-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, ABDbO0OLQLyefAhYF+F97Pg8hmqraqwVuyJ8gmwHieZb2xQpAfs1hc1kritQ05d4 9nvyAH4RkGW4VJLlxW3lxg== 0000893220-03-001501.txt : 20030826 0000893220-03-001501.hdr.sgml : 20030826 20030826131052 ACCESSION NUMBER: 0000893220-03-001501 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20030630 FILED AS OF DATE: 20030826 EFFECTIVENESS DATE: 20030826 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AB FUNDS TRUST/DE CENTRAL INDEX KEY: 0001131013 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-10263 FILM NUMBER: 03866035 BUSINESS ADDRESS: STREET 1: C/O PFPC INC. STREET 2: 400 BELLVUE PARKWAY CITY: WILMINGTON STATE: DE ZIP: 19809 BUSINESS PHONE: 3027911765 MAIL ADDRESS: STREET 1: C/O PFPC INC. STREET 2: 400 BELLVUE PARKWAY CITY: WILMINGTON STATE: DE ZIP: 19809 FORMER COMPANY: FORMER CONFORMED NAME: ANNUITY BOARD FUNDS TRUST DATE OF NAME CHANGE: 20010102 N-CSRS 1 w88377nvcsrs.txt AB FUNDS TRUST FORM N-CSRS: JUNE 30, 2003 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-10263 AB Funds Trust ------------------------------------------------ (Exact name of registrant as specified in charter) 2401 Cedar Springs Road Dallas, TX 75201-1407 ------------------------------------------------ (Address of principal executive offices) (Zip code) Rodney R. Miller, Esq. Annuity Board of the Southern Baptist Convention 2401 Cedar Springs Road Dallas, TX 75201-1407 -------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 214-720-1171 Date of fiscal year end: December 31, 2003 Date of reporting period: June 30, 2003 Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. [AB FUNDS LOGO] [AB FUNDS TRUST LOGO] Semi-Annual Report JUNE 30, 2003 (UNAUDITED) BLENDED FUNDS: - FLEXIBLE INCOME FUND - GROWTH & INCOME FUND - CAPITAL OPPORTUNITIES FUND - GLOBAL EQUITY FUND SELECT FUNDS: - MONEY MARKET FUND - LOW-DURATION BOND FUND - MEDIUM-DURATION BOND FUND - EXTENDED-DURATION BOND FUND - EQUITY INDEX FUND - VALUE EQUITY FUND - GROWTH EQUITY FUND - SMALL CAP EQUITY FUND - INTERNATIONAL EQUITY FUND AB Funds Trust Annuity Board of the Southern Baptist Convention ("Annuity Board") SBC Financial Services, Inc. ("SBC Financial") SBC Trust Services, Inc. ("SBC Trust") PFPC Distributors, Inc. ("PFPC") NOTICE CONCERNING YOUR PRIVACY RIGHTS This notice will provide you with information concerning our policies with respect to nonpublic personal information that we collect about you in connection with the following financial products and services provided and/or serviced by the entities listed above: individual retirement accounts ("IRAs") and/or personal mutual fund accounts. The confidentiality of your information is important to us as we recognize that you depend on us to keep your information confidential, as described in this notice. We collect nonpublic personal information about you with regard to your IRA and/or personal mutual fund accounts from the following sources: - Information we receive from you on applications or other forms; - Information about your transactions with us, our affiliates or others (including our third-party service providers); - Information we receive from others such as service providers, broker-dealers and your personal agents or representatives; and - Information you and others provide to us in correspondence sent to us, whether written, electronic or by telephone. We may disclose such nonpublic personal financial information about you to one or more of our affiliates. An affiliate of an organization means any entity that controls, is controlled by, or is under common control with that organization. For example, the Annuity Board, SBC Financial and SBC Trust are affiliates of one another. AB Funds Trust, Annuity Board, SBC Financial, SBC Trust and PFPC do not sell your personal information to nonaffiliated third parties. We may also disclose any of the personal information that we collect about you to nonaffiliated third parties as permitted by law. For example, we may provide your information to nonaffiliated companies that provide account services or that perform marketing services on our behalf and to other financial institutions with whom we have joint marketing agreements. We restrict access to nonpublic personal information about you to those of our employees who need to know that information in order for us to provide and/or service products or services to you. We also maintain physical, electronic, and procedural safeguards to guard your personal information. These procedures will continue to remain in effect after you cease to receive financial products and services from us. If you have any questions concerning our customer information policy, please contact a customer service representative at 1-800-262-0511. TABLE OF CONTENTS Letter from the President 2 From the Chief Investment Officer 3 Blended Funds: Flexible Income 4 Growth & Income 6 Capital Opportunities 8 Global Equity 10 Financial Statements 12 Select Funds: Money Market 20 Low-Duration Bond 23 Medium-Duration Bond 31 Extended-Duration Bond 45 Equity Index 50 Value Equity 57 Growth Equity 67 Small Cap Equity 75 International Equity 93 Financial Statements 102 Notes to Financial Statements 119 Fund Management 135
This report has been prepared for shareholders of AB Funds Trust. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current prospectus, which contains more complete information about the Funds. Investors are reminded to read the prospectus carefully before investing. 1 LETTER FROM THE PRESIDENT August 11, 2003 [O. S. HAWKINS PHOTO] Dear Shareholder: The attached shareholder report encompasses a period that should equate to positive news for shareholders. Two major events transpired. First, Congress, in reaction to several incidents of corporate malfeasance, enacted the new Sarbanes-Oxley Public Company Accounting and Investor Protection Act of 2002. The Act requires every mutual fund to certify that its annual and semiannual reports fully and fairly present its financial position to shareholders. This is intended to strengthen investor protection and information disclosure. Second, the stock markets signaled a possible economic recovery. At June 30, the Standard & Poor's 500(R) Index was at 974, a value that is 25.46% above the market trough on October 9, 2002. Strong market rallies, such as the one experienced over the past nine months, are common occurrences during periods of economic transition, and political and social uncertainty. Although there can be no certainty that past trends will repeat themselves, history shows that investors' long-term returns have been significantly diminished when they are on the sidelines during such periods. AB Funds Trust's commitment to a strategic and disciplined investment philosophy has kept each Fund true to its stated objectives over the recent years of turbulent market conditions. World-class investment management sub-advisers have navigated your portfolios on a daily basis through the treacherous waters of the past several years. These sub-advisers have, we believe, positioned the Funds to take advantage of the investment opportunities that lie within each Fund's defined investment set. Our diversified portfolio strategies have limited the Funds' exposure to the risks that can unexpectedly befall a particular company or sector. We remain committed to providing you with the best ideas to help you achieve your financial goals and to act at all times in accordance with the highest standards of integrity keeping our Fund shareholders interests at the forefront. If you have questions concerning your AB Funds Trust investment, please call us at 1-800-262-0511 or visit our Web site at www.absbc.org. Sincerely, /s/ O. S. Hawkins O. S. Hawkins Past performance is no guarantee of future results. Share prices will fluctuate and there may be a gain or loss when shares are redeemed. Not Part of the Semi-Annual Report 2 FROM THE CHIEF INVESTMENT OFFICER [RODRIC E. CUMMINS PHOTO] Rodric E. Cummins, CFA The strong rally in financial markets during the second quarter represented a welcome change in fortunes for equity investors. The massive amount of monetary and fiscal stimulus injected into the financial system over the past three years may finally be showing positive effects on economic growth and corporate earnings. Stock investors enjoyed the strongest period since 1998 as the S&P 500(R) Index gained 15.39% during the quarter, bringing the year-to-date performance to 11.78%. The market advance was led by small cap stocks (as represented by the Russell 2000(R) Index) and international stocks (as represented by the MSCI-ACWI Free Ex-US) which posted returns of 23.42% and 19.85%, respectively. Bond investments also posted impressive gains during the second quarter following: (1) comments by Federal Reserve Chairman Alan Greenspan designed to bring longer-term interest rates down; and (2) action by the Federal Reserve ("Fed") to again lower short-term interest rates. The bond market rallied on belief that the Fed would use unconventional methods, if necessary, to keep longer-term interest rates low. The yield on 10-year U.S. Treasury bonds reached a 45-year low during the quarter on speculation the Fed would do everything in its power to avert a Japan-like deflationary spiral where lower prices cripple economic growth. The Fed's "open-mouth policy is designed to instill expectations of super-low overnight rates for a long, long time," said Paul McCulley of Pacific Investment Management Company. McCulley added, "The flatter yield curve, weaker dollar, and rally in corporate bonds are all votes of confidence that the Fed is, indeed, going to reflate the economy. The Fed is earning its 'anti-deflationary' credibility." The Lehman Brothers Aggregate Bond Index posted a return of 2.50% during the quarter, bringing the year-to-date performance to 3.93%. Long-maturity corporate securities led the bond market advance on the strength of lower interest rates and an improving economic outlook. OUTLOOK Recent gains in the stock market suggest that investors are anticipating an improvement in the economy and corporate earnings. Buoyed by the successful end to the Iraqi war and the Fed's signaled commitment of continued low interest rates, investors are gaining greater confidence that the balance of economic growth is favoring a stronger rather than weaker future. The combination of factors shaping the current financial landscape is unique in U.S. history. The U.S. economy and financial systems have endured an extraordinary barrage of exogenous shocks in recent years, including: the bursting of one of the largest asset bubbles in history, the terrorist attacks of 9/11, disappointing bouts of corporate malfeasance in America, and two wars. Yet, the economic impact has been only that the U.S. has suffered one of the shortest and mildest recessions in history. The economy's performance in the face of such adverse conditions reflects the effects of powerful monetary and fiscal stimulus, the economy's resilience, and the strong U.S. global leadership position. Reduced geo-political tensions and aggressive monetary and fiscal policy create a favorable backdrop for the performance of equity securities. However, history shows that assets that have experienced a major boom/bust cycle, as have U.S. stocks, do not embark on a new secular bull market for many years. This is likely the result of: (1) the need for financial systems to purge excesses developed in boom phases and (2) investors' memories of past speculative environments and their reluctance to extend valuations past levels that can be supported by tangible fundamentals. While these two factors have and will likely remain a headwind for further market gains, post-bubble markets can stage impressive cyclical rallies, and the U.S. equity markets are in the midst of such a rally. Uncertain times are on the horizon for bond investors. The Fed is encouraging the purchase of fixed-income securities in efforts to reduce yields on long-term bonds. Yet, the Fed has set explicit targets of stronger economic growth and increased inflation, both of which are archenemies for fixed income securities. If the Fed is successful in its pursuit, bond investors will likely experience investment returns far lower than those experienced in recent years. Not Part of the Semi-Annual Report 3 FLEXIBLE INCOME FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03 - --------------------------------------------------------------------------------
