 2/06 974 (5,696) 295 PIMCO Call 4.75 5/06 66,316 (12,481) 7,820 PIMCO Call 120.70 12/06 1,102,620 992,165

1,627,631$ 801,988$ At December 31, 2005 the following swaps were outstanding: Notional Unrealized At December 31, 2005 the following forward foreign currency contracts were outstanding: Unrealized Amount Recievable / Payable Maturity Gains/(Losses) Settlement Date Contracts to Deliver In Exchange For Gains/(Losses) 2,900,000 Int Rate Swap with Barclays PLC 9/15/2010 70,054$ 01/10/2006 USD 11,074,718 11,067,000$ (7,718)$ 13,400,000 Int Rate Swap with Barclays PLC 12/15/2014 (253,866) 01/10/2006 USD 2,150,846 2,175,385 24,538 600,000 Int Rate Swap with Barclays PLC 6/18/2034 (62,456) 01/12/2006 USD 1,445,032 1,397,343 (47,687) 800,000 Int Rate Swap with Morgan Stanley Dean Witter 12/15/2014 (1,961) 01/12/2006 USD 324,541 324,444 (97) 8,400,000 Int Rate Swap with Goldman Sachs Group 12/15/2014 (29,208) 01/12/2006 GBP 1,010,000 1,733,779 (25) 500,000 Int Rate Swap with UBS AG 10/15/2010 3,642 01/18/2006 USD 4,464,648 4,491,851 27,202 270,000,000 Int Rate Swap with Merrill Lynch & Co. 6/15/2015 14,547 01/18/2006 USD 747,291 738,014 (9,276) 3,400,000 Int Rate Swap with Citibank Credit Card Issuance 6/21/2026 160,591 01/18/2006 EUR 266,000 315,720 1,621 10,900,000 Int Rate Swap with Bank of America Corp 6/21/2011 316,296 02/16/2006 USD 134,955 129,761 (5,194) 500,000 Int Rate Swap with Bank of America Corp 6/21/2016 5,190 02/16/2006 USD 37,218 39,057 1,839 4,300,000 Int Rate Swap with Lehman Brothers 6/21/2016 44,637 02/22/2006 USD 40,260 43,000 2,739 14,000,000 Int Rate Swap with HSBC Bank USA 12/15/2014 (19,241) 02/24/2006 USD 12,125 12,282 157 6,200,000 Int Rate Swap with Morgan Stanley 12/15/2014 15,494 03/20/2006 USD 34,224 34,368 144 110,000,000 Int Rate Swap with Barclays PLC 6/15/2015 6,774 03/20/2006 USD 1,097,734 1,076,527 (21,207) 17,600,000 Int Rate Swap with JP Morgan Chase & Co. 6/21/2016 589,078 03/21/2006 USD 38,086 38,582 496 400,000 Int Rate Swap with Morgan Stanley 12/20/2008 (2,118) 03/21/2006 USD 33,609 33,462 (146) 200,000 Int Rate Swap with Morgan Stanley 12/20/2008 (1,115) 03/22/2006 USD 1,128,168 1,110,097 (18,072) 300,000 Int Rate Swap with Morgan Stanley 12/20/2008 (482) 03/23/2006 USD 134,451 140,256 5,806 400,000 Int Rate Swap with Barclays PLC 12/20/2008 (1,252) 03/27/2006 USD 12,686 12,589 (97) 300,000 Int Rate Swap with Bank of America Corp 12/20/2008 37 09/25/2006 USD 1,259,713 1,277,970 18,257 300,000 Int Rate Swap with Bear Stearns Co. Inc. 12/20/2008 (1,625) 26,191,487$ (26,720)$ 300,000 Int Rate Swap with Lehman Brothers 12/20/2008 (604) At December 31, 2005 the following futures were outstanding: 300,000 Int Rate Swap with Lehman Brothers 12/20/2008 (352) Notional Unrealized 600,000 Int Rate Swap with Barclays PLC 12/20/2008 (1,238) Contracts Description Market Value Gains/(Losses) 300,000 Int Rate Swap with Citigroup Global Markets 12/20/2008 (1,367) 277 90 Day Euro FX Future - Mar 06 - Long 65,943,313$ (38,700)$ 200,000 Int Rate Swap with Lehman Brothers 12/20/2008 (79) 76 90 Day Euro FX Future - Mar 07 - Long 18,097,500 16,150 300,000 Int Rate Swap with Citigroup Global Markets 12/20/2008 (1,131) 896 90 Day Euro FX Future - Jun 06 - Long 213,147,200 41,888 100,000 Int Rate Swap with Merrill Lynch & Co. 12/20/2008 162 488 90 Day Euro FX Future - Sep 06 - Long 116,095,200 52,825 500,000 Int Rate Swap with UBS AG 12/20/2008 1,557 110 90 Day Euro FX Future - Dec 06 - Long 26,181,375 (108,775) 100,000 Int Rate Swap with Lehman Borthers 12/20/2008 (346) 508 US 5Yr Treasury Notes Future - Mar 06 - Long 54,022,625 192,453 200,000 Int Rate Swap with Lehman Brothers 12/20/2008 457 (423) US 10Yr Treasury Notes Future - Mar 06 - Short (46,278,844) (401,930) 200,000 Int Rate Swap with Lehman Brothers 12/20/2008 2,395 (19) US 30 Yr Treasury Bonds Future - Mar 06 - Short (2,169,563) (46,313) 100,000 Int Rate Swap with Barclays PLC 12/20/2008 (1,456) 114 Euro-Bond Future - Mar 06 - Long 13,889,760 120,456 100,000 Int Rate Swap with Bear Stearns Co. Inc. 12/20/2008 (2,624) 458,928,566$ (171,946)$ 100,000 Int Rate Swap with Lehman Borthers 12/20/2008 (976) 100,000 Int Rate Swap with Lehman Borthers 12/20/2008 (1,098) At December 31, 2005 the following TBA's were outstanding: 100,000 Int Rate Swap with Lehman Borthers 12/20/2008 (1,960) Unrealized 100,000 Int Rate Swap with Bear Stearns Co. Inc. 12/20/2008 (369) Contracts Description Market Value Gains/(Losses) 100,000 Int Rate Swap with UBS AG 12/20/2008 1,142 5,500,000 FHLMC GOLD 5.000%, TBA 5,322,966$ 21,482$ 100,000 Int Rate Swap with Bear Stearns Co. Inc. 12/20/2008 (273) (700,000) FNMA 4.000% TBA (668,282) (4,047) 100,000 Int Rate Swap with Morgan Stanley 12/20/2008 (189) 1,000,000 FNMA 4.500% TBA 941,562 6,718 200,000 Int Rate Swap with Merrill Lynch & Co. 12/20/2008 (1,012) 152,500,000 FNMA 5.500% TBA 150,975,000 897,851 100,000 Int Rate Swap with Bear Stearns Co. Inc. 12/20/2008 (660) 156,571,246$ 922,004$ 100,000 Int Rate Swap with UBS AG 12/20/2008 (227) 100,000 Int Rate Swap with UBS AG 12/20/2008 (870) At December 31, 2005 these securities were sold but not yet purchased: 100,000 Int Rate Swap with Merrill Lynch & Co. 12/20/2008 (549) Unrealized 100,000 Int Rate Swap with Merrill Lynch & Co. 12/20/2008 (333) Shares Description Market Value Gains/(Losses) 100,000 Int Rate Swap with UBS AG 12/20/2008 (523) 4,300,000 US Treasury N/B, 3.625%, due 05/15/2013 4,101,292$ 41,070$ 100,000 Int Rate Swap with Morgan Stanley 12/20/2008 (663) 850,000 US Treasury N/B, 5.000%, due 08/15/2011 877,326 (3,062) 100,000 Int Rate Swap with Bear Stearns Co. Inc. 12/20/2008 (234) 4,100,000 US Treasury N/B, 4.000%, due 11/15/2012 4,011,756 470,345 100,000 Int Rate Swap with Merrill Lynch & Co. 12/20/2008 (2,067) 3,100,000 US Treasury N/B, 6.000%, due 08/15/2011 3,267,109 48,186 1,300,000 Int Rate Swap with Lehman Brothers 6/20/2009 (10,785) 12,257,483$ 556,539$ 1,500,000 Int Rate Swap with Bear Stearns Co. Inc. 3/20/2007 4,455 400,000 Int Rate Swap with Goldman Sachs Group Inc. 3/20/2007 1,592 100,000 Int Rate Swap with JP Morgan Chase & Co. 5/20/2007 532 200,000 Int Rate Swap with Morgan Stanley 6/20/2006 272 2,300,000 Int Rate Swap with Goldman Sachs Group Inc. 9/20/2006 (54,474) 1,100,000 Int Rate Swap with Morgan Stanley 9/20/2010 (58,411) 1,000,000 Int Rate Swap with Lehman Brothers 9/20/2008 (26,050) 5,000,000 Int Rate Swap with Morgan Stanley 10/20/2010 (159,760)

534,900$




FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Dividends 4,144$ Interest 20,617,859



Realized and unrealized gains (losses) on investments: Net realized gains (losses) - securities (2,605,790) Net realized gains (losses) - futures (2,628,007) Net realized gains (losses) - forward foreign currency exchange (641,917) Net realized gains (losses) - currency (249,676) Net realized gains (losses) - options (437,476) Net change in unrealized gains (losses) (243,649)

Net realized and unrealized gains (losses) on investments (6,806,515)





NET ASSETS



ACTIVELY MANAGED FIXED INCOME FUNDSCORPORATE BOND/BSAM FUND (SA15)



Bonds Asset-Backed Securities 0.23% Food & Drug Retailers 4.39%Equity One ABS, 4.860%, due 07/25/2033 230,000$ 226,899$ Albertsons Inc, 7.500%, due 02/15/2011 250,000$ 255,173$

226,899 Archer Daniels Midland, 5.935%, due 10/01/2032 280,000 291,307Automotive 2.09% Campbell Soup Company, 5.875%, due 10/01/2008 155,000 158,520Daimler Chrysler Na Hldg, 4.875%, due 06/15/2010 435,000 424,728 Hj Heinz Finance Co, 6.750%, due 03/15/2032 325,000 356,951Daimler Chrysler Na Hldg, 6.500%, due 11/15/2013 260,000 272,232 Kellogg Co, 6.600%, due 04/01/2011 1,055,000 1,129,472Ford Motor Company, 7.450%, due 07/16/2031 295,000 200,600 Kraft Foods Inc, 5.625%, due 11/01/2011 950,000 974,697Ford Motor Credit Co, 7.000%, due 10/01/2013 200,000 170,891 Kroger Co, 7.500%, due 04/01/2031 230,000 256,766Ford Motor Credit Co, 7.375%, due 02/01/2011 480,000 420,729 Safeway Inc, 7.250%, due 02/01/2031 170,000 183,443Ford Motor Credit Co, 7.375%, due 10/28/2009 585,000 518,828 Tyson Foods Inc, 8.250%, due 10/01/2011 310,000 350,008Genl Motors Accept Corp, 6.875%, due 09/15/2011 60,000 54,717 Unilever Capital Corp, 5.900%, due 11/15/2032 285,000 301,874

2,062,725 Wal Mart Stores Inc, 6.875%, due 08/10/2009 80,000 85,142Bank 12.21% 4,343,353Bank of America Corp, 7.400%, due 01/15/2011 310,000 341,472 Food, Beverage & Tobacco 0.59%Bank of America Corp, 7.800%, due 02/15/2010 760,000 839,260 Anheuser Busch Cos Inc, 6.500%, due 05/01/2042 200,000 228,143Bank One Corp, 5.250%, due 01/30/2013 200,000 200,313 Miller Brewing Co, 5.500%, due 08/15/2013 350,000 356,757BankBoston NA, 6.375%, due 03/25/2008 480,000 495,205 584,900Citicorp, 7.250%, due 10/15/2011 940,000 1,049,578 Government 13.87%Citigroup Inc, 4.625%, due 08/03/2010 415,000 409,253 Export Import Bank of Korea, 4.125%, due 02/10/2009** 630,000 613,687Credit Suisse Fb Usa Inc, 4.875%, due 01/15/2015 225,000 218,944 Export Import Bank of Korea, 4.250%, due 11/27/2007 85,000 83,914Credit Suisse Fb Usa Inc, 6.500%, due 01/15/2012 385,000 411,865 Export Import Bank of China, 4.875%, due 07/21/2015 205,000 199,191Dresdner Fndg Trust I, 8.151%, due 06/30/2031 310,000 381,140 Federal Republic of Brazil, 11.000%, due 01/11/2012 160,000 195,200First Massachusetts Bank, 7.625%, due 06/15/2011 445,000 497,750 Federal Republic of Brazil, 8.875%, due 04/15/2024 10,000 11,150Golden West Financial Corp, 4.125%, due 08/15/2007 270,000 267,225 Federal Republic of Brazil, 9.250%, due 10/22/2010 75,000 83,925Greenpoint Bank, 9.250%, due 10/01/2010 750,000 876,101 FICO Strip Prn, due 04/06/2018 # 305,000 169,163JP Morgan Chase & Co, 5.150%, due 10/01/2015 330,000 325,321 FICO Strip Prn, due 05/11/2016 # 80,000 48,406JP Morgan Chase & Co, 5.750%, due 01/02/2013 290,000 299,072 FICO Strip Prn, due 06/06/2016 # 240,000 144,723JP Morgan Chase & Co, 7.000%, due 11/15/2009 860,000 920,037 FICO Strip Prn, due 08/03/2018 # 710,000 387,273Manuf & Traders Trust Co, 5.585%, due 12/28/2020 378,156 378,156 FICO Strip Prn, due 08/03/2018 # 235,000 128,182Mizuho Finance, 5.790%, due 04/15/2014 185,000 191,119 FICO Strip Prn, due 09/26/2019 # 315,000 161,876Natexis AMBS Company LLC** 165,000 177,607 FICO Strip Prn, due 10/06/2017 # 155,000 88,262PNC Funding Corp, 5.125%, due 12/14/2010 190,000 190,610 FICO Strip Prn, due 10/06/2017 # 320,000 182,218RBS Capital Trust III**@ 735,000 730,711 FICO Strip Prn, due 11/02/2018 # 490,000 263,946Resona Bank**@ 330,000 328,605 FICO Strip Prn, due 11/30/2017 # 175,000 98,868Santander Fin Issuances, 6.375%, due 02/15/2011 480,000 510,354 FICO Strip Prn, due 11/30/2017 # 630,000 355,925Sanwa Finance Aruba Aec, 8.350%, due 07/15/2009 285,000 314,680 FICO Strip Prn, due 11/30/2017 # 500,000 282,480State Street Bank and Trust, 5.300%, due 01/15/2016 250,000 252,820 FICO Strip Prn, due 12/06/2018 # 225,000 120,604US Bank Na Minnesota, 6.375%, due 08/01/2011 95,000 101,444 FICO Strip Prn, due 12/27/2016 # 285,000 166,826Wachovia Bank Na, 4.875%, due 02/01/2015 345,000 336,450 Quebec Province, 5.000%, due 07/17/2009 1,180,000 1,189,967Washington Mutual Bank, 5.500%, due 01/15/2013** 185,000 187,888 Quebec Province, 6.125%, due 01/22/2011 1,265,000 1,337,159Wells Fargo Financial, 4.625%, due 08/09/2010 500,000 493,773 Republic of Chile, 5.500%, due 01/15/2013 255,000 260,483Wells Fargo Financial, 4.950%, due 10/16/2013 350,000 347,989 Russian Federation, 5.000%, due 03/31/2030** 345,000 388,988

12,074,742 United Mexican States, 6.375%, due 01/16/2013 320,000 340,000Capital Goods 4.81% United Mexican States, 8.300%, due 08/15/2031 725,000 931,625BAE Systems Holdings Inc, 6.400%, due 12/15/2011 255,000 270,327 US Treasury N/B, 2.000%, due 07/15/2014 3,185,000 3,346,821Boeing Capital Corp, 6.100%, due 03/01/2011 40,000 42,145 US Treasury N/B, 4.750%, due 05/15/2014 30,000 30,730Boeing Co, 8.750%, due 09/15/2031 230,000 329,271 US Treasury N/B, 6.000%, due 02/15/2026 1,785,000 2,104,906Caterpillar Fin Serv Corp, 4.350%, due 03/04/2009 525,000 517,266 13,716,498Hutchison Whamp Intl Ltd, 6.500%, due 02/13/2013 195,000 206,492 Healthcare 0.27%Itt Industries Inc, 7.400%, due 11/15/2025 130,000 155,191 Hospira Inc, 5.900%, due 06/15/2014 260,000 268,535John Deere Capital Corp, 7.000%, due 03/15/2012 275,000 303,739 268,535John Deere Captial Corp, 4.875%, due 10/15/2010 360,000 358,246 Hotel, Restaurant & Leisure 1.21%Raytheon Co, 6.750%, due 03/15/2018 435,000 486,080 Brinker Intl, 5.750%, due 06/01/2014 250,000 250,810Systems 2001 Asset Trust, 7.156%, due 12/15/2011 931,010 975,518 Cendant Corporation, 4.890%, due 08/17/2006 615,000 608,450Telus Corporation, 8.000%, due 06/01/2011 995,000 1,115,455 Yum! Brands Inc, 8.875%, due 04/15/2011 307,000 351,490

4,759,730 1,210,750Consumer Durables & Apparel 0.86%Black & Decker Corp, 7.125%, due 06/01/2011 590,000 633,532 Household Products 0.21%DR Horton Inc, 5.625%, due 01/15/2016 125,000 119,187 Clorox Co, 4.200%, due 01/15/2010 110,000 106,590Levi Strauss & Co, 12.250%, due 12/15/2012 85,000 94,775 Clorox Co, 5.000%, due 01/15/2015 100,000 98,501

847,494 205,091Collateralized Mortgage Obligations 0.37%Washington Mutual, 4.844%, due 10/25/2035** 365,061 363,950 Insurance 2.19%

363,950 American International Group, 4.700%, due 10/01/2010 200,000 197,107Energy 5.17% American International Group, 5.050%, due 10/01/2015 500,000 490,715Atmos Energy Corp, 4.000%, due 10/15/2009 405,000 388,404 American Re Corp, 7.450%, due 12/15/2026 400,000 458,380Canadian Natural Resources, 5.450%, due 10/01/2012 305,000 311,067 Monumental Global Fdg II, 4.625%, due 03/15/2010 400,000 397,516Conoco Funding Co, 6.350%, due 10/15/2011 820,000 878,611 St Paul Travelers Cos Inc, 5.500%, due 12/01/2015 165,000 166,188Conocophillips, 6.650%, due 07/15/2018 360,000 406,190 Zurich Capital Trust I, 8.376%, due 06/01/2037 420,000 454,549Consolidated Natural Gas, 6.250%, due 11/01/2011 610,000 638,774 2,164,455Duke Energy Field Srvcs, 6.875%, due 02/01/2011 390,000 417,398 Materials 1.87%Encana Corp, 4.600%, due 08/15/2009 175,000 173,119 Dow Chemical, 6.000%, due 10/01/2012 245,000 257,489Gaz Capital Sa, 8.625%, due 04/28/2034 50,000 63,250 International Paper Company, 5.500%, due 01/15/2014 450,000 442,271LG-Caltex Oil Corp, 5.500%, due 08/25/2014 185,000 185,415 Ispat Inland Ulc, 9.750%, due 04/01/2014 333,000 377,123Magellan Midstream Prtns, 6.450%, due 06/01/2014 225,000 239,218 Stora Enso Oyj, 7.375%, due 05/15/2011 435,000 468,709Nexen Inc, 5.200%, due 03/10/2015 380,000 376,800 Weyerhaeuser Co, 6.750%, due 03/15/2012 115,000 122,060RAS Laffan Lng, 5.298%, due 09/30/2020 245,000 242,979 Weyerhaeuser Co, 7.375%, due 03/15/2032 160,000 177,873Southwest Gas Corp, 7.625%, due 05/15/2012 400,000 446,654 1,845,525Tengizchevroil Finace, 6.124%, due 11/15/2014 190,000 193,230 Media 5.36%XTO Energy Inc, 5.300%, due 06/30/2015 150,000 149,999 Clear Channel Communications, 5.750%, due 01/15/2013 230,000 225,501

