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Vanguard Variable Insurance Funds – ‘NSAR-B’ for 12/31/08

On: Thursday, 2/26/09, at 2:36pm ET · Effective: 2/26/09 · For: 12/31/08 · Accession #: 932471-9-799 · File #: 811-05962

  As Of               Filer                 Filing    For·On·As Docs:Size             Issuer                      Filing Agent

 2/26/09  Vanguard Variable Insurance Funds NSAR-B     12/31/08    3:143K                                   Vanguard Horizon Funds
          → Balanced Portfolio
          → Capital Growth Portfolio
          → Diversified Value Portfolio
          → Equity Income Portfolio
          → Equity Index Portfolio
          → Growth Portfolio
          → High-Yield Bond Portfolio
          → International Portfolio
          → Mid-Cap Index Portfolio
          → Money Market Portfolio
          → Real Estate Index Portfolio
          → Short-Term Investment-Grade Portfolio
          → Small Co. Growth Portfolio
          → Total Bond Market Index Portfolio
          → Total Stock Market Index Portfolio

Annual Report by an Investment Company — Form N-SAR — ICA’40
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: NSAR-B      Vvifnsar123108                                        79    321K 
 3: EX-99       Declaration of Trusts                                 23±    84K 
 2: EX-99.77B ACCT LTTR  Opinion Letter                                2±    10K

‘NSAR-B’ — Vvifnsar123108

SEC Info℠ rendering: Data from the Answer File, which may only contain updates to a prior Form N-SAR

Form N-SAR

Annual Report by an Open-End Investment Company

Report
Registrant: Vanguard Variable Insurance Fund — List all N-SARs

Annual Report for the 2nd-half period ended at fiscal year end: 12/31/08

Were there any Answer File errors in the Filing? None FoundNone Found by SEC InfoNot Checked by the FilerOne or more Found by SEC Info
Was the Answer File completed by the Registrant? Yes

Is this an Amendment to a previous Report? No
Is this a change to a previous Report? No
Registrant
1. SEC CIK: 857490
SEC File #: 811-05962

Telephone #: 610-669-1000
2. Address: 100 Vanguard Boulevard
Malvern, PA 19355
3. Is this the first Form N-SAR filed by the Registrant? No
4. Is this the final Form N-SAR filed by the Registrant? No
Funds/Series ↑Top of Form N-SAR
7. Is the Registrant a Funds/Series (multiple portfolios) company? Yes

The number of separate Funds/Series (portfolios) at period end: 15
The number of separate Funds/Series (portfolios) reported here: 15...

N-SAR S# Fund/Series — Filings for F/S#… ⇒ Symbols
↓Information Common to All
↓ Series 4: Balanced Portfolio — S#4390
↓ Series 14: Capital Growth Portfolio — S#4397
↓ Series 12: Diversified Value Portfolio — S#4398
↓ Series 5: Equity Income Portfolio — S#4399
↓ Series 3: Equity Index Portfolio — S#4400
↓ Series 6: Growth Portfolio — S#4401
↓ Series 8: High Yield Bond Portfolio — S#4402
↓ Series 7: International Portfolio — S#4403
↓ Series 10: Mid-Cap Index Portfolio — S#4404
↓ Series 1: Money Market Portfolio — S#4391
↓ Series 13: REIT Index Portfolio [ now
Real Estate Index Portfolio ] — S#4392
↓ Series 11: Short-Term Investment-Grade Portfolio — S#4393
↓ Series 9: Small Co. Growth Portfolio — S#4394
↓ Series 2: Total Bond Market Index Portfolio — S#4395
↓ Series 15: Total Stock Market Index [ now
Total Stock Market Index Portfolio ] — S#4396
Family of Investment Companies
19. Is the Registrant/Series part of a “family” of investment companies? Yes

Total number of registered management investment companies, Series
and portfolios (excluding any Unit Investment Trusts) in the family: 155

The Identification Code of the family for Form N-SAR Filings: VANGUARDGR
Investment Company Type
27. Is the Registrant an “open-end” investment company? Yes, Open-End
Additional Disclosures
77. Did the Registrant file any additional Exhibits with the filing of this
Report (listed here and filed either herewith — as one of the ‘EX-99.*’
↑Exhibits in this Filing — or separately and incorporated by reference)? Yes

EX-99.77B: Accountant’s Report re: Internal Controls? Yes

EX-99.77Q1: Other Disclosure? Yes

EX-99.77Q3: Other Info? Yes
Subsidiaries
78. Does the Registrant have any wholly-owned investment company
subsidiaries whose operating and financial data are consolidated with
that of the Registrant in this Report? No
All Series ↑List of 15 Funds/Series Reported Here

Information Common to All Funds/Series
All: Administrator
10.1 Name: The Vanguard Group, Inc.
SEC File #: 801-11953
Location: Malvern, PA
All: Principal Underwriter
11.1 Name: Vanguard Marketing Corp.
SEC File #: 008-21570
Location: Malvern, PA
All: Shareholder Servicing/Transfer Agent
12.1 Name: The Vanguard Group, Inc.
SEC File #: 084-00772
Location: Malvern, PA
All: Independent Public Accountant
13.1 Name: Pricewaterhousecoopers LLP
Location: Philadelphia, PA
All: Affiliated Broker/Dealer
14.1 Name: Vanguard Marketing Corp.
SEC File #: 008-21570
All: Custodian
18. Does the Registrant’s/Series’ Custodian(s) maintain some or all of the
Registrant’s/Series’ securities in a central depository or book-entry
system pursuant to Rule 17f-4? Yes
All: Brokerage Commissions Paid on Portfolio Transactions
20. The brokers who received the largest amount of gross brokerage
commissions during the period:
20.1 Broker: Goldman, Sachs & Co.
IRS #: 13-5108880
Commissions paid ($000s): 475
20.2 Broker: Merrill Lynch, Pierce, Fenner & Smith Inc.
IRS #: 13-5674085
Commissions paid ($000s): 432
20.3 Broker: Citigroup Global Markets Inc.
IRS #: 13-2919773
Commissions paid ($000s): 361
20.4 Broker: Itg, Inc.
IRS #: 95-4339369
Commissions paid ($000s): 320
20.5 Broker: Morgan Stanley
IRS #: 13-2655998
Commissions paid ($000s): 298
20.6 Broker: Credit Suisse Securities (USA) LLC
IRS #: 13-5659485
Commissions paid ($000s): 257
20.7 Broker: UBS Securities LLC
IRS #: 13-3873456
Commissions paid ($000s): 251
20.8 Broker: Deutsche Bank Securities Inc.
IRS #: 13-2730828
Commissions paid ($000s): 247
20.9 Broker: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Commissions paid ($000s): 244
20.10 Broker: Liquidnet, Inc.
IRS #: 13-4095933
Commissions paid ($000s): 204
21. Total brokerage commissions paid by the Registrant during the period:
Aggregate paid ($000s): 5,424
All: Portfolio Transactions with Entities Acting as Principals
22. The entities acting as principals with whom the Registrant did the
largest amount of portfolio transactions, based on total value of
principal, during the period:
22.1 Entity: Vanguard Market Liquidity Fund
IRS #: 20-0961056
Registrant’s purchases ($000s): 2,699,787
Registrant’s sales ($000s): 2,856,574
22.2 Entity: Barclays Capital Inc.
IRS #: 13-3410233
Registrant’s purchases ($000s): 3,554,972
Registrant’s sales ($000s): 232,073
22.3 Entity: Deutsche Bank Securities Inc.
IRS #: 13-2730828
Registrant’s purchases ($000s): 3,326,952
Registrant’s sales ($000s): 194,513
22.4 Entity: UBS Securities LLC
IRS #: 13-3873456
Registrant’s purchases ($000s): 3,023,074
Registrant’s sales ($000s): 42,440
22.5 Entity: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Registrant’s purchases ($000s): 2,624,926
Registrant’s sales ($000s): 187,497
22.6 Entity: Banc of America Securities LLC
IRS #: 56-2058405
Registrant’s purchases ($000s): 2,238,809
Registrant’s sales ($000s): 356,136
22.7 Entity: Credit Suisse Securities (USA) LLC
IRS #: 13-5659485
Registrant’s purchases ($000s): 1,961,794
Registrant’s sales ($000s): 197,724
22.8 Entity: Greenwich Capital Markets, Inc.
IRS #: 13-3172275
Registrant’s purchases ($000s): 1,730,256
Registrant’s sales ($000s): 165,846
22.9 Entity: Lehman Brothers Inc.
IRS #: 13-2518466
Registrant’s purchases ($000s): 1,377,021
Registrant’s sales ($000s): 122,343
22.10 Entity: BNP Paribas Securities Corp.
IRS #: 13-3235334
Registrant’s purchases ($000s): 1,330,008
Registrant’s sales ($000s): 95,383
23. Total purchase/sale transactions by the Registrant during the period:
Aggregate purchases ($000s): 30,103,602
Aggregate sales ($000s): 5,377,931
All: Considerations which Affected the Participation of Brokers or Dealers
26. Considerations which affected the participation of brokers or dealers or
other entities in commissions or other compensation paid on portfolio
transactions of the Registrant:

Consideration?
Sales of the Registrant’s/Series’ shares ............................... No
Receipt of investment research and statistical info .................... Yes
Receipt of quotations for portfolio valuations ......................... No
Ability to execute portfolio transactions to obtain the best price
and execution ........................................................ Yes
Receipt of telephone line and wire services ............................ No
Broker or Dealer which is an affiliated person ......................... No
An arrangement to return or credit part or all of commissions or
profits thereon...
To an Investment Adviser or Principal Underwriter, or to an
affiliated person of either ...................................... No
To the Registrant .................................................. Yes
Other .................................................................. No
All: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
29. Was a front-end sales load deducted from any share sales during the
period? No
34. Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period? No
37. Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No
39. Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? Yes
All: Payment Plan for the Distribution of Fund Shares
40. During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No
All: Fidelity Bond in Effect at Fiscal Year End
80. Insurer: ICI Mutual Insurance Co.
2nd Insurer: None

Aggregate face amount of coverage for the Registrant/Series on all bonds
on which it is named as an insured ($000s): 400,000
81. Is the bond part of a joint fidelity bond(s) shared with other
investment companies or other entities? Yes

How many other investment companies or other entities are covered by the
bond (counting each Fund/Series as a separate investment company): 191
82. Does the mandatory coverage of the fidelity bond have a deductible? No
83. Were any claims with respect to this Registrant/Series filed under the
bond during the period? No
84. Were any losses incurred with respect to this Registrant/Series that
could have been filed as a claim under the fidelity bond but were not? No
85. Are the Registrant’s/Series’ Officers and Directors covered as Officers
and Directors of the Registrant/Series under any errors and omissions
insurance policy owned by the Registrant/Series or anyone else? Yes

Were any claims filed under such policy during the period with respect
to the Registrant/Series? No
Series 1 ↑Information Common to All Funds/Series ↑List of 15 Funds/Series
7. Name: Money Market Portfolio — S#4391

Is this the final Form N-SAR filed for this Fund/Series? No
S 1: Investment Adviser
8.1 Name: The Vanguard Group
Role: Adviser
SEC File #: 801-11953
Location: Malvern, PA
S 1: Custodian
15.1 Name: The Bank of New York
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S 1: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: BNP Paribas Securities Corp.
IRS #: 13-3235334
Type of security owned: Debt
Value of securities owned at period end ($000s): 57,000
25.2 Name: Banc of America Securities LLC
IRS #: 56-2058405
Type of security owned: Debt
Value of securities owned at period end ($000s): 20,000
25.3 Name: Barclays Capital Inc.
IRS #: 13-3410233
Type of security owned: Debt
Value of securities owned at period end ($000s): 51,972
25.4 Name: Deutsche Bank Securities Inc.
IRS #: 13-2730828
Type of security owned: Debt
Value of securities owned at period end ($000s): 30,000
25.5 Name: Credit Suisse Securities (USA) LLC
IRS #: 13-5659485
Type of security owned: Debt
Value of securities owned at period end ($000s): 39,000
25.6 Name: (See a prior Form N-SAR for who was...) Deleted
25.7 Name: (See a prior Form N-SAR for who was...) Deleted
25.8 Name: (See a prior Form N-SAR for who was...) Deleted
25.9 Name: (See a prior Form N-SAR for who was...) Deleted
S 1: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 105,565
Reinvestment of dividends and distributions ................ 3,585
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 36,637
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 43,303
Reinvestment of dividends and distributions ................ 3,704
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 43,056
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 100,162
Reinvestment of dividends and distributions ................ 3,556
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 48,720
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 191,060
Reinvestment of dividends and distributions ................ 4,733
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 77,442
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 122,624
Reinvestment of dividends and distributions ................ 4,421
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 56,443
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 83,920
Reinvestment of dividends and distributions ................ 4,519
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 135,426

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 646,634
Reinvestment of dividends and distributions ................ 24,518
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 397,724

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 1: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? No
S 1: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? Yes
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 1: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes
61. The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $5,000
62. Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? Yes

The percentage of net assets in each type at period end:

Debt — Short-Term Maturities
U.S. Treasury ............................... 0.0%
U.S. Government Agency ...................... 44.4
Repurchase agreements ....................... 0.0
State and Municipal – tax-free .............. 0.0
Bank certificates of deposit – domestic ..... 2.4
Bank certificates of deposit – foreign ...... 37.0
Bankers acceptances ......................... 0.0
Commercial paper – taxable .................. 15.4
Time deposits ............................... 0.0
Options ..................................... 0.0
All other ................................... 0.5

Debt — Intermediate & Long-Term Maturities
U.S. Treasury ............................... 0.0%
U.S. Government Agency ...................... 0.0
State and Municipal – tax-free .............. 0.0
Corporate ................................... 0.0
All other ................................... 0.0

Non-Debt
Investments other than debt securities ...... 0.0%
63. The dollar-weighted average portfolio maturity at period end in days or,
if longer than one year, in years (to one decimal place):
Days: 61
Years: 0.0
64. Is the timely payment of principal and interest on any of the
instruments listed in Item 62 insured or guaranteed by an entity other
than the issuer? No

Is the issuer of any instrument covered in Item 62 delinquent or in
default as to payment of principal or interest at period end? No
66. Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? No
S 1: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes to both
Writing or investing in options on equities? No –
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? No –
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? No –
Writing or investing in options on futures? No –
Writing or investing in options on stock index futures? No –
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes to both
Investments in shares of other investment companies? Yes No
Investments in securities of foreign issuers? Yes to both
Currency exchange transactions? No –
Loaning portfolio securities? Yes No
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes No
Margin purchases? No –
Short selling? No –
S 1: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 0
Sales ($000s): 0

Monthly average Value of portfolio ($000s): 0

Percent turnover (lesser of Purchases or Sales, divided by Value): 0%
S 1: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 56,743
Net dividend income .............................................. –
Account maintenance fees ......................................... –
Net other income ................................................. –

Expenses ($000s)
Advisory fees .................................................... 178
Administrator fees ............................................... 1,240
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 926
Custodian fees ................................................... 52
Postage .......................................................... –
Printing expenses ................................................ 32
Directors’ fees .................................................. 2
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 23
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 500
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... 220
Total expenses ................................................... 3,173

Expense reimbursements ($000s): 0

Net investment income ($000s): 53,570

Realized capital gains ($000s): 477
Realized capital losses ($000s): 220

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 0

Total income dividends for which the record date passed during the
period ($000s): 53,570

Total capital gains distributions for which the record date passed
during the period ($000s): 0
73. Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.0280

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S 1: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. –
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 2,101,101
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... –
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 575
Receivables from portfolio instruments sold ...................... –
Receivables from affiliated persons .............................. –
Other receivables ................................................ 10,574
All other assets ................................................. –
Total assets ..................................................... 2,112,250

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... –
Amounts owed to affiliated persons ............................... 2,263
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 2,692

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 2,107,295

Number of shares outstanding (000s): 2,107,012

Net Asset Value (NAV) per share (to nearest cent): $1.00
Mark-to-market NAV per share: $1.0026

Total number of shareholder accounts: 23

Total value of assets in segregated accounts ($000s): 0
75. Daily average net assets during the period ($000s): 1,930,006
Series 2 ↑Information Common to All Funds/Series ↑List of 15 Funds/Series
7. Name: Total Bond Market Index Portfolio — S#4395

Is this the final Form N-SAR filed for this Fund/Series? No
S 2: Investment Adviser
8.1 Name: The Vanguard Group, Inc.
Role: Adviser
SEC File #: 801-11953
Location: Malvern, PA
S 2: Custodian
15.1 Name: U.S. Bank NA
Role: Custodian
Location: Philadelphia, PA

Type of custody: Section 17(f)(1) — Bank
S 2: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: Morgan Stanley
IRS #: 13-2655998
Type of security owned: Debt
Value of securities owned at period end ($000s): 13,788
25.2 Name: J.P. Morgan Securities LLC
IRS #: 13-3224016
Type of security owned: Debt
Value of securities owned at period end ($000s): 12,949
25.3 Name: Credit Suisse Securities (USA) LLC
IRS #: 13-5659485
Type of security owned: Debt
Value of securities owned at period end ($000s): 6,626
25.4 Name: Goldman, Sachs & Co.
IRS #: 13-5108880
Type of security owned: Debt
Value of securities owned at period end ($000s): 7,488
25.5 Name: Banc of America Securities LLC
IRS #: 56-2058405
Type of security owned: Debt
Value of securities owned at period end ($000s): 10,142
25.6 Name: UBS Securities LLC
IRS #: 13-3873456
Type of security owned: Debt
Value of securities owned at period end ($000s): 4,186
25.7 Name: Merrill Lynch, Pierce Fenner & Smith Inc.
IRS #: 13-5674085
Type of security owned: Debt
Value of securities owned at period end ($000s): 9,138
25.8 Name: (See a prior Form N-SAR for who was...) Deleted
25.9 Name: Deutsche Bank Securities Inc.
IRS #: 13-2730828
Type of security owned: Debt
Value of securities owned at period end ($000s): 3,508
25.10 Name: Citigroup Global Markets Inc.
IRS #: 13-2919773
Type of security owned: Debt
Value of securities owned at period end ($000s): 10,880
25.11 Name: Barclays Capital Inc.
IRS #: 13-3410233
Type of security owned: Debt
Value of securities owned at period end ($000s): 51
25.12 Name: Greenwich Capital Markets, Inc.
IRS #: 13-3172275
Type of security owned: Debt
Value of securities owned at period end ($000s): 2,227
S 2: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 27,353
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 14,156
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 32,247
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 8,605
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 22,898
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 13,411
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 20,280
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 33,010
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 16,173
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 22,618
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 26,869
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 15,773