RETIREMENT CLASS* RETAIL CLASS* BENCHMARK INDEX** ----------------- ------------- ----------------- One Year 3.84% 3.69% 3.81% Since Inception (8/27/01 -- 6/30/03) 2.25% 2.04% 2.47%
Past performance is no guarantee of future results, share prices will fluctuate, and you may have a gain or loss when you redeem shares. [LINE GRAPH]
RETIREMENT CLASS BENCHMARK INDEX** ---------------- ----------------- 8/27/01 10000 10000 8/31/01 9940 9926 9/30/01 9789 9819 10/31/01 9947 9948 11/30/01 10068 10105 12/31/01 10079 10142 1/31/02 10072 10107 2/28/02 10079 10109 3/31/02 10133 10175 4/30/02 10133 10163 5/31/02 10156 10178 6/30/02 10033 10076 7/31/02 9842 9957 8/31/02 9911 9992 9/30/02 9719 9791 10/31/02 9880 9987 11/30/02 10018 10108 12/31/02 9968 10051 1/31/03 9920 9983 2/28/03 9920 9971 3/31/03 9944 9993 4/30/03 10153 10220 5/31/03 10362 10405 6/30/03 10419 10461
The graph compares the results of a $10,000 investment in the Retirement Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Fund's weighted composite benchmark index. *These returns reflect expense waivers by the Fund's investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. **Represents a weighted composite benchmark index consisting of the Russell 3000(R) Index, the Morgan Stanley Capital International All Country World Free Index ex-U.S. Index and the Merrill Lynch 1-3 Year Treasury Index. The Russell 3000(R) Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. The Morgan Stanley Capital International All Country World Free ex-U.S. Index is a market-capitalization weighted index composed of companies representative of the market structure of developed and emerging market countries in the Americas (excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes closed markets and those shares in otherwise free markets that are not purchasable by foreigners. The Merrill Lynch 1-3 Year Treasury Index is composed of all U.S. Treasury Notes and Bonds with maturities greater than or equal to one year and less than three years. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. Not Part of the Semi-Annual Report 4 FLEXIBLE INCOME FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2003 SHARES VALUE - ------------- ---------- ------------ AFFILIATED MUTUAL FUNDS -- 99.3% AB Funds Trust -- Equity Index Fund 248,453 $ 3,292,004 AB Funds Trust -- Growth Equity Fund 1,838,662 23,608,421 AB Funds Trust -- International Equity Fund 1,749,441 18,404,123 AB Funds Trust -- Low-Duration Bond Fund 15,684,157 208,599,290 AB Funds Trust -- Money Market Fund 4,423,203 4,423,203 AB Funds Trust -- Small Cap Equity Fund 331,391 3,993,256 AB Funds Trust -- Value Equity Fund 1,795,601 23,594,193 ------------ TOTAL AFFILIATED MUTUAL FUNDS (Cost $242,381,817) 285,914,490 ------------
PAR ---------- U.S. TREASURY OBLIGATIONS -- 0.7% U.S. Treasury Bill 1.14%, 07/17/03++++ $ 90,000 89,962 U.S. Treasury Bond 2.00%, 11/30/04 1,850,000 1,872,548 ------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,959,244) 1,962,510 ------------ TOTAL INVESTMENTS -- 100.0% (Cost $244,341,061) 287,877,000 LIABILITIES IN EXCESS OF OTHER ASSETS -- 0.0% (79,718) ------------ NET ASSETS -- 100.0% $287,797,282 ============
- --------------- ++++ All or a portion of the security was held as collateral for open futures contracts. See Notes to Financial Statements. 5 GROWTH & INCOME FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03 - --------------------------------------------------------------------------------
RETIREMENT CLASS* RETAIL CLASS* BENCHMARK INDEX** ----------------- ------------- ----------------- One Year 4.84% 4.60% 5.45% Since Inception (8/27/01 -- 6/30/03) 0.71% 0.51% 1.10%
Past performance is no guarantee of future results, share prices will fluctuate, and you may have a gain or loss when you redeem shares. [LINE GRAPH]
GROWTH & INC. RETIREMENT CLASS BENCHMARK INDEX** ------------------------------ ----------------- 8/27/01 10000 10000 8/31/01 9854 9843 9/31/01 9410 9443 10/31/01 9643 9658 11/30/01 9920 9924 12/31/01 9953 9961 1/31/02 9901 9900 2/28/02 9901 9882 3/31/02 10049 10030 4/30/02 9953 9941 5/31/02 9960 9955 6/30/02 9664 9677 7/31/02 9234 9328 8/31/02 9345 9423 9/30/02 8916 9003 10/31/02 9160 9311 11/30/02 9442 9576 12/31/02 9319 9434 1/31/03 9217 9310 2/28/03 9201 9293 3/31/03 9217 9302 4/30/03 9642 9738 5/31/03 10044 10127 6/30/03 10131 10204
The graph compares the results of a $10,000 investment in the Retirement Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Fund's weighted composite benchmark index. *These returns reflect expense waivers by the Fund's investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. **Represents a weighted composite benchmark index consisting of the Russell 3000(R) Index, the Morgan Stanley Capital International All Country World Free ex-U.S. Index and the Lehman Brothers Aggregate Bond Index. The Russell 3000(R) Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. The Morgan Stanley Capital International All Country World Free ex-U.S. Index is a market-capitalization weighted index composed of companies representative of the market structure of developed and emerging market countries in the Americas (excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes closed markets and those shares in otherwise free markets that are not purchased by foreigners. The Lehman Brothers Aggregate Bond Index is composed of investment grade securities from the Lehman Brothers Government/Credit Bond Index, Mortgage-Backed Securities Index, and Asset Backed Securities Index. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. Not Part of the Semi-Annual Report 6 GROWTH & INCOME SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2003 SHARES VALUE - ------------- ----------- -------------- AFFILIATED MUTUAL FUNDS -- 99.0% AB Funds Trust -- Equity Index Fund 1,952,414 $ 25,869,480 AB Funds Trust -- Extended- Duration Bond Fund 6,858,612 108,914,752 AB Funds Trust -- Growth Equity Fund 13,277,756 170,486,388 AB Funds Trust -- International Equity Fund 13,651,896 143,617,950 AB Funds Trust -- Low- Duration Bond Fund 11,941,612 158,823,438 AB Funds Trust -- Medium- Duration Bond Fund 17,942,515 252,092,329 AB Funds Trust -- Money Market Fund 15,203,716 15,203,716 AB Funds Trust -- Small Cap Equity Fund 2,385,216 28,741,854 AB Funds Trust -- Value Equity Fund 13,284,080 174,552,812 -------------- TOTAL AFFILIATED MUTUAL FUNDS (Cost $974,574,970) 1,078,302,719 -------------- PAR ----------- U.S. TREASURY OBLIGATIONS -- 1.0% U.S. Treasury Bill 1.14%, 07/17/03++++ $ 630,000 629,732 U.S. Treasury Note 3.25%, 08/15/07 9,600,000 10,021,882 -------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $10,553,125) 10,651,614 -------------- TOTAL INVESTMENTS -- 100.0% (Cost $985,128,095) 1,088,954,333 OTHER ASSETS LESS LIABILITIES -- 0.0% 319,348 -------------- NET ASSETS -- 100.0% $1,089,273,681 ==============
- --------------- ++++ All or a portion of the security was held as collateral for open futures contracts. See Notes to Financial Statements. 7 CAPITAL OPPORTUNITIES FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03 - --------------------------------------------------------------------------------
RETIREMENT CLASS* RETAIL CLASS* BENCHMARK INDEX** ----------------- ------------- ----------------- One Year 1.37% 1.00% 2.61% Since Inception (8/27/01 -- 6/30/03) (3.22%) (3.45%) (2.92%)
Past performance is no guarantee of future results, share prices will fluctuate, and you may have a gain or loss when you redeem shares. [LINE GRAPH]
CAPITAL OPP. RETIREMENT CLASS BENCHMARK INDEX** ----------------------------- ----------------- 8/27/01 10000 10000 8/31/01 9759 9736 9/30/01 9081 9087 10/31/01 9314 9301 11/30/01 9759 9751 12/31/01 9832 9837 1/31/02 9714 9708 2/28/02 9663 9633 3/31/02 9972 9929 4/30/02 9751 9698 5/31/02 9722 9676 6/30/02 9288 9227 7/31/02 8655 8673 8/31/02 8721 8733 9/30/02 8067 8079 10/31/02 8435 8512 11/30/02 8802 8878 12/31/02 8529 8588 1/31/03 8361 8415 2/28/03 8277 8334 3/31/03 8300 8351 4/30/03 8820 8903 5/31/03 9293 9353 6/30/03 9415 9468
The graph compares the results of a $10,000 investment in the Retirement Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Fund's weighted composite benchmark index. *These returns reflect expense waivers by the Fund's investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. **Represents a weighted composite benchmark index consisting of the Russell 3000(R) Index, the Morgan Stanley Capital International All Country World Free ex-U.S. Index and the Lehman Brothers Aggregate Bond Index. The Russell 3000(R) Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. The Morgan Stanley Capital International All Country World Free ex-U.S. Index is a market-capitalization weighted index composed of companies representative of the market structure of developed and emerging market countries in the Americas (excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes closed markets and those shares in otherwise free markets that are not purchasable by foreigners. The Lehman Brothers Aggregate Bond Index is composed of investment grade securities from the Lehman Brothers Government/Credit Bond Index, Mortgage-Backed Securities Index, and Asset Backed Securities Index. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. Not Part of the Semi-Annual Report 8 CAPITAL OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2003 SHARES VALUE - ------------- ---------- ------------ AFFILIATED MUTUAL FUNDS -- 99.3% AB Funds Trust -- Equity Index Fund 2,255,150 $ 29,880,741 AB Funds Trust -- Extended-Duration Bond Fund 2,658,309 42,213,939 AB Funds Trust -- Growth Equity Fund 15,092,683 193,790,047 AB Funds Trust -- International Equity Fund 15,039,773 158,218,413 AB Funds Trust -- Low-Duration Bond Fund 4,476,594 59,538,705 AB Funds Trust -- Medium-Duration Bond Fund 6,734,819 94,624,209 AB Funds Trust -- Money Market Fund 17,664,356 17,664,356 AB Funds Trust -- Small Cap Equity Fund 2,733,779 32,942,037 AB Funds Trust -- Value Equity Fund 15,111,763 198,568,568 ------------ TOTAL AFFILIATED MUTUAL FUNDS (Cost $807,959,435) 827,441,015 ------------ PAR ---------- U.S. TREASURY OBLIGATIONS -- 0.7% U.S. Treasury Bills 1.14%, 07/17/03++++ $ 740,000 739,686 0.78%, 10/16/03++++ 50,000 49,873 0.88%, 10/16/03++++ 25,000 24,936 0.95%, 10/16/03++++ 40,000 39,898 ------------ 854,393 ------------ U.S. Treasury Note 3.25%, 08/15/07 4,450,000 4,645,560 ------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $5,463,333) 5,499,953 ------------ TOTAL INVESTMENTS -- 100.0% (Cost $813,422,768) 832,940,968 OTHER ASSETS LESS LIABILITIES -- 0.0% 39,210 ------------ NET ASSETS -- 100.0% $832,980,178 ============
- --------------- ++++ All or a portion of the security was held as collateral for open futures contracts. See Notes to Financial Statements. 9 GLOBAL EQUITY FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03 - --------------------------------------------------------------------------------
RETIREMENT CLASS* RETAIL CLASS* BENCHMARK INDEX** ----------------- ------------- ----------------- One Year (2.41%) (2.64%) (0.47%) Since Inception (8/27/01 -- 6/30/03) (7.36%) (7.46%) (7.06%)
Past performance is no guarantee of future results, share prices will fluctuate, and you may have a gain or loss when you redeem shares. [LINE GRAPH]
GLOBAL EQUITY RETIREMENT CLASS BENCHMARK INDEX** ------------------------------ ----------------- 08/27/01 10000.00 10000.00 08/31/01 9654.00 9629.00 09/30/01 8747.00 8737.00 10/31/01 8968.00 8950.00 11/30/01 9587.00 9570.00 12/31/01 9704.00 9701.00 01/31/02 9527.00 9506.00 02/28/02 9424.00 9377.00 03/31/02 9896.00 9813.00 04/30/02 9542.00 9443.00 05/31/02 9475.00 9386.00 06/30/02 8899.00 8778.00 07/31/02 8080.00 8041.00 08/31/02 8109.00 8070.00 09/30/02 7252.00 7220.00 10/31/02 7732.00 7748.00 11/30/02 8161.00 8193.00 12/31/02 7760.00 7779.00 01/31/03 7543.00 7569.00 02/28/03 7394.00 7437.00 03/31/03 7424.00 7459.00 04/30/03 8021.00 8096.00 05/31/03 8536.00 8591.00 06/30/03 8685.00 8738.00