5,111,108 Harcourt General Inc, 7.200%, due 08/01/2027 415,000 481,449Financial Services 11.78% News America Holdings, 7.750%, due 12/01/2045 80,000 91,715Axa, 8.600%, due 12/15/2030 145,000 193,770 News America Holdings, 7.900%, due 12/01/2095 140,000 159,081Cit Group Inc, 4.125%, due 11/03/2009 130,000 125,665 News America Holdings, 8.250%, due 10/17/2096 50,000 58,903Cit Group Inc, 6.875%, due 11/01/2009 190,000 201,538 News America Inc, 7.250%, due 05/18/2018 305,000 339,936Citigroup Inc, 5.300%, due 01/07/2016 250,000 252,047 Shaw Communications Inc, 8.250%, due 04/11/2010 20,000 21,475Encana Hldings Fin Corp, 5.800%, due 05/01/2014 400,000 416,946 TCI Communications Inc, 7.875%, due 08/01/2013 535,000 604,692Ford Motor Company, 7.700%, due 05/15/2097 140,000 91,000 TCI Communications Inc, 9.800%, due 02/01/2012 1,285,000 1,550,218General Elec Cap Corp, 4.875%, due 10/21/2010 3,125,000 3,118,075 Time Warner Inc, 8.050%, due 01/15/2016 1,290,000 1,467,656Glencore Funding LLC, 6.000%, due 04/15/2014 245,000 230,433 Time Warner Inc, 9.125%, due 01/15/2013 250,000 295,894Goldman Sachs Group Inc, 5.250%, due 04/01/2013 135,000 135,191 5,296,520Goldman Sachs Group Inc, 6.875%, due 01/15/2011 1,560,000 1,680,544HSBC Finance Corp, 4.750%, due 05/15/2009 90,000 89,018 Pharmaceuticals & Biotech 1.17%HSBC Finance Corp, 6.375%, due 11/27/2012 550,000 584,420 Bristol Myers Squibb, 5.750%, due 10/01/2011 275,000 284,014HSBC Finance Corp, 8.000%, due 07/15/2010 1,020,000 1,137,888 Lilly Eli & Co, 6.770%, due 01/01/2036 360,000 432,237Intl Lease Finance Corp, 5.125%, due 11/01/2010 310,000 308,677 Wyeth, 5.500%, due 02/01/2014 155,000 157,008Lehman Brothers Holdings, 5.000%, due 01/14/2011 650,000 648,651 Wyeth, 5.500%, due 03/15/2013 275,000 278,786Merrill Lynch & Co, 4.790%, due 08/04/2010 380,000 375,726 1,152,045Merrill Lynch Medium Term Note, 6.000%, due 02/17/2009 620,000 639,366Morgan Stanley, 6.750%, due 04/15/2011 930,000 1,001,170 Retail 0.33%Pearson Dollar Fin, 4.700%, due 06/01/2009 275,000 270,519 May Department Stores, 4.800%, due 07/15/2009 75,000 73,954Pemex Project Fdg Master Trust, 9.125%, due 10/13/2010 125,000 143,875 May Department Stores, 5.750%, due 07/15/2014 245,000 249,788

11,644,519$ 323,742$


ACTIVELY MANAGED FIXED INCOME FUNDSCORPORATE BOND/BSAM FUND (SA15)



Technology Hardware & Equipment 0.74% Short Term Investments 0.15%Electronic Data Systems, 6.500%, due 08/01/2013 120,000$ 123,326$ U.S. Treasury Bill, due 03/16/2005* 150,000$ 148,862$ IBM Corp, 4.375%, due 06/01/2009 615,000 607,287 (Amortized Cost $148,862) 148,862

730,613Telecommunication Services 10.43%AT&T Wireless Svcs Inc, 7.875%, due 03/01/2011 275,000 308,565 Total Invested Assets 92.47% 91,435,958AT&T Wireless Svcs Inc, 8.125%, due 05/01/2012 120,000 138,651 (Cost $94,042,573)Bellsouth Corporation, 4.200%, due 09/15/2009 280,000 271,988Bellsouth Corporation, 4.750%, due 11/15/2012 290,000 282,597 Other Assets and Liabilities 7.53%Bellsouth Corporation, 6.550%, due 06/15/2034 135,000 143,797 Cash and cash equivalents 6,049,377British Telecom Plc, 8.875%, due 12/15/2030 475,000 635,522 Interest receivables 1,392,937Deutsche Telekom Int Fin, 8.250%, due 06/15/2030** 525,000 667,731 Variation margin for futures contracts 5,126France Telecom, 7.750%, due 03/01/2011** 995,000 1,111,354 Accrued expenses (4,516)Intelsat Ltd, 6.500%, due 11/01/2013 255,000 189,975 7,442,924 Koninklijke Kpn Nv, 8.000%, due 10/01/2010 630,000 691,897Qwest Corp, 8.875%, due 03/15/2012** 140,000 157,850 Net Assets 100.00% 98,878,882$ SBC Communications, 4.125%, due 09/15/2009 120,000 115,875SBC Communications, 5.100%, due 09/15/2014 270,000 263,758SBC Communications, 6.450%, due 06/15/2034 195,000 202,912 FOOTNOTES:Sprint Capital Corp, 6.875%, due 11/15/2028 535,000 584,589 * - Pledged to broker as part of collateral for open futures contracts Sprint Capital Corp, 8.375%, due 03/15/2012 395,000 457,790 ** - Variable or stepped coupon bondSprint Capital Corp, 8.750%, due 03/15/2032 190,000 252,145 # - Zero coupon bondTelecom Italia Capital, 4.000%, due 01/15/2010 610,000 580,993 @ - Perpetual bondTelecom Italia Capital, 5.250%, due 10/01/2015 625,000 607,051Telefonica Europe BV, 7.750%, due 09/15/2010 465,000 509,183 At December 31, 2005 the following futures contracts were outstanding:Verizon Global Fdg Corp, 5.850%, due 09/15/2035 420,000 404,742Verizon Global Fdg Corp, 7.250%, due 12/01/2010 1,600,000 1,736,206 Notional Market Unrealized

10,315,171 Contracts Description Value Gains/(Losses)(197) U.S. 10YR Note Futures March 2006 - Short (21,553,031)$ (69,622)$ 35 U.S. 2YR Note Futures March 2006 - Long 7,181,563 (2,163)

Transportation 2.22% 64 U.S. 5YR Note Futures March 2006 - Long 6,806,000 11,422 Burlington North Santa Fe, 4.967%, due 04/01/2023 170,000 169,459 92 U.S. 30YR Bond Futures March 2006 - Long 10,505,250 129,183 Burlington North Santa Fe, 6.125%, due 03/15/2009 310,000 320,625 2,939,782$ 68,820$ Burlington North Santa Fe, 6.750%, due 03/15/2029 250,000 285,986Fedex Corp, 7.600%, due 07/01/2097 140,000 167,993Norfolk Southern Corp, 7.900%, due 05/15/2097 735,000 958,695Union Pacific Corp, 6.125%, due 01/15/2012 280,000 294,542

2,197,300

Utilities 9.62%Amerada Hess Corp, 6.650%, due 08/15/2011 355,000 381,466Amerada Hess Corp, 7.300%, due 08/15/2031 125,000 144,661American Electric Pwr, 5.375%, due 03/15/2010 215,000 216,730Carolina Power & Light, 6.500%, due 07/15/2012 140,000 149,995Centerpoint Energy Houston, 5.700%, due 03/15/2013 65,000 67,058Centerpoint Energy Resources, 7.875%, due 04/01/2013 450,000 514,616Cleveland Electric Illum, 7.880%, due 11/01/2017 650,000 786,514Columbus Southern Power, 5.500%, due 03/01/2013 100,000 101,850Consumers Energy-ITC, 5.375%, due 04/15/2013 300,000 297,820Detroit Edison Company, 6.125%, due 10/01/2010 575,000 599,800Devon Financing Corp Ulc, 6.875%, due 09/30/2011 420,000 459,411Dpl Inc, 6.875%, due 09/01/2011 94,000 99,053First Energy Corp, 6.450%, due 11/15/2011 175,000 185,499First Energy Corp, 7.375%, due 11/15/2031 10,000 11,800Korea Electric Power, 5.125%, due 04/23/2034 120,000 118,865National Rural Utilities, 5.750%, due 08/28/2009 785,000 806,016Nisource Finance Corp, 7.875%, due 11/15/2010 500,000 553,985Occidental Petroleum, 6.750%, due 01/15/2012 40,000 43,904Occidental Petroleum, 9.250%, due 08/01/2019 250,000 343,331Ohio Power Company, 5.500%, due 02/15/2013 110,000 111,960Pepco Holdings Inc, 6.450%, due 08/15/2012 470,000 494,540PG&E Corp, 3.600%, due 03/01/2009 260,000 249,504PG&E Corp, 4.200%, due 03/01/2011 265,000 254,094PG&E Corp, 6.050%, due 03/01/2034 120,000 124,195Progress Energy Inc, 7.000%, due 10/30/2031 330,000 366,208Progress Energy Inc, 7.100%, due 03/01/2011 40,000 43,157PSEG Power, 5.500%, due 12/01/2015 265,000 263,070Tenaska Alabama II Partners, 6.125%, due 03/30/2023 163,677 166,649Texas Genco LLC, 6.875%, due 12/15/2014 170,000 184,025TXU Corp, 4.800%, due 11/15/2009 195,000 187,565TXU Corp, 5.550%, due 11/15/2014 360,000 341,941TXU Energy CO LLC, 7.000%, due 03/15/2013 255,000 271,744Xcel Energy Inc, 7.000%, due 12/01/2010 530,000 570,403

9,511,429

Total Bonds 91.99% 90,957,094(Amortized Cost $92,783,025)

Shares Market Value

Preferred Stock 0.26%Rc Trust I 5,100 256,594(Cost $266,496) 256,594

Common Stock 0.07%Vlasic Membership Inerests 3,670,392 73,408(Cost $844,190) 73,408$



CORPORATE BOND/BSAM FUND (SA15)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:

Dividends 21,786$

Interest 5,046,535

Miscellaneous Income 140

5,068,461

Expenses:



Asset charge 32,637

Audit fees 3,181

664,833



on investments:













NET ASSETS

Beginning of year -



End of year 98,878,882$


ACTIVELY MANAGED FIXED INCOME FUNDSEMERGING DEBT FUND (SA41)STATEMENT OF NET ASSETS

DECEMBER 31, 2005

Par Value Market Value

Brazil 32.34%Federal Republic Of Brazil, 10.500%, due 07/14/2014 930,000$ 1,139,715$ Federal Republic Of Brazil, 11.000%, due 01/11/2012 50,000 61,000Federal Republic Of Brazil, 12.500%, due 01/05/2016 3,484,000 1,488,028Federal Republic Of Brazil, 8.000%, due 01/15/2018 2,823,000 3,046,017Federal Republic Of Brazil, 8.875%, due 04/15/2024 1,495,000 1,666,925Federal Republic Of Brazil, 9.250%, due 10/22/2010 1,595,000 1,784,805

9,186,490Colombia 3.77%Republic Of Colombia, 10.000%, due 01/23/2012 900,000 1,071,000

1,071,000Germany 2.38%Bundesschatzanweisungen, 2.750%, due 06/23/2006 410,000 484,089Dresdner Bank, 10.375%, due 08/17/2009 175,000 193,130

677,219Luxembug 1.12%Gaz Capital Sa, 8.625%, due 04/28/2034 250,000 316,250

316,250Mexico 6.18%United Mexican States, due 06/30/2006 * 1,000,000 18,100United Mexican States, due 06/30/2007 * 1,000,000 10,600United Mexican States, 8.300%, due 08/15/2031 1,345,000 1,728,325

1,757,025Panama 1.47%Republic Of Panama, 8.875%, due 09/30/2027 350,000 416,500

416,500Peru 3.72%Republic Of Peru, 5.000%, due 03/07/2017 * 697,000 667,378Republic Of Peru, 9.875%, due 02/06/2015 325,000 390,000

1,057,378Philippines 3.13%Republic Of Philippines, 10.625%, due 03/16/2025 700,000 889,000

889,000Russia 18.55%Russian Federation, 5.000%, due 03/31/2030* 4,675,000 5,271,063

5,271,063Turkey 1.90%Republic of Turkey, 10.000%, due 09/19/2007 500,000 538,750

538,750United States 15.93%Pemex Project Fdg Master Trust, 10.000%, due 09/15/2027 * 900,000 1,199,250Pemex Project Fdg Master Trust, 9.125%, due 10/13/2010 775,000 892,025US Treasury N/B, 4.750%, due 05/15/2014 90,000 92,190US Treasury N/B, 6.000%, due 02/15/2026 1,985,000 2,340,750

4,524,215Venezuela 3.75%Republic Of Venezuela, 8.500%, due 10/08/2014 700,000 770,000Republic Of Venezuela, 9.375%, due 01/13/2034 250,000 296,250

1,066,250

Total Invested Assets 94.24% 26,771,140(Amortized Cost $25,532,060)

Other Assets/Liabilities 5.76%Cash and cash equivalents 1,055,593Interest receivable 583,332Accrued expenses (1,254)

1,637,671

28,408,811$

FOOTNOTES:*-Variable or Stepped Coupon bond

At December 31, 2005, the Fund's exposure as a % of Total Invested Assets was as follows:

Energy - 6%Financial Services - 3%Governmental - 90% Telecommunication Services - 1%



EMERGING DEBT FUND (SA41)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:

Interest 1,836,056$

Miscellaneous Income 541

1,836,597

Expenses:



Audit Fees 780

12,442



on investments:











contractholder transactions (106,651)

NET ASSETS

Beginning of year -



End of year 28,408,811$


ACTIVELY MANAGED FIXED INCOME FUNDSGOVERNMENT SECURITIES/BSAM FUND (SAGB1)


Par Value Market ValueObligationsGovernment (incl Agency) 78.32%FICO Strip Prn, due 10/06/2017 ** 255,000$ 145,205$ FICO Strip Prn, due 04/05/2019 ** 195,000 102,731 FICO Strip Prn, due 04/06/2018 ** 550,000 305,048 FICO Strip Prn, due 05/11/2016 ** 135,000 81,685 FICO Strip Prn, due 05/11/2018 ** 655,000 361,422 FICO Strip Prn, due 06/06/2016 ** 405,000 244,219 FICO Strip Prn, due 08/03/2018 ** 1,090,000 594,546 FICO Strip Prn, due 08/03/2018 ** 430,000 234,546 FICO Strip Prn, due 09/26/2019 ** 990,000 508,754 FICO Strip Prn, due 10/06/2017 ** 525,000 298,952 FICO Strip Prn, due 11/02/2018 ** 815,000 439,013 FICO Strip Prn, due 11/30/2017 ** 290,000 163,838 FICO Strip Prn, due 11/30/2017 ** 920,000 519,763 FICO Strip Prn, due 11/30/2017 ** 850,000 480,216 FICO Strip Prn, due 12/06/2018 ** 610,000 326,970 FICO Strip Prn, due 12/27/2016 ** 480,000 280,970 US Treasury N/B, 2.000%, due 07/15/2014 5,715,000 6,005,363 US Treasury N/B, 3.000%, due 12/31/2006 7,385,000 7,280,857 US Treasury N/B, 3.375%, due 12/15/2008 7,155,000 6,957,958 US Treasury N/B, 3.625%, due 06/30/2007 23,630,000 23,360,476 US Treasury N/B, 3.875%, due 05/15/2010 6,700,000 6,573,069 US Treasury N/B, 4.250%, due 08/15/2013 22,140,000 21,941,958 US Treasury N/B, 4.375%, due 05/15/2007 23,045,000 23,026,103 US Treasury N/B, 4.375%, due 08/15/2012 970,000 969,887 US Treasury N/B, 4.625%, due 05/15/2006 6,665,000 6,671,772 US Treasury N/B, 4.750%, due 05/15/2014 3,410,000 3,492,986 US Treasury N/B, 6.000%, due 02/15/2026 12,815,000 15,111,692 US Treasury N/B, 8.750%, due 05/15/2017 5,565,000 7,641,875

134,121,874 Agency Bonds (incl CMO's) 18.01%Fannie Mae, 3.875%, due 02/15/2010 3,010,000 2,914,345 Fannie Mae, 5.250%, due 06/15/2006 6,605,000 6,623,434 Fannie Mae, 6.125%, due 03/15/2012 1,030,000 1,102,234 Fannie Mae, 6.250%, due 05/15/2029 3,470,000 4,087,622 Fannie Mae, 6.625%, due 10/15/2007 1,365,000 1,408,180 Fannie Mae, 7.250%, due 01/15/2010 5,710,000 6,221,508 Federal Home Loan Bank, 2.250%, due 05/15/2006 3,430,000 3,400,763 Federal Home Loan Bank, 2.750%, due 03/14/2008 1,370,000 1,314,127 Federal Home Loan Bank, 4.500%, due 11/15/2012 830,000 817,024 Freddie Mac, 4.000%, due 12/15/2009 3,040,000 2,963,854

30,853,091Other 1.71%Bundesschatzanweisungen, 2.750%, due 06/23/2006 2,480,000 2,928,151

2,928,151

Total Obligations 98.04% 167,903,116 (Amortized Cost $168,963,444)

Short - Term Investments 0.06%US Treasury Bill * 100,000 99,242 (Amotized Cost $99,242) 99,242


Other Asset and Liabilities 1.90%Cash and cash equivalents 1,340,633 Interest receivable 1,936,887 Variation margin payable for futures contracts (17,109) Accrued expenses and other payables (7,534)

3,252,877

Net Assets 100.00% 171,255,235$

FOOTNOTES:* - Pledged to broker as part of collateral for open futures contracts** - Zero coupon bond

At December 31, 2005 the following futures contracts were outstanding:

Notional UnrealizedContracts Description Market Value Gains/(Losses)

3 30 YR US Note March 2006 - Long 342,563$ 3,841$ 13 5 YR US Note March 2006 - Long 1,382,468 (956) 63 2 YR US Note March 2006 - Long 12,926,813 (1,297) 63 10YR US Long Bond Futures March 2006 - Long 6,892,594 31,077

21,544,438$ 32,665$



GOVERNMENT SECURITIES/BSAM FUND (SAGB1)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:

Interest 6,388,601$

Expenses:



Asset charge 64,906

Audit fees 5,064

1,021,751



on investments:


Net realized gains (losses) - futures (35,406)











NET ASSETS

Beginning of year -



End of year 171,255,235$


ACTIVELY MANAGED FIXED INCOME FUNDS HIGH GRADE BOND/BSAM FUND (SA16)