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 145,820
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 107,573

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 2: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? No
S 2: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 2: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

The percentage of net assets in each type at period end:

Debt — Short-Term Maturities
U.S. Treasury ............................... 0.6%
U.S. Government Agency ...................... 0.0
Repurchase agreements ....................... 0.0
State and Municipal – tax-free .............. 0.0
Bank certificates of deposit – domestic ..... 0.0
Bank certificates of deposit – foreign ...... 0.0
Bankers acceptances ......................... 0.0
Commercial paper – taxable .................. 0.0
Time deposits ............................... 0.0
Options ..................................... 0.0
All other ................................... 0.0

Debt — Intermediate & Long-Term Maturities
U.S. Treasury ............................... 25.3%
U.S. Government Agency ...................... 47.4
State and Municipal – tax-free .............. 0.0
Corporate ................................... 22.5
All other ................................... 3.0

Non-Debt
Investments other than debt securities ...... 1.8%
63. The dollar-weighted average portfolio maturity at period end in days or,
if longer than one year, in years (to one decimal place):
Days: 0
Years: 5.5
64. Is the timely payment of principal and interest on any of the
instruments listed in Item 62 insured or guaranteed by an entity other
than the issuer? Yes

Is the issuer of any instrument covered in Item 62 delinquent or in
default as to payment of principal or interest at period end? Yes
65. In computations of Net Asset Value (NAV) per share, is any part of the
value attributed to instruments identified in Item 64.B (second
question) derived from insurance or guarantees? No
66. Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S 2: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? No –
Writing or investing in options on debt securities? Yes No
Writing or investing in options on stock indices? No –
Writing or investing in interest rate futures? Yes No
Writing or investing in stock index futures? No –
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? No –
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes to both
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes to both
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes No
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S 2: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 964,663
Sales ($000s): 773,054

Monthly average Value of portfolio ($000s): 1,364,767

Percent turnover (lesser of Purchases or Sales, divided by Value): 57%
S 2: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 69,789
Net dividend income .............................................. –
Account maintenance fees ......................................... –
Net other income ................................................. –

Expenses ($000s)
Advisory fees .................................................... 131
Administrator fees ............................................... 1,451
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 166
Custodian fees ................................................... 95
Postage .......................................................... –
Printing expenses ................................................ 44
Directors’ fees .................................................. 2
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 27
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 334
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 2,250

Expense reimbursements ($000s): 0

Net investment income ($000s): 67,539

Realized capital gains ($000s): 13,883
Realized capital losses ($000s): 12,725

Net unrealized appreciation during the period ($000s): 2,653
Net unrealized depreciation during the period ($000s): 0

Total income dividends for which the record date passed during the
period ($000s): 58,358

Dividends from net investment income: $0.5000

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S 2: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. –
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 10,353
Long-term debt securities, including convertible debt ............ 1,472,860
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... –
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 27,226
Receivables from portfolio instruments sold ...................... 1,773
Receivables from affiliated persons .............................. –
Other receivables ................................................ 14,506
All other assets ................................................. –
Total assets ..................................................... 1,526,718

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 23,591
Amounts owed to affiliated persons ............................... 1,874
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 429

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 1,500,824

Number of shares outstanding (000s): 129,193

Net Asset Value (NAV) per share (to nearest cent): $11.62

Total number of shareholder accounts: 44

Total value of assets in segregated accounts ($000s): 0
75. Monthly average net assets during the period ($000s): 1,405,779
Series 3 ↑Information Common to All Funds/Series ↑List of 15 Funds/Series
7. Name: Equity Index Portfolio — S#4400

Is this the final Form N-SAR filed for this Fund/Series? No
S 3: Investment Adviser
8.1 Name: The Vanguard Group, Inc.
Role: Adviser
SEC File #: 801-11953
Location: Malvern, PA
S 3: Custodian
15.1 Name: U.S. Bank NA
Role: Custodian
Location: Philadelphia, PA

Type of custody: Section 17(f)(1) — Bank
S 3: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: Morgan Stanley
IRS #: 13-2655998
Type of security owned: Equity
Value of securities owned at period end ($000s): 3,258
25.2 Name: (See a prior Form N-SAR for who was...) Deleted
25.3 Name: Banc of America Securities LLC
IRS #: 56-2058405
Type of security owned: Equity
Value of securities owned at period end ($000s): 13,530
25.4 Name: Merrill Lynch, Pierce Fenner & Smith Inc.
IRS #: 13-5674085
Type of security owned: Equity
Value of securities owned at period end ($000s): 3,565
25.5 Name: Citigroup Global Markets Inc.
IRS #: 13-2919773
Type of security owned: Equity
Value of securities owned at period end ($000s): 7,003
25.6 Name: Goldman, Sachs & Co.
IRS #: 13-5108880
Type of security owned: Equity
Value of securities owned at period end ($000s): 7,149
25.7 Name: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Type of security owned: Equity
Value of securities owned at period end ($000s): 22,535
25.8 Name: (See a prior Form N-SAR for who was...) Deleted
25.9 Name: (See a prior Form N-SAR for who was...) Deleted
S 3: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 18,528
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 23,856
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 80,171
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 48,731
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 24,855
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 23,525
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 33,639
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 37,516
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 23,469
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 26,335
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 21,777
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 16,397

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 202,439
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 176,360

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 3: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? No
S 3: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 3: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? No
Growth and income? Yes
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S 3: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S 3: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 289,704
Sales ($000s): 202,327

Monthly average Value of portfolio ($000s): 2,000,132

Percent turnover (lesser of Purchases or Sales, divided by Value): 10%
S 3: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 425
Net dividend income .............................................. 45,398
Account maintenance fees ......................................... –
Net other income ................................................. 326

Expenses ($000s)
Advisory fees .................................................... 92
Administrator fees ............................................... 917
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 1,102
Custodian fees ................................................... 65
Postage .......................................................... –
Printing expenses ................................................ 37
Directors’ fees .................................................. 3
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 23
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 542
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 2,781

Expense reimbursements ($000s): 0

Net investment income ($000s): 43,368

Realized capital gains ($000s): 86,970
Realized capital losses ($000s): 57,019

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 955,543

Total income dividends for which the record date passed during the
period ($000s): 42,989

Total capital gains distributions for which the record date passed
during the period ($000s): 73,240
73. Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.5400

Distribution of capital gains: $0.9200
Other distributions: $0.0000
S 3: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. –
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 1,500
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 1,505,787
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 9,766
Receivables from portfolio instruments sold ...................... 1,260
Receivables from affiliated persons .............................. 4,030
Other receivables ................................................ –
All other assets ................................................. –
Total assets ..................................................... 1,522,343

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 4,189
Amounts owed to affiliated persons ............................... 3,425
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 1,997

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 1,512,732

Number of shares outstanding (000s): 85,890

Net Asset Value (NAV) per share (to nearest cent): $17.61

Total number of shareholder accounts: 24,132

Total value of assets in segregated accounts ($000s): 1,500
75. Monthly average net assets during the period ($000s): 2,011,991
Series 4 ↑Information Common to All Funds/Series ↑List of 15 Funds/Series
7. Name: Balanced Portfolio — S#4390

Is this the final Form N-SAR filed for this Fund/Series? No
S 4: Investment Adviser
8.1 Name: Wellington Management Co., LLP
Role: Adviser
SEC File #: 801-15908
Location: Boston, MA
S 4: Custodian
15.1 Name: U.S. Bank NA
Role: Custodian
Location: Philadelphia, PA

Type of custody: Section 17(f)(1) — Bank
S 4: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: UBS Securities LLC
IRS #: 13-3873456
Type of security owned: Debt
Value of securities owned at period end ($000s): 1,854
25.2 Name: Morgan Stanley
IRS #: 13-2655998
Type of security owned: Debt
Value of securities owned at period end ($000s): 6,387
25.3 Name: Credit Suisse Securities (USA) LLC
IRS #: 13-5659485
Type of security owned: Debt
Value of securities owned at period end ($000s): 11,903
25.4 Name: UBS Securities LLC
IRS #: 13-3873456
Type of security owned: Equity
Value of securities owned at period end ($000s): 5,818
25.5 Name: Citigroup Global Markets Inc.
IRS #: 13-2919773
Type of security owned: Debt
Value of securities owned at period end ($000s): 7,245
25.6 Name: Citigroup Global Markets Inc.
IRS #: 13-2919773
Type of security owned: Equity
Value of securities owned at period end ($000s): 1,234
25.7 Name: (See a prior Form N-SAR for who was...) Deleted
25.8 Name: Banc of America Securities LLC
IRS #: 56-2058405
Type of security owned: Equity
Value of securities owned at period end ($000s): 8,301
25.9 Name: Banc of America Securities LLC
IRS #: 56-2058405
Type of security owned: Debt
Value of securities owned at period end ($000s): 5,947
25.10 Name: Goldman, Sachs & Co.
IRS #: 13-5108880
Type of security owned: Debt
Value of securities owned at period end ($000s): 9,357
25.11 Name: Deutsche Bank Securities Inc.
IRS #: 13-2730828
Type of security owned: Debt
Value of securities owned at period end ($000s): 2,614
25.12 Name: (See a prior Form N-SAR for who was...) Deleted
25.13 Name: Barclays Capital Inc.
IRS #: 13-3410233
Type of security owned: Debt
Value of securities owned at period end ($000s): 816
25.14 Name: Merrill Lynch, Pierce, Fenner & Smith Inc.
IRS #: 13-5674085
Type of security owned: Debt
Value of securities owned at period end ($000s): 5,101
25.15 Name: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Type of security owned: Debt
Value of securities owned at period end ($000s): 6,540
25.16 Name: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Type of security owned: Equity
Value of securities owned at period end ($000s): 8,442
25.17 Name: (See a prior Form N-SAR for who was...) Deleted
25.18 Name: Greenwich Capital Markets, Inc.
IRS #: 13-3172275
Type of security owned: Debt
Value of securities owned at period end ($000s): 1,040
25.19 Name: Goldman, Sachs & Co.
IRS #: 13-5108880
Type of security owned: Equity
Value of securities owned at period end ($000s): 3,671
25.20 Name: Morgan Stanley
IRS #: 13-2655998
Type of security owned: Equity
Value of securities owned at period end ($000s): 3,502
S 4: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 7,262
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 23,918
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 11,535
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 9,601
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 9,673
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 21,511
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 7,940
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 46,117
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 5,792
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 24,539
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 7,570
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 14,025