The graph compares the results of a $10,000 investment in the Retirement Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Fund's weighted composite benchmark index. *These returns reflect expense waivers by the Fund's investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. **Represents a weighted composite benchmark index consisting of the Russell 3000(R) Index and the Morgan Stanley Capital International All Country World Free ex-U.S. Index. The Russell 3000(R) Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. The Morgan Stanley Capital International All Country World Free ex-U.S. Index is a market-capitalization weighted index composed of companies representative of the market structure of developed and emerging market countries in the Americas (excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes closed markets and those shares in otherwise free markets that are not purchasable by foreigners. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. Not Part of the Semi-Annual Report 10 GLOBAL EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2003 SHARES VALUE ------------- ---------- ------------ AFFILIATED MUTUAL FUNDS -- 99.8% AB Funds Trust -- Equity Index Fund 2,569,859 $ 34,050,631 AB Funds Trust -- Growth Equity Fund 16,768,307 215,305,059 AB Funds Trust -- International Equity Fund 16,628,338 174,930,120 AB Funds Trust -- Money Market Fund 18,063,825 18,063,825 AB Funds Trust -- Small Cap Equity Fund 3,062,511 36,903,263 AB Funds Trust -- Value Equity Fund 16,723,543 219,747,351 ------------ TOTAL AFFILIATED MUTUAL FUNDS (Cost $719,954,037) 699,000,249 ------------
PAR -------- U.S. TREASURY OBLIGATIONS -- 0.2% U.S. Treasury Bills 1.14%, 07/02/03++++ $130,000 129,945 1.14%, 07/17/03++++ 960,000 959,592 1.16%, 07/17/03++++ 70,000 69,970 ------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,159,412) 1,159,507 ------------ TOTAL INVESTMENTS -- 100.0% (Cost $721,113,449) 700,159,756 OTHER ASSETS LESS LIABILITIES -- 0.0% 167,026 ------------ NET ASSETS -- 100.0% $700,326,782 ============
- --------------- ++++ All or a portion of the security was held as collateral for open futures contracts. See Notes to Financial Statements. 11 STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
FLEXIBLE GROWTH & CAPITAL GLOBAL JUNE 30, 2003 INCOME FUND INCOME FUND OPPORTUNITIES FUND EQUITY FUND ------------- ------------ -------------- ------------------ ------------ ASSETS Investments at value (1) $287,877,000 $1,088,954,333 $832,940,968 $700,159,756 Receivables: Dividends 1,830 9,972 11,421 11,567 Interest 3,140 117,205 54,327 -- Fund shares sold 12,070 445,204 223,307 252,099 Prepaid expenses and other assets 25,150 25,953 24,658 24,411 ------------ -------------- ------------ ------------ Total Assets 287,919,190 1,089,552,667 833,254,681 700,447,833 ------------ -------------- ------------ ------------ LIABILITIES Payables: Fund shares redeemed 70,982 142,424 165,520 25,872 Variation margin 4,112 -- -- -- Accrued expenses: Advisory fee payable 15,406 90,728 66,248 53,567 Distribution fee payable 863 943 551 725 Other accrued expenses payable 30,071 44,891 40,981 39,092 Other liabilities 474 -- 1,203 1,795 ------------ -------------- ------------ ------------ Total Liabilities 121,908 278,986 274,503 121,051 ------------ -------------- ------------ ------------ NET ASSETS $287,797,282 $1,089,273,681 $832,980,178 $700,326,782 ============ ============== ============ ============ NET ASSETS CONSIST OF: Paid-in-capital $240,172,315 $ 964,466,425 $804,619,422 $723,145,181 Undistributed net investment income 2,399,944 11,036,619 5,357,987 1,578,425 Accumulated net realized gain (loss) on investments 1,704,707 10,120,082 3,739,973 (3,143,946) Net unrealized appreciation (depreciation) on investments and futures transactions 43,520,316 103,650,555 19,262,796 (21,252,878) ------------ -------------- ------------ ------------ NET ASSETS $287,797,282 $1,089,273,681 $832,980,178 $700,326,782 ============ ============== ============ ============ NET ASSET VALUE: $0.001 par value, unlimited shares authorized Net assets applicable to the Retail Class $ 17,662,257 $ 19,106,518 $ 11,096,898 $ 14,665,932 ------------ -------------- ------------ ------------ Retail shares outstanding 1,855,134 2,109,682 1,256,366 1,714,470 ------------ -------------- ------------ ------------ Net asset value, offering price and redemption price per Retail share $ 9.52 $ 9.06 $ 8.83 $ 8.55 ============ ============== ============ ============ Net assets applicable to the Retirement Class $270,135,025 $1,070,167,163 $821,883,280 $685,660,850 ------------ -------------- ------------ ------------ Retirement shares outstanding 20,836,295 83,264,062 66,669,956 58,887,013 ------------ -------------- ------------ ------------ Net asset value, offering and redemption price per Retirement share $ 12.96 $ 12.85 $ 12.33 $ 11.64 ============ ============== ============ ============ - --------------- (1) Investments at cost $244,341,061 $ 985,128,095 $813,422,768 $721,113,449 ============ ============== ============ ============
See Notes to Financial Statements. 12 STATEMENTS OF OPERATIONS (UNAUDITED)
FLEXIBLE GROWTH & CAPITAL GLOBAL FOR THE SIX MONTHS ENDED JUNE 30, 2003 INCOME FUND INCOME FUND OPPORTUNITIES FUND EQUITY FUND - -------------------------------------- ----------- ----------- ------------------ ----------- INVESTMENT INCOME Income distributions received from affiliated funds $ 2,319,760 $ 9,219,199 $ 4,637,053 $ 1,938,672 Interest 22,751 109,104 49,031 6,183 ----------- ----------- ----------- ----------- Total Investment Income 2,342,511 9,328,303 4,686,084 1,944,855 ----------- ----------- ----------- ----------- EXPENSES Investment advisory fees 140,384 520,449 386,336 320,327 Transfer agent fees Retail shares 8,528 10,889 9,575 8,842 Retirement shares 9,780 10,191 10,019 10,149 Custodian fees 4,744 11,196 8,653 7,625 Distribution fees -- Retail shares 4,980 5,233 3,018 3,909 Accounting and administration fees 41,259 89,696 76,349 69,790 Professional fees 21,515 21,515 21,515 21,515 Registration fees 5,948 5,751 5,672 5,873 Shareholder reporting fees Retail shares 5,127 10,871 7,565 5,601 Retirement shares 240 (828) (500) (328) Trustee fees 771 1,584 1,289 1,134 Line of credit facility fees 2,142 3,821 3,211 2,923 Other expenses 7,646 7,646 7,645 7,645 ----------- ----------- ----------- ----------- Total Expenses 253,064 698,014 540,347 465,005 Expenses waived (53,462) (2,805) (27,431) (36,352) Fees paid indirectly (274) (151) (189) (161) ----------- ----------- ----------- ----------- Net expenses 199,328 695,058 512,727 428,492 ----------- ----------- ----------- ----------- NET INVESTMENT INCOME 2,143,183 8,633,245 4,173,357 1,516,363 ----------- ----------- ----------- ----------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on investment securities 932,451 7,832,007 2,537,513 (1,513,753) Net realized gain on futures transactions 72,542 742,460 1,033,068 1,348,250 ----------- ----------- ----------- ----------- Net realized gain (loss) 1,004,993 8,574,467 3,570,581 (165,503) ----------- ----------- ----------- ----------- Change in net unrealized appreciation on investment securities 9,364,562 69,881,450 70,048,086 72,969,160 Change in net unrealized appreciation (depreciation) on futures transactions 5,704 (35,050) (86,012) (29,372) ----------- ----------- ----------- ----------- Net change in unrealized appreciation 9,370,266 69,846,400 69,962,074 72,939,788 ----------- ----------- ----------- ----------- NET REALIZED AND UNREALIZED GAIN 10,375,259 78,420,867 73,532,655 72,774,285 ----------- ----------- ----------- ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $12,518,442 $87,054,112 $77,706,012 $74,290,648 =========== =========== =========== ===========
See Notes to Financial Statements. 13 STATEMENTS OF CHANGES IN NET ASSETS
FLEXIBLE INCOME FUND GROWTH & INCOME FUND ----------------------------- ------------------------------- FOR THE SIX FOR THE SIX MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR 06/30/03 ENDED 12/31/02 06/30/03 ENDED 12/31/02 ------------ -------------- -------------- -------------- (UNAUDITED) (UNAUDITED) INCREASE/(DECREASE) IN NET ASSETS OPERATIONS: Net investment income $ 2,143,183 $ 9,879,521 $ 8,633,245 $ 37,212,677 Net realized gain (loss) on investment securities and futures transactions 1,004,993 3,962,897 8,574,467 27,579,592 Net change in unrealized appreciation (depreciation) on investment securities and future transactions 9,370,266 (17,163,347) 69,846,400 (139,143,771) ------------ ------------ -------------- -------------- Net increase (decrease) in net assets resulting from operations 12,518,442 (3,320,929) 87,054,112 (74,351,502) ------------ ------------ -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME Retail shares -- (703,267) (459) (742,069) Retirement shares -- (8,918,457) -- (34,065,901) DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS Retail shares -- (277,139) -- (647,836) Retirement shares -- (3,345,180) -- (27,969,982) ------------ ------------ -------------- -------------- Total dividends and distributions -- (13,244,043) (459) (63,425,788) ------------ ------------ -------------- -------------- NET INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (4,601,297) 9,491,230 (34,488,426) 17,107,697 ------------ ------------ -------------- -------------- Total increase (decrease) in net assets 7,917,145 (7,073,742) 52,565,227 (120,669,593) ------------ ------------ -------------- -------------- NET ASSETS: Beginning of the Period 279,880,137 286,953,879 1,036,708,454 1,157,378,047 ------------ ------------ -------------- -------------- End of the Period $287,797,282 $279,880,137 $1,089,273,681 $1,036,708,454 ============ ============ ============== ==============
See Notes to Financial Statements. 14
CAPITAL OPPORTUNITIES FUND GLOBAL EQUITY FUND ----------------------------- ----------------------------- FOR THE SIX FOR THE SIX MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR 06/30/03 ENDED 12/31/02 06/30/03 ENDED 12/31/02 ------------ -------------- ------------ -------------- (UNAUDITED) (UNAUDITED) $ 4,173,357 $ 17,002,655 $ 1,516,363 $ 4,857,408 3,570,581 10,078,427 (165,503) (2,839,043) 69,962,074 (145,265,886) 72,939,788 (164,655,197) ------------ ------------- ------------ ------------- 77,706,012 (118,184,804) 74,290,648 (162,636,832) ------------ ------------- ------------ ------------- (1) (250,945) -- (97,128) -- (15,568,234) -- (4,698,218) -- (221,031) -- (45,607) -- (12,144,045) -- (1,611,830) ------------ ------------- ------------ ------------- (1) (28,184,255) -- (6,452,783) ------------ ------------- ------------ ------------- (552,913) 18,216,951 (2,812,082) (12,776,613) ------------ ------------- ------------ ------------- 77,153,098 (128,152,108) 71,478,566 (181,866,228) ------------ ------------- ------------ ------------- 755,827,080 883,979,188 628,848,216 810,714,444 ------------ ------------- ------------ ------------- $832,980,178 $ 755,827,080 $700,326,782 $ 628,848,216 ============ ============= ============ =============
See Notes to Financial Statements. 15 FINANCIAL HIGHLIGHTS
FLEXIBLE INCOME FUND ----------------------------------------------------------------------------- RETAIL CLASS RETIREMENT CLASS ------------------------------------- ------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ ----------- -------- ------------ (UNAUDITED) (UNAUDITED) PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.12 $ 9.83 $ 10.00 $ 12.40 $ 13.15 $ 13.29 ------- ------- ------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income (1) 0.07 0.31 0.15 0.10 0.46 0.22 Capital gain distributions received -- 0.02 0.01 -- 0.02 0.01 Realized and unrealized gain (loss) on investments securities and futures transactions -- net 0.33 (0.45) (0.08) 0.46 (0.62) (0.12) ------- ------- ------- -------- -------- -------- Total from investment operations 0.40 (0.12) 0.08 0.56 (0.14) 0.11 ------- ------- ------- -------- -------- -------- LESS DIVIDENDS AND DISTRIBUTIONS Dividends from net investment income -- (0.42) (0.22) -- (0.44) (0.22) Distributions from capital gains -- (0.17) (0.03) -- (0.17) (0.03) ------- ------- ------- -------- -------- -------- Total dividends and distributions -- (0.59) (0.25) -- (0.61) (0.25) ------- ------- ------- -------- -------- -------- NET ASSET VALUE -- END OF PERIOD $ 9.52 $ 9.12 $ 9.83 $ 12.96 $ 12.40 $ 13.15 ======= ======= ======= ======== ======== ======== TOTAL RETURN (2) 4.39% (1.27%) 0.72% 4.52% (1.10%) 0.79% RATIOS/SUPPLEMENTAL DATA: Ratios to average net assets of: Expenses -- net (3)(4) 0.35% 0.32% 0.48% 0.13% 0.13% 0.13% Expenses -- including expense reduction (3)(4) 0.35% 0.32% 0.48% 0.13% 0.13% 0.13% Expenses -- before waivers and expense reductions (3)(4) 0.39% 0.43% 66.47% 0.17% 0.17% 0.18% Investment income -- net (1)(3) 1.33% 3.46% 7.69% 1.56% 3.50% 4.67% Investment income -- excluding waivers and expense reduction (1)(3) 1.29% 3.35% (58.30%) 1.52% 3.46% 4.62% Portfolio turnover rate (2) 4.16% 13.56% 4.02% 4.16% 13.56% 4.02% Net Assets -- end of the period (000's) $17,662 $16,234 $ 325 $270,135 $263,646 $286,628 ======= ======= ======= ======== ======== ========