Bonds Asset-Backed Securities 5.16% Food & Drug Retailers 1.61%Ace Securities Corp, 5.429%, due 04/25/2034 2,670,000$ 2,705,879$ Campbell Soup Company, 5.875%, due 10/01/2008 835,000$ 853,963$ Ameriquest Mortgage Securities, 6.879%, due 02/25/2033** 765,000 770,523 Heinz Co, 6.000%, due 03/15/2008 870,000 887,507Argent Securities Inc, 4.599%, due 02/25/2034** 336,404 336,497 Hj Heinz Finance Co, 6.750%, due 03/15/2032 255,000 280,070Countrywide Asset Backed Cert, 3.631%, due 05/25/2024** 2,470,000 2,443,158 Kellogg Co, 6.600%, due 04/01/2011 4,150,000 4,442,948Countrywide Asset Backed Cert, 3.683%, due 08/25/2024** 4,195,000 4,166,877 Kraft Foods Inc, 5.625%, due 11/01/2011 5,082,000 5,214,117Countrywide Asset Backed Cert, 4.879%, due 02/25/2034** 860,000 861,891 Kroger Co, 7.500%, due 04/01/2031 300,000 334,913Countrywide Asset-Backed Cert, 5.711%, due 01/25/2035** 2,365,000 2,364,787 Safeway Inc, 7.250%, due 02/01/2031 225,000 242,793CS First Boston Mortgage Sec, 5.079%, due 12/25/2033** 2,365,000 2,376,301 Tyson Foods Inc, 8.250%, due 10/01/2011 615,000 694,371GMAC Mortgage Corporation Loan, 3.970%, due 09/25/2034** 2,810,000 2,766,135 Unilever Capital Corp, 5.900%, due 11/15/2032 1,550,000 1,641,771Gsamp Trust, 4.769%, due 03/25/2034** 1,424,054 1,426,969 14,592,453Home Equity Asset Trust, 5.829%, due 08/25/2034 1,665,000 1,689,867Long Beach Mortgage Loan Trust, 6.279%, due 06/25/2033 2,490,000 2,516,896 Food, Beverage & Tobacco 0.18%Master Trust Asset Backed, 6.029%, due 08/25/2033** 1,495,000 1,508,712 Heinz Co, 6.375%, due 07/15/2028 275,000 289,393Morgan Stanley ABS Capital I, 6.479%, due 09/25/2033 1,750,000 1,791,322 Miller Brewing Co, 5.500%, due 08/15/2013 1,275,000 1,299,615Option One Mortgage Loan Trust, 6.029%, due 07/25/2033** 1,075,000 1,087,022 1,589,008Option One Mortgage Loan Trust, 6.079%, due 04/25/2033** 1,975,000 1,995,205Option One Mortgage Loan Trust, 6.379%, due 06/25/2033** 1,315,000 1,329,975 Government 32.53%Popular ABS Mtg Pass-Through, 5.680%, due 12/13/2035 2,025,000 2,025,000 Export Import Bank China, 4.875%, due 07/21/2015 1,935,000 1,880,172Popular ABS MTGE Trust, 3.914%, due 05/25/2035 770,000 758,914 Export Import Bank Korea, 4.125%, due 02/10/2009** 1,260,000 1,227,374Residential Asset Mortgage, 3.675%, due 08/25/2026 2,065,000 2,053,219 FICO Strip Prn, due 10/06/2017 # 1,320,000 751,650Residential Asset Mortgage, 3.810%, due 01/25/2026 1,357,950 1,352,340 Fannie Mae, 3.875%, due 02/15/2010 6,375,000 6,172,409Residential Asset Sec Corp, 4.609%, due 09/25/2031** 585,637 585,758 Fannie Mae, 4.375%, due 03/15/2013 3,325,000 3,237,646Residential Asset Sec Corp, 6.129%, due 01/25/2033** 2,300,000 2,312,397 Freddie Mac, 2.750%, due 03/15/2008 4,715,000 4,523,811Structured Asset Invest Loan, 6.479%, due 08/25/2033** 1,945,000 1,972,223 Freddie Mac, 4.000%, due 12/15/2009 6,435,000 6,273,816Structured Asset Securities Co, 4.370%, due 10/25/2034** 3,685,000 3,655,585 FICO Strip Prn, due 03/07/2019 # 210,000 111,073

46,853,452 FICO Strip Prn, due 04/05/2019 # 5,075,000 2,673,647Automotive 0.29% FICO Strip Prn, due 04/06/2018 # 2,910,000 1,613,982Ford Motor Credit Co, 7.375%, due 02/01/2011 1,325,000 1,161,386 FICO Strip Prn, due 05/11/2016 # 630,000 381,196Ford Motor Credit Co, 7.875%, due 06/15/2010 1,610,000 1,448,826 FICO Strip Prn, due 06/06/2016 # 1,860,000 1,121,600

2,610,212 FICO Strip Prn, due 08/03/2018 # 5,270,000 2,874,548Banks 3.33% FICO Strip Prn, due 08/03/2018 # 2,240,000 1,221,819Bank of America Corp, 7.800%, due 02/15/2010 620,000 684,660 FICO Strip Prn, due 09/26/2019 # 5,990,000 3,078,219Citicorp, 7.250%, due 10/15/2011 1,795,000 2,004,247 FICO Strip Prn, due 10/06/2017 # 2,740,000 1,560,244Citigroup Inc, 3.500%, due 02/01/2008 4,945,000 4,814,249 FICO Strip Prn, due 11/02/2018 # 3,860,000 2,079,251Citigroup Inc, 4.625%, due 08/03/2010 1,345,000 1,326,373 FICO Strip Prn, due 11/30/2017 # 1,505,000 850,265Credit Suisse Fb Usa Inc, 5.500%, due 08/15/2013 530,000 540,649 FICO Strip Prn, due 11/30/2017 # 4,325,000 2,443,452Dresdner Fndg Trust I, 8.151%, due 06/30/2031 1,900,000 2,336,020 FICO Strip Prn, due 11/30/2017 # 4,445,000 2,511,247Golden West Financial Corp, 4.125%, due 08/15/2007 1,040,000 1,029,312 FICO Strip Prn, due 12/06/2018 # 2,175,000 1,165,837JP Morgan Chase & Co, 5.150%, due 10/01/2015 1,825,000 1,799,125 FICO Strip Prn, due 12/27/2016 # 2,220,000 1,299,488Korea Development Bank, 4.250%, due 11/13/2007 430,000 424,254 US Treasury N/B, 2.000%, due 07/15/2014 30,435,000 31,981,318Manuf & Traders Trust Co, 5.585%, due 12/28/2020 965,146 965,146 US Treasury N/B, 3.000%, due 12/31/2006 22,280,000 21,965,807Mizuho Finance, 5.790%, due 04/15/2014 1,740,000 1,797,550 US Treasury N/B, 3.625%, due 06/30/2007 87,775,000 86,773,838Natexis AMBS Company LLC**@ 870,000 936,471 US Treasury N/B, 3.750%, due 03/31/2007 8,950,000 8,873,782RBS Capital Trust III**@ 2,530,000 2,515,235 US Treasury N/B, 3.875%, due 05/15/2010 8,660,000 8,495,936Resona Bank**@ 1,365,000 1,359,232 US Treasury N/B, 4.375%, due 05/15/2007 15,575,000 15,562,229Santander Fin Issuances, 6.375%, due 02/15/2011 530,000 563,515 US Treasury N/B, 4.750%, due 05/15/2014 12,999,000 13,315,344Sanwa Finance Aruba Aec, 8.350%, due 07/15/2009 1,265,000 1,396,740 US Treasury N/B, 5.000%, due 02/15/2011 125,000 128,745State Street Bank and Trust, 5.300%, due 01/15/2016 900,000 910,150 US Treasury N/B, 6.000%, due 02/15/2026 40,561,000 47,830,302UFJ Finance Aruba Aec, 6.750%, due 07/15/2013 255,000 278,426 US Treasury N/B, 8.750%, due 05/15/2017 8,195,000 11,253,399US Bank Na, 5.700%, due 12/15/2008 1,530,000 1,565,556 295,233,446Wells Fargo Financial, 4.625%, due 08/09/2010 1,985,000 1,960,277Wells Fargo Financial, 4.950%, due 10/16/2013 985,000 979,339 Hotel, Restaurant & Leisure 0.07%

30,186,526 Yum! Brands Inc, 8.875%, due 04/15/2011 580,000 664,054Capital Goods 1.51% 664,054BAE Systems Holdings Inc, 6.400%, due 12/15/2011 3,360,000 3,561,953Boeing Capital Corp, 6.100%, due 03/01/2011 665,000 700,660 Household Products 0.17%Itt Industries Inc, 7.400%, due 11/15/2025 890,000 1,062,460 Clorox Co, 4.200%, due 01/15/2010 930,000 901,171Raytheon Co, 6.750%, due 03/15/2018 770,000 860,417 Clorox Co, 5.000%, due 01/15/2015 625,000 615,632Systems 2001 Asset Trust, 7.156%, due 12/15/2011 2,922,563 3,062,277 1,516,803Telus Corporation, 8.000%, due 06/01/2011 3,955,000 4,433,792

13,681,559 Insurance 1.03%American International Group, 4.700%, due 10/01/2010 1,900,000 1,872,518

Energy 0.73% American International Group, 5.050%, due 10/01/2015 1,700,000 1,668,431Conoco Funding Co, 6.350%, due 10/15/2011 3,905,000 4,184,118 American Re Corp, 7.450%, due 12/15/2026 2,060,000 2,360,657Duke Energy Field Srvcs, 5.750%, due 11/15/2006 270,000 271,644 Monumental Global Fdg II, 4.625%, due 03/15/2010 715,000 710,559Duke Energy Field Srvcs, 6.875%, due 02/01/2011 180,000 192,645 Zurich Capital Trust I, 8.376%, due 06/01/2037 2,530,000 2,738,118RAS Laffan Lng, 5.298%, due 09/30/2020 650,000 644,638 9,350,283Tengizchevroil Finace, 6.124%, due 11/15/2014 1,290,000 1,311,930

6,604,975 Materials 0.60%International Paper Company, 5.500%, due 01/15/2014 1,425,000 1,400,525

Financial Services 2.93% Ispat Inland Ulc, 9.750%, due 04/01/2014 2,783,000 3,151,748Axa, 8.600%, due 12/15/2030 470,000 628,082 Stora Enso Oyj, 7.375%, due 05/15/2011 805,000 867,380Cit Group Inc, 5.750%, due 09/25/2007 770,000 780,712 5,419,653Cit Group Inc, 6.875%, due 11/01/2009 365,000 387,165Citigroup Inc, 4.700%, due 05/29/2015 330,000 318,863 Media 2.18%Countrywide Home Loan, 5.500%, due 02/01/2007** 455,000 457,210 Clear Channel Communications, 5.750%, due 01/15/2013 470,000 460,805Credit Suisse Fb Usa Inc, 4.875%, due 08/15/2010 420,000 416,778 Comcast Cable Communication, 6.750%, due 01/30/2011 545,000 577,049General Elec Cap Corp, 4.125%, due 03/04/2008 950,000 935,521 Comcast Cable Communication, 8.375%, due 05/01/2007 265,000 276,345General Elec Cap Corp, 4.875%, due 10/21/2010 6,750,000 6,735,042 News America Holdings, 7.750%, due 12/01/2045 85,000 97,447Glencore Funding LLC, 6.000%, due 04/15/2014 2,390,000 2,247,895 News America Holdings, 7.900%, due 12/01/2095 945,000 1,073,798Goldman Sachs Group Inc, 6.875%, due 01/15/2011 3,055,000 3,291,066 News America Holdings, 8.250%, due 10/17/2096 345,000 406,428HSBC Finance Corp, 4.750%, due 05/15/2009 2,665,000 2,635,925 News America Inc, 6.750%, due 01/09/2038 175,000 185,036HSBC Finance Corp, 6.375%, due 11/27/2012 1,894,000 2,012,528 TCI Communications Inc, 7.875%, due 08/01/2013 4,050,000 4,577,577Intl Lease Finance Corp, 6.375%, due 03/15/2009 1,180,000 1,225,609 TCI Communications Inc, 9.800%, due 02/01/2012 1,745,000 2,105,159Lehman Brothers Holdings, 5.000%, due 01/14/2011 2,360,000 2,355,103 Time Warner Inc, 6.750%, due 04/15/2011 2,183,000 2,292,344Morgan Stanley, 6.750%, due 04/15/2011** 1,975,000 2,126,141 Time Warner Inc, 8.050%, due 01/15/2016 1,750,000 1,991,006

26,553,640$ Time Warner Inc, 8.180%, due 08/15/2007 1,580,000 1,652,727Time Warner Inc, 9.125%, due 01/15/2013 3,445,000 4,077,419

19,773,140$





Mortgage-Backed Securities (incl CMO's) 17.98% Telecommunication Services 3.54%Banc of America Commercial Mtg, 4.128%, due 07/10/2042 2,775,000$ 2,694,796$ Bellsouth Corporation, 4.200%, due 09/15/2009 530,000$ 514,834$ Banc of America Commercial Mtg, 4.875%, due 06/10/2039 4,130,000 4,099,660 Bellsouth Corporation, 6.550%, due 06/15/2034 195,000 207,707Banc of America Mortgage Sec, 5.750%, due 01/25/2035** 4,187,694 4,144,510 British Telecom Plc, 8.875%, due 12/15/2030 1,270,000 1,699,186Country Wide Home Loans, 5.500%, due 12/25/2035** 4,404,798 4,400,038 Deutsche Telekom Int Fin, 8.250%, due 06/15/2030** 610,000 775,840Countrywide Home Loans, 5.529%, due 05/25/2035** 1,142,783 1,150,952 Deutsche Telekom Int Fin, 8.500%, due 06/15/2010 240,000 272,105DLJ Commercial Mortgage Corp, 6.410%, due 02/18/2031 2,936,108 3,000,845 France Telecom, 7.200%, due 03/01/2006** 410,000 411,645DSLA Mortgage Loan Trust, 5.498%, due 07/19/2044** 2,024,103 2,076,603 France Telecom, 7.750%, due 03/01/2011** 1,145,000 1,278,895FHLMC GOLD 5.000%, due 05/01/2018 974,269 966,119 Intelsat Ltd, 6.500%, due 11/01/2013 1,690,000 1,259,050FHLMC GOLD 5.000%, due 10/01/2033 2,907,979 2,825,428 SBC Communications, 4.125%, due 09/15/2009 720,000 695,249FHLMC GOLD 5.500%, due 05/01/2020 1,269,507 1,277,208 SBC Communications, 5.100%, due 09/15/2014 995,000 971,998FHLMC GOLD 5.500%, due 06/01/2020 1,892,404 1,903,884 SBC Communications, 6.450%, due 06/15/2034 65,000 67,637FHLMC GOLD 5.500%, due 06/01/2020 7,164,949 7,212,191 Sprint Capital Corp, 6.875%, due 11/15/2028 1,875,000 2,048,794FHLMC GOLD 5.500%, due 10/01/2020 1,978,373 1,990,374 Sprint Capital Corp, 8.375%, due 03/15/2012 1,485,000 1,721,060FHLMC, 2.614%, due 07/15/2011 2,449,944 2,427,165 Sprint Capital Corp, 8.750%, due 03/15/2032 945,000 1,254,091FHLMC, 3.500%, due 08/15/2022 4,588,909 4,552,403 Telecom Italia Capital, 4.000%, due 01/15/2010 6,345,000 6,043,283 FHLMC, 5.000%, due 04/15/2023 1,961,815 305,612 Telecom Italia Capital, 5.250%, due 10/01/2015 1,810,000 1,758,019FNMA 4.500%, due 05/01/2018 3,527,010 3,439,952 Telefonica Europe Bv, 7.750%, due 09/15/2010 1,960,000 2,146,233FNMA 4.500%, due 09/01/2020 2,445,364 2,385,004 Verizon Global Fdg Corp, 5.850%, due 09/15/2035 1,380,000 1,329,867FNMA 5.000%, due 02/01/2018 2,408,353 2,386,048 Verizon Global Fdg Corp, 7.250%, due 12/01/2010 7,125,000 7,731,544FNMA 5.000%, due 03/01/2018 2,685,937 2,661,062 32,187,037FNMA 5.000%, due 03/01/2034 1,573,037 1,529,654FNMA 5.000%, due 11/01/2033 2,423,212 2,356,382 Transportation 0.77%FNMA 5.000%, due 12/01/2033 832,394 809,438 Burlington North Santa Fe, 4.967%, due 04/01/2023 1,190,000 1,186,215FNMA 5.000%, due 12/01/2034 3,985,210 3,869,213 Burlington North Santa Fe, 6.750%, due 03/15/2029 285,000 326,023FNMA 5.500%, due 02/01/2034 2,685,916 2,662,187 Fedex Corp, 7.600%, due 07/01/2097 600,000 719,968FNMA 5.500%, due 03/01/2033 2,156,630 2,140,814 Norfolk Southern Corp, 7.050%, due 05/01/2037 195,000 232,699FNMA 5.500%, due 04/01/2033 2,163,423 2,147,558 Norfolk Southern Corp, 7.700%, due 05/15/2017 715,000 853,225FNMA 5.500%, due 11/01/2033 2,592,895 2,573,881 Norfolk Southern Corp, 7.900%, due 05/15/2097 1,555,000 2,028,260FNMA 6.000%, due 01/01/2035 1,351,321 1,364,098 Union Pacific Corp, 6.125%, due 01/15/2012 1,585,000 1,667,319FNMA 6.000%, due 01/01/2035 921,357 930,069 7,013,709FNMA 6.000%, due 03/01/2033 2,093,259 2,115,114FNMA 6.000%, due 06/01/2035 2,233,331 2,254,501 Utilities 3.13%FNMA 6.000%, due 07/14/2035 4,442,276 4,484,386 Amerada Hess Corp, 6.650%, due 08/15/2011 525,000 564,140FNMA 6.000%, due 08/01/2032 6,185,377 6,258,287 Amerada Hess Corp, 7.300%, due 08/15/2031 1,000,000 1,157,284FNMA 6.000%, due 10/01/2034 992,337 1,001,720 American Electric Pwr, 5.375%, due 03/15/2010 335,000 337,695FNMA 6.000%, due 12/01/2034 1,706,569 1,722,705 Carolina Power & Light, 6.500%, due 07/15/2012 735,000 787,472FNMA 6.000%, due 12/01/2034 817,949 825,683 Centerpoint Energy Houston, 5.700%, due 03/15/2013 950,000 980,080FNMA 6.000%, due 12/01/2034 3,171,301 3,201,287 Centerpoint Energy Resources, 7.875%, due 04/01/2013 2,130,000 2,435,849FNMA 6.000%, due 12/01/2034 389,345 393,026 Columbus Southern Power, 5.500%, due 03/01/2013 365,000 371,751FNMA 6.000%, due 12/01/2034 1,365,450 1,378,361 Detroit Edison Company, 6.125%, due 10/01/2010 1,655,000 1,726,380FNMA 6.500%, due 08/01/2035 196,339 201,431 Detroit Edison Company, 6.350%, due 10/15/2032 100,000 107,477FNMA 6.500%, due 11/01/2035 2,322,911 2,383,162 Devon Financing Corp Ulc, 6.875%, due 09/30/2011 915,000 1,000,859FNMA 7.000%, due 02/01/2031 783,818 815,885 Dominion Resources Inc, 6.250%, due 06/30/2012 420,000 439,407FNMA 7.000%, due 05/01/2032 316,877 330,187 Duke Capital Llc, 4.302%, due 05/18/2006 740,000 738,239FNMA 5.000%, due 03/01/2034 1,735,434 1,687,573 Encana Corp, 6.500%, due 08/15/2034 385,000 430,182Greenwich Capital Commercial, 5.243%, due 04/10/2037** 3,510,000 3,514,390 First Energy Corp, 6.450%, due 11/15/2011 5,580,000 5,914,783Greenwich Capital Commercial, 5.317%, due 06/10/2036 2,960,000 2,987,793 Korea Electric Power, 5.125%, due 04/23/2034 620,000 614,134GS Mortgage Securities Corp, 4.761%, due 07/10/2039 2,600,000 2,522,656 National Rural Utilities, 5.750%, due 08/28/2009 670,000 687,937Impac Cmb Trust, 4.629%, due 06/25/2034** 1,332,085 1,333,429 Nisource Finance Corp, 7.875%, due 11/15/2010 1,480,000 1,639,796Impac Secured Assets Corp, 4.579%, due 11/25/2034** 301,409 301,431 Occidental Petroleum, 6.750%, due 01/15/2012 250,000 274,400JP Morgan Chase Commercial, 4.475%, due 07/15/2041 3,452,444 3,361,669 Ohio Power Company, 5.500%, due 02/15/2013 185,000 188,297JP Morgan Chase Commercial, 5.179%, due 12/15/2044 3,015,000 3,029,903 PG&E Corp, 3.600%, due 03/01/2009 470,000 451,027LB UBS Commercial Mtg Trust, 4.985%, due 06/15/2029** 5,815,000 5,841,689 PG&E Corp, 4.200%, due 03/01/2011 1,000,000 958,846Mastr Asset Sec Trust, 5.250%, due 11/25/2035 6,854,516 6,751,486 PG&E Corp, 6.050%, due 03/01/2034 690,000 714,122Merrill Lynch Mortgage Trust, 4.353%, due 02/12/2042 3,665,000 3,590,591 Progress Energy Inc, 7.000%, due 10/30/2031 1,000,000 1,109,718Merrill Lynch Mortgage Trust, 5.202%, due 01/12/2044 2,515,000 2,528,742 Progress Energy Inc, 7.100%, due 03/01/2011 615,000 663,536Residential Accredit Loans, 5.527%, due 07/25/2035** 2,751,274 2,750,881 Tenaska Alabama II Partners, 6.125%, due 03/30/2023 1,108,325 1,128,452Structured Asset Securities Co, 4.440%, due 12/25/2034** 5,975,000 5,884,129 TXU Corp, 4.800%, due 11/15/2009 1,165,000 1,120,581Structured Asset Securities Co, 4.660%, due 07/25/2035** 2,117,161 2,143,626 TXU Corp, 5.550%, due 11/15/2014 2,040,000 1,937,665Wachovia Bank Commercial Mgte, 4.380%, due 10/15/2041 5,765,000 5,626,694 28,480,109Washington Mutual, 4.844%, due 10/25/2035** 3,498,898 3,488,251Washington Mutual, 5.039%, due 04/25/2045** 2,219,135 2,219,135 Yankee Bonds 3.24%