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 49,772
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 139,711

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 4: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? Yes
46. Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No
47. Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No
49. Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No
50. Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No
51. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? Yes
52. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No
53. Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? No
S 4: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 4: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? No
Growth and income? No
Income? No
Total return? Yes
67. Is the Registrant/Series a “balanced” Fund? Yes
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? No
S 4: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes to both
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? Yes No
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? Yes to both
Writing or investing in stock index futures? Yes No
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes to both
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes to both
Currency exchange transactions? Yes to both
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes No
Margin purchases? No –
Short selling? No –
S 4: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 423,947
Sales ($000s): 445,908

Monthly average Value of portfolio ($000s): 1,356,721

Percent turnover (lesser of Purchases or Sales, divided by Value): 31%
S 4: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 27,134
Net dividend income .............................................. 24,951
Account maintenance fees ......................................... –
Net other income ................................................. 119

Expenses ($000s)
Advisory fees .................................................... 1,081
Administrator fees ............................................... 780
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 1,119
Custodian fees ................................................... 52
Postage .......................................................... –
Printing expenses ................................................ 37
Directors’ fees .................................................. 2
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 22
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 332
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 3,425

Expense reimbursements ($000s): 23

Net investment income ($000s): 48,802

Realized capital gains ($000s): 58,078
Realized capital losses ($000s): 90,677

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 364,054

Total income dividends for which the record date passed during the
period ($000s): 47,471

Total capital gains distributions for which the record date passed
during the period ($000s): 64,530
73. Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.6400

Distribution of capital gains: $0.8700
Other distributions: $0.0000
S 4: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 133
Repurchase agreements ............................................ 7,700
Short-term debt securities, other than repurchase agreements ..... 9,104
Long-term debt securities, including convertible debt ............ 381,637
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 700,186
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 287
Receivables from portfolio instruments sold ...................... 5,990
Receivables from affiliated persons .............................. –
Other receivables ................................................ 8,978
All other assets ................................................. –
Total assets ..................................................... 1,114,015

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 2,472
Amounts owed to affiliated persons ............................... 2,777
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 841

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 1,107,925

Number of shares outstanding (000s): 74,608

Net Asset Value (NAV) per share (to nearest cent): $14.85

Total number of shareholder accounts: 27

Total value of assets in segregated accounts ($000s): 0
75. Monthly average net assets during the period ($000s): 1,384,935
Series 5 ↑Information Common to All Funds/Series ↑List of 15 Funds/Series
7. Name: Equity Income Portfolio — S#4399

Is this the final Form N-SAR filed for this Fund/Series? No
S 5: Investment Adviser
8.1 Name: Wellington Management Co., LLP
Role: Adviser
SEC File #: 801-15908
Location: Boston, MA
8.2 Name: The Vanguard Group, Inc.
Role: Adviser
SEC File #: 801-11953
Location: Malvern, PA
S 5: Custodian
15.1 Name: Citibank N.A.
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S 5: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 21,512
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 43,023

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 5: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? Yes
46. Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? Yes
47. Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No
49. Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No
50. Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No
51. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? Yes
52. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No
53. Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? No
54. Indicated below are whether services were supplied or paid for wholly or
in substantial part by Investment Adviser(s) or Administrator(s) in
connection with the advisory or administrative contract(s) but for which
the Adviser(s) or Administrator(s) are not reimbursed by the Registrant:

Provided to the Registrant?
Occupancy and office rental ............................................ No
Clerical and bookkeeping services ...................................... No
Accounting services .................................................... No
Services of independent auditors ....................................... No
Services of outside counsel ............................................ No
Registration and filing fees ........................................... No
Stationery, supplies and printing ...................................... No
Salaries & compensation of Registrant’s interested Directors ........... No
Salaries & compensation of Registrant’s disinterested Directors ........ No
Salaries & compensation of Registrant’s Officers who aren’t Directors .. No
Reports to current shareholders ........................................ No
Determination of offering and redemption prices ........................ No
Trading department ..................................................... No
Prospectus preparation and printing for current shareholders ........... No
Other .................................................................. No
S 5: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 5: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? No
Growth and income? Yes
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? No
S 5: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes to both
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes to both
Currency exchange transactions? Yes to both
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S 5: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 290,011
Sales ($000s): 316,446

Monthly average Value of portfolio ($000s): 483,908

Percent turnover (lesser of Purchases or Sales, divided by Value): 60%
S 5: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 378
Net dividend income .............................................. 19,054
Account maintenance fees ......................................... –
Net other income ................................................. 17

Expenses ($000s)
Advisory fees .................................................... 477
Administrator fees ............................................... 351
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 462
Custodian fees ................................................... 4
Postage .......................................................... –
Printing expenses ................................................ 25
Directors’ fees .................................................. 1
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 24
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 111
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 1,455

Expense reimbursements ($000s): 16

Net investment income ($000s): 18,010

Realized capital gains ($000s): 48,229
Realized capital losses ($000s): 68,955

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 175,014

Total income dividends for which the record date passed during the
period ($000s): 17,785

Total capital gains distributions for which the record date passed
during the period ($000s): 44,760
73. Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.6000

Distribution of capital gains: $1.5100
Other distributions: $0.0000
S 5: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 8
Repurchase agreements ............................................ 4,800
Short-term debt securities, other than repurchase agreements ..... 2,498
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 365,616
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 7,641
Receivables from portfolio instruments sold ...................... 1,317
Receivables from affiliated persons .............................. –
Other receivables ................................................ 1,926
All other assets ................................................. –
Total assets ..................................................... 383,806

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 1,116
Amounts owed to affiliated persons ............................... 1,081
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 169

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 381,440

Number of shares outstanding (000s): 31,582

Net Asset Value (NAV) per share (to nearest cent): $12.08

Total number of shareholder accounts: 18

Total value of assets in segregated accounts ($000s): 2,498
75. Monthly average net assets during the period ($000s): 500,128
Series 6 ↑Information Common to All Funds/Series ↑List of 15 Funds/Series
7. Name: Growth Portfolio — S#4401

Is this the final Form N-SAR filed for this Fund/Series? No
S 6: Investment Adviser
8.1 Name: Alliancebernstein L.P.
Role: Adviser
SEC File #: 801-56720
Location: New York, NY
8.2 Name: William Blair & Co. LLC
Role: Adviser
SEC File #: 801-00688
Location: Chicago, IL
8.3 Name: The Vanguard Group, Inc.
Role: Adviser
SEC File #: 801-11953
Location: Malvern, PA
S 6: Custodian
15.1 Name: Bank of New York
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S 6: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: Goldman, Sachs & Co.
IRS #: 13-5108880
Type of security owned: Equity
Value of securities owned at period end ($000s): 3,030
25.2 Name: (See a prior Form N-SAR for who was...) Deleted
25.3 Name: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Type of security owned: Equity
Value of securities owned at period end ($000s): 2,582
25.4 Name: (See a prior Form N-SAR for who was...) Deleted
25.5 Name: (See a prior Form N-SAR for who was...) Deleted
S 6: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,516
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 3,242
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,269
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 2,611
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,262
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 5,025
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,447
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 6,251
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 715
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 3,366
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 681
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 3,595

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 6,890
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 24,090

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 6: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? Yes
46. Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? Yes
47. Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No
49. Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No
50. Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No
51. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? Yes
52. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No
53. Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? No
54. Indicated below are whether services were supplied or paid for wholly or
in substantial part by Investment Adviser(s) or Administrator(s) in
connection with the advisory or administrative contract(s) but for which
the Adviser(s) or Administrator(s) are not reimbursed by the Registrant:

Provided to the Registrant?
Occupancy and office rental ............................................ No
Clerical and bookkeeping services ...................................... No
Accounting services .................................................... No
Services of independent auditors ....................................... No
Services of outside counsel ............................................ No
Registration and filing fees ........................................... No
Stationery, supplies and printing ...................................... No
Salaries & compensation of Registrant’s interested Directors ........... No
Salaries & compensation of Registrant’s disinterested Directors ........ No
Salaries & compensation of Registrant’s Officers who aren’t Directors .. No
Reports to current shareholders ........................................ No
Determination of offering and redemption prices ........................ No
Trading department ..................................................... No
Prospectus preparation and printing for current shareholders ........... No
Other .................................................................. No
S 6: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 6: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? Yes
Growth and income? No
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? No
S 6: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? No –
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes to both
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes No
Margin purchases? No –
Short selling? No –
S 6: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 331,837
Sales ($000s): 346,720

Monthly average Value of portfolio ($000s): 277,556

Percent turnover (lesser of Purchases or Sales, divided by Value): 120%
S 6: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 457
Net dividend income .............................................. 2,604
Account maintenance fees ......................................... –
Net other income ................................................. 60

Expenses ($000s)
Advisory fees .................................................... 287
Administrator fees ............................................... 281
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 291
Custodian fees ................................................... 19
Postage .......................................................... –
Printing expenses ................................................ 48
Directors’ fees .................................................. 1
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 24
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 62
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 1,013

Expense reimbursements ($000s): 18

Net investment income ($000s): 2,126

Realized capital gains ($000s): 37,865
Realized capital losses ($000s): 61,445

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 109,348

Total income dividends for which the record date passed during the
period ($000s): 2,464

Dividends from net investment income: $0.1000

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S 6: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 84
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 1,798
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 194,031
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 7,915
Receivables from portfolio instruments sold ...................... 46
Receivables from affiliated persons .............................. –
Other receivables ................................................ 505
All other assets ................................................. –
Total assets ..................................................... 204,379

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 241
Amounts owed to affiliated persons ............................... 1,075
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 294

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 202,769

Number of shares outstanding (000s): 22,804

Net Asset Value (NAV) per share (to nearest cent): $8.89

Total number of shareholder accounts: 10

Total value of assets in segregated accounts ($000s): 1,798
75. Monthly average net assets during the period ($000s): 292,843
Series 7 ↑Information Common to All Funds/Series ↑List of 15 Funds/Series
7. Name: International Portfolio — S#4403

Is this the final Form N-SAR filed for this Fund/Series? No
S 7: Investment Adviser
8.1 Name: Schroder Investment Management North America
Role: Adviser
SEC File #: 801-15834
Location: New York, NY
8.2 Name: Baillie Gifford Overseas Ltd.
Role: Adviser
SEC File #: 801-21051
Location: Edinburgh
Scotland
8.3 Name: The Vanguard Group Inc.
Role: Adviser
SEC File #: 801-49601
Location: Malvern, PA
8.4 Name: M&G Investment Management Ltd.
Role: Adviser
SEC File #: 801-21981
Location: London
UK
S 7: Custodian
15.1 Name: Brown Brothers Harriman & Co.
Role: Custodian
Location: Boston, MA

Type of custody: Section 17(f)(1) — Bank
S 7: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: (See a prior Form N-SAR for who was...) Deleted
25.2 Name: UBS Securities LLC
IRS #: 13-3873456
Type of security owned: Equity
Value of securities owned at period end ($000s): 15,905
25.3 Name: (See a prior Form N-SAR for who was...) Deleted
25.4 Name: Credit Suisse Securities (USA) LLC
IRS #: 13-5659485
Type of security owned: Equity
Value of securities owned at period end ($000s): 5,898
S 7: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 53,693
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 51,257
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 12,321
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 35,597
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 14,128
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 36,253
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 24,340
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 43,894
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 17,888
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 14,780
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 24,855
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 26,182

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 147,225
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 207,963

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 7: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? Yes
46. Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? Yes
47. Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No
49. Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No
50. Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No
51. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? Yes
52. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No
53. Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? No
54. Indicated below are whether services were supplied or paid for wholly or
in substantial part by Investment Adviser(s) or Administrator(s) in
connection with the advisory or administrative contract(s) but for which
the Adviser(s) or Administrator(s) are not reimbursed by the Registrant:

Provided to the Registrant?
Occupancy and office rental ............................................ No
Clerical and bookkeeping services ...................................... No
Accounting services .................................................... No
Services of independent auditors ....................................... No
Services of outside counsel ............................................ No
Registration and filing fees ........................................... No
Stationery, supplies and printing ...................................... No
Salaries & compensation of Registrant’s interested Directors ........... No
Salaries & compensation of Registrant’s disinterested Directors ........ No
Salaries & compensation of Registrant’s Officers who aren’t Directors .. No
Reports to current shareholders ........................................ No
Determination of offering and redemption prices ........................ No
Trading department ..................................................... No
Prospectus preparation and printing for current shareholders ........... No
Other .................................................................. No
S 7: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 7: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? Yes
Growth and income? No
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? Yes
69. Is the Registrant/Series an index Fund? No
S 7: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes to both
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes to both
Currency exchange transactions? Yes to both
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes No
Margin purchases? No –
Short selling? No –
S 7: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 968,117
Sales ($000s): 956,577

Monthly average Value of portfolio ($000s): 1,618,516

Percent turnover (lesser of Purchases or Sales, divided by Value): 59%
S 7: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 2,193
Net dividend income .............................................. 52,591
Account maintenance fees ......................................... –
Net other income ................................................. 1,409

Expenses ($000s)
Advisory fees .................................................... 2,427
Administrator fees ............................................... 501
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 3,738
Custodian fees ................................................... 412
Postage .......................................................... –
Printing expenses ................................................ 43
Directors’ fees .................................................. 2
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 34
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 494
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 7,651

Expense reimbursements ($000s): 47

Net investment income ($000s): 48,589

Realized capital gains ($000s): 187,859
Realized capital losses ($000s): 256,700

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 912,542

Total income dividends for which the record date passed during the
period ($000s): 42,670

Total capital gains distributions for which the record date passed
during the period ($000s): 149,780
73. Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.4900

Distribution of capital gains: $1.7200
Other distributions: $0.0000
S 7: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 46
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 9,395
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 1,051,099
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 71,241
Receivables from portfolio instruments sold ...................... –
Receivables from affiliated persons .............................. –
Other receivables ................................................ 4,787
All other assets ................................................. –
Total assets ..................................................... 1,136,568

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... –
Amounts owed to affiliated persons ............................... 2,071
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 20,962

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 1,113,535

Number of shares outstanding (000s): 94,327

Net Asset Value (NAV) per share (to nearest cent): $11.81

Total number of shareholder accounts: 39

Total value of assets in segregated accounts ($000s): 9,395
75. Monthly average net assets during the period ($000s): 1,701,800
Series 8 ↑Information Common to All Funds/Series ↑List of 15 Funds/Series
7. Name: High Yield Bond Portfolio — S#4402

Is this the final Form N-SAR filed for this Fund/Series? No
S 8: Investment Adviser
8.1 Name: Wellington Management Co., LLP
Role: Adviser
SEC File #: 801-15908
Location: Boston, MA
S 8: Custodian
15.1 Name: U.S. Bank NA
Role: Custodian
Location: Philadelphia, PA

Type of custody: Section 17(f)(1) — Bank
S 8: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: Banc of America Securities LLC
IRS #: 56-2058405
Type of security owned: Debt
Value of securities owned at period end ($000s): 16,903
S 8: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 2,712
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 4,409
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 2,612
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 2,754
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 2,443
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 7,708
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 2,337
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 9,871
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 3,955
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 3,908
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 12,783
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 2,391

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 26,842
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 31,041

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 8: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? Yes
46. Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No
47. Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? Yes
48. Fee (single rate or step rates) applied to the Registrant’s/Series’
assets based on the advisory contract:
Single-fee rate: 0.06%
Step-fee rates:
For 1st $000s: 0
Annual rate: 0.0%
49. Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No
50. Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No
51. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? No
52. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No
53. Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? No
54. Indicated below are whether services were supplied or paid for wholly or
in substantial part by Investment Adviser(s) or Administrator(s) in
connection with the advisory or administrative contract(s) but for which
the Adviser(s) or Administrator(s) are not reimbursed by the Registrant:

Provided to the Registrant?
Occupancy and office rental ............................................ No
Clerical and bookkeeping services ...................................... No
Accounting services .................................................... No
Services of independent auditors ....................................... No
Services of outside counsel ............................................ No
Registration and filing fees ........................................... No
Stationery, supplies and printing ...................................... No
Salaries & compensation of Registrant’s interested Directors ........... No
Salaries & compensation of Registrant’s disinterested Directors ........ No
Salaries & compensation of Registrant’s Officers who aren’t Directors .. No
Reports to current shareholders ........................................ No
Determination of offering and redemption prices ........................ No
Trading department ..................................................... No
Prospectus preparation and printing for current shareholders ........... No
Other .................................................................. No
S 8: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 8: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

The percentage of net assets in each type at period end:

Debt — Short-Term Maturities
U.S. Treasury ............................... 0.0%
U.S. Government Agency ...................... 0.0
Repurchase agreements ....................... 8.6
State and Municipal – tax-free .............. 0.0
Bank certificates of deposit – domestic ..... 0.0
Bank certificates of deposit – foreign ...... 0.0
Bankers acceptances ......................... 0.0
Commercial paper – taxable .................. 0.0
Time deposits ............................... 0.0
Options ..................................... 0.0
All other ................................... 0.6