- --------------- * Commencement of operations (1) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. (2) Non-annualized. (3) Annualized. (4) Does not include expenses of the investment companies in which the Fund invests. See Notes to Financial Statements. 16
GROWTH & INCOME FUND ------------------------------------------------------------------------------- RETAIL CLASS RETIREMENT CLASS ------------------------------------- --------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ ----------- ---------- ------------ (UNAUDITED) (UNAUDITED) $ 8.34 $ 9.72 $ 10.00 $ 11.82 $ 13.44 $ 13.74 ------- ------- --------- ---------- ---------- ---------- 0.06 0.30 0.12 0.10 0.45 0.19 -- 0.03 0.01 -- 0.03 0.01 0.66 (0.96) (0.18) 0.93 (1.33) (0.27) ------- ------- --------- ---------- ---------- ---------- 0.72 (0.63) (0.05) 1.03 (0.85) (0.07) ------- ------- --------- ---------- ---------- ---------- -- (0.40) (0.19) -- (0.42) (0.19) -- (0.35) (0.04) -- (0.35) (0.04) ------- ------- --------- ---------- ---------- ---------- -- (0.75) (0.23) -- (0.77) (0.23) ------- ------- --------- ---------- ---------- ---------- $ 9.06 $ 8.34 $ 9.72 $ 12.85 $ 11.82 $ 13.44 ======= ======= ========= ========== ========== ========== 8.63% (6.59%) (0.52%) 8.71% (6.37%) (0.47%) 0.44% 0.37% 0.48% 0.13% 0.13% 0.13% 0.44% 0.37% 0.48% 0.13% 0.13% 0.13% 0.44% 0.45% 6.53% 0.13% 0.13% 0.17% 1.37% 3.36% 5.62% 1.68% 3.40% 4.05% 1.37% 3.28% (0.43%) 1.68% 3.40% 4.01% 4.30% 12.04% 4.27% 4.30% 12.04% 4.27% $19,107 $17,009 $ 1,334 $1,070,167 $1,019,700 $1,156,044 ======= ======= ========= ========== ========== ==========
See Notes to Financial Statements. 17
CAPITAL OPPORTUNITIES FUND ----------------------------------------------------------------------------- RETAIL CLASS RETIREMENT CLASS ------------------------------------- ------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ ----------- -------- ------------ (UNAUDITED) (UNAUDITED) PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE -- BEGINNING OF PERIOD $ 8.01 $ 9.73 $ 10.00 $ 11.17 $ 13.37 $ 13.71 ------- ------- ------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income (1) 0.03 0.16 0.06 0.06 0.26 0.11 Capital gain distributions received -- 0.02 --++ -- 0.02 --++ Realized and unrealized gain (loss) on investments securities and futures transactions -- net 0.79 (1.50) (0.22) 1.10 (2.05) (0.34) ------- ------- ------- -------- -------- -------- Total from investment operations 0.82 (1.32) (0.16) 1.16 (1.77) (0.23) ------- ------- ------- -------- -------- -------- LESS DIVIDENDS AND DISTRIBUTIONS Dividends from net investment income -- (0.21) (0.11) -- (0.24) (0.11) Distributions from capital gains -- (0.19) --++ -- (0.19) --++ ------- ------- ------- -------- -------- -------- Total dividends and distributions -- (0.40) (0.11) -- (0.43) (0.11) ------- ------- ------- -------- -------- -------- NET ASSET VALUE -- END OF PERIOD $ 8.83 $ 8.01 $ 9.73 $ 12.33 $ 11.17 $ 13.37 ======= ======= ======= ======== ======== ======== TOTAL RETURN (2) 10.24% (13.56%) (1.64%) 10.39% (13.25%) (1.68%) RATIOS/SUPPLEMENTAL DATA: Ratios to average net assets of: Expenses -- net (3)(4) 0.48% 0.42% 0.48% 0.13% 0.13% 0.13% Expenses -- including expense reduction (3)(4) 0.48% 0.42% 0.48% 0.13% 0.13% 0.13% Expenses -- before waivers and expense reductions (3)(4) 0.54% 0.55% 43.03% 0.14% 0.14% 0.17% Investment income -- net (1)(3) 0.75% 1.90% 4.49% 1.10% 2.08% 2.38% Investment income -- excluding waivers and expense reduction (1)(3) 0.69% 1.77% (38.06%) 1.09% 2.07% 2.34% Portfolio turnover rate (2) 2.87% 10.33% 3.42% 2.87% 10.33% 3.42% Net Assets -- end of the period (000's) $11,097 $ 9,859 $ 331 $821,883 $745,968 $883,648 ======= ======= ======= ======== ======== ========
- --------------- * Commencement of operations. (1) Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. (2) Non-annualized. (3) Annualized. (4) Does not include expenses of the investment companies in which the Fund invests. ++ Amount represents less than $0.01 per share. See Notes to Financial Statements. 18
GLOBAL EQUITY FUND ------------------------------------------------------------------------------- RETAIL CLASS RETIREMENT CLASS ------------------------------------- --------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ ----------- ---------- ------------ (UNAUDITED) (UNAUDITED) $ 7.65 $ 9.70 $ 10.00 $ 10.40 $ 13.14 $ 13.57 ------- ------- --------- ---------- ---------- ---------- 0.01 0.04 0.02 0.03 0.08 0.03 -- --++ -- -- --++ -- (2.00) (0.29) 1.21 (2.71) (0.43) 0.89 ------- ------- --------- ---------- ---------- ---------- 0.90 (1.96) (0.27) 1.24 (2.63) (0.40) ------- ------- --------- ---------- ---------- ---------- -- (0.06) (0.03) -- (0.08) (0.03) -- (0.03) --++ -- (0.03) --++ ------- ------- --------- ---------- ---------- ---------- -- (0.09) (0.03) -- (0.11) (0.03) ------- ------- --------- ---------- ---------- ---------- $ 8.55 $ 7.65 $ 9.70 $ 11.64 $ 10.40 $ 13.14 ======= ======= ========= ========== ========== ========== 11.77% (20.25%) (2.75%) 11.92% (20.04%) (2.96%) 0.41% 0.35% 0.48% 0.13% 0.13% 0.13% % 0.35% 0.48% 0.13% 0.13% 0.13% 0.41 % 0.44% 66.34% 0.14% 0.14% 0.17% 0.42 0.21% 0.53% 1.60% 0.49% 0.68% 0.64% % 0.44% (64.26%) 0.48% 0.67% 0.60% 0.20 1.29% 6.33% 2.70% 1.29% 6.33% 2.70% $14,666 $12,805 $ 207 $ 685,661 $ 616,043 $ 810,507 ======= ======= ========= ========== ========== ==========
See Notes to Financial Statements. 19 MONEY MARKET FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03 - --------------------------------------------------------------------------------
SALOMON BROTHERS RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* 90 DAY TREASURY BILL INDEX** ----------------- -------------------- ------------- ---------------------------- One Year 1.23% 1.42% 1.02% 1.41% Since Inception (8/27/01 -- 6/30/03) 1.65% 1.65% 1.38% 1.80%
Past performance is no guarantee of future results, share prices will fluctuate, and you may have a gain or loss when you redeem shares. [LINE GRAPH]
SALOMON BROTHERS 90 DAY TREASURY MONEY MARKET RETIREMENT CLASS BILL INDEX** ----------------------------- -------------------------------- 08/27/01 10000.00 10000.00 08/31/01 10008.00 10008.00 09/30/01 10033.00 10036.00 10/31/01 10057.00 10063.00 11/30/01 10079.00 10084.00 12/31/01 10094.00 10102.00 01/31/02 10108.00 10118.00 02/28/02 10122.00 10131.00 03/31/02 10138.00 10146.00 04/30/02 10153.00 10161.00 05/31/02 10167.00 10176.00 06/30/02 10180.00 10191.00 07/31/02 10194.00 10206.00 08/31/02 10207.00 10220.00 09/30/02 10220.00 10234.00 10/31/02 10232.00 10249.00 11/30/02 10243.00 10262.00 12/31/02 10255.00 10274.00 01/31/03 10265.00 10285.00 02/28/03 10273.00 10294.00 03/31/03 10282.00 10305.00 04/30/03 10290.00 10315.00 05/31/03 10298.00 10325.00 06/30/03 10306.00 10334.00
The graph compares the results of a $10,000 investment in the Retirement Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Salomon Brothers 90-Day Treasury Bill Index. *These returns reflect expense waivers by the Fund's investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. **The Salomon Brothers 90-Day Treasury Bill Index is composed of the monthly return equivalents of yield averages that are not marked to market. The 3-Month Treasury Bill Index consists of the last three 3-month Treasury bill issues. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. Not Part of the Semi-Annual Report 20 MONEY MARKET FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2003 PAR VALUE - ------------- ----------- ------------ AGENCY OBLIGATIONS -- 20.0% Federal Farm Credit Bank 5.00%, 09/22/03 $ 3,000,000 $ 3,026,758 Federal Home Loan Bank 4.50%, 07/07/03 18,000,000 18,006,133 4.88%, 04/16/04 25,000,000 25,698,819 1.45%, 05/12/04 10,000,000 10,000,000 1.40%, 05/14/04 10,000,000 10,000,000 Federal Home Loan Mortgage Corporation 3.50%, 09/15/03 5,000,000 5,025,126 1.00%, 09/24/03 15,000,000 14,964,584 1.02%, 09/30/03 15,000,000 14,961,325 1.61%, 10/09/03 17,000,000 16,924,208 1.22%, 03/25/04 12,000,000 11,891,013 Federal National Mortgage Association 4.75%, 11/14/03 10,000,000 10,105,561 5.13%, 02/13/04 10,000,000 10,232,660 5.63%, 05/14/04 5,000,000 5,184,124 3.00%, 06/15/04 10,000,000 10,168,548 Student Loan Mortgage Association 4.75%, 04/23/04 19,750,000 20,304,429 ------------ TOTAL AGENCY OBLIGATIONS (Cost $186,493,288) 186,493,288 ------------ CERTIFICATES OF DEPOSIT -- 6.8% Barclays Bank PLC NY 2.10%, 07/14/03 15,000,000 15,000,000 Canadian Imperial Bank of Commerce NY 2.01%, 08/22/03 10,000,000 10,000,000 Citibank NA 1.23%, 08/20/03 18,000,000 18,000,000 Washington Mutual Bank 1.27%, 07/10/03 20,000,000 19,999,950 ------------ TOTAL CERTIFICATES OF DEPOSIT (Cost $62,999,950) 62,999,950 ------------ COMMERCIAL PAPER -- 44.1% Barclays U.S. Funding Corporation 1.24%, 08/04/03 5,000,000 4,994,144 BASF AG 1.23%, 07/16/03 6,000,000 5,996,925 1.22%, 08/07/03 10,000,000 9,987,461 Bear Stearns Cos., Inc. 1.27%, 07/30/03 13,000,000 12,986,700 BMW US Capital Corporation 1.07%, 09/12/03 11,000,000 10,976,133 Citicorp 1.26%, 07/18/03 7,223,000 7,218,719 Citigroup Global Markets Holdings, Inc. 1.23%, 08/13/03 15,000,000 14,977,963
PAR VALUE ----------- ------------ Concord Minutemen Capital Co. LLC 1.22%, 07/10/03 $12,000,000 $ 11,996,340 1.24%, 08/18/03 13,000,000 12,978,507 Crown Point Capital Co. LLC 1.09%, 09/10/03 10,000,000 9,978,503 Edison Asset Securitization LLC 1.04%, 09/05/03 21,000,000 20,959,960 Fairway Finance Corporation 1.09%, 09/10/03 7,736,000 7,719,370 General Electric Capital Corporation 1.23%, 07/07/03 28,000,000 27,994,260 Goldman Sachs Group, Inc. 1.26%, 08/08/03 15,000,000 14,980,050 Grampian Funding LLC 1.23%, 08/14/03 20,000,000 19,969,933 HBOS Treasury Services PLC 1.23%, 08/05/03 6,900,000 6,891,749 1.23%, 08/07/03 2,800,000 2,796,460 1.21%, 08/26/03 10,575,000 10,555,096 1.10%, 09/09/03 23,500,000 23,449,736 K2 (USA) LLC 1.24%, 08/12/03 2,000,000 1,997,107 Lexington Parker Capital Corporation 1.25%, 07/18/03 14,000,000 13,991,736 1.23%, 08/06/03 28,000,000 27,965,560 Natexis Banques Populaires U.S. Finance Co. LLC 1.24%, 07/08/03 22,448,000 22,442,588 1.25%, 07/23/03 13,000,000 12,990,109 Ness LLC 1.24%, 08/15/03 5,000,000 4,992,250 1.05%, 09/15/03 9,000,000 8,980,050 0.96%, 09/25/03 19,436,000 19,391,427 Scaldis Capital LLC 1.26%, 07/14/03 21,000,000 20,990,445 Tannehill Capital Co. LLC 1.22%, 08/18/03 10,000,000 9,983,733 0.96%, 09/19/03 20,000,000 19,957,333 UBS Finance (Delaware) LLC 1.31%, 07/01/03 8,748,000 8,748,000 ------------ TOTAL COMMERCIAL PAPER (Cost $409,838,347) 409,838,347 ------------ MASTER NOTES -- 1.6% Merrill Lynch Mortgage Capital, Inc. 1.46%, 07/01/03 (Cost $15,000,000) 15,000,000 15,000,000 ------------
See Notes to Financial Statements. 21 MONEY MARKET FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ----------- ------------ VARIABLE RATE OBLIGATIONS -- 27.4% American Express Centurion Bank 1.21%, 07/14/03++ $25,000,000 $ 25,000,000 Bear Stearns Cos., Inc. 1.11%, 07/01/03++ 15,000,000 15,000,000 1.25%, 09/05/03++ 7,000,000 7,000,000 Donaldson Lufkin & Jenrette, Inc. 1.85%, 07/18/03++ 10,000,000 10,002,447 General Electric Capital Corporation 1.37%, 08/04/03++ 17,000,000 17,004,142 Goldman Sachs Group, Inc. 1.22%, 09/08/03++ 30,000,000 30,000,000 John Hancock Global Funding II 1.25%, 09/11/03++ 10,000,000 10,012,810 1.27%, 09/15/03++ 8,000,000 8,002,967 1.19%, 09/29/03++ 13,000,000 13,003,622 Metlife Global Funding 1.12%, 07/28/03++ 10,000,000 10,000,000 National City Bank of Indiana 1.04%, 07/01/03++ 30,000,000 29,994,184 1.05%, 07/01/03++ 10,000,000 9,998,670