163,212,951 Bundesschatzanweisungen, 2.750%, due 06/23/2006 13,240,000 15,632,547Quebec Province, 5.000%, due 07/17/2009 530,000 534,477

Pharmaceuticals & Biotech 0.38% Quebec Province, 5.500%, due 04/11/2006 6,275,000 6,295,268Lilly Eli & Co, 6.770%, due 01/01/2036 2,305,000 2,767,517 Quebec Province, 6.125%, due 01/22/2011 4,200,000 4,439,581Wyeth, 5.500%, due 02/01/2014 285,000 288,692 Russian Federation, 5.000%, due 03/31/2030** 1,600,000 1,804,000Wyeth, 5.500%, due 03/15/2013 375,000 380,163 United Mexican States, 8.300%, due 08/15/2031 550,000 706,750

3,436,372 29,412,623

Retail 0.14%May Department Stores, 4.800%, due 07/15/2009 405,000 399,352 Total Bonds 81.60% 740,511,618May Department Stores, 5.750%, due 07/15/2014 850,000 866,611 (Amortized Cost $747,692,878)

1,265,963

Technology Hardware & Equipment 0.10% Short-Term Investments 0.06%Qwest Capital Funding, 7.000%, due 08/03/2009 865,000 873,650 U.S. Treasury Bill, due 03/31/2005 * 500,000 545,793

873,650$ (Amortized Cost $545,793) 545,793

Total Invested Assets 81.66% 741,057,411(Amortized Cost $748,238,671)

Other Assets and Liabilities 18.34%Cash and cash equivalents *** 160,798,822Interest receivable 8,624,380Receivable for investments sold 39,338,394Payable for investments purchased (42,215,313)Variation margin on futures (85,343)Accrued expenses and other payables (37,403) 166,423,537

Net Assets 100.00% 907,480,948$




FOOTNOTES:* - Pledged to broker as part of collateral for open futures contracts ** - Variable or stepped coupon bond*** - The fund maintains liquid assets (eg. Cash) at least in the amount equivalent to the market value of the outstanding TBA's.@ - Perpetual bond# - Zero coupon bond

At December 31, 2005 the following futures contracts were outstanding:

Notional Contracts Description Market Value 257 US 2YR NOTE FUTURES March 2006 Long 52,733,188$ (7,919)$ (272) US 5YR NOTE FUTURES March 2006 Short (28,925,500) (13,212) 451 US 10YR NOTE FUTURES March 2006 Long 49,342,219 222,470 2 US BOND NOTE FUTURES March 2006 Long 228,375 2,856

73,378,282$ 204,195$

At December 31, 2005 the following TBA's were outstanding:

Contracts Description Market Value 11,455,000 FNMA 15YR 5.000% TBA 11,329,705$ 59,954$ 12,630,000 FNMA 15YR 5.500% TBA 12,704,998 45,395 2,235,000 FNMA 30YR 5.500% TBA 2,331,384 3,492 32,225,000 FHLMC GOLD 5.000% TBA 31,187,742 212,653 29,275,000 FHLMC GOLD 5.500% TBA 2,900,547 155,523 2,430,000 FHLMC GOLD 6.000% TBA 2,453,542 16,708 5,935,000 FNMA 4.500% TBA 5,773,639 47,292 11,895,000 FNMA 5.000% TBA 11,523,281 58,546 28,135,000 FNMA 5.500% TBA 27,853,650 266,365 2,085,000 FNMA 6.000% TBA 2,103,894 8,469 7,115,000 FNMA 4.500% TBA 6,699,214 38,629

116,861,596$ 913,026$

UnrealizedGains/(Losses)

Gains/(Losses)Unrealized




FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Dividends 30,078$ Interest 35,865,520



Realized and unrealized gains (losses) on investments: Net realized gains (losses) - securities (10,036,876) Net realized gains (losses) - futures (405,137) Net change in unrealized gains (losses) (6,064,039)






NET ASSETS



ACTIVELY MANAGED FIXED INCOME FUNDSHIGH YIELD BOND/CAYWOOD SCHOLL FUND (SACSF)


Par Value Market Value Par Value Market ValueBonds Automotive 1.76% Hotel, Restaurant & Leisure 11.43%Asbury Autmotive Group, 9.000%, due 06/15/2012 75,000$ 75,000$ Alderwoods Group Inc, 7.750%, due 09/15/2012 675,000$ 698,625$ Ford Motor Credit Co, 7.000%, due 10/01/2013 425,000 363,144 Amer Casino & Entertain, 7.850%, due 02/01/2012 500,000 512,500 Genl Motors Accept Corp, 6.875%, due 09/15/2011 850,000 775,153 Boyd Gaming, 6.750%, due 04/15/2014 150,000 148,875 Navistar Intl Corp, 6.250%, due 03/01/2012 275,000 246,125 Boyd Gaming, 7.750%, due 12/15/2012 750,000 785,625 TRW Automotive Inc, 9.375%, due 02/15/2013 677,000 732,853 Ceasars Entertainment Inc, 8.125%, due 05/15/2011 250,000 275,938

2,192,275 Ceasars Entertainment Inc, 9.375%, due 02/15/2007 95,000 98,919 Banks 0.58% Corrections Corp Of Amer, 7.500%, due 05/01/2011 350,000 362,250 Western Financial Bk-Fsb, 9.625%, due 05/15/2012 650,000 728,000 Felcor Lodging Lp, 9.000%, due 06/01/2011* 680,000 744,600

728,000 Hilton Hotels Corp, 8.250%, due 02/15/2011 490,000 536,994 Capital Goods 5.15% Host Marriott Lp, 7.125%, due 11/01/2013 400,000 416,000 Argo Tech Corp, 9.250%, due 06/01/2011 575,000 589,375 Host Marriott Lp, 9.250%, due 10/01/2007 340,000 358,700 Bombardier Inc, 6.750%, due 05/01/2012 300,000 277,500 Intrawest Corporation, 7.500%, due 10/15/2013 775,000 784,684 Case New Holland Inc, 6.000%, due 06/01/2009 450,000 436,500 La Quinta Properties, 7.000%, due 08/15/2012 350,000 378,875 Case New Holland Inc, 9.250%, due 08/01/2011 775,000 829,250 Mandalay Resort Group, 10.250%, due 08/01/2007 895,000 954,294 Douglas Dynamics LLC, 7.750%, due 01/15/2012 500,000 482,500 MGM Mirage, 6.000%, due 10/01/2009 600,000 596,250 Esterline Technologies, 7.750%, due 06/15/2013 350,000 365,750 MGM Mirage, 6.625%, due 07/15/2015 250,000 249,375 L-3 Communications Corp, 5.875%, due 01/15/2015 750,000 727,500 MGM Mirage, 6.750%, due 09/01/2012 250,000 253,438 L-3 Communications Corp, 6.375%, due 10/15/2015 200,000 199,500 MGM Mirage, 9.750%, due 06/01/2007 300,000 316,125 Moog Inc, 6.250%, due 01/15/2015 350,000 344,750 Mohegan Tribal Gaming, 6.375%, due 07/15/2009 650,000 654,063 Teekay Shipping Corp, 8.875%, due 07/15/2011 150,000 169,500 Mohegan Tribal Gaming, 7.125%, due 08/15/2014 200,000 204,750 Thomas & Betts, 7.250%, due 06/01/2013 470,000 500,118 Royal Caribbean Cruises, 8.000%, due 05/15/2010 1,050,000 1,140,423 Trinity Inds Inc, 6.500%, due 03/15/2014 600,000 591,000 San Pasqual Casino, 8.000%, due 09/15/2013 600,000 609,000 United Rentals North Am, 6.500%, due 02/15/2012 925,000 900,719 Seneca Gaming Corp, 7.250%, due 05/01/2012 150,000 150,938

6,413,962 Seneca Gaming Corp, 7.250%, due 05/01/2012 375,000 377,344 Collateralized Mortgage Obligations 0.61% Service Corp Intl, 7.700%, due 04/15/2009 750,000 787,500 Allegheny Energy Inc, 5.340%, due 03/08/2011** 140,175 141,693 Starwood Hotels and Resorts, 7.875%, due 05/01/2012 585,000 644,963 Davita Inc, 6.350%, due 07/01/2012 432,353 437,817 Station Casinos, 6.875%, due 03/01/2016 900,000 920,250 SunGard Data Systems Inc, 6.280%, due 02/11/2013 174,125 175,123 The Restaurant Company, 10.000%, due 10/01/2013 300,000 277,500

754,633 14,238,798 Commercial Services & Supplies 2.73% Household Products 1.05%Adesa Inc, 7.625%, due 06/15/2012 550,000 547,250 Central Garden & Pet Co, 9.125%, due 02/01/2013 670,000 706,850 Allied Waste North Amer, 5.750%, due 02/15/2011 700,000 663,250 Elizabeth Arden Inc, 7.750%, due 01/15/2014 600,000 606,000 Allied Waste North Amer, 8.875%, due 04/01/2008 280,000 295,400 1,312,850 Carriage Services Inc, 7.875%, due 01/15/2015 200,000 203,500 Insurance 0.36%Dollar Financial Group, 9.750%, due 11/15/2011 800,000 824,000 Fremont General Corp, 7.875%, due 03/17/2009 450,000 450,000 Hertz Corp, 8.875%, due 01/01/2014 375,000 382,031 450,000 Service Corp Intl, 6.750%, due 04/01/2016 500,000 487,500 Materials 11.64%

3,402,931 Ak Steel Corp, 7.750%, due 06/15/2012 350,000 315,875 Consumer Durables & Apparel 3.95% Arch Western Finance, 6.750%, due 07/01/2013 700,000 713,125 Imax Corp, 9.625%, due 12/01/2010 700,000 721,000 BCP Crystal Holdings Corp, 9.625%, due 06/15/2014 569,000 633,013 Interface Inc, 10.375%, due 02/01/2010 150,000 162,375 Buckeye Technologies Inc, 8.500%, due 10/01/2013 650,000 650,000 Invista, 9.250%, due 05/01/2012 800,000 854,000 California Steel Industr, 6.125%, due 03/15/2014 250,000 233,750 K Hovnanian Enterprises, 6.000%, due 01/15/2010 450,000 426,786 Crown Americas Inc, 7.750%, due 11/15/2015 675,000 698,625 Levi Strauss & Co, 8.804%, due 04/01/2012** 400,000 403,000 Equistar Chemical/Fundng, 10.625%, due 05/01/2011 475,000 522,500 Levi Strauss & Co, 9.750%, due 01/15/2015 450,000 468,000 Foundation PA Coal Co, 7.250%, due 08/01/2014 450,000 465,188 Perry Ellis Intl Inc, 8.875%, due 09/15/2013 650,000 640,250 Georgia Pacific Corp, 9.500%, due 12/01/2011 275,000 289,781 Phillips Van Heusen, 7.250%, due 02/15/2011 270,000 274,050 Goodman Global Holdings, 7.875%, due 12/15/2012 900,000 837,000 Phillips Van Heusen, 8.125%, due 05/01/2013 650,000 685,750 Hercules Inc, 6.750%, due 10/15/2029 950,000 914,375 Standard Pacific Corp, 6.875%, due 05/15/2011 300,000 292,500 Huntsman Intl Llc, 9.875%, due 03/01/2009 435,000 458,925

4,927,711 International Steel Group, 6.500%, due 04/15/2014 300,000 300,000 Energy 6.20% Ispat Inland Ulc, 9.750%, due 04/01/2014 487,000 551,528 Anr Pipeline Co, 8.875%, due 03/15/2010 375,000 400,768 Massey Energy Co, 6.625%, due 11/15/2010 300,000 304,875 Atlas Pipeline Partners, 8.125%, due 12/15/2015 150,000 151,313 Nalco Company, 7.750%, due 11/15/2011 500,000 513,750 Compton Petroleum Corp, 7.625%, due 12/01/2013 300,000 306,750 Nalco Company, 8.875%, due 11/15/2013 200,000 209,500 Denbury Resources Inc, 7.500%, due 12/15/2015 275,000 278,438 Norske Skog Canada, 7.375%, due 03/01/2014 125,000 109,375 Dresser Inc, 9.375%, due 04/15/2011 770,000 810,425 Novelis Inc, 7.250%, due 02/15/2015 450,000 419,625 Dresser-Rand Group Inc, 7.375%, due 11/01/2014 408,000 420,240 Owens Illinois Inc, 7.500%, due 05/15/2010 110,000 111,650 El Paso Corporation, 7.875%, due 06/15/2012 1,200,000 1,236,000 Owens-Brockway Glass Con, 6.750%, due 12/01/2014 250,000 242,500 Ferrellgas Lp/Finance, 6.750%, due 05/01/2014 375,000 354,375 Owens-Brockway Glass Con, 8.750%, due 11/15/2012 1,035,000 1,112,624 Hanover Compressor Co, 0.000%, due 03/31/2007*** 150,000 134,625 Plastipak Holdings Inc, 8.500%, due 12/15/2015 600,000 606,000 Hanover Equip Trust 01 B, 8.750%, due 09/01/2011 625,000 660,938 Rockwood Specialties Group, 7.500%, due 11/15/2014 625,000 622,656 Inergy LP / Inergy Finance, 6.875%, due 12/15/2014 275,000 250,250 Steel Dynamics Inc, 9.500%, due 03/15/2009 625,000 657,813 Northwest Pipeline Corp, 8.125%, due 03/01/2010 180,000 190,800 Steel Dynamics Inc, 9.500%, due 03/15/2009 100,000 105,250 Southern Natural Gas, 8.875%, due 03/15/2010 50,000 53,436 Texas Industries Inc, 7.250%, due 07/15/2013 550,000 570,625 Tennessee Gas Pipeline, 8.375%, due 06/15/2032 390,000 442,493 US Concrete Inc, 8.375%, due 04/01/2014 300,000 299,250 Universal Compressn Inc, 7.250%, due 05/15/2010 700,000 710,500 Usec Inc, 6.625%, due 01/20/2006 450,000 450,000 Whiting Petroleum Corp, 7.000%, due 02/01/2014 200,000 200,500 Westlake Chemical Corp, 8.750%, due 07/15/2011 550,000 588,500 Williams Cos, 7.125%, due 09/01/2011 250,000 259,688 14,507,678 Williams Cos, 8.125%, due 03/15/2012 790,000 861,100 Media 8.89%

7,722,639 Block Communications Inc, 8.250%, due 12/15/2015 450,000 445,500 Financial Services 1.69% Cbd Media/Cbd Finance, 8.625%, due 06/01/2011 275,000 280,500 AMR Real Estate PTR/FIN, 7.125%, due 02/15/2013 175,000 175,000 Corus Entertainment Inc, 8.750%, due 03/01/2012 1,125,000 1,217,811 E Trade Financial Corporation, 7.375%, due 09/15/2013 575,000 582,187 CSC Holdings Inc, 8.125%, due 07/15/2009 550,000 555,500 Nell AF Sarl, 8.375%, due 08/15/2015 750,000 742,500 CSC Holdings Inc, 8.375%, due 12/15/2015 335,000 333,325 Rainbow Natl Srvcs LLC, 10.375%, due 09/01/2014 350,000 392,000 Dex Media East Llc/Fin, 12.125%, due 11/15/2012 292,000 341,640 Rainbow Natl Srvcs LLC, 8.750%, due 09/01/2012 100,000 106,500 Dex Media East Llc/Fin, 9.875%, due 11/15/2009 300,000 324,375 Residential Capital Corp, 6.375%, due 06/30/2010 100,000 101,612 Dex Media West/Finance, 8.500%, due 08/15/2010 450,000 471,375

2,099,799 Dex Media West/Finance, 9.875%, due 08/15/2013 781,000 866,910 Food & Drug Retailers 4.33% Directv Holdings/Finance, 6.375%, due 06/15/2015 675,000 659,813 Chiquita Brands Intl, 7.500%, due 11/01/2014 275,000 242,000 Directv Holdings/Finance, 8.375%, due 03/15/2013 293,000 314,975 Constellation Brands Inc, 8.125%, due 01/15/2012 225,000 234,000 Echostar DBS Corp, 6.375%, due 10/01/2011 825,000 794,063 Delhaize America Inc, 8.125%, due 04/15/2011 950,000 1,035,563 Echostar DBS Corp, 6.625%, due 10/01/2014 200,000 191,750 Dole Foods Co, 8.625%, due 05/01/2009 611,000 626,275 General Cable Corporation, 9.500%, due 11/15/2010 125,000 132,500 Ingles Markets Inc, 8.875%, due 12/01/2011 800,000 828,000 Houghton Mifflin Co, 8.250%, due 02/01/2011 610,000 629,825 Jean Coutu Group PJC Inc, 7.625%, due 08/01/2012 575,000 566,375 Mediacom Llc/Cap Corp, 9.500%, due 01/15/2013 275,000 268,469 Landrys Restaurants Inc, 7.500%, due 12/15/2014 850,000 794,750 Primedia Inc, 8.875%, due 05/15/2011 445,000 410,513 Pilgrims Pride Corp, 9.250%, due 11/15/2013 150,000 160,125 RH Donnelley Corp, 6.875%, due 01/15/2013 125,000 115,156 Smithfield Foods, 7.625%, due 02/15/2008 450,000 464,625 RH Donnelley Fin Corp I, 10.875%, due 12/15/2012 510,000 575,025 Smithfield Foods, 7.750%, due 05/15/2013 425,000 449,438 RH Donnelley Fin Corp I, 10.875%, due 12/15/2012 125,000 140,938

5,401,151 Rogers Cable Inc, 6.250%, due 06/15/2013 275,000 271,219 Food, Beverage & Tobacco 0.21% Rogers Cable Inc, 6.750%, due 03/15/2015 250,000 253,750 Cott Beverages Inc, 8.000%, due 12/15/2011 250,000 256,250 Sinclair Broadcast Group, 8.750%, due 12/15/2011 250,000 263,125

256,250 Sun Media Corp, 7.625%, due 02/15/2013 180,000 184,500 Healthcare 2.76% Videotron Ltee, 6.375%, due 12/15/2015 150,000 149,063 Beverly Enterprises, 7.875%, due 06/15/2014 125,000 133,750 Videotron Ltee, 6.875%, due 01/15/2014 700,000 708,750 Davita Inc, 6.625%, due 03/15/2013 725,000 737,688 Ziff Davis Media Inc, 13.000%, due 08/12/2009* 205,560 182,691 HCA Inc, 6.950%, due 05/01/2012 1,000,000 1,037,243 11,083,061 HCA Inc, 7.500%, due 11/06/2033 100,000 103,252 Pharmaceuticals & Biotech 1.09%Iasis Healthcare/Cap Crp, 8.750%, due 06/15/2014 425,000 446,250 Mylan Labs, 6.375%, due 08/15/2015 400,000 400,500 US Oncology Inc, 9.000%, due 08/15/2012 725,000 775,750 Omnicare Inc, 6.750%, due 12/15/2013 600,000 606,750 Ventas Realty, 7.125%, due 06/01/2015 200,000 210,000 Wh Holdings/Wh Capital, 9.500%, due 04/01/2011 330,000 356,400

3,443,933$ 1,363,650$


ACTIVELY MANAGED FIXED INCOME FUNDSHIGH YIELD BOND/CAYWOOD SCHOLL FUND (SACSF)


Par Value Market Value Shares Market ValueReal Estate 0.58% Transportation 0.00%MeriStar Hospitality Corp, 9.000%, due 01/15/2008 250,000$ 258,438$ Sun Carriers Inc # 104,320 1$ Thornburg Mortgage, 8.000%, due 05/15/2013 475,000 467,875 US Airways Group Inc # 1,875 306

726,313 307 Retail 3.01%Amerigas Partners LP, 7.250%, due 05/20/2015 350,000 357,000 Total Common Stock 0.25% 318,097 Asbury Autmotive Group, 8.000%, due 03/15/2014 175,000 167,125 (Cost $1,031,763)Buhrmann Us Inc, 8.250%, due 07/01/2014 675,000 677,531 JC Penney Co, 7.950%, due 04/01/2017 200,000 232,308 Preferred StockJC Penney Co, 8.000%, due 03/01/2010 375,000 410,718 Media 0.01%Jo Ann Stores Inc, 7.500%, due 03/01/2012 275,000 224,813 Ziff Davis Holdings Inc # 55 2,475 Neiman Marcus Group Inc, 9.000%, due 10/15/2015 775,000 792,437 (Cost $3,795)Pantry Inc, 7.750%, due 02/15/2014 300,000 300,000 Suburban Propane Partnrs, 6.875%, due 12/15/2013 625,000 584,375