Debt — Intermediate & Long-Term Maturities
U.S. Treasury ............................... 2.2%
U.S. Government Agency ...................... 0.0
State and Municipal – tax-free .............. 0.0
Corporate ................................... 86.2
All other ................................... 0.0

Non-Debt
Investments other than debt securities ...... 0.0%
63. The dollar-weighted average portfolio maturity at period end in days or,
if longer than one year, in years (to one decimal place):
Days: 0
Years: 6.1
64. Is the timely payment of principal and interest on any of the
instruments listed in Item 62 insured or guaranteed by an entity other
than the issuer? No

Is the issuer of any instrument covered in Item 62 delinquent or in
default as to payment of principal or interest at period end? No
66. Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? No
S 8: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes to both
Writing or investing in options on equities? No –
Writing or investing in options on debt securities? Yes No
Writing or investing in options on stock indices? No –
Writing or investing in interest rate futures? Yes No
Writing or investing in stock index futures? No –
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? No –
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes to both
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes to both
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes No
Margin purchases? No –
Short selling? No –
S 8: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 46,029
Sales ($000s): 49,298

Monthly average Value of portfolio ($000s): 212,443

Percent turnover (lesser of Purchases or Sales, divided by Value): 22%
S 8: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 19,723
Net dividend income .............................................. –
Account maintenance fees ......................................... –
Net other income ................................................. 35

Expenses ($000s)
Advisory fees .................................................... 140
Administrator fees ............................................... 185
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 135
Custodian fees ................................................... 9
Postage .......................................................... –
Printing expenses ................................................ 11
Directors’ fees .................................................. –
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 25
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 55
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 560

Expense reimbursements ($000s): 0

Net investment income ($000s): 19,198

Realized capital gains ($000s): 596
Realized capital losses ($000s): 18,810

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 54,668

Total income dividends for which the record date passed during the
period ($000s): 19,015

Dividends from net investment income: $0.6200

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S 8: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 80
Repurchase agreements ............................................ 16,903
Short-term debt securities, other than repurchase agreements ..... 1,289
Long-term debt securities, including convertible debt ............ 173,982
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... –
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 46
Receivables from portfolio instruments sold ...................... –
Receivables from affiliated persons .............................. –
Other receivables ................................................ 5,310
All other assets ................................................. –
Total assets ..................................................... 197,610

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... –
Amounts owed to affiliated persons ............................... 632
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 47

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 196,931

Number of shares outstanding (000s): 33,298

Net Asset Value (NAV) per share (to nearest cent): $5.91

Total number of shareholder accounts: 36

Total value of assets in segregated accounts ($000s): 0
75. Monthly average net assets during the period ($000s): 233,405
Series 9 ↑Information Common to All Funds/Series ↑List of 15 Funds/Series
7. Name: Small Co. Growth Portfolio — S#4394

Is this the final Form N-SAR filed for this Fund/Series? No
S 9: Investment Adviser
8.1 Name: Granahan Investment Management, Inc.
Role: Adviser
SEC File #: 801-23705
Location: Waltham, MA
8.2 Name: Grantham, Mayo, Van Otterloo & Co. LLC
Role: Adviser
SEC File #: 801-15028
Location: Boston, MA
8.3 Name: The Vanguard Group Inc.
Role: Adviser
SEC File #: 801-11953
Location: Malvern, PA
S 9: Custodian
15.1 Name: U.S. Bank NA
Role: Custodian
Location: Philadelphia, PA

Type of custody: Section 17(f)(1) — Bank
S 9: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: Itg, Inc.
IRS #: 95-4339369
Type of security owned: Equity
Value of securities owned at period end ($000s): 84
S 9: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 5,108
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 11,461
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 8,917
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 15,705
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 5,524
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 9,593
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 7,296
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 14,782
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 5,155
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 7,021
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 5,420
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 8,092

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 37,420
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 66,654

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 9: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? Yes
46. Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? Yes
47. Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No
49. Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No
50. Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No
51. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? Yes
52. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No
53. Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? No
54. Indicated below are whether services were supplied or paid for wholly or
in substantial part by Investment Adviser(s) or Administrator(s) in
connection with the advisory or administrative contract(s) but for which
the Adviser(s) or Administrator(s) are not reimbursed by the Registrant:

Provided to the Registrant?
Occupancy and office rental ............................................ No
Clerical and bookkeeping services ...................................... No
Accounting services .................................................... No
Services of independent auditors ....................................... No
Services of outside counsel ............................................ No
Registration and filing fees ........................................... No
Stationery, supplies and printing ...................................... No
Salaries & compensation of Registrant’s interested Directors ........... No
Salaries & compensation of Registrant’s disinterested Directors ........ No
Salaries & compensation of Registrant’s Officers who aren’t Directors .. No
Reports to current shareholders ........................................ No
Determination of offering and redemption prices ........................ No
Trading department ..................................................... No
Prospectus preparation and printing for current shareholders ........... No
Other .................................................................. No
S 9: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? Yes
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 9: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? Yes
Growth? No
Growth and income? No
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? No
S 9: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes to both
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S 9: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 550,311
Sales ($000s): 611,754

Monthly average Value of portfolio ($000s): 582,524

Percent turnover (lesser of Purchases or Sales, divided by Value): 94%
S 9: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 1,103
Net dividend income .............................................. 4,898
Account maintenance fees ......................................... –
Net other income ................................................. 909

Expenses ($000s)
Advisory fees .................................................... 610
Administrator fees ............................................... 338
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 788
Custodian fees ................................................... 60
Postage .......................................................... –
Printing expenses ................................................ 29
Directors’ fees .................................................. 1
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 24
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 172
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 2,022

Expense reimbursements ($000s): 0

Net investment income ($000s): 4,888

Realized capital gains ($000s): 84,037
Realized capital losses ($000s): 150,466

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 233,247

Total income dividends for which the record date passed during the
period ($000s): 4,275

Total capital gains distributions for which the record date passed
during the period ($000s): 66,695
73. Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.1000

Distribution of capital gains: $1.5600
Other distributions: $0.0000
S 9: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 1
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 2,398
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 405,720
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 39,215
Receivables from portfolio instruments sold ...................... 297
Receivables from affiliated persons .............................. –
Other receivables ................................................ 664
All other assets ................................................. –
Total assets ..................................................... 448,295

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 1,605
Amounts owed to affiliated persons ............................... 1,509
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 13,412

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 431,769

Number of shares outstanding (000s): 44,128

Net Asset Value (NAV) per share (to nearest cent): $9.78

Total number of shareholder accounts: 43

Total value of assets in segregated accounts ($000s): 2,398
75. Monthly average net assets during the period ($000s): 620,337
Series 10 ↑Information Common to All Funds/Series ↑List of 15 Funds/Series
7. Name: Mid-Cap Index Portfolio — S#4404

Is this the final Form N-SAR filed for this Fund/Series? No
S10: Investment Adviser
8.1 Name: The Vanguard Group, Inc.
Role: Adviser
SEC File #: 801-11953
Location: Malvern, PA
S10: Custodian
15.1 Name: U.S. Bank N.A.
Role: Custodian
Location: Philadelphia, PA

Type of custody: Section 17(f)(1) — Bank
S10: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No
S10: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 12,685
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 12,334
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 10,590
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 4,606
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 7,126
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 10,981
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 7,698
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 16,295
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 5,889
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 8,553
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 5,549
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 7,132

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 49,537
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 59,901

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S10: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? No
S10: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S10: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? Yes
Growth and income? No
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S10: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S10: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 220,037
Sales ($000s): 229,302

Monthly average Value of portfolio ($000s): 690,921

Percent turnover (lesser of Purchases or Sales, divided by Value): 32%
S10: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 45
Net dividend income .............................................. 9,801
Account maintenance fees ......................................... –
Net other income ................................................. 424

Expenses ($000s)
Advisory fees .................................................... 57
Administrator fees ............................................... 377
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 875
Custodian fees ................................................... 90
Postage .......................................................... –
Printing expenses ................................................ 27
Directors’ fees .................................................. 1
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 23
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 189
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 1,639

Expense reimbursements ($000s): 0

Net investment income ($000s): 8,631

Realized capital gains ($000s): 63,948
Realized capital losses ($000s): 45,887

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 375,507

Total income dividends for which the record date passed during the
period ($000s): 10,944

Total capital gains distributions for which the record date passed
during the period ($000s): 96,312
73. Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.2500

Distribution of capital gains: $2.2000
Other distributions: $0.0000
S10: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. –
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 500
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 470,209
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 1,146
Receivables from portfolio instruments sold ...................... 2,045
Receivables from affiliated persons .............................. –
Other receivables ................................................ 1,457
All other assets ................................................. –
Total assets ..................................................... 475,357

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 1,833
Amounts owed to affiliated persons ............................... 1,213
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 2,458

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 469,853

Number of shares outstanding (000s): 50,939

Net Asset Value (NAV) per share (to nearest cent): $9.22

Total number of shareholder accounts: 45

Total value of assets in segregated accounts ($000s): 500
75. Monthly average net assets during the period ($000s): 627,158
Series 11 ↑Information Common to All Funds/Series ↑List of 15 Funds/Series
7. Name: Short-Term Investment-Grade Portfolio — S#4393