PAR VALUE ----------- -------------- Salomon Smith Barney Holdings, Inc. 1.53%, 08/18/03++ $ 4,800,000 $ 4,804,135 U.S. Bank NA 1.05%, 07/01/03++ 25,000,000 24,998,566 Wells Fargo Bank NA 1.04%, 07/01/03++ 30,000,000 30,000,000 1.05%, 07/01/03++ 10,000,000 10,000,000 -------------- TOTAL VARIABLE RATE OBLIGATIONS (Cost $254,821,543) 254,821,543 -------------- SHARES ----------- MUTUAL FUND -- 14.0% Northern Institutional Liquid Assets Portfolio sec. (Cost $130,579,380) 130,579,380 130,579,380 TOTAL INVESTMENTS -- 113.9% (Cost $1,059,732,508) 1,059,732,508 LIABILITIES IN EXCESS OF OTHER ASSETS -- (13.9%) (129,250,452) -------------- NET ASSETS -- 100.0% $ 930,482,056 ==============
See Notes to Financial Statements. 22 LOW-DURATION BOND FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03 - --------------------------------------------------------------------------------
MERRILL LYNCH 1-3 RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* YEAR TREASURY INDEX** ----------------- -------------------- ------------- --------------------- One Year 5.80% 5.94% 5.65% 4.65% Since Inception (8/27/01 -- 6/30/03) 5.33% 5.20% 5.01% 5.31%
Past performance is no guarantee of future results, share prices will fluctuate, and you may have a gain or loss when you redeem shares. [LINE GRAPH]
MERRILL LYNCH 1-3 YEAR TREASURY LOW-DURATION RETIREMENT CLASS INDEX** ----------------------------- ------------------------------- 08/27/01 10000 10000 08/31/01 10023 10025 09/30/01 10150 10190 10/31/01 10256 10286 11/30/01 10217 10264 12/31/01 10196 10268 01/31/02 10242 10289 02/28/02 10288 10339 03/31/02 10208 10269 04/30/02 10334 10383 05/31/02 10381 10425 06/30/02 10402 10513 07/31/02 10459 10641 08/31/02 10550 10678 09/30/02 10633 10766 10/31/02 10661 10790 11/30/02 10663 10758 12/31/02 10778 10859 01/31/03 10800 10857 02/28/03 10866 10902 03/31/03 10890 10922 04/30/03 10919 10943 05/31/03 10991 10984 06/30/03 11006 11001
The graph compares the results of a $10,000 investment in the Retirement Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Merrill Lynch 1-3 Year Treasury Index. *These returns reflect expense waivers by the Fund's investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. **The Merrill Lynch 1-3 Year Treasury Index is composed of all U.S. Treasury Notes and Bonds with maturities greater than or equal to one year and less than three years. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. Not Part of the Semi-Annual Report 23 LOW-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2003 PAR VALUE ------------- ----------- ------------ AGENCY OBLIGATIONS -- 14.0% Federal Home Loan Bank 1.17%, 08/01/03 $ 1,600,000 $ 1,598,520 1.14%, 08/15/03 300,000 299,663 1.17%, 08/29/03 16,700,000 16,676,431 Federal Home Loan Mortgage Corporation 1.20%, 07/17/03 13,700,000 13,693,463 1.18%, 07/30/03 3,700,000 3,696,774 1.20%, 08/01/03 2,100,000 2,098,058 1.19%, 09/05/03 2,300,000 2,296,079 1.12%, 09/30/03 4,400,000 4,389,656 4.25%, 06/15/05 2,350,000 2,479,530 7.00%, 07/15/05 4,000,000 4,447,428 4.25%, 03/22/06 STEP++ 3,850,000 3,938,947 Federal National Mortgage Association 1.23%, 07/02/03 700,000 699,979 1.17%, 07/23/03 10,100,000 10,093,490 1.16%, 07/30/03 7,000,000 6,993,896 0.90%, 09/03/03 6,300,000 6,289,586 0.98%, 09/24/03 16,600,000 16,563,545 0.98%, 10/31/03 9,000,000 8,971,632 4.45%, 05/03/05 3,325,000 3,429,126 Small Business Administration 6.95%, 11/10/16 2,619,835 2,929,340 ------------ TOTAL AGENCY OBLIGATIONS (Cost $110,899,997) 111,585,143 ------------ ASSET-BACKED SECURITIES -- 10.7% Aames Mortgage Trust 1.63%, 07/15/03 STEP++ 278,959 279,234 Bank One Issuance Trust 4.16%, 01/15/08 2,050,000 2,150,080 Bayview Financial Acquisition Trust 1.71%, 07/25/03 144A++ 733,483 733,598 7.01%, 05/25/29 144A 834,645 864,667 Business Loan Express 3.25%, 07/15/03 144A++ 1,084,248 1,041,556 Capital Auto Receivables Asset Trust 3.58%, 10/16/06 2,400,000 2,487,750 Capital One Auto Finance Trust 5.40%, 05/15/08 2,000,000 2,115,812 Capital One Master Trust 3.85%, 10/12/04 2,300,000 2,370,689 4.55%, 04/24/05 750,000 777,944 Chase Funding Mortgage Loan Asset-Backed Certificates 5.04%, 05/30/05 1,200,000 1,259,207 Citibank Credit Card Issuance Trust 4.10%, 12/07/06 4,350,000 4,515,843 2.50%, 04/07/08 3,950,000 4,005,229
PAR VALUE ----------- ------------ Citibank Credit Card Master Trust I 1.14%, 08/15/06 PO (2) $ 2,600,000 $ 2,566,865 Conseco Finance Securitizations Corporation 1.55%, 07/15/03++ 348,909 348,374 8.07%, 12/01/30 2,225,683 2,275,008 7.30%, 05/01/31 972,139 981,180 Daimler Chrysler Master Owner Trust 1.24%, 07/15/03++ 3,000,000 3,001,769 Equity One ABS, Inc. 7.55%, 02/25/32 443,948 448,336 FMAC Loan Receivables Trust 5.99%, 11/15/04 144A 581,345 558,091 Ford Credit Auto Owner Trust 4.83%, 02/15/05 1,981,840 1,999,783 Green Tree Financial Corporation 6.06%, 04/01/18 1,645,968 1,660,181 6.04%, 11/01/29 54,118 54,885 Honda Auto Receivables Owner Trust 2.48%, 07/18/08 4,000,000 4,062,003 Mellon Auto Grantor Trust 7.18%, 10/15/06 684,325 694,452 MMCA Automobile Trust 7.55%, 04/15/06 1,258,214 1,266,713 Nissan Auto Receivables Owner Trust 4.31%, 05/16/05 2,053,224 2,074,077 3.58%, 09/15/05 3,500,000 3,543,750 3.99%, 12/15/05 4,000,000 4,082,031 5.35%, 10/15/06 3,275,000 3,388,381 4.80%, 02/15/07 4,225,000 4,391,360 PBG Equipment Trust 6.27%, 01/20/12 1,315,759 1,383,737 Sears Credit Account Master Trust 1.36%, 07/15/03++ 2,500,000 2,489,595 7.00%, 07/15/08 1,497,708 1,542,002 5.25%, 10/16/08 1,816,667 1,865,515 Sequoia Mortgage Trust 2.24%, 10/25/24++ 1,513,766 1,506,197 SLM Student Loan Trust 1.15%, 09/15/03++ 2,400,000 2,400,238 1.29%, 09/15/03++ 2,325,849 2,325,849 1.40%, 01/25/07++ 655,337 655,635 1.37%, 01/25/09++ 2,117,429 2,117,545 1.37%, 01/25/11++ 2,054,658 2,054,807 SVO Timeshare Mortgage Corporation 5.47%, 10/20/13 144A 4,400,471 4,552,947 The Money Store Business Loan Backed Certificates 2.15%, 04/15/28+ 774,922 763,802
See Notes to Financial Statements. 24
PAR VALUE ----------- ------------ TMS SBA Loan Trust 2.11%, 04/15/24++ $ 682,833 $ 707,763 2.00%, 01/15/25++ 823,013 800,800 2.48%, 01/25/25++ 493,808 490,949 ------------ TOTAL ASSET-BACKED SECURITIES (Cost $84,315,414) 85,656,229 ------------ COLLATERALIZED MORTGAGE OBLIGATIONS -- 23.7% Asset Securitization Corporation 7.32%, 01/13/30 1,124,491 1,192,284 Bank One Mortgage-Backed Pass-Through Certificates 4.84%, 03/15/30++ 607,152 615,147 Bear Stearns Adjustable Rate Mortgage Trust 6.60%, 07/01/03++ 628,180 629,917 6.87%, 07/01/03++ 362,816 372,659 Countrywide Funding Corporation 6.50%, 11/25/08 2,008,782 2,005,909 Countrywide Home Loans, Inc. 6.05%, 04/25/29 3,281,447 3,314,601 4.09%, 06/19/31++ 597,019 603,642 Credit-Based Asset Servicing and Securitization LLC 1.64%, 07/25/03++ 1,392,984 1,389,912 CS First Boston Mortgage Securities Corporation 1.72%, 02/25/32++ 922,701 925,865 DLJ Mortgage Acceptance Corporation 6.82%, 10/15/30 144A 1,816,345 2,020,394 Federal Home Loan Mortgage Corporation 3.18%, 07/01/03 STRIP++ 881,709 882,811 4.37%, 07/01/03++ 197,258 201,843 1.53%, 07/15/03++ 3,043,629 3,041,727 1.60%, 01/28/04++ 81,013 81,010 9.50%, 10/01/04 19,936 20,708 9.50%, 12/01/04 24,929 25,895 9.50%, 01/01/05 21,460 22,292 9.50%, 06/01/05 25,655 27,258 5.74%, 07/28/05++ 4,049,630 4,178,712 10.00%, 12/01/05 4,027 4,149 8.00%, 03/01/06 5,784 6,088 7.00%, 05/01/06 6,548 6,756 8.75%, 08/01/06 10,193 10,518 6.50%, 08/15/07 970,216 998,960 8.50%, 12/01/07 26,096 27,645 8.50%, 01/01/08 22,559 24,089 8.00%, 05/01/08 35,989 37,529 8.50%, 06/01/08 23,984 25,071 8.25%, 07/01/08 37,298 39,489 8.75%, 07/01/08 20,547 22,165 8.00%, 01/01/09 11,507 12,338 7.50%, 03/01/09 128,890 132,959
PAR VALUE ----------- ------------ 5.50%, 04/01/09 $ 2,133,524 $ 2,232,867 6.00%, 06/01/09 898,140 939,398 6.00%, 07/01/10 1,847,449 1,932,316 6.50%, 06/01/11 2,037,299 2,145,531 16.25%, 07/01/11 2,581 3,179 15.25%, 08/01/11 4,197 5,098 5.00%, 05/01/18 7,970,435 8,239,438 10.75%, 02/01/19 176,827 199,981 5.09%, 09/01/23++ 1,480,593 1,525,625 7.32%, 03/01/31++ 294,546 303,306 6.00%, 08/13/33 6,000,000 6,217,500 Federal Housing Authority 7.43%, 09/01/22 263,494 288,368 Federal National Mortgage Association 4.12%, 07/01/03 CONV++ 425,408 439,458 5.01%, 07/01/03++ 248,321 255,667 5.23%, 07/01/03++ 2,878,056 2,960,763 6.39%, 07/01/03++ 2,815,985 2,925,825 7.00%, 06/01/04 1,682 1,696 6.00%, 08/01/08 821,863 862,956 6.50%, 11/01/08 1,129,909 1,199,822 5.50%, 06/01/09 1,480,266 1,551,503 5.50%, 07/01/09 1,082,919 1,135,034 6.00%, 11/01/10 2,236,575 2,344,910 6.00%, 12/01/10 1,097,946 1,152,844 6.00%, 03/01/11 576,593 603,981 6.00%, 08/01/11 1,114,080 1,166,999 5.50%, 04/01/13 1,229,563 1,281,819 6.00%, 05/01/13 976,353 1,022,730 6.00%, 09/01/13 585,487 610,371 6.00%, 10/01/13 490,153 510,985 6.00%, 11/01/13 3,224,358 3,361,393 6.00%, 02/01/14 807,444 843,780 6.00%, 03/01/14 1,293,536 1,351,748 6.00%, 04/01/14 291,827 304,959 6.00%, 12/01/14 7,013,992 7,328,496 5.00%, 07/01/18 7,720,000 7,973,312 5.00%, 07/17/18 28,000,000 28,918,749 4.31%, 08/01/22++ 1,034,026 1,058,953 4.42%, 02/01/24++ 2,010,449 2,067,866 9.00%, 05/01/25 595,383 662,177 9.00%, 07/01/25 662,687 737,654 5.25%, 12/01/30++ 182,983 188,592 6.64%, 02/01/31++ 727,852 739,460 5.50%, 07/14/33 2,500,000 2,583,594 Federal National Mortgage Association Grantor Trust 3.31%, 03/25/32 1,412,979 1,405,914 FFCA Secured Lending Corporation 7.27%, 02/18/11 144A 2,844,176 2,946,223 First Republic Mortgage Loan Trust 4.35%, 06/25/30++ 1,673,038 1,699,475
See Notes to Financial Statements. 25 LOW-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ----------- ------------ Government National Mortgage Association 5.63%, 07/01/03++ $ 413,899 $ 425,995 1.38%, 07/16/03++ 2,287,073 2,285,662 1.78%, 07/16/03++ 1,549,667 1,559,199 7.25%, 11/15/03 569 574 8.25%, 08/15/04 4,280 4,410 8.25%, 03/15/06 7,692 8,168 8.25%, 05/15/06 18,798 19,960 7.00%, 10/15/07 6,186 6,573 7.00%, 11/15/07 118,913 126,345 7.00%, 12/15/07 78,839 83,767 7.00%, 01/15/08 3,788 4,072 7.00%, 05/15/08 66,237 71,205 7.00%, 06/15/08 13,016 13,993 7.00%, 07/15/08 251,439 270,297 7.00%, 08/15/08 172,021 184,922 7.00%, 09/15/08 313,722 337,252 7.00%, 09/18/08 176,207 189,422 7.00%, 11/15/08 322,674 346,874 6.00%, 12/15/08 812,153 856,822 7.00%, 04/15/09 80,655 86,653 6.00%, 02/15/11 1,260,538 1,329,081 13.50%, 02/15/11 4,475 5,318 7.00%, 05/12/12 207,332 222,558 7.00%, 05/15/12 445,197 477,891 5.38%, 06/20/17++ 64,807 67,029 5.38%, 06/20/21++ 45,854 47,509 7.00%, 08/15/28 92,894 98,264 7.00%, 11/15/28 295,408 312,487 7.00%, 07/15/29 91,921 97,149 8.50%, 10/15/29 236,094 254,465 8.50%, 01/15/30 120,269 129,589 8.50%, 03/15/30 74,828 80,627 8.50%, 04/15/30 318,832 343,541 8.50%, 05/15/30 956,248 1,030,357 8.50%, 06/15/30 476,915 513,875 8.50%, 07/15/30 1,293,759 1,394,023 8.50%, 08/15/30 325,175 350,375 8.50%, 09/15/30 39,344 42,393 8.50%, 10/15/30 207,809 223,914 8.50%, 11/15/30 569,032 613,132 8.50%, 12/15/30 653,332 703,965 7.00%, 01/15/31 96,436 101,860 8.50%, 01/15/31 203,360 219,057 7.00%, 02/15/31 94,680 100,006 8.50%, 02/15/31 457,611 492,933 7.00%, 04/15/31 277,884 293,515 7.00%, 06/15/31 386,909 408,673 7.00%, 07/15/31 443,186 468,116 7.00%, 08/15/31 2,536,975 2,679,679 7.00%, 09/15/31 993,460 1,049,341 7.00%, 10/15/31 121,153 127,968 7.00%, 12/15/31 333,830 352,608 7.00%, 02/15/32 146,994 155,262
PAR VALUE ----------- ------------ 7.00%, 04/15/32 $ 61,263 $ 64,709 7.00%, 05/15/32 486,215 513,565 7.00%, 07/15/32 2,060,694 2,176,608 7.00%, 09/15/32 315,389 333,130 7.00%, 10/15/32 1,308,550 1,382,156 6.75%, 10/16/40 3,394,866 3,849,451 GS Mortgage Securities Corporation II 1.08%, 07/01/03 IO 144A++ 45,435,000 2,067,647 6.04%, 08/15/18 144A 606,523 669,798 IFC SBA Loan-Backed ADJ Rate Certificate 2.25%, 01/15/24 144A++ 1,054,361 1,033,274 Mellon Residential Funding Corporation 6.75%, 01/25/13 140,038 142,387 MLCC Mortgage Investors, Inc. 1.56%, 07/15/03 STEP++ 1,825,188 1,827,798 Morgan Stanley Capital I 6.22%, 02/07/04 1,463,844 1,555,279 PNC Mortgage Securities Corporation 1.77%, 07/25/03++ 284,032 284,254 7.50%, 02/25/31 219,270 220,899 Residential Accredit Loans, Inc. 6.00%, 12/25/16 1,679,939 1,707,238 7.75%, 10/25/30 202,136 203,727 Residential Asset Securitization Trust 8.00%, 02/25/30 309,520 315,336 Residential Funding Mortgage Securities I 6.33%, 07/01/03++ 260,677 261,119 6.50%, 03/25/32 1,312,372 1,352,598 Salomon Brothers Mortgage Securities IV 7.15%, 03/25/25 144A 4,806,579 5,156,945 Security National Mortgage Loan Trust 5.79%, 07/25/03 144A 792,782 793,852 Sequoia Mortgage Trust 1.50%, 10/20/27++ 1,877,804 1,862,835 1.55%, 10/20/33++ 1,416,608 1,409,885 Structured Asset Mortgage Investments, Inc. 6.13%, 11/25/13 573,867 587,728 Structured Asset Securities Corporation 7.50%, 06/28/31 1,057,638 1,083,342 United Mortgage Securities Corporation 4.59%, 07/01/03++ 1,083,568 1,098,591 Wachovia Asset Securitization, Inc. 6.25%, 10/25/33 944,666 967,324