3,746,307 WarrantsSoftware & Services 0.42% Healthcare 0.00%Ftd Inc, 7.750%, due 02/15/2014 529,000 523,710 Mediq Inc # 5,600 1

523,710 1 Technology Hardware & Equipment 2.48% Materials 0.00%SunGard Data Systems Inc, 4.875%, due 01/15/2014 1,025,000 891,750 Pliant Corporation # 3,700 37 SunGard Data Systems Inc, 9.125%, due 08/15/2013 750,000 776,250 37 Xerox Corp, 7.125%, due 06/15/2010 750,000 780,937 Media 0.00%Xerox Corp, 7.200%, due 04/01/2016 200,000 210,000 Ziff Davis Holdings Inc # 10,100 1,010 Xerox Corp, 7.625%, due 06/15/2013 125,000 131,875 1,010 Xerox Corp, 9.750%, due 01/15/2009 275,000 304,219 Technology Hardware & Equipment 0.00%

3,095,031 Convergent Communications # 24,000 240 Telecommunication Services 11.54% ICG Communications # 16,500 165 American Cellular Corp, 10.000%, due 08/01/2011 1,050,000 1,139,250 405 American Towers Inc, 7.250%, due 12/01/2011 650,000 676,000 Telecommunication Services 0.00%AT&T Corp, 9.050%, due 11/15/2011** 825,000 913,131 KMC Telecom Hldgs Inc # 7,000 70 Citizens Communications, 6.250%, due 01/15/2013 650,000 628,875 Poland Telecom Finance # 2,500 25 Dobson Cellular Systems, 8.375%, due 11/01/2011 350,000 371,438 Versatel # 4,325 43 Hawaiian Telecom Communication, 9.750%, due 05/01/2013 550,000 537,625 138 Inmarsat Finance Plc, 7.625%, due 06/30/2012 435,000 448,594 Intelsat Ltd, 8.250%, due 01/15/2013 250,000 252,500 Total Warrants 0.00% 1,591 Intelsat Ltd, 8.625%, due 01/15/2015 950,000 959,500 (Cost $1,591)Intelsat Ltd, 8.695%, due 01/15/2012** 250,000 254,063 Mci Inc, 8.735%, due 05/01/2014** 1,275,000 1,410,466 New Skies Satellites, 9.125%, due 11/01/2012 375,000 400,781 Total Invested Assets 95.97% 119,606,931 Nextel Communications, 5.950%, due 03/15/2014 775,000 779,059 (Cost $122,504,783)Panamsat Corp, 6.375%, due 01/15/2008 300,000 300,000 Panamsat Corp, 9.000%, due 08/15/2014 508,000 532,130 Poland Telecom Finance, 14.000%, due 12/01/2007 3,000,000 300 Qwest Communications Intl, 7.500%, due 02/15/2014** 275,000 282,563 Other Assets and Liabilities 4.03%Qwest Corp, 8.875%, due 03/15/2012** 875,000 986,563 Cash and cash equivalents 2,771,183 Rogers Wireless Inc, 7.500%, due 03/15/2015 1,200,000 1,296,000 Interest receivable 2,255,731 Rogers Wireless Inc, 9.625%, due 05/01/2011 695,000 799,250 Receivable for investments sold 5,287 SBA Communications, 8.500%, due 12/01/2012 390,000 432,900 Accrued expenses and other payables (5,578) Time Warner Telecom Hldg, 9.250%, due 02/15/2014 880,000 928,400 5,026,623 Zeus Special Sub Lmtd, due 02/01/2015*** 75,000 49,313

14,378,701 Transportation 0.92% Net Assets 100.00% 124,633,554$ Continental Airlines Inc, 9.500%, due 10/15/2013 325,378 244,118 US Airways, 9.820%, due 01/01/2013 3,068,395 905,176

1,149,294 FOOTNOTES:Utilities 12.33% * - Stepped coupon bondAES Corporation, 8.750%, due 05/15/2013 600,000 653,250 ** - Variable coupon bondAES Corporation, 9.500%, due 06/01/2009 580,000 626,400 *** - Zero coupon bondAvista Corp, 7.750%, due 01/01/2007 135,000 138,328 # - In defaultChesapeake Energy Corp, 6.625%, due 01/15/2016 1,100,000 1,113,750 Chesapeake Energy Corp, 7.750%, due 01/15/2015 660,000 699,600 CMS Energy Corp, 7.750%, due 08/01/2010 275,000 288,406 CMS Energy Corp, 8.900%, due 07/15/2008 50,000 53,438 CMS Energy Corp, 9.875%, due 10/15/2007 275,000 294,250 Colorado Interstate Gas, 6.800%, due 11/15/2015 400,000 408,710 Dynegy Holdings Inc, 9.875%, due 07/15/2010 175,000 191,844 Edison Mission, 9.875%, due 04/15/2011 550,000 641,436 Ipalco Enterprises Inc, 8.375%, due 11/14/2008 120,000 125,700 Kerr Mcgee Corporation, 6.875%, due 09/15/2011 600,000 641,101 Magnum Hunter Resources Inc, 9.600%, due 03/15/2012 117,000 126,945 Midwest Generation Llc, 8.750%, due 05/01/2034 600,000 660,750 Mirant North America LLC, 7.375%, due 12/31/2013 525,000 530,906 MSW Energy Hldgs/Fin Ii, 7.375%, due 09/01/2010 400,000 411,000 MSW Energy Hldgs/Finance, 8.500%, due 09/01/2010 500,000 532,500 Nevada Power Co, 5.875%, due 01/15/2015 150,000 148,848 Nevada Power Co, 6.500%, due 04/15/2012 600,000 615,000 NRG Energy Inc, 8.000%, due 12/15/2013 776,000 865,240 Pogo Producing, 6.875%, due 10/01/2017 775,000 755,625 Reliant Energy Inc, 6.750%, due 12/15/2014 375,000 327,188 Reliant Energy Inc, 9.250%, due 07/15/2010 575,000 575,000 Sierra Pacific Resources, 6.750%, due 08/15/2017 150,000 149,250 Sierra Pacific Resources, 8.625%, due 03/15/2014 850,000 919,691 Teco Energy Inc, 6.750%, due 05/01/2015 150,000 155,250 Teco Energy Inc, 7.500%, due 06/15/2010 375,000 399,375 Tenaka Alabama, 7.000%, due 06/30/2021 448,489 451,195 Texas Genco LLC, 6.875%, due 12/15/2014 1,000,000 1,082,500 TXU Corp, 5.550%, due 11/15/2014 825,000 783,615

15,366,091

Total Bonds 95.71% 119,284,768 (Amortized Cost $121,467,634)

Common Stock Shares Market ValueFood & Drug Retailers 0.05%Vlasic Membership Interests # 3,389,511 67,790

67,790 Media 0.20%Medianews Group Inc 2,000 250,000

250,000$



HIGH YIELD BOND/CAYWOOD SCHOLL FUND (SACSF)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:


12,562,243

Expenses:



Asset charge 37,153

Audit fees 3,797

802,531



on investments:












NET ASSETS

Beginning of year -


Net increase (decrease) for the year (966,080)

End of year 124,633,554$


ACTIVELY MANAGED FIXED INCOME FUNDS INVESTMENT GRADE CORPORATE BOND/BSAM FUND (SA14)



Bonds Asset-Backed Securities 0.27% Financial Services (continued)Equity One ABS, 4.860%, due 07/25/2033 425,000$ 419,269$ General Elec Cap Corp, 4.875%, due 10/21/2010 4,400,000$ 4,390,250$

419,269 Glencore Funding LLC, 6.000%, due 04/15/2014 450,000 425,385Automotive 1.71% Goldman Sachs Group Inc, 6.875%, due 01/15/2011 3,300,000 3,554,997Daimler Chrysler Na Hldg, 4.875%, due 06/15/2010 750,000 732,290 Goldman Sachs Group Inc, 5.250%, due 04/01/2013 115,000 115,163Daimler Chrysler Na Hldg, 6.500%, due 11/15/2013 455,000 476,407 HSBC Finance Corp, 5.000%, due 06/30/2015 1,000,000 972,415Ford Motor Credit Co, 7.000%, due 10/01/2013 360,000 307,605 HSBC Finance Corp, 6.375%, due 11/27/2012 1,135,000 1,206,029Ford Motor Credit Co, 7.375%, due 02/01/2011 870,000 762,571 Intl Lease Finance Corp, 6.375%, due 03/15/2009 180,000 186,957Ford Motor Credit Co, 7.375%, due 10/28/2009 410,000 363,623 Intl Lease Finance Corp, 5.125%, due 11/01/2010 380,000 378,379

2,642,496 Lehman Brothers Holdings, 5.000%, due 01/14/2011 1,105,000 1,102,707Banks 11.41% Merrill Lynch & Co, 4.790%, due 08/04/2010 655,000 647,633Abbey Natl Cap Trust I** 680,000 925,203 Merrill Lynch Medium Term Note, 6.000%, due 02/17/2009 1,185,000 1,222,015Bank of America Corp, 4.250%, due 10/01/2010 375,000 364,652 Mizuho Finance, 5.790%, due 04/15/2014 295,000 304,303Bank of America Corp, 5.875%, due 02/15/2009 480,000 492,995 Morgan Stanley, 6.750%, due 04/15/2011 2,215,000 2,384,507Bank of America Corp, 6.800%, due 03/15/2028 260,000 297,885 Pemex Project Fdg Master Trust, 9.125%, due 10/13/2010 315,000 362,565Bank of America Corp, 7.400%, due 01/15/2011 245,000 269,873 23,462,742 Bank of America Corp, 7.800%, due 02/15/2010 780,000 861,346Bank One Corp, 5.250%, due 01/30/2013 250,000 250,391 Food & Drug Retailers 5.48%Bank Boston NA, 6.375%, due 03/25/2008 465,000 479,730 Albertsons Inc, 7.500%, due 02/15/2011 400,000 408,276Citicorp, 7.250%, due 10/15/2011 725,000 809,515 Archer Daniels Midland, 5.935%, due 10/01/2032 515,000 535,796Credit Suisse Fb Usa Inc, 4.875%, due 01/15/2015 315,000 306,521 Campbell Soup Company, 5.875%, due 10/01/2008 365,000 373,290Credit Suisse Fb Usa Inc, 6.500%, due 01/15/2012 575,000 615,123 Hj Heinz Finance Co, 6.000%, due 03/15/2012 125,000 128,402Dresdner Bank-New York, 7.250%, due 09/15/2015 740,000 847,383 Hj Heinz Finance Co, 6.750%, due 03/15/2032 545,000 598,580Dresdner Fndg Trust I, 8.151%, due 06/30/2031 90,000 110,654 Kellogg Co, 6.600%, due 04/01/2011 1,980,000 2,119,768First Massachusetts Bank, 7.625%, due 06/15/2011 455,000 508,935 Kraft Foods Inc, 5.625%, due 11/01/2011 1,830,000 1,877,575Golden West Financial Corp, 4.125%, due 08/15/2007 35,000 34,640 Kroger Co, 6.750%, due 04/15/2012 225,000 236,620Golden West Financial Corp, 4.750%, due 10/01/2012 135,000 132,337 Kroger Co, 7.500%, due 04/01/2031 330,000 368,404Greenpoint Bank, 9.250%, due 10/01/2010 650,000 759,288 Safeway Inc, 5.800%, due 08/15/2012 143,000 143,729JP Morgan Chase & Co, 5.150%, due 10/01/2015 635,000 625,997 Safeway Inc, 7.250%, due 02/01/2031 230,000 248,188JP Morgan Chase & Co, 5.750%, due 01/02/2013 505,000 520,798 Tyson Foods Inc, 8.250%, due 10/01/2011 535,000 604,047JP Morgan Chase & Co, 6.750%, due 02/01/2011 1,335,000 1,429,888 Unilever Capital Corp, 5.900%, due 11/15/2032 350,000 370,722Korea Development Bank, 4.250%, due 11/13/2007 165,000 162,795 Wal Mart Stores Inc, 6.875%, due 08/10/2009 430,000 457,639Manuf & Traders Trust Co, 5.585%, due 12/28/2020 541,836 541,836 8,471,036 PNC Funding Corp, 5.125%, due 12/14/2010 315,000 316,011RBS Capital Trust III** 1,505,000 1,496,217 Food, Beverage & Tobacco 0.66%Santander Fin Issuances, 6.375%, due 02/15/2011 415,000 441,243 Anheuser Busch Cos Inc, 6.500%, due 05/01/2042 350,000 399,250Sanwa Finance Aruba Aec, 8.350%, due 07/15/2009 265,000 292,598 Heinz Co, 6.375%, due 07/15/2028 45,000 47,355UFJ Finance Aruba Aec, 6.750%, due 07/15/2013 250,000 272,966 Miller Brewing Co, 5.500%, due 08/15/2013 560,000 570,811US Bank Na Minnesota, 6.375%, due 08/01/2011 155,000 165,514 1,017,416 US Bank Na, 5.700%, due 12/15/2008 650,000 665,105Wachovia Bank Na, 4.875%, due 02/01/2015 610,000 594,882 Government (incl Agency) 8.71%Washington Mutual Bank, 5.500%, due 01/15/2013** 315,000 319,918 Export Import Bank China, 4.875%, due 07/21/2015 335,000 327,647Wells Fargo Financial, 4.625%, due 08/09/2010 1,150,000 1,135,677 FICO Strip Prn, due 03/07/2019 # 30,000 15,868Wells Fargo Financial, 4.950%, due 10/16/2013 595,000 591,581 FICO Strip Prn, due 04/05/2019 # 1,005,000 529,461

17,639,497 FICO Strip Prn, due 05/11/2016 # 145,000 87,736Capital Goods 4.44% FICO Strip Prn, due 06/06/2016 # 425,000 256,280Boeing Capital Corp, 6.100%, due 03/01/2011 540,000 568,957 FICO Strip Prn, due 08/03/2018 # 1,120,000 610,910Boeing Co, 8.750%, due 09/15/2031 210,000 300,639 FICO Strip Prn, due 08/03/2018 # 420,000 229,091Caterpillar Fin Serv Corp, 4.350%, due 03/04/2009 885,000 871,963 FICO Strip Prn, due 09/26/2019 # 1,225,000 629,519General Elec Cap Svcs, 7.500%, due 08/21/2035 240,000 309,336 FICO Strip Prn, due 10/06/2017 # 265,000 150,899Hutchison Whampoa Intl Ltd, 6.500%, due 02/13/2013 335,000 355,202 FICO Strip Prn, due 10/06/2017 # 545,000 310,340Itt Industries Inc, 7.400%, due 11/15/2025 200,000 238,755 FICO Strip Prn, due 11/02/2018 # 850,000 457,866John Deere Capital Corp, 7.000%, due 03/15/2012 465,000 513,596 FICO Strip Prn, due 11/30/2017 # 300,000 169,488John Deere Captial Corp, 4.875%, due 10/15/2010 640,000 636,881 FICO Strip Prn, due 11/30/2017 # 960,000 542,362Raytheon Co, 6.400%, due 12/15/2018 250,000 270,681 FICO Strip Prn, due 12/06/2018 # 385,000 206,367Raytheon Co, 6.750%, due 03/15/2018 725,000 810,133 FICO Strip Prn, due 12/27/2016 # 505,000 295,604Telus Corporation, 8.000%, due 06/01/2011 1,780,000 1,995,487 Russian Federation, 5.000%, due 03/31/2030** 300,000 338,925

6,871,630 US Treasury N/B, 2.000%, due 07/15/2014 5,325,000 5,595,547US Treasury N/B, 6.000%, due 02/15/2026 2,295,000 2,706,308

Consumer Durables & Apparel 0.52% 13,460,218 Black & Decker Corp, 7.125%, due 06/01/2011 755,000 810,706

810,706 Healthcare 0.30%Hospira Inc, 5.900%, due 06/15/2014 455,000 469,936

Collateralized Mortgage Obligations 0.44% 469,936 Washington Mutual, 4.844%, due 10/25/2035** 687,453 685,361

685,361 Hotel, Restaurant & Leisure 0.92%Energy 4.56% Brinker Intl, 5.750%, due 06/01/2014 235,000 235,762Atmos Energy Corp, 4.000%, due 10/15/2009 610,000 585,004 Cendant Corporation, 4.890%, due 08/17/2006 645,000 638,130Canadian Natural Resources, 5.450%, due 10/01/2012 250,000 254,973 Yum! Brands Inc, 8.875%, due 04/15/2011 480,000 549,562Conoco Funding Co, 6.350%, due 10/15/2011 2,415,000 2,587,617 1,423,454 Conocophillips, 6.650%, due 07/15/2018 350,000 394,907Consolidated Natural Gas, 6.250%, due 11/01/2011 690,000 722,548 Household Products 0.21%Duke Energy Field Srvcs, 6.875%, due 02/01/2011 300,000 321,076 Clorox Co, 4.200%, due 01/15/2010 195,000 188,955Encana Corp, 4.600%, due 08/15/2009 395,000 390,755 Clorox Co, 5.000%, due 01/15/2015 145,000 142,827Magellan Midstream Prtns, 6.450%, due 06/01/2014 290,000 308,325 331,782 Nexen Inc, 5.200%, due 03/10/2015 575,000 570,159Southwest Gas Corp, 7.625%, due 05/15/2012 310,000 346,157 Insurance 1.57%Tengizchevroil Finace, 6.124%, due 11/15/2014 340,000 345,780 American International Group, 4.700%, due 10/01/2010 300,000 295,661XTO Energy Inc, 5.300%, due 06/30/2015 225,000 224,998 American International Group, 5.050%, due 10/01/2015 900,000 883,287

7,052,299 American Re Corp, 7.450%, due 12/15/2026 680,000 779,246Axa Financial Inc, 7.750%, due 08/01/2010 145,000 160,558

Financial Services 15.18% St Paul Travelers Cos Inc, 5.500%, due 12/01/2015 300,000 302,159Axa, 8.600%, due 12/15/2030 195,000 260,587 2,420,911 BAE Systems Holdings Inc, 6.400%, due 12/15/2011 1,205,000 1,249,465Cit Group Inc, 4.125%, due 11/03/2009 545,000 526,827 Materials 1.87%Cit Group Inc, 6.875%, due 11/01/2009 150,000 159,109 Dow Chemical, 6.000%, due 10/01/2012 340,000 357,332Citigroup Inc, 4.700%, due 05/29/2015 460,000 444,476 International Paper Company, 5.500%, due 01/15/2014 775,000 761,690Citigroup Inc, 5.300%, due 01/07/2016 950,000 957,779 Ispat Inland Ulc, 9.750%, due 04/01/2014 464,000 525,480Credit Suisse Fb Usa Inc, 4.875%, due 08/15/2010 200,000 198,466 Stora Enso Oyj, 7.375%, due 05/15/2011 650,000 700,369Encana Hldings Fin Corp, 5.800%, due 05/01/2014 685,000 714,019 Weyerhaeuser Co, 6.750%, due 03/15/2012 225,000 238,812General Elec Cap Corp, 4.125%, due 03/04/2008 1,725,000 1,698,709 Weyerhaeuser Co, 7.375%, due 03/15/2032 275,000 305,720

2,889,403$

The Notes to the Financial Statements are in integral part of these statements.129

ACTIVELY MANAGED FIXED INCOME FUNDS INVESTMENT GRADE CORPORATE BOND/BSAM FUND (SA14)