Is this the final Form N-SAR filed for this Fund/Series? No
S11: Investment Adviser
8.1 Name: The Vanguard Group, Inc.
Role: Adviser
SEC File #: 801-11953
Location: Malvern, PA
S11: Custodian
15.1 Name: The Bank of New York
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S11: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: Credit Suisse Securities (USA) LLC
IRS #: 13-5659485
Type of security owned: Debt
Value of securities owned at period end ($000s): 5,265
25.2 Name: Lehman Brothers Inc.
IRS #: 13-2518466
Type of security owned: Debt
Value of securities owned at period end ($000s): 361
25.3 Name: Citigroup Global Markets Inc.
IRS #: 13-2919773
Type of security owned: Debt
Value of securities owned at period end ($000s): 10,412
25.4 Name: Banc of America Securites LLC
IRS #: 56-2058405
Type of security owned: Debt
Value of securities owned at period end ($000s): 8,937
25.5 Name: Barclays Bank plc
IRS #: 13-3410233
Type of security owned: Debt
Value of securities owned at period end ($000s): 1,721
25.6 Name: Morgan Stanley
IRS #: 13-2655998
Type of security owned: Debt
Value of securities owned at period end ($000s): 7,500
25.7 Name: Goldman, Sachs & Co.
IRS #: 13-5108880
Type of security owned: Debt
Value of securities owned at period end ($000s): 4,157
25.8 Name: Goldman, Sachs & Co.
IRS #: 13-5108880
Type of security owned: Equity
Value of securities owned at period end ($000s): 574
25.9 Name: Merrill Lynch, Pierce Fenner & Smith Inc.
IRS #: 13-5674085
Type of security owned: Debt
Value of securities owned at period end ($000s): 8,150
25.10 Name: UBS Securities LLC
IRS #: 13-3873456
Type of security owned: Debt
Value of securities owned at period end ($000s): 1,274
25.11 Name: Deutsche Bank Securities Inc.
IRS #: 13-2730828
Type of security owned: Debt
Value of securities owned at period end ($000s): 1,252
25.12 Name: Banc of America Securities LLC
IRS #: 56-2058405
Type of security owned: Equity
Value of securities owned at period end ($000s): 192
25.13 Name: Merrill Lynch, Pierce Fenner & Smith Inc.
IRS #: 13-5674085
Type of security owned: Equity
Value of securities owned at period end ($000s): 37
25.14 Name: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Type of security owned: Debt
Value of securities owned at period end ($000s): 11,504
25.15 Name: BNP Paribas Securities Corp.
IRS #: 13-3235334
Type of security owned: Debt
Value of securities owned at period end ($000s): 445
S11: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 9,953
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 7,854
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 9,454
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 4,458
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 9,939
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 14,422
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 11,783
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 29,936
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 3,564
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 13,755
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 5,713
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 13,300

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 50,406
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 83,725

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S11: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? No
S11: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S11: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

The percentage of net assets in each type at period end:

Debt — Short-Term Maturities
U.S. Treasury ............................... 0.0%
U.S. Government Agency ...................... 0.0
Repurchase agreements ....................... 0.0
State and Municipal – tax-free .............. 0.0
Bank certificates of deposit – domestic ..... 0.0
Bank certificates of deposit – foreign ...... 0.0
Bankers acceptances ......................... 0.0
Commercial paper – taxable .................. 0.0
Time deposits ............................... 0.0
Options ..................................... 0.0
All other ................................... 12.7

Debt — Intermediate & Long-Term Maturities
U.S. Treasury ............................... 5.6%
U.S. Government Agency ...................... 3.6
State and Municipal – tax-free .............. 0.0
Corporate ................................... 73.9
All other ................................... 1.8

Non-Debt
Investments other than debt securities ...... 1.0%
63. The dollar-weighted average portfolio maturity at period end in days or,
if longer than one year, in years (to one decimal place):
Days: 0
Years: 2.6
64. Is the timely payment of principal and interest on any of the
instruments listed in Item 62 insured or guaranteed by an entity other
than the issuer? No

Is the issuer of any instrument covered in Item 62 delinquent or in
default as to payment of principal or interest at period end? Yes
65. In computations of Net Asset Value (NAV) per share, is any part of the
value attributed to instruments identified in Item 64.B (second
question) derived from insurance or guarantees? No
66. Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? No
S11: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? No –
Writing or investing in options on debt securities? Yes No
Writing or investing in options on stock indices? No –
Writing or investing in interest rate futures? Yes to both
Writing or investing in stock index futures? No –
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? No –
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes to both
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes to both
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes No
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S11: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 247,205
Sales ($000s): 225,890

Monthly average Value of portfolio ($000s): 451,375

Percent turnover (lesser of Purchases or Sales, divided by Value): 50%
S11: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 22,998
Net dividend income .............................................. 272
Account maintenance fees ......................................... –
Net other income ................................................. –

Expenses ($000s)
Advisory fees .................................................... 46
Administrator fees ............................................... 342
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 167
Custodian fees ................................................... 16
Postage .......................................................... –
Printing expenses ................................................ 14
Directors’ fees .................................................. 1
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 30
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 115
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 731

Expense reimbursements ($000s): 0

Net investment income ($000s): 22,539

Realized capital gains ($000s): 8,673
Realized capital losses ($000s): 6,962

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 42,628

Total income dividends for which the record date passed during the
period ($000s): 20,849

Dividends from net investment income: $0.4700

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S11: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 14
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 60,182
Long-term debt securities, including convertible debt ............ 383,085
Preferred, conv. preferred and adjustable-rate preferred stock ... 3,427
Common stock ..................................................... –
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 1,320
Receivables from portfolio instruments sold ...................... 242
Receivables from affiliated persons .............................. –
Other receivables ................................................ 7,229
All other assets ................................................. –
Total assets ..................................................... 455,499

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 191
Amounts owed to affiliated persons ............................... 758
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 422

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 454,128

Number of shares outstanding (000s): 45,644

Net Asset Value (NAV) per share (to nearest cent): $9.95

Total number of shareholder accounts: 18

Total value of assets in segregated accounts ($000s): 1,426
75. Monthly average net assets during the period ($000s): 485,523
Series 12 ↑Information Common to All Funds/Series ↑List of 15 Funds/Series
7. Name: Diversified Value Portfolio — S#4398

Is this the final Form N-SAR filed for this Fund/Series? No
S12: Investment Adviser
8.1 Name: Barrow, Hanley, Mewhinney & Strauss, Inc.
Role: Adviser
SEC File #: 801-31237
Location: Dallas, TX
S12: Custodian
15.1 Name: U.S. Bank NA
Role: Custodian
Location: Philadelphia, PA

Type of custody: Section 17(f)(1) — Bank
S12: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: Banc of America Securities LLC
IRS #: 56-2058405
Type of security owned: Equity
Value of securities owned at period end ($000s): 8,862
25.2 Name: Citigroup Global Markets
IRS #: 13-2919773
Type of security owned: Equity
Value of securities owned at period end ($000s): 3,691
25.3 Name: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Type of security owned: Equity
Value of securities owned at period end ($000s): 17,889
25.4 Name: Merrill Lynch, Pierce, Fenner & Smith Inc.
IRS #: 13-5674085
Type of security owned: Equity
Value of securities owned at period end ($000s): 1,924
S12: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 6,184
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 16,098
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 8,545
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 9,135
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 3,353
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 15,459
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 8,463
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 19,311
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 5,115
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 7,889
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 7,708
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 7,348

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 39,368
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 75,240

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S12: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? Yes
46. Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No
47. Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? No
49. Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No
50. Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No
51. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? Yes
52. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No
53. Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? No
S12: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S12: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? No
Growth and income? Yes
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? No
S12: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes No
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes to both
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes No
Margin purchases? No –
Short selling? No –
S12: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 118,048
Sales ($000s): 183,725

Monthly average Value of portfolio ($000s): 801,943

Percent turnover (lesser of Purchases or Sales, divided by Value): 15%
S12: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 430
Net dividend income .............................................. 27,041
Account maintenance fees ......................................... –
Net other income ................................................. 136

Expenses ($000s)
Advisory fees .................................................... 809
Administrator fees ............................................... 310
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 1,576
Custodian fees ................................................... 10
Postage .......................................................... –
Printing expenses ................................................ 23
Directors’ fees .................................................. 1
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 21
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 240
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 2,990

Expense reimbursements ($000s): 0

Net investment income ($000s): 24,617

Realized capital gains ($000s): 48,241
Realized capital losses ($000s): 79,122

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 345,576

Total income dividends for which the record date passed during the
period ($000s): 23,793

Total capital gains distributions for which the record date passed
during the period ($000s): 50,026
73. Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.3900

Distribution of capital gains: $0.8200
Other distributions: $0.0000
S12: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. –
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... –
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 573,643
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 17,614
Receivables from portfolio instruments sold ...................... –
Receivables from affiliated persons .............................. 2,103
Other receivables ................................................ 2,356
All other assets ................................................. –
Total assets ..................................................... 595,716

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... –
Amounts owed to affiliated persons ............................... 1,394
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... –

Equity ($000s)
Senior equity .................................................... 623
Net assets of common shareholders ................................ 593,699

Number of shares outstanding (000s): 62,061,142

Net Asset Value (NAV) per share (to nearest cent): $9.57

Total number of shareholder accounts: 15,025

Total value of assets in segregated accounts ($000s): 0
75. Monthly average net assets during the period ($000s): 819,249
Series 13 ↑Information Common to All Funds/Series ↑List of 15 Funds/Series
7. Name: REIT Index Portfolio [ now
Real Estate Index Portfolio ] — S#4392