See Notes to Financial Statements. 26
PAR VALUE ----------- ------------ Washington Mutual 4.05%, 07/01/03++ $ 1,286,389 $ 1,301,339 1.33%, 06/25/24++ 245,169 245,183 Washington Mutual Mortgage Securities Corporation 4.34%, 07/25/31++ 702,015 709,035 Washington Mutual MSC Mortgage Pass-Through Certificates 4.76%, 03/25/32++ 1,217,785 1,233,007 ------------ TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $186,002,943) 189,211,421 ------------ COMMERCIAL PAPER -- 6.9% ABN AMRO NA Finance, Inc. 0.92%, 08/25/03 4,500,000 4,493,819 CBA (Delaware) Finance, Inc. 1.05%, 07/31/03 1,800,000 1,798,425 Danske Corporation 1.20%, 08/13/03 2,800,000 2,796,670 1.20%, 08/28/03 6,000,000 5,990,463 General Electric Capital Corporation 1.03%, 07/23/03 200,000 199,874 1.05%, 08/11/03 4,100,000 4,095,097 HBOS Treasury Services PLC 1.24%, 07/14/03 3,000,000 2,998,678 1.21%, 09/03/03 400,000 399,275 0.99%, 09/18/03 1,600,000 1,596,419 Lloyds TSB Bank PLC 1.22%, 07/10/03 6,000,000 5,998,170 1.24%, 07/29/03 1,100,000 1,098,973 Royal Bank of Scotland PLC 1.22%, 07/08/03 13,500,000 13,496,745 Shell Finance (UK) PLC 1.22%, 07/18/03 4,000,000 3,997,705 UBS Finance LLC 1.21%, 07/07/03 500,000 499,899 0.92%, 09/24/03 1,000,000 997,592 Westpac Trust Securities, Ltd. 1.18%, 08/05/03 1,500,000 1,498,323 1.19%, 08/07/03 3,000,000 2,996,540 ------------ TOTAL COMMERCIAL PAPER (Cost $54,949,778) 54,952,667 ------------ CORPORATE BONDS -- 13.9% AIF, Inc. 3.50%, 06/15/26 1,621,277 1,621,277 Alcoa, Inc. 1.54%, 12/06/04++ 930,000 932,608 Allstate Corporation 7.88%, 05/01/05 830,000 922,474 American Express Credit Corporation 1.30%, 07/16/03++ 1,200,000 1,200,378 American International Group 2.85%, 12/01/05 1,300,000 1,328,544
PAR VALUE ----------- ------------ AOL Time Warner, Inc. 6.88%, 05/01/12 $ 5,000,000 $ 5,719,655 AT&T Corporation 4.38%, 08/21/03++(E) 3,000,000 3,463,632 Bank One Corporation 7.63%, 08/01/05 1,200,000 1,345,266 Bear Stearns Cos., Inc. (The) 1.60%, 09/29/03++ 690,000 697,623 Capital One Bank 6.62%, 08/04/03 5,770,000 5,781,638 Centerior Energy Corporation 7.67%, 07/01/04 1,500,000 1,583,469 Citigroup, Inc. 6.75%, 12/01/05 1,600,000 1,784,923 Coca-Cola Co. (The) 4.00%, 06/01/05 1,240,000 1,298,280 Dominion Resources, Inc. 7.63%, 07/15/05 650,000 723,374 Ford Motor Credit Co. 1.77%, 07/18/03++ 1,500,000 1,450,655 6.88%, 02/01/06 3,190,000 3,385,314 FPL Group Capital, Inc. 3.25%, 04/11/06 1,280,000 1,314,532 Fred Meyer Holding Co., Inc. 7.38%, 03/01/05 2,000,000 2,160,804 General Dynamics Corporation 2.13%, 05/15/06 1,205,000 1,222,056 General Electric Capital Corporation 2.85%, 01/30/06 1,500,000 1,535,438 9.83%, 12/15/08 350,000 461,118 General Motors Acceptance Corporation 2.05%, 07/21/03++ 3,100,000 3,096,965 6.75%, 01/15/06 1,455,000 1,545,590 4.50%, 07/15/06 670,000 669,477 Golden West Financial Corporation 5.50%, 08/08/06 3,000,000 3,310,134 Household Finance Corporation 1.46%, 08/01/03++ 1,470,000 1,470,419 IBM Corporation 1.33%, 09/10/04++ 1,200,000 1,201,762 International Paper Co. 8.13%, 07/08/05 680,000 758,483 Masco Corporation 6.75%, 03/15/06 700,000 779,069 Mellon Bank 6.50%, 08/01/05 1,000,000 1,094,792 Merrill Lynch and Co., Inc. 2.94%, 01/30/06 1,400,000 1,427,136 MetLife, Inc. 3.91%, 05/15/05 1,300,000 1,354,643
See Notes to Financial Statements. 27 LOW-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ----------- ------------ Morgan Stanley TRACER 5.88%, 09/01/03 144A++ $11,600,000 $ 12,771,310 National Rural Utilities 3.00%, 02/15/06 1,120,000 1,151,591 New York Telephone Co. 6.50%, 03/01/05++++ 2,300,000 2,473,054 Niagara Mohawk Power Corporation 7.75%, 05/15/06 5,000,000 5,728,335 Pemex Project Funding Master Trust 8.50%, 02/15/08 350,000 409,500 Phillips Petroleum Co. 8.50%, 05/25/05 1,045,000 1,177,662 Premium Asset Trust 1.67%, 08/27/03 144A++ 4,000,000 4,013,820 Procter & Gamble Co. 6.60%, 12/15/04 1,200,000 1,288,403 Qwest Capital Funding, Inc. 5.88%, 08/03/04 3,000,000 2,887,500 SLM Corporation 1.39%, 07/25/03++ 675,000 673,945 1.45%, 07/25/03++ 1,200,000 1,202,042 Southtrust Bank NA 1.36%, 08/25/03++ 1,200,000 1,201,643 Sprint Capital Corporation 7.13%, 01/30/06 3,000,000 3,285,615 Time Warner, Inc. 7.75%, 06/15/05 3,200,000 3,515,424 Toyota Motor Credit Corporation 2.80%, 01/18/06 1,060,000 1,087,627 Unilever Capital Corporation 6.88%, 11/01/05 1,200,000 1,340,345 Virginia Electric & Power Co. 5.75%, 03/31/06 3,000,000 3,278,265 Wachovia Corporation 7.55%, 08/18/05 950,000 1,066,116 Washington Mutual Bank FA 1.67%, 07/25/06++ 1,500,000 1,507,704 Wells Fargo Co. 7.25%, 08/24/05 1,270,000 1,419,531 Weyerhaeuser Co. 2.24%, 09/15/03++ 700,000 700,088 5.50%, 03/15/05 865,000 915,476 Worldcom, Inc.-WorldCom Group 7.38%, 01/15/11 144A# 3,900,000 1,160,250 ------------ TOTAL CORPORATE BONDS (Cost $107,828,289) 110,896,774 ------------ FOREIGN BONDS -- 7.0% BERMUDA -- 0.1% Tyco International Group SA 6.38%, 06/15/05 860,000 900,850 ------------
PAR VALUE ----------- ------------ CANADA -- 1.5% Canadian Government 4.50%, 09/01/07(C) 11,815,000 $ 9,012,878 Province of Ontario 2.63%, 12/15/05 $ 1,230,000 1,256,409 Quebec Province 6.50%, 01/17/06 1,190,000 1,326,424 ------------ 11,595,711 ------------ CHILE -- 0.4% Republic of Chile 5.63%, 07/23/07 750,000 815,025 7.13%, 01/11/12 2,300,000 2,682,030 ------------ 3,497,055 ------------ CROATIA -- 0.1% Croatia Government 2.19%, 07/31/03++ 1,022,727 1,018,892 ------------ FRANCE -- 0.5% France Telecom 8.70%, 03/01/06 2,200,000 2,511,304 Total Fina Elf SA 7.00%, 10/05/05 1,470,000 1,635,737 ------------ 4,147,041 ------------ GERMANY -- 1.1% Bundesobligation 4.50%, 08/17/07(E) 7,210,000 8,812,756 ------------ MALAYSIA -- 0.1% Government of Malaysia 8.75%, 06/01/09 300,000 384,210 Petroliam Nasional BHD 7.13%, 10/18/06 350,000 399,559 ------------ 783,769 ------------ MEXICO -- 0.9% Grupo Televisa SA 8.63%, 08/08/05 350,000 395,063 United Mexican States 6.38%, 01/16/13 2,280,000 2,422,500 11.38%, 09/15/16 700,000 1,020,250 8.00%, 09/24/22 2,700,000 3,024,000 ------------ 6,861,813 ------------ NETHERLANDS -- 0.4% Deutsche Telekom International Finance BV 8.25%, 06/15/05 3,000,000 3,347,220 ------------ SOUTH AFRICA -- 0.1% Republic of South Africa 9.13%, 05/19/09 600,000 745,500 7.38%, 04/25/12 300,000 345,000 ------------ 1,090,500 ------------ SUPRANATIONAL -- 0.4% European Investment Bank 5.63%, 01/24/06 1,850,000 2,036,886
See Notes to Financial Statements. 28
PAR VALUE ----------- ------------ International Bank for Reconstruction and Development 6.02%, 06/21/04 $ 1,200,000 $ 1,254,469 ------------ 3,291,355 ------------ TUNISIA -- 0.4% Banque Cent de Tunisie 7.38%, 04/25/12 2,400,000 2,802,000 ------------ UNITED KINGDOM -- 1.0% BP Capital Markets PLC 4.00%, 04/29/05 860,000 899,160 British Telecom PLC 7.88%, 12/15/05 230,000 262,111 HBOS Treasury Services PLC 1.17%, 03/14/05 144A++ 1,200,000 1,200,472 Holmes Financing PLC 1.44%, 01/15/08++ 2,600,000 2,600,000 Permanent Financing PLC 1.36%, 09/10/07++ 2,800,000 2,800,000 ------------ 7,761,743 ------------ TOTAL FOREIGN BONDS (Cost $52,628,758) 55,910,705 ------------ MUNICIPAL BONDS -- 0.2% California State Department of Water Resources, Series E Revenue Bond (Non- Callable) 3.59%, 05/01/04 975,000 987,363 Missouri Higher Education Loan Authority, Revenue Bond (GTD STD LNS Insured) (Callable 04/01/05 @ $100) 1.45%, 07/25/08++ 1,001,600 1,002,226 ------------ TOTAL MUNICIPAL BONDS (Cost $1,962,618) 1,989,589 ------------ SHARES ----------- SHORT-TERM INVESTMENTS -- 2.4% AB Funds Trust -- Money Market Fund (Affiliated Fund) 17,961,139 17,961,139 Northern Institutional Liquid Assets Portfolio sec. 314,325 314,325 ------------ TOTAL SHORT-TERM INVESTMENTS (Cost $18,275,464) 18,275,464 ------------
SHARES VALUE ----------- ------------ RIGHTS -- 0.0% United Mexican States Recovery Rights Series B 2,700,000 $ 28,350 United Mexican States Recovery Rights Series C 2,700,000 8,100 United Mexican States Recovery Rights Series D 2,700,000 2,295 United Mexican States Recovery Rights Series E 2,700,000 1,620 ------------ TOTAL RIGHTS (Cost $0) 40,365 ------------ PAR ----------- U.S. TREASURY OBLIGATIONS -- 26.0% U.S. Treasury Bills 1.11%, 08/07/03++++ $ 235,000 234,764 0.84%, 12/18/03 7,500,000 7,467,173 ------------ 7,701,937 ------------ U.S. Treasury Bonds 2.00%, 11/30/04 24,895,000 25,198,421 6.75%, 05/15/05 19,825,000 21,839,260 10.38%, 11/15/12 2,125,000 2,831,314 ------------ 49,868,995 ------------ U.S. Treasury Inflationary Index Bond 3.63%, 01/15/08 12,000,000 15,321,637 ------------ U.S. Treasury Notes 2.13%, 08/31/04 5,270,000 5,336,086 1.88%, 09/30/04 8,350,000 8,434,811 2.13%, 10/31/04 1,565,000 1,586,336 5.88%, 11/15/04 13,620,000 14,499,457 1.63%, 01/31/05 9,300,000 9,366,848 1.50%, 02/28/05++++ 12,770,000 12,835,357 1.63%, 03/31/05 2,355,000 2,371,928 1.63%, 04/30/05 5,870,000 5,910,362 5.75%, 11/15/05 9,234,000 10,165,701 5.88%, 11/15/05 8,700,000 9,602,973 5.63%, 02/15/06 5,920,000 6,547,384 2.00%, 05/15/06 9,560,000 9,664,567 3.50%, 11/15/06 3,250,000 3,426,849 4.38%, 05/15/07 10,875,000 11,818,069 3.00%, 11/15/07 3,560,000 3,673,197 3.00%, 02/15/08 920,000 946,989 2.63%, 05/15/08 7,005,000 7,071,225 8.75%, 11/15/08 5,049,000 5,193,568 9.13%, 05/15/09 1,250,000 1,336,426 10.38%, 11/15/09 2,700,000 3,034,233 10.00%, 05/15/10 1,700,000 1,968,947 ------------ 134,791,313 ------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $204,691,920) 207,683,882 ------------ TOTAL INVESTMENTS -- 104.8% (Cost $821,555,181) 836,202,239 ------------
See Notes to Financial Statements. 29 LOW-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
NUMBER OF CONTRACTS VALUE ----------- ------------ WRITTEN OPTIONS -- (0.1)% CALL SWAPTIONS 3-Month LIBOR, Strike Price 4.00, Expires 12/17/03 (Cost $(400,920)) (3,120) $ (714,917) ------------ LIABILITIES IN EXCESS OF OTHER ASSETS -- (4.7%) (37,238,978) ------------ NET ASSETS -- 100.0% $798,248,344 ============
Interest rate swap agreements outstanding at June 30, 2003:
EXPIRATION NOTIONAL UNREALIZED DESCRIPTION DATE VALUE APPRECIATION ----------- ---------- ----------- ------------ BRITISH POUNDS Receive fixed rate payments of 4.25% and pay variable rate payments on the six month LIBOR floating rate(d) 03/17/05 $23,500,000 $238,180 EURODOLLARS Receive fixed rate payments of 4.00% and pay variable rate payments on the six month LIBOR floating rate(b) 03/15/07 15,600,000 229,373 -------- $467,553 ========
See Notes to Financial Statements. 30 MEDIUM-DURATION BOND FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03 - --------------------------------------------------------------------------------
LEHMAN BROTHERS RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* AGGREGATE BOND INDEX** ----------------- -------------------- ------------- ---------------------- One Year 11.69% 11.77% 11.39% 10.40% Since Inception (8/27/01 -- 6/30/03) 8.76% 8.50% 8.43% 8.70%
Past performance is no guarantee of future results, share prices will fluctuate, and you may have a gain or loss when you redeem shares. [LINE GRAPH]
LEHMAN BROTHERS AGGREGATE BOND MED.-DURATION RETIREMENT CLASS INDEX** ------------------------------ ------------------------------ 08/27/01 10000 10000 08/31/01 10051 10056 09/30/01 10123 10173 10/31/01 10364 10386 11/30/01 10223 10243 12/31/01 10149 10177 01/31/02 10253 10259 02/28/02 10387 10359 03/31/02 10223 10187 04/30/02 10422 10384 05/31/02 10479 10472 06/30/02 10453 10563 07/31/02 10466 10690 08/31/02 10685 10871 09/30/02 10774 11047 10/31/02 10752 10996 11/30/02 10833 10994 12/31/02 11079 11221 01/31/03 11165 11231 02/28/03 11316 11386 03/31/03 11313 11377 04/30/03 11462 11471 05/31/03 11672 11685 06/30/03 11675 11662