Media 6.01% Utilities (cont'd)Clear Channel Communications, 5.750%, due 01/15/2013 425,000$ 416,686$ PSEG Power, 5.500%, due 12/01/2015 390,000$ 387,160$ Comcast Cable Communication, 6.750%, due 01/30/2011 90,000 95,293 Pepco Holdings Inc, 6.450%, due 08/15/2012 450,000 473,496Harcourt General Inc, 7.200%, due 08/01/2027 440,000 510,452 Progress Energy Inc, 6.850%, due 04/15/2012 60,000 64,422News America Holdings, 7.750%, due 12/01/2045 285,000 326,734 Progress Energy Inc, 7.000%, due 10/30/2031 605,000 671,379News America Holdings, 7.900%, due 12/01/2095 160,000 181,807 Progress Energy Inc, 7.100%, due 03/01/2011 80,000 86,314News America Holdings, 8.250%, due 10/17/2096 70,000 82,464 Tenaska Alabama II Partners, 6.125%, due 03/30/2023 187,046 190,443News America Inc, 6.750%, due 01/09/2038 50,000 52,867 TXU Energy Co LLC, 7.000%, due 03/15/2013 450,000 479,549News America Inc, 7.250%, due 05/18/2018 450,000 501,545 TXU Corp, 4.800%, due 11/15/2009 330,000 317,418TCI Communications Inc, 7.875%, due 08/01/2013 1,210,000 1,367,622 TXU Corp, 5.550%, due 11/15/2014 470,000 446,423TCI Communications Inc, 9.800%, due 02/01/2012 1,740,000 2,099,126 Xcel Energy Inc, 3.400%, due 07/01/2008 235,000 226,477Time Warner Inc, 6.750%, due 04/15/2011 840,000 882,075 Xcel Energy Inc, 7.000%, due 12/01/2010 420,000 452,017Time Warner Inc, 8.050%, due 01/15/2016 1,675,000 1,905,678 14,773,017 Time Warner Inc, 9.125%, due 01/15/2013 740,000 875,846

9,298,195 Yankee Bonds 4.77%Quebec Province, 5.000%, due 07/17/2009 2,785,000 2,808,524

Pharmaceuticals & Biotech 1.59% Quebec Province, 6.125%, due 01/22/2011 2,145,000 2,267,357Bristol Myers Squibb, 5.750%, due 10/01/2011 485,000 500,898 Republic Of Chile, 5.500%, due 01/15/2013 185,000 188,978Lilly Eli & Co, 6.770%, due 01/01/2036 665,000 798,438 United Mexican States, 4.625%, due 10/08/2008 290,000 286,375Merck & Co Inc, 6.300%, due 01/01/2026 385,000 409,003 United Mexican States, 6.375%, due 01/16/2013 225,000 239,063Wyeth, 5.500%, due 02/01/2014 280,000 283,627 United Mexican States, 8.300%, due 08/15/2031 1,235,000 1,586,975Wyeth, 5.500%, due 03/15/2013 465,000 471,402 7,377,272

2,463,368

Retail 0.33%May Department Stores, 4.800%, due 07/15/2009 90,000 88,745 Total Bonds 95.00%May Department Stores, 5.750%, due 07/15/2014 410,000 418,012 (Amortized Cost $149,711,825) 146,877,582

506,757

Technology Hardware & Equipment 0.66%Electronic Data Systems, 6.500%, due 08/01/2013 205,000 210,681 Short - term Investments 0.16%IBM Corp, 4.375%, due 06/01/2009 825,000 814,654 U.S. Treasury Bills, due 03/03/2005* 248,104

1,025,335 (Amortized Cost $248,104) 248,104

Telecommunication Services 11.57%AT&T Wireless Svcs Inc, 7.875%, due 03/01/2011 230,000 258,073 Total Invested Assets 95.16% 147,125,686 AT&T Wireless Svcs Inc, 8.125%, due 05/01/2012 555,000 641,263 (Amortized Cost $149,959,929)Bellsouth Corporation, 4.200%, due 09/15/2009 605,000 587,688Bellsouth Corporation, 4.750%, due 11/15/2012 415,000 404,406Bellsouth Corporation, 6.550%, due 06/15/2034 260,000 276,942 Other Assets and Liabilities - 4.84%British Telecom Plc, 8.875%, due 12/15/2030 795,000 1,063,664 Cash and cash equivalents 4,827,608 Deutsche Telekom Int Fin, 8.250%, due 06/15/2030** 840,000 1,068,370 Interest receivable 2,197,082 France Telecom, 7.750%, due 03/01/2011** 1,480,000 1,653,070 Receivable for investments sold 444,155 Intelsat Ltd, 6.500%, due 11/01/2013 335,000 249,575 Variation margin for futures receivable 15,970 Koninklijke Kpn Nv, 8.000%, due 10/01/2010 1,085,000 1,191,600 Accrued expenses and other payables (7,505) Qwest Corp, 8.875%, due 03/15/2012** 205,000 231,138 7,477,310 SBC Communications, 4.125%, due 09/15/2009 180,000 173,812SBC Communications, 5.100%, due 09/15/2014 525,000 512,863SBC Communications, 6.450%, due 06/15/2034 305,000 317,375 Net Assets 100.00% 154,602,996$ Sprint Capital Corp, 6.875%, due 11/15/2028 780,000 852,298Sprint Capital Corp, 8.375%, due 03/15/2012 635,000 735,942Sprint Capital Corp, 8.750%, due 03/15/2032 455,000 603,821 FOOTNOTES:Telecom Italia Capital, 4.000%, due 01/15/2010 1,890,000 1,800,127 *-Pledged to broker as collateral for open futures contractsTelecom Italia Capital, 5.250%, due 10/01/2015 730,000 709,035 ** - Variable or stepped coupon bondTelefonica Europe Bv, 7.750%, due 09/15/2010 825,000 903,389 # - Zero coupon bondsVerizon Global Fdg Corp, 5.850%, due 09/15/2035 730,000 703,481Verizon Global Fdg Corp, 7.250%, due 12/01/2010 2,700,000 2,929,847 At December 31, 2005 the following futures contracts were outstanding:

17,867,779 Notional Unrealized

Transportation 2.26% Contracts Description Market Value Gains/(Losses)Burlington North Santa Fe, 4.967%, due 04/01/2023 295,000 294,062 78 5 YR U.S. Note March 2006 - Long 8,294,813$ 22,297$ Burlington North Santa Fe, 6.750%, due 03/15/2029 235,000 268,826 64 2 YR U.S. Note March 2006 - Long 13,132,000 (2,971) Burlington North Santa Fe, 6.875%, due 12/01/2027 340,000 394,299 (312) 10 YR U.S. Note March 2006 - Short (34,134,750) (159,611) Fedex Corp, 7.600%, due 07/01/2097 220,000 263,988 (116) 30 YR U.S. Bond March 2006 - Long 13,245,750 188,729 Norfolk Southern Corp, 7.050%, due 05/01/2037 110,000 131,266 537,813$ 48,444$ Norfolk Southern Corp, 7.900%, due 05/15/2097 1,060,000 1,382,608Union Pacific Corp, 6.125%, due 01/15/2012 725,000 762,654

3,497,703

Utilities 9.56%Amerada Hess Corp, 6.650%, due 08/15/2011 625,000 671,595Amerada Hess Corp, 7.300%, due 08/15/2031 170,000 196,738American Electric Pwr, 5.375%, due 03/15/2010 160,000 161,288Carolina Power & Light, 6.500%, due 07/15/2012 125,000 133,924Centerpoint Energy Houston, 5.700%, due 03/15/2013 205,000 211,491Centerpoint Energy Resources, 7.875%, due 04/01/2013 685,000 783,360Cleveland Electric Illum, 7.880%, due 11/01/2017 300,000 363,006Columbus Southern Power, 5.500%, due 03/01/2013 290,000 295,364Consumers Energy-ITC, 5.375%, due 04/15/2013 240,000 238,256Detroit Edison Company, 6.125%, due 10/01/2010 770,000 803,210Detroit Edison Company, 6.350%, due 10/15/2032 65,000 69,860Devon Financing Corp Ulc, 6.875%, due 09/30/2011 635,000 694,585Dominion Resources Inc, 6.250%, due 06/30/2012 270,000 282,476Duke Capital Llc, 6.250%, due 02/15/2013 260,000 270,770First Energy Corp, 6.450%, due 11/15/2011 1,220,000 1,293,196First Energy Corp, 7.375%, due 11/15/2031 245,000 289,093National Rural Utilities, 5.750%, due 08/28/2009 1,070,000 1,098,646Nisource Finance Corp, 7.875%, due 11/15/2010 820,000 908,535Occidental Petroleum, 6.750%, due 01/15/2012 30,000 32,928Occidental Petroleum, 9.250%, due 08/01/2019 425,000 583,662Ohio Power Company, 5.500%, due 02/15/2013 90,000 91,604Oncor Electric Delivery, 5.000%, due 09/01/2007 190,000 189,659Oncor Electric Delivery, 6.375%, due 05/01/2012 280,000 295,259PG&E Corp, 3.600%, due 03/01/2009 375,000 359,862PG&E Corp, 4.200%, due 03/01/2011 445,000 426,686PG&E Corp, 6.050%, due 03/01/2034 225,000 232,866

The Notes to the Financial Statements are in integral part of these statements.130

ACTIVELY MANAGED FIXED INCOME FUNDS INVESTMENT GRADE CORPORATE BOND/BSAM FUND (SA14)STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS

FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Interest 8,244,679$ Miscellaneous income 1,150

8,245,829 Expenses: Investment management fees 938,186 Custodian fees 30,538 Asset charge 65,867 Audit fees 5,199


Realized and unrealized gains (losses) on investments: Net realized gains (losses) - securities (2,471,885) Net realized gains (losses) - futures 191,098 Net change in unrealized gains (losses) (2,785,799)






NET ASSETS



ACTIVELY MANAGED FIXED INCOME FUNDSMORTGAGE-BACKED SECURITIES/BSAM FUND (SAMBS)


Par Value Market Value Par Value Market ValueObligations Asset Backed Securities 2.96% Mortgage-Backed Securities (cont'd)Ace Securities Corp, 5.429%, due 04/25/2034 710,000$ 719,541$ FNMA 6.000%, due 01/01/2035 294,375$ 297,159$ Argent Securities Inc, 4.599%, due 02/25/2034** 106,233 106,262 FNMA 6.000%, due 01/01/2035 1,514,871 1,529,195Countrywide Asset Backed Cert, 4.879%, due 02/25/2034** 280,000 280,616 FNMA 6.000%, due 01/01/2035 3,019,928 3,048,482Gsamp Trust, 4.769%, due 03/25/2034** 1,128,147 1,130,454 FNMA 6.000%, due 03/01/2033 2,823,544 2,853,023Long Beach Mortgage Loan Trust, 6.279%, due 06/25/2033 780,000 788,425 FNMA 6.000%, due 06/01/2035 3,117,260 3,146,809Master Trust Asset Backed, 6.029%, due 08/25/2033** 400,000 403,669 FNMA 6.000%, due 07/14/2035 1,232,229 1,243,910Option One Mortgage Loan Trust, 6.029%, due 07/25/2033** 345,000 348,858 FNMA 6.000%, due 08/01/2032 1,984,360 2,007,751Option One Mortgage Loan Trust, 6.079%, due 04/25/2033** 635,000 641,496 FNMA 6.000%, due 10/01/2034 317,679 320,683Residential Asset Sec Corp, 4.609%, due 09/25/2031** 453,034 453,127 FNMA 6.000%, due 11/01/2034 1,424,649 1,438,119Residential Asset Sec Corp, 6.129%, due 01/25/2033** 530,000 532,857 FNMA 6.000%, due 12/01/2034 518,702 523,606Structured Asset Invest Loan, 6.129%, due 07/25/2033** 1,115,000 1,127,131 FNMA 6.000%, due 12/01/2034 247,636 249,977

6,532,436 FNMA 6.000%, due 12/01/2034 976,724 985,959FNMA 6.000%, due 12/01/2034 116,175 117,274FNMA 6.000%, due 12/01/2034 414,371 418,289

Government 1.75% FNMA 6.500%, due 08/01/2035 1,526,534 1,566,128FICO Strip Prn, due 10/06/2017 # 375,000 213,537 FNMA 6.500%, due 11/01/2035 624,439 640,635FICO Strip Prn, due 04/06/2018 # 775,000 429,841 FNMA 7.000%, due 05/01/2033 285,141 297,430FICO Strip Prn, due 08/03/2018 # 335,000 182,727 FNMA 7.000%, due 06/01/2032 2,321,247 2,419,109FICO Strip Prn, due 08/03/2018 # 600,000 327,273 Impac Secured Assets Corp, 4.579%, due 11/25/2034** 95,703 95,710FICO Strip Prn, due 09/26/2019 # 780,000 400,837 Mastr Asset Sec Trust, 5.250%, due 11/25/2035** 5,355,398 5,274,902FICO Strip Prn, due 10/06/2017 # 775,000 441,310 Morgan Stanley Capital I, 0.299%, due 12/15/2031** 43,715,945 537,195FICO Strip Prn, due 11/02/2018 # 1,200,000 646,399 Sequoia Mortgage Trust, 4.870%, due 01/20/2035** 4,103,000 4,120,470FICO Strip Prn, due 11/30/2017 # 425,000 240,108 Structured Asset Securities Co, 4.440%, due 12/25/2034** 1,845,000 1,816,940FICO Strip Prn, due 11/30/2017 # 1,230,000 694,901 Washington Mutual, 5.039%, due 04/25/2045** 684,733 684,733FICO Strip Prn, due 12/06/2018 # 545,000 292,129 98,100,430

3,869,062

Mortgage-Backed Securities (incl CMO's) 44.47% Total Obligations 49.18% 108,501,928 Banc of America Mortgage Sec, 5.750%, due 01/25/2035** 3,240,942 3,207,521 (Amortized Cost $109,524,479)Country Wide Home Loans, 5.500%, due 12/25/2035** 1,183,820 1,182,541Countrywide Home Loans, 5.529%, due 05/25/2035** 359,303 361,871DSLA Mortgage Loan Trust, 5.498%, due 07/19/2044** 631,206 647,578 Short - Term Investments 0.04%FHLMC GOLD 5.000%, due 05/01/2018 811,891 805,099 U.S. Treasury Bill, 03/31/2005* 100,000 99,242FHLMC GOLD 5.000%, due 06/01/2034 1,824,559 1,769,988 (Amortized Cost $99,242) 99,242 FHLMC GOLD 5.000%, due 07/01/2033 187,043 181,733FHLMC GOLD 5.000%, due 08/01/2033 296,596 288,177FHLMC GOLD 5.000%, due 10/01/2033 5,750,571 5,587,326 Total Invested Assets 49.22% 108,601,170FHLMC GOLD 5.000%, due 10/01/2033 230,456 223,914 (Amortized Cost $109,623,721)FHLMC GOLD 5.500%, due 01/01/2033 381,075 378,594FHLMC GOLD 5.500%, due 01/01/2033 761,751 756,790 Other Assets and Liabilities 50.78%FHLMC GOLD 5.500%, due 06/01/2020 1,491,169 1,500,215 Cash and cash equivalents *** 111,741,793FHLMC GOLD 5.500%, due 06/01/2020 2,848,421 2,867,202 Interest receivable 905,228FHLMC GOLD 5.500%, due 10/01/2020 1,561,358 1,570,829 Receivable for investments sold 32,132,509FHLMC GOLD 5.500%, due 12/01/2033 267,095 265,298 Accrued expenses and other payables (10,285)FHLMC GOLD 6.500%, due 05/01/2035 2,277,666 2,334,370 Payable for investments purchased (32,748,083)FHLMC GOLD 5.500%, due 03/01/2033 2,160,915 2,146,842 112,021,162 FHLMC GOLD 5.500%, due 07/01/2033 198,930 197,591FHLMC, 3.500%, due 08/15/2022 1,430,518 1,419,138 Net Assets 100.00% 220,622,332$ FHLMC, 5.000%, due 04/15/2023 630,266 98,183FHLMC, 5.000%, due 05/15/2021 12,406,500 978,499 FOOTNOTES:FHLMC, 5.000%, due 10/15/2011 4,923,383 297,221 * - Pledged to broker as part of collateral for open futures contractsFNMA 4.500%, due 09/01/2020 626,252 610,794 ** - Variable rate bondFNMA 5.000%, due 03/01/2018 714,822 708,201 ***- The Fund maintains liquid assets (eg. Cash) at least in the amount equivalent to the market value FNMA 5.000%, due 03/01/2034 221,360 214,917 of the outstanding TBA's.FNMA 5.000%, due 03/01/2034 553,217 537,960 # - Zero coupon bondFNMA 5.000%, due 05/01/2034 2,930,123 2,844,837FNMA 5.000%, due 06/01/2033 2,789,414 2,712,485 At December 31, 2005 the following TBA's were outstanding:FNMA 5.000%, due 07/01/2033 658,878 640,707FNMA 5.000%, due 07/01/2033 44,584 43,355 Unrealized FNMA 5.000%, due 07/01/2033 70,411 68,470 Quantity Description Market Value Gains/(Losses)FNMA 5.000%, due 08/01/2033 45,668 44,409 4,755,000 FHLMC GOLD 15YR 5.000% TBA 4,705,966$ 26,006$ FNMA 5.000%, due 09/01/2033 76,707 74,591 25,165,000 FHLMC GOLD 5.000% TBA 24,354,989 167,044FNMA 5.000%, due 12/01/2034 990,622 961,789 8,005,000 FHLMC GOLD 5.500% TBA 7,929,953 27,644FNMA 5.500%, due 01/01/2034 1,299,026 1,289,499 735,000 FHLMC GOLD 6.000% TBA 742,121 5,053FNMA 5.500%, due 01/01/2034 3,823,422 3,795,383 6,765,000 FNMA 5.000% TBA 6,553,594 33,296FNMA 5.500%, due 02/01/2034 2,004,069 1,986,364 3,170,000 FNMA 5.500% TBA 3,188,823 11,394FNMA 5.500%, due 03/01/2033 573,281 569,077 32,005,000 FNMA 5.500% TBA 31,684,950 305,595FNMA 5.500%, due 04/01/2020 358,771 361,060 10,595,000 FNMA 4.500% TBA 10,306,943 84,424FNMA 5.500%, due 04/01/2033 1,691,699 1,679,293 3,770,000 FNMA 4.500% TBA 3,549,689 20,468FNMA 5.500%, due 05/01/2034 1,383,234 1,371,013 8,925,000 FNMA 6.000% TBA 9,005,878 36,253FNMA 5.500%, due 06/01/2033 2,800,820 2,780,281 1,585,000 FNMA 6.500% TBA 1,625,616 5,448FNMA 5.500%, due 07/01/2033 1,809,781 1,796,509 9,915,000 FNMA 15YR 5.000% TBA 9,806,550 51,894FNMA 5.500%, due 10/01/2033 335,818 333,355 113,455,072$ 774,519$ FNMA 5.500%, due 11/01/2033 537,106 533,167FNMA 4.500%, due 05/01/2018 3,947,427 3,849,992FNMA 5.500%, due 11/01/2033 385,032 382,209FNMA 5.500%, due 11/01/2033 193,277 191,860FNMA 5.500%, due 11/01/2033 222,090 220,461FNMA 5.500%, due 11/01/2033 419,088 416,015FNMA 5.500%, due 11/01/2033 1,960,392 1,946,015FNMA 6.000%, due 01/01/2035 432,267 436,354



MORTGAGE-BACKED SECURITIES/BSAM FUND (SAMBS)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:

Interest 9,802,389$

Expenses:



Asset charge 77,473

Audit fees 7,293

1,389,041



on investments:













NET ASSETS

Beginning of year -



End of year 220,622,332$


ACTIVELY MANAGED FIXED INCOME FUNDS PRIVATE PLACEMENT FUND (SA30)