Is this the final Form N-SAR filed for this Fund/Series? No
S13: Investment Adviser
8.1 Name: The Vanguard Group, Inc.
Role: Adviser
SEC File #: 801-11953
Location: Malvern, PA
S13: Custodian
15.1 Name: U.S. Bank NA
Role: Custodian
Location: Philadelphia, PA

Type of custody: Section 17(f)(1) — Bank
S13: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No
S13: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 4,798
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 7,427
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 8,438
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 3,717
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 5,064
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 5,578
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 4,516
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 10,018
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 4,679
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 3,239
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 7,303
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 4,808

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 34,798
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 34,787

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S13: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? No
S13: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S13: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? No
Growth and income? Yes
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S13: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes No
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S13: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 94,380
Sales ($000s): 55,884

Monthly average Value of portfolio ($000s): 370,946

Percent turnover (lesser of Purchases or Sales, divided by Value): 15%
S13: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 195
Net dividend income .............................................. 13,034
Account maintenance fees ......................................... –
Net other income ................................................. 36

Expenses ($000s)
Advisory fees .................................................... 47
Administrator fees ............................................... 226
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 673
Custodian fees ................................................... 27
Postage .......................................................... –
Printing expenses ................................................ 18
Directors’ fees .................................................. 1
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 23
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 110
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 1,125

Expense reimbursements ($000s): 0

Net investment income ($000s): 12,140

Realized capital gains ($000s): 27,835
Realized capital losses ($000s): 11,346

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 185,825

Total income dividends for which the record date passed during the
period ($000s): 12,463

Total capital gains distributions for which the record date passed
during the period ($000s): 127,591
73. Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.5900

Distribution of capital gains: $6.0400
Other distributions: $0.0000
S13: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 2
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... –
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 256,283
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 5,806
Receivables from portfolio instruments sold ...................... 550
Receivables from affiliated persons .............................. –
Other receivables ................................................ 2,822
All other assets ................................................. –
Total assets ..................................................... 265,463

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 1,404
Amounts owed to affiliated persons ............................... 854
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 685

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 262,520

Number of shares outstanding (000s): 34,335

Net Asset Value (NAV) per share (to nearest cent): $7.65

Total number of shareholder accounts: 48

Total value of assets in segregated accounts ($000s): 0
75. Monthly average net assets during the period ($000s): 378,452
Series 14 ↑Information Common to All Funds/Series ↑List of 15 Funds/Series
7. Name: Capital Growth Portfolio — S#4397

Is this the final Form N-SAR filed for this Fund/Series? No
S14: Investment Adviser
8.1 Name: Primecap Management Co.
Role: Adviser
SEC File #: 801-19765
Location: Pasadena, CA
S14: Custodian
15.1 Name: The Bank of New York
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S14: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Type of security owned: Equity
Value of securities owned at period end ($000s): 273
S14: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 6,637
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 3,864
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 11,137
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 2,158
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 5,602
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 6,894
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 15,685
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 15,658
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 3,563
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 5,598
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 3,197
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 7,691

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 45,821
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 41,863

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S14: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? Yes
46. Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No
47. Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? Yes
48. Fee (single rate or step rates) applied to the Registrant’s/Series’
assets based on the advisory contract:
Single-fee rate: 0.15%
Step-fee rates:
For 1st $000s: 0
Annual rate: 0.0%
49. Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No
50. Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No
51. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? No
52. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No
53. Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? No
54. Indicated below are whether services were supplied or paid for wholly or
in substantial part by Investment Adviser(s) or Administrator(s) in
connection with the advisory or administrative contract(s) but for which
the Adviser(s) or Administrator(s) are not reimbursed by the Registrant:

Provided to the Registrant?
Occupancy and office rental ............................................ No
Clerical and bookkeeping services ...................................... No
Accounting services .................................................... No
Services of independent auditors ....................................... No
Services of outside counsel ............................................ No
Registration and filing fees ........................................... No
Stationery, supplies and printing ...................................... No
Salaries & compensation of Registrant’s interested Directors ........... No
Salaries & compensation of Registrant’s disinterested Directors ........ No
Salaries & compensation of Registrant’s Officers who aren’t Directors .. No
Reports to current shareholders ........................................ No
Determination of offering and redemption prices ........................ No
Trading department ..................................................... No
Prospectus preparation and printing for current shareholders ........... No
Other .................................................................. No
S14: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S14: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? Yes
Growth and income? No
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? No
S14: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes No
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes to both
Currency exchange transactions? Yes to both
Loaning portfolio securities? Yes No
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes No
Margin purchases? No –
Short selling? No –
S14: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 101,485
Sales ($000s): 53,679

Monthly average Value of portfolio ($000s): 297,853

Percent turnover (lesser of Purchases or Sales, divided by Value): 18%
S14: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 751
Net dividend income .............................................. 3,511
Account maintenance fees ......................................... –
Net other income ................................................. –

Expenses ($000s)
Advisory fees .................................................... 484
Administrator fees ............................................... 216
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 523
Custodian fees ................................................... 10
Postage .......................................................... –
Printing expenses ................................................ 15
Directors’ fees .................................................. 1
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 21
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 84
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 1,354

Expense reimbursements ($000s): 0

Net investment income ($000s): 2,908

Realized capital gains ($000s): 29,622
Realized capital losses ($000s): 7,599

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 138,633

Total income dividends for which the record date passed during the
period ($000s): 2,790

Total capital gains distributions for which the record date passed
during the period ($000s): 9,671
73. Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.1500

Distribution of capital gains: $0.5200
Other distributions: $0.0000
S14: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 10
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... –
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 247,183
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 5,069
Receivables from portfolio instruments sold ...................... –
Receivables from affiliated persons .............................. –
Other receivables ................................................ 582
All other assets ................................................. –
Total assets ..................................................... 252,844

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... –
Amounts owed to affiliated persons ............................... 497
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 896

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 251,451

Number of shares outstanding (000s): 20,251

Net Asset Value (NAV) per share (to nearest cent): $12.42

Total number of shareholder accounts: 19

Total value of assets in segregated accounts ($000s): 0
75. Monthly average net assets during the period ($000s): 324,030
Series 15 ↑Information Common to All Funds/Series ↑List of 15 Funds/Series
7. Name: Total Stock Market Index [ now
Total Stock Market Index Portfolio ] — S#4396

Is this the final Form N-SAR filed for this Fund/Series? No
S15: Investment Adviser
8.1 Name: The Vanguard Group, Inc.
Role: Adviser
SEC File #: 801-11953
Location: Malvern, PA
S15: Custodian
15.1 Name: Citibank N.A.
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S15: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No
S15: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 5,591
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 5,171
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 66,590
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 3,301
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 10,490
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 5,209
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 14,539
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 11,768
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 17,498
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 5,521
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 16,650
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 4,398

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 131,358
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 35,368

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S15: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? No
S15: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S15: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? No
Growth and income? Yes
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S15: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes No
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? No –
Loaning portfolio securities? Yes No
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes No
Margin purchases? No –
Short selling? No –
S15: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 221,658
Sales ($000s): 88,887

Monthly average Value of portfolio ($000s): 542,467

Percent turnover (lesser of Purchases or Sales, divided by Value): 16%
S15: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. –
Net dividend income .............................................. 10,303
Account maintenance fees ......................................... –
Net other income ................................................. –

Expenses ($000s)
Advisory fees .................................................... –
Administrator fees ............................................... –
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. –
Custodian fees ................................................... –
Postage .......................................................... –
Printing expenses ................................................ –
Directors’ fees .................................................. –
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... –
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. –
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... –

Expense reimbursements ($000s): 0

Net investment income ($000s): 10,303

Realized capital gains ($000s): 21,371
Realized capital losses ($000s): 220

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 279,070

Total income dividends for which the record date passed during the
period ($000s): 7,786

Total capital gains distributions for which the record date passed
during the period ($000s): 29,394
73. Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.4000

Distribution of capital gains: $1.5100
Other distributions: $0.0000
S15: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. –
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... –
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... –
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 458,589
Receivables from portfolio instruments sold ...................... –
Receivables from affiliated persons .............................. –
Other receivables ................................................ 20
All other assets ................................................. –
Total assets ..................................................... 458,609

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... –
Amounts owed to affiliated persons ............................... –
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 610

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 457,999

Number of shares outstanding (000s): 25,203

Net Asset Value (NAV) per share (to nearest cent): $18.17

Total number of shareholder accounts: 21

Total value of assets in segregated accounts ($000s): 0
75. Monthly average net assets during the period ($000s): 542,454
Signature ↑Top of Form N-SAR
/s/ Chuck Simpkins
Name: Chuck Simpkins
Title: Manager

↑Top

Filing Submission 0000932471-09-000799 – Alternative Formats (Word / Rich Text, HTML, Plain Text, et al.)

Vanguard Variable Insurance Funds – ‘NSAR-B’ for 12/31/08

On: Thursday, 2/26/09, at 2:36pm ET · Effective: 2/26/09 · For: 12/31/08 · Accession #: 932471-9-799 · File #: 811-05962

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Annual Report by an Investment Company — Form N-SAR — ICA’40Filing Table of Contents

‘NSAR-B’ — Vvifnsar123108

Annual Report by an Investment Company — Form N-SAR — ICA’40
Filing Table of Contents