The graph compares the results of a $10,000 investment in the Retirement Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Lehman Brothers Aggregate Bond Index. *These returns reflect expense waivers by the Fund's investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. **The Lehman Brothers Aggregate Bond Index is composed of investment grade securities from the Lehman Brothers Government/Credit Bond Index, Mortgage-Backed Securities Index, and Asset Backed Securities Index. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. Not Part of the Semi-Annual Report 31 MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2003 PAR VALUE - ------------- ----------- -------------- AGENCY OBLIGATIONS -- 3.6% Federal Home Loan Mortgage Corporation 1.17%, 09/09/03 $10,140,000 $ 10,121,667 4.50%, 07/23/07 3,000,000 3,097,464 Federal National Mortgage Association 1.14%, 09/30/03 7,500,000 7,482,368 1.22%, 10/22/03++++ 1,900,000 1,894,454 3.32%, 09/27/06 2,500,000 2,560,730 Financing Corporation Principle STRIPS 4.94%, 11/30/17 (2) 1,130,000 559,303 5.11%, 04/05/19 (2) 620,000 279,949 Resolution Funding Corporation STRIPS 4.69%, 01/15/17 (2) 5,176,000 2,763,342 -------------- TOTAL AGENCY OBLIGATIONS (Cost $26,935,737) 28,759,277 -------------- ASSET-BACKED SECURITIES -- 5.2% AmeriCredit Automobile Receivables Trust 7.15%, 08/12/04 12,912 12,920 5.96%, 03/12/06 812,358 812,908 Amortizing Residential Collateral Trust 1.32%, 07/25/03++ 734,019 733,446 AQ Finance NIM Trust 1.69%, 12/25/07 144A++ 2,109,634 2,104,360 9.50%, 06/25/32 144A 148,865 148,865 8.74%, 03/25/35 144A 250,000 249,982 Associates Automobile Receivables Trust 6.82%, 02/15/05 60,487 60,738 Bayview Financial Acquisition Trust 1.42%, 07/25/03 144A++ 2,619,986 2,624,538 Bear Stearns Asset Backed Securities, Inc. 5.29%, 06/15/16 182,953 183,138 Capital One Multi-Asset Execution Trust 4.32%, 04/15/09 310,000 307,816 3.73%, 03/15/11++ 200,000 211,094 Chase Funding Net Interest Margin 6.88%, 06/27/36 144A 300,000 299,681 Citibank Credit Card Issuance Trust 2.28%, 08/07/03++ 670,000 668,642 Conseco Finance Securitizations Corporation 6.77%, 09/01/32 2,200,000 2,275,330 2.50%, 02/01/33 IO@ 15,318,000 1,035,803 5.16%, 05/01/33 400,000 406,878
PAR VALUE ----------- -------------- Countrywide Asset-Backed Certificates 6.89%, 08/25/27 $ 517,146 $ 550,850 Countrywide Home Equity Loan Trust 1.44%, 07/15/03++ 637,447 636,545 CS First Boston Mortgage Securities Corporation 1.44%, 07/15/03++ 186,023 186,114 Daimler Chrysler Master Owner Trust 1.24%, 07/15/03++ 910,000 910,537 Embarcadero Aircraft Securitization Trust 1.79%, 08/15/25 144A++ 2,600,000 1,035,887 EQCC Trust 1.34%, 07/25/03++ 1,199,166 1,200,229 Fleet Home Equity Loan Trust 1.31%, 05/30/31++ 1,736,723 1,733,397 Green Tree Home Improvement Loan Trust 1.35%, 07/15/03 STEP++ 401,200 401,186 HFC Home Equity Loan Asset Backed Certificates 1.65%, 07/20/03++ 3,075,304 3,089,165 Long Beach Asset Holdings Corporation 7.26%, 06/15/35 144A 250,000 249,992 Madison Avenue Manufactured Housing Contract 1.39%, 07/25/03++ 2,683,594 2,679,663 Merrill Lynch Mortgage Investors, Inc. 1.36%, 08/25/09++ 477,329 477,301 Metropolitan Asset Funding, Inc. 1.50%, 07/25/03 STEP 144A++ 414,158 414,001 New Century Home Equity Loan Trust 7.22%, 11/25/27 706,104 732,163 Nextcard Credit Card Master Note Trust 1.38%, 07/15/03 144A++ 103,226 86,086 3.59%, 12/15/06 144A++ 910,000 44,078 Novastar NIM Trust 7.50%, 07/01/07 144A 120,543 120,543 Option One Mortgage Securities Corporation NIM Trust 1.33%, 04/26/09 144A++ 1,039,206 1,039,238 8.83%, 06/26/32 144A++ 270,831 270,831 Provident Bank Home Equity Loan Trust 1.31%, 08/25/31++ 1,036,461 1,035,135
See Notes to Financial Statements. 32
PAR VALUE ----------- -------------- Residential Asset Securities Corporation 1.28%, 04/25/28++ $ 171,885 $ 171,949 Residential Funding Mortgage Securities II 8.09%, 03/25/20 1,354,945 1,397,709 7.18%, 12/25/22 455,596 458,909 Salomon Brothers Mortgage Securities VII 1.28%, 07/25/03 STEP++ 193,149 193,036 1.32%, 07/25/03++ 1,172,253 1,172,882 Saxon Asset Securities Trust 7.55%, 10/25/26 418,995 429,216 1.36%, 06/25/33++ 370,376 370,635 Spiegel Credit Card Master Note Trust 1.46%, 03/10/05++ 5,115,571 4,847,403 Structured Asset Securities Corporation 1.49%, 02/25/33++ 2,679,239 2,686,755 SVO Timeshare Mortgage Corporation 5.47%, 10/20/13 144A 766,537 793,098 Xerox Equipment Lease Owner Trust 3.18%, 02/15/08 144A++ 49,505 49,544 -------------- TOTAL ASSET-BACKED SECURITIES (Cost $44,676,686) 41,600,216 -------------- COLLATERALIZED MORTGAGE OBLIGATIONS -- 50.7% ARC Net Asset Margin Trust 7.75%, 01/27/32 144A 172,972 171,243 7.75%, 07/27/32 144A 232,207 229,886 Bear Stearns Adjustable Rate Mortgage Trust 6.33%, 07/01/03++ 498,270 499,500 5.68%, 02/25/33++ 2,289,480 2,329,783 Bear Stearns Mortgage Securities, Inc. 6.00%, 01/28/09 109,717 109,717 6.50%, 10/28/09 209,062 208,909 Chase Mortgage Finance Corporation 6.75%, 11/25/24 1,000,000 1,003,791 Commercial Mortgage Pass- Through Certificates 1.42%, 07/15/03 144A++ 1,079,591 1,078,847 Commerical Mortgage Asset Trust 7.55%, 01/17/10++ 440,000 533,341 Countrywide Funding Corporation 6.63%, 02/25/24 280,000 282,363 Credit-Based Asset Servicing and Securitization 1.33%, 08/25/33++ 1,468,071 1,467,393
PAR VALUE ----------- -------------- CS First Boston Mortgage Securities Corporation 1.63%, 07/15/03 144A++ $ 912,531 $ 911,350 1.39%, 07/25/03++ 47,320 47,314 Deutsche Mortgage and Asset Receiving Corporation 6.54%, 06/15/31 2,900,000 3,275,715 Federal Home Loan Mortgage Corporation 8.00%, 10/01/07 2,662 2,735 7.00%, 11/01/14 516,673 548,804 7.00%, 04/01/15 519,009 551,285 8.00%, 06/01/15 31,623 32,493 7.00%, 12/01/15 355,231 377,433 8.50%, 06/01/16 54,765 59,745 8.50%, 06/01/18 48,083 52,456 6.50%, 02/17/21 1,477,026 1,492,690 0.78%, 04/15/22 PO@ (2) 160,315 157,156 6.79%, 03/15/24 IO++@ 984,775 15,500 8.00%, 08/01/24 36,624 39,645 7.50%, 11/01/29 149,793 159,295 7.50%, 12/01/29 232,602 247,357 6.00%, 07/15/30 2,000,000 2,060,529 7.50%, 02/01/31 329,263 349,945 7.50%, 11/01/31 194,536 206,756 7.00%, 07/01/32 1,000,000 1,048,438 6.50%, 08/01/32 7,000,700 7,285,103 5.00%, 08/13/33 100,000 101,219 Federal Housing Administration 7.43%, 07/01/03 566,633 577,977 Federal National Mortgage Association 1.56%, 07/18/03++ 429,857 432,022 6.50%, 04/26/06 500,000 542,984 6.50%, 03/25/11 3,464,178 3,590,146 5.50%, 09/25/13 3,000,000 3,065,190 8.00%, 06/01/15 266,250 285,719 8.00%, 06/15/15 137,027 147,048 8.00%, 07/01/15 419,459 450,132 8.00%, 09/01/15 378,124 405,775 6.00%, 04/01/16 524,169 547,101 6.00%, 05/01/16 1,165,564 1,216,557 6.00%, 07/01/16 1,642,916 1,714,793 5.50%, 07/19/16 1,100,000 1,142,281 6.00%, 07/19/16 1,000,000 1,043,750 6.00%, 10/01/16 1,529,007 1,595,901 6.00%, 01/01/17 425,932 444,567 6.00%, 04/01/17 123,581 128,988 6.00%, 05/01/17 543,461 567,237 5.50%, 07/01/17 8,999,106 9,347,821 6.00%, 09/01/17 1,811,376 1,890,624 5.50%, 10/01/17 1,161,712 1,206,728 5.50%, 11/01/17 8,253,844 8,573,680 5.50%, 03/01/18 5,082,999 5,279,965 4.50%, 07/15/18 41,500,000 42,329,999
See Notes to Financial Statements. 33 MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ----------- -------------- 5.00%, 07/15/18 $ 600,000 $ 619,688 4.00%, 07/17/18 15,700,000 15,758,875 4.50%, 07/17/18 3,000,000 3,060,000 5.50%, 07/17/18 10,700,000 11,111,281 6.00%, 07/17/18 13,500,000 14,090,626 4.50%, 08/01/18 10,000,000 10,168,750 4.00%, 08/18/18 11,300,000 11,300,000 8.00%, 09/25/19 812,852 825,919 52.03%, 08/25/21 IO@ (2) 1,288 24,556 60.09%, 10/25/21 IO@ (2) 1,841 30,904 2.56%, 10/25/21++ 500,249 500,629 22.41%, 01/25/22++@ 1,028,593 1,241,704 2.86%, 03/25/22++ 1,774,572 1,805,546 9.50%, 05/01/22 26,978 29,996 7.00%, 09/25/22 3,409,000 3,482,906 6.00%, 11/01/22 1,545,331 1,603,764 7.00%, 12/25/22 3,719,000 3,811,356 6.00%, 01/01/23 774,551 807,711 9.50%, 07/01/24 54,638 60,751 6.50%, 06/01/28 15,855 16,534 8.00%, 10/01/30 589,194 635,409 6.12%, 05/01/31++ 639,270 657,403 6.00%, 01/01/32 315,532 328,054 6.00%, 01/01/32 174,491 181,416 6.00%, 03/01/32 2,513,188 2,612,930 8.00%, 03/01/32 65,851 70,769 6.00%, 04/01/32 2,979,140 3,097,376 5.35%, 08/01/32++ 1,811,705 1,875,064 7.00%, 07/01/33 2,400,000 2,527,500 6.50%, 07/14/33 18,000,000 18,770,625 6.00%, 08/13/33 5,000,000 5,192,188 5.00%, 09/15/33 3,000,000 3,023,438 4.30%, 05/01/36++ 1,510,511 1,546,714 FFCA Secured Lending Corporation 1.68%, 07/18/20 IO 144A++ 4,467,784 291,255 Financial Asset Securitization, Inc. 7.25%, 07/25/27 707,475 717,740 First Nationwide Trust 8.50%, 09/25/31 635,670 657,217 First Union Commercial Mortgage Securities, Inc. 7.38%, 04/18/07 6,500,000 7,467,795 First Union National Bank Commercial Mortgage Trust 7.20%, 09/15/10 1,500,000 1,808,623 GE Capital Mortgage Services, Inc. 6.50%, 07/25/29 1,905,557 1,937,939 GMAC Commercial Mortgage Securities, Inc. 6.87%, 08/15/07 600,000 682,964 6.70%, 05/15/30 2,900,000 3,296,910
PAR VALUE ----------- -------------- GMAC Mortgage Corporation Loan Trust 3.25%, 11/25/30++ $ 1,274,682 $ 1,274,682 Government National Mortgage Association 32.06%, 02/08/06++@ 1,068,378 1,392,081 6.50%, 02/15/24 34,751 36,684 7.00%, 10/15/25 159,488 169,257 7.00%, 01/15/26 173,535 183,838 7.00%, 07/15/27 1,164,358 1,232,400 7.00%, 12/15/27 11,394 12,060 7.00%, 01/15/28 109,752 116,097 7.00%, 03/15/28 1,692,086 1,789,910 6.00%, 06/20/28 IO@ 1,918,065 48,652 7.00%, 07/15/28 252,873 267,492 7.50%, 07/15/28 173,493 184,499 6.50%, 08/15/28 263,432 277,015 7.00%, 08/15/28 247,619 261,934 7.50%, 08/15/28 225,491 239,795 6.50%, 09/15/28 706,048 742,453 7.00%, 10/15/28 389,672 412,200 7.50%, 12/15/28 96,258 102,365 6.50%, 02/15/29 43,859 46,106 7.50%, 03/15/29 402,124 427,508 6.50%, 04/15/29 100,713 105,875 6.50%, 05/15/29 35,367 37,180 6.50%, 07/15/29 982,616 1,032,975 7.50%, 11/15/29 525,785 558,975 6.00%, 11/20/29++ 809,661 841,176 7.50%, 02/15/30 190,289 202,242 8.50%, 08/15/30 55,520 59,823 6.50%, 08/20/30 1,442,320 1,468,907 8.50%, 11/20/30 386,150 413,301 6.50%, 02/15/31 47,530 49,907 7.50%, 02/15/31 213,600 226,950 6.50%, 07/15/31 373,884 392,578 6.50%, 08/15/31 49,709 52,195 7.50%, 08/15/31 1,217,363 1,293,449 6.50%, 09/15/31 294,780 309,519 6.50%, 10/15/31 1,426,903 1,498,248 6.50%, 11/15/31 1,466,766 1,540,104 6.50%, 12/15/31 2,459,718 2,582,704 6.00%, 01/15/32 2,428,770 2,547,172 6.50%, 01/15/32 227,546 238,923 6.50%, 02/15/32 992,823 1,042,464 7.50%, 02/15/32 190,087 201,967 6.50%, 03/15/32 53,129 55,785 6.00%, 04/15/32 2,540,661 2,664,518 7.50%, 04/15/32 2,189,277 2,326,107 6.50%, 05/15/32 1,701,427 1,786,499 6.50%, 06/15/32 2,889,595 3,034,075 6.50%, 07/15/32 645,641 677,923 6.00%, 08/01/32 4,630,000 4,844,138 6.50%, 08/15/32 388,675 408,109 6.50%, 09/15/32 932,265 978,878 6.50%, 10/15/32 54,359 57,077
See Notes to Financial Statements. 34
PAR VALUE ----------- -------------- 6.00%, 11/15/32 $ 801,461 $ 840,532 6.50%, 11/15/32 1,783,491 1,872,666 6.00%, 07/01/33 29,800,000 31,215,500 6.50%, 07/01/33 38,650,000 40,537,500 6.50%, 08/20/33 8,000,000 8,357,500 Impac CMB Trust 1.32%, 07/25/31++ 1,165,837 1,168,123 1.32%, 08/25/32++ 2,402,445 2,400,531 Indymac ARM Trust 6.47%, 09/28/31++ 618,059 635,156 LB-UBS Commercial Mortgage Trust 7.95%, 01/15/10 1,400,000 1,741,960 0.99%, 06/15/36 IO 144A++ 5,420,090 308,433 Lehman Brothers Floating Rate Commercial Mortgage Trust 1.37%, 07/17/03 144A++ 526,182 526,110 Lomas & Nettleton Mortgage I 9.50%, 09/01/03 8,394 8,429 Merrill Lynch Mortgage Investors, Inc. 5.32%, 05/25/32++ 818,936 827,368 MLCC Mortgage Investors, Inc. 1.43%, 03/25/28++ 1,361,983 1,362,029 1.45%, 03/25/28++ 486,422 486,736 1.71%, 01/01/49++ 1,000,000 1,000,000 NC Finance Trust 9.00%, 03/01/30 144A 157,090 156,902 Nomura Asset Securities Corporation 7.07%, 04/13/36 700,226 738,032 7.12%, 04/13/36 2,000,000 2,241,028 PNC Mortgage Securities Corporation 1.49%, 07/25/03++ 86,948 87,016 7.50%, 02/25/31 73,090 73,633 Residential Asset Securitization Trust 1.49%, 04/25/33++ 1,691,227 1,696,498 Salomon Brothers Mortgage Securities VII 1.42%, 07/25/03 STEP++ 152,090 152,354 1.90%, 10/25/23 IO++@ 695,084 1,064 2.12%, 06/25/24 IO++@ 472,411 839 Saxon Mortgage Securities Corporation 6.75%, 04/25/24 1,705,353 1,707,655 Sequoia Mortgage Trust 1.48%, 02/20/33++ 1,457,543 1,418,532 Structured Asset Securities Corporation 7.50%, 07/25/16 1,057,638 1,083,342 6.50%, 01/25/32 416,007 419,135 Trizec Hahn Office Properties Trust 1.46%, 07/15/03 144A++ 3,107,730 3,091,426 Washington Mutual 4.51%, 07/01/03++ 900,472 910,937 6.53%, 07/01/03++ 1,398,542 1,403,007 0.37%, 05/25/08 IO@ 5,956,402 39,267 1.01%, 06/25/08 IO++@ 8,100,000 101,153 4.68%, 02/25/33++ 1,013,669 1,037,023 -------------- TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $400,046,352) 403,589,733 --------------