Obligations Finance 17.01% Energy 4.27%Bank of America 3.25%,due 08/15/2008 2,000,000$ 1,921,460$ Centennial Energy Holdings, Inc 7.09%,due 03/29/2011 3,000,000$ 3,281,594$ Citigroup Inc. 5.875%,due 02/22/2033 2,000,000 2,052,766 First Security Bank Of Utah 6.14%,due 01/01/2014 1,107,087 1,131,269 JP Morgan Chase 6.625%,due 03/15/2012 2,200,000 2,367,960 First Security Bank Of Utah 8.036%,due 09/28/2015 3,022,783 3,510,974 National City Corp 3.375%,due 10/15/2007 500,000 487,296 Pengrowth Corp Senior Note S 4.93%,due 04/23/2010 2,000,000 1,984,395 National Consumer Coop Bank 5.6%,due 12/28/2010 3,450,000 3,449,711 Pengrowth Corp Senior Note S 5.47%,due 04/23/2013 1,000,000 1,006,430 US Bancorp 4.95%,due 10/30/2014 650,000 641,765 10,914,662 Wachovia Corp 4.875%,due 02/01/2015 850,000 828,412 Washington Mutual 5.5%,due 01/15/2013 560,000 566,848 Other Industrial 1.44%Wells Fargo 5.125%,due 09/15/2016 1,200,000 1,190,705 Granite Construction Co Senior Notes 6.96%,due 05/01/2013 2,666,667 2,827,300 Bear Stearns 4%,due 01/31/2008 750,000 736,451 Insituform Tech Inc Sr Nt Series A 8.88%,due 02/14/2007 857,037 866,601 Edward D. Jones & Co Sub. Note 7.95%,due 04/15/2006 332,609 335,189 3,693,901 Goldman Sachs 3.875%,due 01/15/2009 1,800,000 1,747,363 Hillview Ave Cl Tr 2002-Ctl1 Sr Nt 6.731%,due 10/12/2020 2,990,536 3,325,145 Technology 1.34%Lehman Brothers 4%,due 01/22/2008 1,000,000 983,438 Carl Zeiss, Inc Sr. Note - Series A 3.89%,due 04/22/2011 3,000,000 2,856,825 Merrill Lynch 4.125%,due 01/15/2009 1,000,000 976,647 East Penn Manufacturing Sr Note 7.170%,due 04/30/2006 333,333 335,319 Morgan Stanley Dean Witter 3.875%,due 01/15/2009 2,000,000 1,941,174 East Penn Manufacturing Sr Note 7.426%,due 10/31/2006 222,222 225,457 Sei Investments Co Senior Note 7.2%,due 02/24/2007 900,000 911,217 3,417,601 Dana Credit Corp Senior Note 7.91%,due 08/16/2006 3,000,000 3,012,827 Milberg Factors Inc Senior Note 7.98%,due 02/01/2008 4,200,000 4,303,998 Transportation 4.84%Hub Int'l Limited Series B Sr Notes 6.16%,due 06/15/2013 1,200,000 1,216,308 Swift Transportation Sr Guar.Nt. 4.33%,due 06/27/2010 3,000,000 2,898,508 Slough Estates Usa Inc Senior Note 7.94%,due 05/10/2010 3,000,000 3,310,970 The First Natl Bank Maryln Sr Note 6.82%,due 01/02/2014 1,851,144 1,992,857 RREEF America REIT II, Inc. 5.29%,due 10/15/2014 3,050,000 3,052,399 Vossloh Ag 5.9%,due 06/24/2014 2,750,000 2,878,118 Insurance Service Office, Inc. 4.11%,due 06/10/2007 4,200,000 4,143,191 Wheels, Inc 4.11%,due 07/12/2007 4,610,000 4,598,941

43,503,240 12,368,424

Basic Industry 6.90% Government 7.12%A.M. Castle & Company 6.26%,due 11/17/2015 3,690,000 3,703,475 US Treasury Bond 3.375%,due 02/15/2008 10,100,000 9,893,051 American Air Liquide, Inc 4.39%,due 08/30/2009 3,600,000 3,543,178 US Treasury Bond 3.38%,due 09/15/2009 2,000,000 1,933,560 NRP (Operating) LLC Sr Notes 4.91%,due 06/19/2018 2,546,250 2,480,642 US Treasury Bond 3.5%,due 11/15/2006 4,900,000 4,861,535 Plum Creek Timberlands, L.P.Sr. Nt .Ser.J 7.66%,due 10/01/2011 3,000,000 3,404,337 US Treasury Bond 4.375%,due 05/15/2007 930,000 929,284 Psdn Dom Inv Corp & Psdn Inv Bsr Nt. 7.73%,due 07/09/2009 2,700,000 2,905,723 US Treasury Bond 4.625%,due 05/15/2006 595,000 595,607 Urenco Ltd 3.31%,due 05/11/2007 1,650,000 1,616,763 18,213,037

17,654,118 Agency 3.56%

Capital Goods 3.36% FHLB 2.25%,due 05/15/2006 595,000 589,978 Continental Lime Senior Note 10.3%,due 09/30/2006 637,500 658,280 FNMA Benchmark Note 3.875%,due 07/15/2008 5,000,000 4,905,517 First Security Bank Of Utah 9.42%,due 04/05/2006 408,564 413,220 FNMA Benchmark Note 4.375%,due 10/15/2006 1,355,000 1,351,613 Graymont Western Canada Inc. 6.43%,due 10/14/2019 1,147,420 1,169,878 FNMA Benchmark Note 6.625%,due 10/15/2007 1,175,000 1,213,655 Lincoln Electric Holdings, Inc Sr. Nt. 6.36%,due 03/12/2012 3,000,000 3,210,863 FNMA Benchmark Note 7.25%,due 01/15/2010 955,000 1,042,172 State Street Bank & Trust Co 7.11%,due 07/02/2007 481,404 487,356 9,102,935 Woodward Governor Co Senior Note 6.39%,due 10/15/2011 2,571,429 2,650,561

8,590,158 Utility 14.98%Algonquin Gas Transmission Co Sr Nt 5.69%,due 11/26/2012 3,300,000 3,360,599

Communications 2.37% Alliance Pipeline Senior Note 6.996%,due 12/31/2019 2,410,912 2,622,757 Quebecor World Cap Corp Senior Note 8.42%,due 07/15/2010 3,000,000 3,075,566 Crosstex Energy Services Ltd 6.96%,due 06/18/2014 3,490,000 3,592,900 Quebecor World Cap Corp Senior Note 8.54%,due 09/15/2015 3,000,000 2,986,311 Juniper Capital LP 5.78%,due 08/15/2013 4,137,500 4,199,453

6,061,877 Midwest ISO 3.61%,due 10/07/2009 3,300,000 3,215,649 Pasadena Statutory Trust Sr Note 8.74%,due 04/01/2013 2,615,481 2,920,411

Consumer Cyclical 8.45% Public Service Enterprise Group 4.66%,due 09/14/2009 4,440,000 4,314,342 American National Red Cross Sr. Nt. 7.11%,due 07/30/2008 750,000 770,204 Southwest Power Pool, Inc 4.78%,due 06/25/2011 4,660,000 4,616,284 Carlson Companies 5.8%,due 12/16/2015 3,300,000 3,321,337 Square Butte Electric 6.52%,due 01/01/2014 2,200,627 2,306,826 Cedar Fair, Lp & Knotts Berry Sr Nt 4.9%,due 12/22/2010 3,000,000 2,931,463 Tenaska Alabama Ii Part 144A 6.125%,due 03/30/2023 56,105 57,293 GM Corp. 6.55%,due 01/02/2016 2,228,000 2,043,696 Utility Contract Funding LLC Sr Nt 7.944%,due 10/01/2016 2,870,675 3,201,577 GM Corp. 6.62%,due 01/02/2016 2,342,000 2,145,399 Western Gas Resources 5.92%,due 06/30/2011 3,720,000 3,875,904 Lanoga Corp Sr Nt 2003-A2 5.88%,due 10/30/2013 3,000,000 3,020,230 38,283,995 O'Reilly Automotive Inc Sr Note 7.72%,due 05/15/2006 3,000,000 3,029,051 Reinalt-Thomas Corp Senior Note 7%,due 03/28/2012 3,000,000 3,153,189 Total Obligations 95.62% 244,493,414 Walt Disney Company Srnt 7.02%,due 01/10/2007 1,176,957 1,185,630 (Amortized Cost $247,701,907)


Consumer Non-cyclical 19.98% (Amortized Cost $247,701,907)Ag Processing Inc 5.02%,due 06/15/2011 2,050,000 2,036,152 Ag Processing Inc 5.52%,due 06/15/2014 2,050,000 2,064,486 Other Assets and Liabilities 4.38%Aldi Inc Senior Note - Series C 4.96%,due 04/15/2015 3,000,000 2,851,263 Cash and cash equivalents * 7,688,227 Bashas Inc 4.82%, due 09/11/2011 3,051,000 2,975,439 Interest receivable 3,148,518 Bonduelle Sa 8.53%, due 06/07/2012 4,490,000 5,090,560 Receivable for investments sold 367,385 Buffalo Rock Company 6.93%,due 03/01/2006 40,737 40,774 Variation margin payable for futures (145) California Almond Growers Sr. Nt. 7.94%,due 04/01/2010 3,000,000 3,334,329 Accrued expenses and other payables (11,998) CHS Inc 5.25%,due 09/21/2014 3,400,000 3,365,577 11,191,987 Convenience Store Investments 5.68%,due 11/24/2014 3,237,533 3,195,637 First Quality Enterprises, Inc 6.1%,due 06/29/2014 1,850,000 1,874,509 Lekkerland Finance BV 5.48%,due 11/16/2010 3,000,000 3,002,007 Net Assets 100.00% 255,685,401$ Link Snacks Inc 5.72%,due 08/30/2010 3,050,000 3,010,892 Merloni Ariston International SA 6.08%,due 09/17/2014 3,732,000 3,907,283 FOOTNOTES:Merloni Ariston International SA 6.23%,due 09/17/2016 888,000 941,695 * - Pledged to broker as collateral for open futures contractsMinnesota Corn Processors Inc Ser. A Sr 7.57%,due 09/01/2007 856,088 879,086 Smucker Company J M Sr. Note Series B 7.87%,due 09/01/2007 3,000,000 3,128,230 At December 31, 2005 the following futures contracts were outstanding:United Drug Finance Limited 5.25%,due 07/21/2011 4,610,000 4,654,015 Wurth Grp North America 3,517,500 3,553,432 Notional Market UnrealizedWurth Fin Int'l B VUS 1,172,500 1,183,901 Contracts Description Value Gains/(Losses)

51,089,267$ 92 2 Yr US Note March 2006 - Long $18,877,250 ($5,788)(89) 5 Yr US Note March 2006 - Short (9,464,594) 7,203 45 10 Yr US Note March 2006 - Long 4,923,281 8,259 (34) US Long Bond March 2006 - Short (3,882,375) (54,904)

$10,453,562 ($45,230)



PRIVATE PLACEMENT FUND (SA30)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:


Miscellaneous Income 6,098

11,586,837

Expenses:



Audit fees 9,540

1,008,828



on investments:


Net realized gains (losses) - futures (217,646)










contractholder transactions (624,807)

NET ASSETS

Beginning of year -



End of year 255,685,401$


ACTIVELY MANAGED FIXED INCOME FUNDSPRUDENTIAL AMERICA FUND® (SA66)


Par Value Market Value Market Value

Obligations Asset Backed Securities 0.14% Total Obligations 91.98% 203,236,944$ Guaranteed Export Trust 7.12%,due 04/15/2006 303,470$ 304,726$ (Amortized Cost $206,707,511)

304,726 Capital Goods 6.89% Total Invested Assets 91.98% 203,236,944 Amcor Limited Sr Nt 5.03%,due 12/17/2009 6,000,000 5,905,144 (Amortized Cost $206,707,511)American National Can 7.11%,due 07/02/2007 555,466 562,333 Green Bay Packaging 4.99%,due 11/15/2019 5,800,000 5,626,777 Other Assets & Liabilities 8.02%Tuthill Corp Sr Notes 6.92%,due 10/15/2012** 3,151,128 3,132,622 Cash & cash equivalents* 15,286,619

15,226,876 Interest receivable 2,171,104 Receivable for investments sold 268,524

Communications 1.77% Variation margin payable for futures (221) Bellsouth Telecommunications 144A 6.132%,due 03/02/2008 1,563,006 1,577,652 Accrued expenses & other payables (9,540) Quebecor World Cap Corp Sr Note 8.54%,due 09/15/2015 1,000,000 995,437 17,716,486 Quebecor World Cap Corp Sr Nt Ser A 8.42%,due 07/15/2010 1,300,000 1,332,745

3,905,834 NET ASSETS 100% 220,953,430$

Consumer Cyclical 16.66%California Portland Cement Notes 6.97% due 04/07/2009 800,000 819,743 FOOTNOTES:Delaware North Companies Inc Series 200 5.11%,due 07/31/2013 3,000,000 2,863,410 * - Pledged to broker as collateral for open futures contractsFederal Signal Senior Note 6.6%,due 05/30/2011 8,571,429 8,336,528 ** -Variable rate bondGM Corp 6.55%,due 01/02/2016 4,876,000 4,472,648 GM Corp 6.62%,due 01/02/2016 5,124,000 4,693,862 At December 31, 2005 the following futures contracts were outstanding:Hardwood Funding 5.35%,due 06/07/2011 3,650,000 3,613,673 LA Arena Fund LLC 7.656%,due 12/15/2026 4,647,644 5,188,976 Notional Market UnrealizedModine Manufacturing Company 4.91%,due 09/29/2015 6,850,000 6,814,689 Contracts Description Value Gains/(Losses)

36,803,529 128 2 Yr US Note March 2006 - Long $26,264,000 ($3,544) (41) 5 Yr US Note March 2006 - Short 4,360,094 3,261

Consumer Noncyclical 15.76% 51 10 Yr US Note March 2006 - Long 5,579,719 25,962 Cargill Inc 8.7542%,due 12/29/2009 2,870,177 3,216,084 29 US Long Bond March 2006 - Long 3,311,437 11,094 Cargill Inc 7.856%,due 05/18/2010 906,023 994,544 $39,515,250 $36,773Cargill Inc 6.5%,due 06/30/2013 2,603,024 2,801,553 J.R. Simplot Co, Sr Nt. Ser 7.75%,due 04/30/2007 5,000,000 5,052,468 JM Smucker 6.77%,due 06/01/2009 10,000,000 10,520,697 Kerry Inc Sr E Gtd Nt 8.98%,due 02/01/2007 1,500,000 1,554,976 Meijer, Inc Series C- 7.6%,due 09/01/2009 1,022,267 1,062,025 Meijer, Inc Series C-2 7.6%,due 09/01/2009 1,096,667 1,139,319 Meijer, Inc Series C-3 7.6%,due 09/01/2009 1,186,733 1,232,888 RE Rich Family Holdings Corp 5.18%,due 04/07/2020 2,000,000 1,969,996 Seabord Corp Sr Nt 7.88%,due 06/01/2007 1,200,000 1,223,826 Sunsweet Growers Inc Sr Nt 5.76%,due 11/19/2010 4,000,000 4,060,658

34,829,034

Energy 5.14%Centennial Energy Holdings Inc. 4.93%,due 05/15/2012 3,475,000 3,453,441 Centennial Energy Holdings Inc. 7.1%,due 10/30/2009 2,000,000 2,091,950 Centennial Energy Holdings Inc. 4.95%,due 07/01/2015 5,905,000 5,820,063

11,365,454

Other Industrial 4.80%Granite Construction Senior Note 6.96%,due 05/01/2013 10,000,000 10,602,377

10,602,377

Transportantion 8.88%Genessee & Wyoming 5.36%,due 07/26/2015 3,525,000 3,476,545 Sea-Land Serv. Inc. Ser. A 6.6%,due 40545 1,213,652 1,235,534 Sea-Land Serv. Inc Ser. B 6.6%,due 40545 1,289,505 1,312,755 Sea-Land Serv.Inc Ser. C 6.6%,due 40545 1,289,505 1,312,755 Union Pacific Railroad Company 4.92%,due 46024 2,734,389 2,674,290 Union Pacific Railroad Company 4.92%,due 46936 1,451,663 1,421,577 Union Pacific Railroad Company 5.04%,due 43832 2,538,660 2,534,302 Union Pacific Railroad Company 5.04%,due 45293 2,758,017 2,747,371 Union Pacific Railroad Company 5.36%,due 46936 568,016 577,784 Union Pacific Railroad Company 5.36%,due 11/30/2028 1,196,323 1,221,142 Union Pacific Railroad Company 5.36%,due 12/29/2028 719,074 733,992 Union Pacific Railroad Company 5.38%,due 07/02/2028 369,744 376,829

19,624,876

Muni 1.02%City of Independence , Kansas 8.11%,due 06/15/2020 2,000,000 2,261,000

2,261,000

Treasury 4.93%U.S. Treasury Bonds 2.625%,due 11/15/2006 2,195,000 2,161,307 U.S. Treasury Bonds 5.25%,due 02/15/2029 8,000,000 8,735,521

10,896,828 Utility 25.99%Bangor Hydro Elec. Co 8.98%,due 04/10/2022 3,000,000 4,030,838 Bay Gas Storage Sr Nt 8.45%,due 12/01/2017 3,392,858 3,917,573 Black Hills Corp Ser Y 9.49%,due 06/15/2018 1,204,000 1,311,500 Green Mountain Power Corp 6.04%,due 12/01/2017 5,785,464 6,021,807 LIC Funding Sr Notes 6.91%,due 06/20/2009 7,800,000 8,228,916 Mattco Funding L.P. (Whiting Leasing LLC) 8.33%,due 06/30/2011 1,225,234 1,385,107 Mattco Funding L.P. (Whiting Leasing LLC) 8.48%,due 06/30/2011 585,273 665,642 Mattco Funding L.P. (Whiting Leasing LLC) 8.58%,due 06/30/2011 1,756,303 2,005,452 Nationsbank Trust Company N.A.EQ TR PART8.88%,due 12/21/2019 7,941,882 9,029,186 Progress Energy 5.27%,due 08/15/2027 3,254,973 3,167,753 Public Service Enterprise Group 4.66%,due 09/14/2009 10,000,000 9,716,986 Sheboygan Power, LLC 5.06%,due 12/15/2024 3,084,500 3,020,209 United Illum Co Senior Note 4.89%,due 12/12/2009 2,000,000 1,967,140 United Illum Co Senior Note 4.42%,due 12/12/2007 3,000,000 2,948,301

57,416,410$


ACTIVELY MANAGED FIXED INCOME FUNDSPRUDENTIAL AMERICA FUND® (SA66)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income: Interest 13,949,284$ Miscellaneous Income 14,895

13,964,179 Expenses: Investment management fees 575,916 Custodian fees 4,864 Audit fees 9,540

590,320 Net investment income 13,373,859

Realized and unrealized gains (losses) on investments: Net realized gains (losses) - securities (772,196) Net realized gains (losses) - futures 521,723 Net change in unrealized gains (losses) (3,433,794)






NET ASSETS

Beginning of year -Transfer to PRIAC from CIGNA 314,598,275 Net increase (decrease) for the year (93,644,845) End of year 220,953,430$


ACTIVELY MANAGED FIXED INCOME FUNDSPRUDENTIAL SHORT-TERM BOND FUND (SA20)


Par Value Amortized Cost

BondsAsset Backed Securities 23.04%Bank One Issuance Trust, 4.419%, due 10/15/2008 * 7,000,000$ 7,003,125$ Bear Stearns Asset Backed Sec, 4.529%, due 02/25/2027 * 741,910 741,910 Bear Stearns Asset Backed Sec, 4.539%, due 01/25/2035 * 874,863 874,863 Centex Home Equity, 4.499%, due 08/25/2027 * 1,791,017 1,791,017 Chase Credit Card Master Trust, 4.509%, due 06/16/2008 * 1,000,000 1,001,433 Credit Based Asset Servicing, 4.499%, due 07/25/2035 * 2,761,857 2,761,857 Fieldstone Mrtg Invstmnt Co, 4.499%, due 02/25/2036 * 6,937,752 6,937,752 First Franklin Mtg Loan, 4.479%, due 07/25/2035 * 3,346,264 3,346,264 First Franklin Mtg Loan, 4.499%, due 12/25/2034 * 918,159 918,159 GE Corporate Aircraft Fin, 4.449%, due 10/25/2012 * 6,283,524 6,283,524 Ixis Real Estate Capital Trust, 4.489%, due 02/25/2036 * 6,761,949 6,761,949 Morgan Stanley ABS Capital I, 4.459%, due 12/25/2035 * 4,832,435 4,832,435 Ownit Mortgage Loan, 4.509%, due 09/25/2035 * 826,708 826,708 Residential Asset Sec Corp, 4.479%, due 10/25/2028 * 6,410,044 6,410,044 Structured Asset Invest Loan, 4.284%, due 12/25/2035 * 5,078,950 5,078,950 Structured Asset Secs Corp, 4.250%, due 11/25/2035 * 2,549,856 2,549,856 Structured Asset Securities Co, 4.479%, due 07/25/2035 * 4,287,247 4,287,247

62,407,093 Banks 14.78%Bank Nova Scotia, 4.499%, due 11/13/2006 * 7,000,000 6,998,251 Marshall & Ilsley, 5.176%, due 12/15/2006 * 5,000,000 5,016,875 National City Bank, 4.260%, due 01/06/2006 * 5,000,000 4,999,930 PNC Bank Na, 4.310%, due 03/21/2006 * 11,000,000 10,998,221 Suntrust Bank, 2.474%, due 10/02/2006 * 7,000,000 7,000,000 US Trust Co NY New York, 4.410%, due 09/12/2006 * 5,000,000 5,000,000

40,013,277 Financial Services 10.16%American Express Credit Acct, 4.499%, due 11/17/2008 * 1,500,000 1,502,284 Cit Group Inc, 4.398%, due 08/18/2006 * 5,000,000 5,000,000 Countrywide Home Loan, 4.500%, due 02/17/2006 * 4,000,000 4,000,108 Jefferson Pilot Corp, 4.400%, due 02/17/2011 * 5,000,000 5,001,053 Merrill Lynch & Co, 4.228%, due 10/19/2006 * 5,000,000 5,000,000 Merrill Lynch & Co, 4.525%, due 02/27/2007 * 2,000,000 2,002,446 SLM Corp, 4.561%, due 03/16/2015 * 5,000,000 5,000,000

27,505,891 Food & Drug Retailers 8.09%Kraft Foods Inc, 4.625%, due 11/01/2006 6,000,000 5,984,229 Sara Lee Corp, 1.950%, due 06/15/2006 5,000,000 4,938,820 Wal Mart Stores Inc, 4.351%, due 03/16/2006 * 11,000,000 10,997,050

21,920,099 Mortgage Backed Securities (incl CMO's) 2.22%Countrywide Home Equity Loan, 4.460%, due 12/15/2035 6,000,000 6,000,000

6,000,000

Total Bonds 58.29% 157,846,360 (Amortized Cost $157,846,360)

Short - Term Investments 7.55%Cit Group Inc, 4.717%, due 06/19/2006 * 2,000,000 2,001,959 Fortune Brands, due 1/25/2006 6,500,000 6,482,170 Keyspan Corporation, due 3/6/2006 5,000,000 4,959,646 Washington Mutual Bank, 4.375%, due 05/31/2006 * 7,000,000 6,999,948

20,443,723

Total Short-Term Investments 7.55% 20,443,723 (Amortized Cost $20,443,723)


Other Asset and Liabilities 34.16%Cash and cash equivalents 98,088,496 Interest receivable 462,720 Payable for investments purchased (6,000,000) Accrued expenses and other payables (35,609)

92,515,607

Net Assets 100.00% 270,805,690$

FOOTNOTES*- Variable coupon bonds



PRUDENTIAL SHORT-TERM BOND FUND (SA20)


FOR THE YEAR ENDED

DECEMBER 31, 2005


Income:

Interest 8,643,308$


8,665,756

Expenses:



Asset charge 40,994

Audit fees 7,879

1,179,581


Realized and unrealized gains (losses) on investments:



on investments (5,781)








NET ASSETS

Beginning of year -



End of year 270,805,690$


PRUDENTIAL RETIREMENT INSURANCE AND ANNUITY COMPANY ACTIVELY MANAGED FIXED INCOME FUNDS NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 2005

140

NOTE 1 - ORGANIZATION AND OPERATION: The Actively Managed Fixed Income Funds (each individually, a “Fund”, collectively, the “Funds”) are organized as pooled separate accounts of Prudential Retirement Insurance and Annuity Company (“PRIAC”) an ultimate wholly owned subsidiary of Prudential Financial, Inc. (“Prudential”) as investment vehicles for qualified retirement plans. On January 1, 2005 the separate account assets included in these financial statements were transferred to Prudential from Connecticut General Life Insurance Company, under the terms of the purchase and sale agreement (“Agreement”) dated April 1, 2004. Effective on the date of transfer, ownership of securities was legally transferred to PRIAC. For accounting purposes, separate account assets were transferred at fair market value. These financial statements reflect the commencement of operations of these Funds. Effective January 1, 2005 PRIAC became the investment advisor and distributor of the Funds. Under applicable insurance law, the assets and liabilities of the Funds are clearly identified and distinguished from PRIAC’s other assets and liabilities. The assets of the Funds are the property of PRIAC. However, the Fund’s assets will not be chargeable with liabilities arising out of any other business PRIAC may conduct. These financial statements include the following funds: Fund Name Fund # Sub-Advisor Inception Core Bond/BlackRock Fund SABRC Black Rock Inc. 2002 Core Bond Enhanced Index/PIM Fund SA12 Prudential Investment Management 1999 Core Plus Bond/BSAM Fund SA18 Bear Stearns Asset Management, Inc. 1999 Core Plus Bond/PIMCO Fund SACPP PIMCO Investment Management Company, LLC 2002 Corporate Bond/BSAM Fund SA15 Bear Stearns Asset Management, Inc. 1997 Emerging Debt Fund SA41 Bear Stearns Asset Management, Inc. 1997 Government Securities/BSAM Fund SAGB1 Bear Stearns Asset Management, Inc. 1998 High Grade Bond/BSAM Fund SA16 Bear Stearns Asset Management, Inc. 1999 High Yield Bond/Caywood Scholl Fund SACSF Caywood Scholl Capital Management, LLC 2002 Investment Grade Corporate Bond/BSAM Fund SA14 Bear Stearns Asset Management, Inc. 1998 Mortgage-Backed Securities/BSAM Fund SAMBS Bear Stearns Asset Management, Inc. 1998 Private Placement Fund SA30 Prudential Investment Management 1978 Prudential America Fund SA66 Prudential Investment Management 1994 Prudential Short-Term Bond Fund SA20 Prudential Investment Management 1976

NOTE 2 – SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES: These financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America. Amounts recorded in the financial statements reflect management’s estimates and assumptions, such as those regarding fair market value. Significant estimates are discussed throughout these Notes; however, actual results could differ from those estimates. CASH AND CASH EQUIVALENTS. Cash and cash equivalents may include cash and short-term common collective trust funds sponsored by custodial banks. SECURITY VALUATION. Securities for which market values are readily available, are valued at the last sale price, or if no sale price is available, at the closing bid price on the principal exchange on which such securities are normally traded. Securities for which quotations are not readily available are valued primarily using quotes obtained from brokers and dealers. Short-term securities with remaining maturities of one year or less are valued at amortized cost or original cost plus accrued interest, which approximates fair value. For the two portfolios that hold private placement securities, SA30 and SA66, in instances where the fair market value is not readily available, the valuation is determined by the asset manager in accordance with Prudential's established procedures for valuing private placement securities. Market credit spreads, as provided by an objective survey


141

NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - continued: of private placement market participants, and internal credit ratings, provided by the manager, are the primary drivers of the valuation. Credit ratings provided by the manager are subject to an independent review by Prudential's Asset Valuation Committee whose purpose is to validate the credit quality procedures used by the asset manager. INVESTMENT INCOME. Investment income, which is comprised primarily of interest income, is recorded on an accrual basis reflecting adjustments for the accretion of discounts and amortization of premiums. SECURITY TRANSACTIONS. Security transactions are accounted for as of the trade date (date the order to buy or sell is executed). Gains and losses on securities sold are determined on the basis of specific identified cost. FOREIGN CURRENCY TRANSLATION. The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing rates of exchange at period end. Purchases and sales of securities and income receipts are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions. Net realized gains and losses on foreign currency transactions represent net gains and losses on disposition of foreign currencies, the difference between the amount of net investment income accrued and the U.S. dollar amount actually received, and gains and losses between trade and settlement date on purchases and sales of securities. The effects of changes in foreign currency exchange rates on investments in securities are included with the net realized or unrealized gain or loss on investment securities. FUTURES CONTRACTS. A futures contract is an agreement between parties to buy or sell a security at a set price on a future date. Certain Funds use futures primarily as a substitute, on an unleveraged basis, for direct investments for the purpose of either maintaining sufficient liquidity or to reduce transaction costs. Funds may also use futures contracts to manage the overall duration of the portfolio or as a hedge against unfavorable changes in the value of securities. Upon entering into such a contract, a Fund is required to pledge to the broker an amount of cash, U.S. Government obligations or other high-quality debt securities equal to the minimum "initial margin" requirements of the exchange on which the futures contract is traded. The Fund then receives from or pays to the broker, an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as "variation margin" and are recorded by the Fund as realized gains or losses. Futures contracts are subject to market risk; the risk that future changes in market conditions may make an instrument less valuable. Depending on the nature of the underlying security, changes in market prices, interest rates or exchange rates can affect the market value of futures contracts. Risks of entering into futures contracts also include the possibility that there may be an illiquid market and that a change in the value of the contract may not correlate with changes in the value of the underlying securities. FORWARD FOREIGN CURRENCY CONTRACTS. A forward foreign currency contract is an agreement between two parties to buy or sell currency at a set price on a future date. Certain Funds may enter into forward foreign currency contracts generally to hedge against foreign currency exchange rate risks on its non-U.S. denominated investments, and, in certain situations, to gain exposure to foreign currency in lieu of purchasing foreign denominated securities. Fluctuations in the value of such


142

NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - continued: contracts are recorded as unrealized appreciation or depreciation in the Statement of Operations. Upon settlement of a forward foreign currency contract, a realized gain or loss is recorded in the Statement of Operations. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gain on the contract, if any, at the date of default. Risks may also arise from unanticipated movements in the value of the foreign currencies and related interest rates relative to the U.S. dollar. OPTIONS. The Fund may purchase or write option contracts to manage exposure to the securities markets and to fluctuations in interest rates. Writing puts and buying calls tend to increase the Fund’s exposure to the underlying instrument. Buying puts and writing calls tend to decrease the Fund’s exposure to the underlying instrument held by the Fund, or hedge the fair value of other Fund investments. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price. Options traded over-the-counter are valued using dealer-supplied valuations. Gain or loss is recognized when the option contract is exercised, expired or is closed. There are two distinct types of options, call options and put options. A call option, upon payment of a premium, gives the purchaser of the option the right to buy, and the seller the obligation to sell, the underlying instrument at the exercise price. A put option gives the purchaser of the option, upon payment of a premium, the right to sell, and the writer the obligation to buy, the instrument at the exercise price. Certain Funds purchase options primarily as a substitute, on an unleveraged basis, for direct investments for the purpose of either maintaining sufficient liquidity or as a means to reducing transaction costs. When a purchased option expires, the premium paid is recorded as a realized loss. When a purchased call option is exercised, the premium paid is included in the cost basis of the security acquired. When a purchased put option is exercised, the premium paid is added to the gain or loss realized on the sale of the underlying security. When a Fund writes an option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. Fluctuations in the value of written options are recorded as unrealized gains or losses in the Statement of Operations. Upon expiration, premiums received on written options are recorded as realized gains. When written options are exercised the proceeds less the premium originally received is recorded as a realized gain/loss. Risks may arise from an imperfect correlation between the change in the price of an option and the change in the market value of the related securities held by the Fund and from the possible lack of a liquid secondary market for an option. Losses may also arise from the potential inability of counterparties to meet the terms of an option that they have written or purchased. Possible losses from purchased options cannot exceed the total amount invested. Potential losses on options written may exceed the amount of the premium received. SWAP AGREEMENTS. Certain Funds may enter into swap agreements to exchange an interest rate on, or a return generated by one nominal instrument for the return generated by another nominal instrument based on a notional quantity or par amount. Typically, swap agreements call for the parties to make or receive payments on a monthly or quarterly basis based on the net change in value of the swap agreement. Swap agreements are marked to market daily based on the current value of the net amount due to be paid or received according to the terms of the agreement. Changes in the value of swap contracts are reflected in the Statement of Operations as unrealized gains. Net periodic payments received or paid are recorded in the Statement of Operations as either interest income or as realized gains or losses, as appropriate. Because there is no organized market for swap agreements, the value reported in the Statement of Net Assets may differ from that which would be realized in the event that the Fund terminated its position in the agreement. Risks may arise upon entering into


143

NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - continued: these agreements from the potential inability of the counterparties to meet the terms of the agreements and are generally limited to the amount of net payments to be received, if any, at the date of default. SWAP CONTRACTS. Credit default swap contracts entered into by the certain Funds typically represent the exchange by the Fund with a counterparty of a commitment to provide a level of credit protection for a commitment to receive interest at a fixed rate based on the potential risk of default of the relevant underlying issuer. Providing credit protection to a counterparty tends to increase a Fund’s exposure to the underlying instrument. Receiving credit protection from a counterparty tends to decrease a Fund’s exposure to the underlying instrument held by the Fund, or hedge the fair value of other Fund investments. Such contracts may have a term of one to ten years, but typically require periodic interim settlement in cash. During the period that the credit default swap contract is open, the contract is marked-to-market in accordance with the terms of the contract based on the current interest rate spreads and credit risk of the referenced obligation of the underlying issuer and interest accrual through valuation date. Changes in the value of the credit default swap are recorded as unrealized gains or losses, while periodic cash settlements are recorded as realized gains or losses. Entering into a credit default swap contract involves, to varying degrees, elements of credit, market and interest rate risk in excess of the amounts reports in the Statement of Assets and Liabilities. Notional principal amounts are used to express the extent of involvement in the transactions, and may be delivered under the contracts in the event of default of the underlying issuer. In addition to credit exposure to the underlying issuer implicit in the contract, credit risk is applicable to any amounts receivable from the counterparty. To reduce credit risk from potential counterparty default, the Funds enter into credit default swap contracts with counterparties in accordance with the Funds Investment guidelines. The Funds bear the interest rate and market risk arising from any change in the interest rate or credit rating of the underlying issuer. FORWARD PURCHASE COMMITMENTS. Certain Funds may make forward commitments to purchase or sell securities or to purchase securities on a when-issued – TBA (“To Be Announced”) or delayed delivery basis. Securities purchased on a when-issued or delayed delivery basis are purchased for delivery beyond the normal settlement date at a stated price and yield, and no income accrues to the Fund on such securities prior to delivery. Payment and delivery may take place one month or more after the date of the transaction. When the Fund enters into a purchase transaction on a when-issued or delayed delivery basis, it maintains liquid assets in an amount at least equal in value to the Fund's commitments. The underlying securities are valued at current market value with daily fluctuations in the market value recorded as unrealized gains or losses. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under contract. SHORT POSITION SECURITIES. Certain portfolios may invest in short positions. The positions represent securities that have been sold and not covered as of a certain date. A short sale involves selling securities which the fund does not own at the time of sale, by borrowing the money value. At a later date when the securities are purchased, the position is closed and a profit or loss is determined.


144

NOTE 3 - TAXES: All contracts under which investments are directed to the Funds are qualified as variable contracts under Section 817(d) of the Internal Revenue Code. Therefore, there is no taxable income attributable to the Funds and therefore, no tax provisions have been provided in the accompanying financial statements. NOTE 4 - CONTRACTHOLDER TRANSACTIONS AND EXPENSES: Affiliated Participation in the Funds To facilitate initial operations, PRIAC contributed assets (“Seed Money”) to certain Funds. There are no Prudential employee benefit plans that currently participate in the Funds. PRIAC’s participation in the Funds at December 31, 2005 was as follows:

Seed Money

Fund $000 % Fund

Emerging Debt Fund 26,704 94.00%

Investment Management Fees Investment management fees represent the management fee paid to PRIAC under terms of the contract holders’ Group Annuity contracts. The fee is computed daily based on an annual rate applied to net assets. The annual rate varies for each of the Funds as follows:

Fund

Range, Basis Points

Fund

Range, Basis Points

Core Bond/BlackRock Fund 45 – 100 High Grade Bond/BSAM Fund 40 – 95 Core Bond Enhanced Index/PIM Fund 20 – 50 High Yield Bond/Caywood Scholl Fund 40 – 120 Core Plus Bond/BSAM Fund 40 – 95 Investment Grade Corporate Bond/BSAM Fund 40 – 80 Core Plus Bond/PIMCO Fund 35 – 100 Mortgage-Backed Securities/BSAM Fund 40 – 40 Corporate Bond/BSAM Fund 20 – 80 Private Placement Fund 20 – 40 Emerging Debt Fund 0 – 0 Prudential America Fund 0 – 40 Government Securities/BSAM Fund 80 – 95 Prudential Short-Term Bond Fund 20 – 75

Asset Charge Defined contribution plans invested in the Funds pay an asset charge, which represents the amount paid by these plans to PRIAC for reimbursement of certain administrative expenses. The asset charge varies in accordance with the terms of the Group Annuity contracts. The fee is computed daily based on an annual rate applied to net assets. The annual rate for each of the Funds ranges as follows: Fund

Range, Basis Points

Fund

Range, Basis Points

Core Bond/BlackRock Fund 30 – 30 High Grade Bond/BSAM Fund 0 – 95 Core Bond Enhanced Index/PIM Fund 0 – 80 High Yield Bond/Caywood Scholl Fund 0 – 100 Core Plus Bond/BSAM Fund 0 – 90 Investment Grade Corporate Bond/BSAM Fund 0 – 55 Core Plus Bond/PIMCO Fund 0 – 90 Mortgage-Backed Securities/BSAM Fund * Corporate Bond/BSAM Fund 0 – 100 Private Placement Fund * Emerging Debt Fund * Prudential America Fund * Government Securities/BSAM Fund 0 – 95 Prudential Short-Term Bond Fund 0 – 145 * - Not currently offered to Defined Contribution (DC) plans


145

NOTE 5 - UNIT VALUES: Due to the different methods of assessing fees and charges described in Note 4 as well as the historical timing of the purchases of units, net unit values as of December 31, 2005 ranged as follows: Fund

Range, $ Unit Value

Fund

Range, $ Unit Value

Core Bond/BlackRock Fund 11.53 – 11.87 High Grade Bond/BSAM Fund 13.96 – 15.20 Core Bond Enhanced Index/PIM Fund 14.09 – 14.78 High Yield Bond/Caywood Scholl Fund 13.40 – 14.09 Core Plus Bond/BSAM Fund 14.21 – 15.12 Investment Grade Corporate Bond/BSAM Fund 14.22 – 15.16 Core Plus Bond/PIMCO Fund 11.79 – 12.18 Mortgage-Backed Securities/BSAM Fund 15.53 – 15.53 Corporate Bond/BSAM Fund 14.53 – 18.08 Private Placement Fund 100.63–106.27 Emerging Debt Fund 27.05 – 27.05 Prudential America Fund 15.17 – 22.11 Government Securities/BSAM Fund 13.63 – 14.09 Prudential Short-Term Bond Fund 12.16 – 72.49

NOTE 6- FINANCIAL HIGHLIGHTS: The following financial highlights have been calculated in accordance with the provisions of the AICPA Audit and Accounting Guide, “Audits of Investment Companies”, as amended. DECEMBER 31, 2005

Fund # (1)

Number of Units (000’s)

$ Unit Fair Value

Lowest to Highest

Net Assets $(000’s)

Investment Income Ratio (2)

%

Expense Ratio Lowest to Highest (3)

%

Total Return Lowest to Highest (4)

% SABRC 6,703 11.53 – 11.87 82,150 4.18 0.79 – 1.34 1.26 – 1.81 SA12 18,407 14.09 – 14.78 508,219 4.28 0.22 – 1.32 1.11 – 2.21 SA18 2,428 14.21 – 15.12 36,439 4.40 0.44 – 1.89 0.13 – 1.58 SACPP 40,685 11.79 – 12.18 553,576 4.66 0.39 – 1.94 1.27 – 2.82 SA15 5,402 14.53 – 18.08 98,879 4.94 0.22 – 1.82 (0.73) - 0.87 SA41 987 27.05 – 27.05 28,409 6.89 0.02 – 0.02 11.87 – 11.87 SAGB1 190 13.63 – 14.09 171,255 3.81 0.82 – 1.92 0.72 – 1.82 SA16 9,583 13.96 – 15.20 907,481 4.29 0.42 – 1.92 0.49 – 1.99 SACSF 8,636 13.40 – 14.09 124,634 10.03 0.42 – 2.22 2.12 – 3.92 SA14 526 14.22 – 15.16 154,603 4.81 0.42 – 1.37 0.42 – 1.37 SAMBS 1,381 15.53 – 15.53 220,622 4.07 0.42 – 0.42 2.14 – 2.14 SA30 2,540 100.63–106.27 255,685 4.66 0.21 – 0.41 2.76 – 2.96 SA66 10,323 15.17 – 22.11 220,953 4.77 0.01 – 0.41 3.33 - 3.73 SA20 3,868 12.16 – 72.49 270,806 3.34 0.22 – 2.22 1.14 – 3.14

(1) Reference Note 1 for Fund Names. (2) These amounts represent the investment income of the securities investments of the Funds, divided by average net assets. (3) These amounts represent the contract expenses of the separate account portfolio, consisting primarily of investment management, asset charges, audit and other expenses. These ratios include only those expenses that are charged directly to the Fund. (4) The total return percentage range is calculated as the gross unit value change before expense charges, less the range of expenses charged to contract holders. Some individual contract total returns are not within the ranges presented, where the contract was not outstanding for the entire period.

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