PAR VALUE ----------- -------------- CORPORATE BONDS -- 18.5% Ace Capital Trust II 9.70%, 04/01/30 $ 60,000 $ 81,138 Ace INA Holdings, Inc. 8.20%, 08/15/04 550,000 586,978 8.30%, 08/15/06 550,000 640,390 Adelphia Communications 9.25%, 10/01/04# 250,000 152,500 9.38%, 11/15/09# 250,000 161,250 AES Corporation (The) 10.00%, 07/15/05 144A 116,000 120,930 9.50%, 06/01/09 42,000 42,630 9.38%, 09/15/10 10,000 10,100 AGCO Corporation 9.50%, 05/01/08 67,000 72,695 AK Steel Corporation 7.88%, 02/15/09 190,000 162,450 Allied Waste North America 8.88%, 04/01/08 715,000 779,350 American Airlines, Inc. 10.19%, 05/26/16@ 700,000 290,822 American Axle & Manufacturing, Inc. 9.75%, 03/01/09 133,000 143,640 American Standard, Inc. 7.38%, 02/01/08 170,000 188,700 American Tower Corporation 9.38%, 02/01/09 250,000 252,500 AMFM, Inc. 8.00%, 11/01/08 1,137,000 1,327,448 Anthem Insurance Cos., Inc. 9.13%, 04/01/10 144A 100,000 126,083 Anthem, Inc. 6.80%, 08/01/12 450,000 526,270 AOL Time Warner, Inc. 7.70%, 05/01/32 1,420,000 1,664,064 Apache Corporation 6.25%, 04/15/12 340,000 396,576 Astoria Financial Corporation 5.75%, 10/15/12 144A 450,000 474,590 AT&T Broadband Corporation 8.38%, 03/15/13 650,000 815,774
See Notes to Financial Statements. 35 MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ----------- -------------- AT&T Corporation 8.50%, 11/15/31 $ 320,000 $ 364,107 AT&T Wireless Services, Inc. 7.88%, 03/01/11 250,000 295,780 8.13%, 05/01/12 150,000 181,083 8.75%, 03/01/31 150,000 186,070 Avis Group Holdings, Inc. 11.00%, 05/01/09 161,000 181,125 AXA Financial, Inc. 7.75%, 08/01/10 500,000 609,938 Bank One Corporation 4.13%, 09/01/07 1,100,000 1,165,192 Bear Stearns Cos., Inc. (The) 5.70%, 11/15/14 550,000 610,899 Beazer Homes USA, Inc. 8.38%, 04/15/12 81,000 90,113 BellSouth Capital Funding 7.88%, 02/15/30 460,000 602,544 BellSouth Corporation 6.88%, 10/15/31 10,000 11,819 Boeing Co. (The) 6.63%, 02/15/38 210,000 230,841 Calpine Corporation 7.75%, 04/15/09 96,000 71,520 8.50%, 02/15/11 519,000 391,845 Cendant Corporation 6.88%, 08/15/06 350,000 391,825 CenterPoint Energy Houston Electric LLC 5.70%, 03/15/13 144A 150,000 162,967 Centerpoint Energy Resources Corporation 7.88%, 04/01/13 144A 300,000 345,677 Centerpoint Energy, Inc. 5.88%, 06/01/08 144A 300,000 302,263 Chesapeake Energy Corporation 8.13%, 04/01/11 31,000 33,558 Chrysler Corporation 7.45%, 02/01/49 320,000 324,983 Citigroup, Inc. 5.00%, 03/06/07 2,200,000 2,395,883 7.25%, 10/01/10 500,000 606,689 Citizens Communications Co. 9.00%, 08/15/31 300,000 405,708 Cleveland Electric Illuminating Co. (The) 7.88%, 11/01/17 2,050,000 2,582,593 CMS Panhandle Holding Co. 6.13%, 03/15/04 720,000 738,900 7.00%, 07/15/29 900,000 951,750 CNA Financial Corporation 6.50%, 04/15/05 125,000 130,612 6.75%, 11/15/06 130,000 135,960 Comcast Cable Communications 8.38%, 05/01/07 650,000 767,789 6.75%, 01/30/11 740,000 850,965
PAR VALUE ----------- -------------- Commonwealth Edison Co. 1.73%, 09/30/03 144A++ $ 500,000 $ 499,393 Conoco, Inc. 6.95%, 04/15/29 970,000 1,170,892 ConocoPhillips 8.75%, 05/25/10 1,375,000 1,792,061 Continental Airlines, Inc. 6.70%, 06/15/21 446,955 433,271 Countrywide Home Loans, Inc. 5.50%, 08/01/06 1,150,000 1,257,800 5.63%, 05/15/07 300,000 330,702 3.25%, 05/21/08 200,000 201,191 Cox Communications, Inc. 4.63%, 06/01/13 170,000 170,663 Credit Suisse First Boston USA, Inc. 4.63%, 01/15/08 600,000 641,381 6.13%, 11/15/11 710,000 796,687 CRH America, Inc. 6.95%, 03/15/12 200,000 233,759 CSC Holdings, Inc. 7.63%, 04/01/11 30,000 30,450 7.63%, 07/15/18 30,000 30,075 DaimlerChrysler NA Holding Corporation 7.30%, 01/15/12 760,000 858,507 Delta Air Lines, Inc. 6.42%, 07/02/12 400,000 432,762 6.72%, 01/02/23 792,305 858,583 Devon Energy Corporation 7.95%, 04/15/32 60,000 77,484 Devon Financing Corporation 6.88%, 09/30/11 10,000 11,749 Dominion Resources, Inc. 4.13%, 02/15/08 70,000 73,357 5.13%, 12/15/09 230,000 248,307 5.70%, 09/17/12 310,000 340,952 Dryden Investor Trust 7.16%, 07/23/08 144A 1,906,161 2,052,364 Dynegy Holdings, Inc. 8.75%, 02/15/12 1,030,000 963,050 Echostar DBS Corporation 9.13%, 01/15/09 146,000 163,885 9.38%, 02/01/09 53,000 56,776 El Paso CGP Co. 7.75%, 06/15/10 1,000,000 937,499 El Paso Corporation 4.67%, 02/28/21 CONV (2) 2,750,000 1,216,875 8.05%, 10/15/30 600,000 522,000 7.80%, 08/01/31 1,150,000 974,624 7.75%, 01/15/32 1,100,000 932,250
See Notes to Financial Statements. 36
PAR VALUE ----------- -------------- El Paso Natural Gas Co. 8.38%, 06/15/32 144A $ 210,000 $ 223,650 Entergy Mississippi, Inc. 1.96%, 08/01/03++ 2,100,000 2,099,999 EOP Operating LP 7.75%, 11/15/07 100,000 117,235 Firstar Bank NA 7.13%, 12/01/09 170,000 205,781 FirstEnergy Corporation 6.45%, 11/15/11 270,000 296,868 7.38%, 11/15/31 430,000 483,446 Fisher Scientific International 7.13%, 12/15/05 500,000 525,000 Ford Motor Co. 6.63%, 10/01/28 550,000 458,918 7.45%, 07/16/31 850,000 780,815 8.90%, 01/15/32 770,000 785,686 7.70%, 05/15/49 2,020,000 1,820,006 Ford Motor Credit Co. 7.38%, 10/28/09 100,000 104,990 7.88%, 06/15/10 590,000 633,097 7.38%, 02/01/11 320,000 331,317 7.25%, 10/25/11 1,100,000 1,132,637 Forest Oil Corporation 7.75%, 05/01/14 115,000 120,175 Fort James Corporation 4.75%, 06/29/04(E) 500,000 571,301 Fred Meyer, Inc. Holding Co. 7.45%, 03/01/08 150,000 174,953 Fresenius Medical Care Capital Trust II 7.88%, 02/01/08 170,000 179,350 General Electric Capital Corporation 6.00%, 06/15/12 1,010,000 1,142,064 6.75%, 03/15/32 1,700,000 1,995,110 General Electric Co. 5.00%, 02/01/13 90,000 95,244 General Motors Acceptance Corporation 1.60%, 07/21/03++ 1,600,000 1,599,921 7.25%, 03/02/11 310,000 318,557 General Motors Corporation 7.13%, 07/15/13 60,000 59,764 8.25%, 07/15/23 140,000 139,584 8.38%, 07/15/33 830,000 818,571 Georgia Gulf Corporation 10.38%, 11/01/07 123,000 131,303 Georgia-Pacific Corporation 8.13%, 05/15/11 8,000 8,260 9.50%, 12/01/11 46,000 50,888 8.88%, 05/15/31 14,000 13,790 Greenpoint Financial Corporation 3.20%, 06/06/08 144A 350,000 347,737
PAR VALUE ----------- -------------- Hasbro, Inc. 5.60%, 11/01/05 $ 173,000 $ 178,406 HCA, Inc. 6.87%, 09/15/03 250,000 252,022 6.30%, 10/01/12 750,000 768,105 Hitachi Credit America Corporation 1.55%, 07/15/03 144A++ 1,000,000 1,000,553 Host Marriot Corporation 7.88%, 08/01/05 217,000 221,883 Host Marriott LP 9.50%, 01/15/07 500,000 540,000 9.25%, 10/01/07 32,000 34,560 Household Finance Corporation 5.75%, 01/30/07 590,000 651,677 8.00%, 07/15/10 780,000 968,964 7.00%, 05/15/12 690,000 818,108 6.38%, 11/27/12 310,000 353,766 Huntsman International LLC 10.13%, 07/01/09 250,000 241,250 IMC Global, Inc. 10.88%, 06/01/08 119,000 124,355 Indiana Michigan Power Co. 6.88%, 07/01/04 2,000,000 2,109,314 Insight Midwest LP/Insight Capital, Inc. 10.50%, 11/01/10 179,000 197,348 Intelsat, Ltd. 7.63%, 04/15/12 144A 300,000 340,433 International Lease Finance Corporation 4.50%, 05/01/08 75,000 78,635 J.P. Morgan Chase & Co. 6.63%, 03/15/12 670,000 774,265 5.75%, 01/02/13 390,000 427,168 JPM Capital Trust II 7.95%, 02/01/27 700,000 808,718 Kansas City Southern Railway 9.50%, 10/01/08 99,000 110,509 Kellogg Co. 6.60%, 04/01/11 500,000 587,275 Kern River Funding Corporation 4.89%, 04/30/18 144A 300,000 309,653 Kraft Foods, Inc. 4.63%, 11/01/06 100,000 106,290 5.63%, 11/01/11 300,000 327,449 Kroger Co. 7.25%, 06/01/09 300,000 350,794 5.50%, 02/01/13 200,000 211,506 Lear Corporation 7.96%, 05/15/05 176,000 188,320
See Notes to Financial Statements. 37 MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ----------- -------------- Lehman Brothers Holdings, Inc. 6.13%, 07/15/03 $ 290,000 $ 290,479 6.63%, 04/01/04 550,000 571,842 8.25%, 06/15/07 100,000 119,519 4.00%, 01/22/08 70,000 73,030 Liberty Media Corporation 3.75%, 02/15/30 CONV 400,000 250,000 Liberty Property Trust 6.38%, 08/15/12 450,000 503,521 Lockheed Martin Corporation 8.50%, 12/01/29 220,000 299,959 Lyondell Chemical Co. 9.88%, 05/01/07 500,000 492,500 MacDermid, Inc. 9.13%, 07/15/11 111,000 124,598 Manor Care, Inc. 8.00%, 03/01/08 153,000 172,890 MeadWestvaco Corporation 6.85%, 04/01/12 490,000 566,587 Mediacom LLC/Mediacom Capital Corporation 9.50%, 01/15/13 500,000 531,250 Mirant Americas Generation, Inc. 8.30%, 05/01/11 500,000 312,500 Moore North America Finance, Inc. 7.88%, 01/15/11 144A 30,000 31,425 Morgan Stanley 6.75%, 04/15/11 150,000 175,724 6.60%, 04/01/12 400,000 462,939 5.30%, 03/01/13 400,000 425,944 Nabisco, Inc. 7.05%, 07/15/07 200,000 228,794 7.55%, 06/15/15 1,530,000 1,947,020 News America Holdings 8.88%, 04/26/23 1,900,000 2,435,275 Nextel Communications, Inc. 9.38%, 11/15/09 359,000 387,271 9.50%, 02/01/11 160,000 178,000 Niagara Mohawk Power Corporation 8.00%, 06/01/04 500,000 528,593 7.75%, 10/01/08 1,340,000 1,607,542 Nisource Finance 6.15%, 03/01/13 75,000 80,654 Nortek Holdings, Inc. 9.25%, 03/15/07 605,000 626,175 8.88%, 08/01/08 490,000 513,888 Northwest Airlines Corporation 7.58%, 03/01/19 808,041 820,917 Ocean Energy, Inc. 8.38%, 07/01/08 132,000 138,435 Omnicare, Inc. 8.13%, 03/15/11 239,000 260,510
PAR VALUE ----------- -------------- Oncor Electric Delivery Co. 6.38%, 01/15/15 144A $ 140,000 $ 159,152 Packaging Corporation of America, Inc. 9.63%, 04/01/09 154,000 170,363 Peabody Energy Corporation 6.88%, 03/15/13 144A 165,000 173,663 Pemex Project Funding Master Trust 9.13%, 10/13/10 1,500,000 1,818,749 Penney (JC) Co., Inc. 8.00%, 03/01/10 194,000 204,185 Pepsi Bottling Group, Inc. 7.00%, 03/01/29 910,000 1,111,567 PHH Corporation 7.13%, 03/01/13 600,000 682,389 Phillips Petroleum Co. 7.00%, 03/30/29 345,000 418,770 Pioneer Natural Resources Co. 7.50%, 04/15/12 133,000 152,616 Popular North America, Inc. 6.13%, 10/15/06 600,000 668,400 PPL Electric Utilities Corporation 4.30%, 06/01/13 500,000 495,826 Premium Asset Trust 1.67%, 08/27/03 144A++ 3,000,000 3,010,365 Prudential Funding LLC 6.60%, 05/15/08 144A 600,000 694,231 Public Service Co. of Colorado 7.88%, 10/01/12 300,000 378,342 PVNGS II Funding Corporation, Inc. 8.00%, 12/30/15 1,800,000 2,173,384 Qwest Capital Funding, Inc. 7.25%, 02/15/11 500,000 412,500 Qwest Corporation 8.88%, 03/15/12 144A 1,200,000 1,347,000 7.50%, 06/15/23 500,000 482,500 6.88%, 09/15/33 250,000 231,250 Raytheon Co. 5.38%, 04/01/13 350,000 370,941 Ryland Group, Inc. 9.75%, 09/01/10 136,000 157,080 Safeco Corporation 4.88%, 02/01/10 275,000 291,146 Safeway, Inc. 4.80%, 07/16/07 700,000 732,723 Sara Lee Corporation 6.25%, 09/15/11 970,000 1,124,459 Schuler Homes, Inc. 9.38%, 07/15/09 38,000 43,130 Simon Property Group LP 7.38%, 01/20/06 900,000 1,011,507 Sonat, Inc. 7.63%, 07/15/11 460,000 420,900
See Notes to Financial Statements. 38
PAR VALUE ----------- -------------- Southern California Edison Co. 6.38%, 01/15/06 $ 500,000 $ 511,875 Southern Natural Gas Co. 8.00%, 03/01/32 400,000 434,500 Sovereign Bank 5.13%, 03/15/13 300,000 310,529 Spieker Properties LP 7.65%, 12/15/10 150,000 174,604 Sprint Capital Corporation 6.00%, 01/15/07 140,000 150,595 6.13%, 11/15/08 460,000 499,938 7.63%, 01/30/11 400,000 457,382 8.38%, 03/15/12 610,000 731,768 6.90%, 05/01/19 280,000 294,141 6.88%, 11/15/28 550,000 553,763 8.75%, 03/15/32 750,000 900,944 System Energy Rescouces, Inc. 7.43%, 01/15/11 1,164,449 1,216,769 Systems 2001 Asset Trust LLC 6.66%, 09/15/13 144A 1,134,240 1,276,905 Target Corporation 5.88%, 03/01/12 560,000 633,930 TCI Communications Financing III 9.65%, 03/31/27 2,610,000 3,118,950 Teco Energy Inc. 10.50%, 12/01/07 144A 200,000 229,250 Tennessee Valley Authority 6.75%, 11/01/25 1,420,000 1,763,595 7.13%, 05/01/30 3,360,000 4,397,812 Terex Corporation 8.88%, 04/01/08 157,000 164,065 Time Warner Entertainment Co. LP 8.38%, 03/15/23 300,000 379,327 8.38%, 07/15/33 970,000 1,259,591 Triton PCS, Inc. 8.75%, 11/15/11 500,000 501,250 TXU Energy Co. 7.00%, 03/15/13 144A 250,000 277,277 Tyson Foods, Inc. 7.25%, 10/01/06 144A 50,000 55,878 8.25%, 10/01/11 700,000 830,094 Unilever Capital Corporation 7.13%, 11/01/10 760,000 922,421 Union Pacific Corporation 6.65%, 01/15/11 260,000 302,650 6.63%, 02/01/29 200,000 226,459 Unisys Corporation 6.88%, 03/15/10 128,000 133,760 United Air Lines, Inc. 9.21%, 01/21/17@ 200,000 55,886 9.56%, 10/19/18@ 300,000 107,460 United Telephone of Kansas 6.89%, 07/01/08@ 500,000 418,080 Ventas Realty LP/Ventas Capital Corporation 8.75%, 05/01/09 50,000 54,250 9.00%, 05/01/12 20,000 21,900 Verizon Global Funding Corporation 7.25%, 12/01/10 700,000 842,144 6.88%, 06/15/12 160,000 189,291 4.38%, 06/01/13 390,000 389,831 7.75%, 12/01/30 50,000 63,570 Verizon New York, Inc. 6.88%, 04/01/12 700,000 825,686 Vintage Petroleum, Inc. 8.25%, 05/01/12 250,000 276,250 Wal-Mart Stores, Inc. 7.55%, 02/15/30 1,200,000 1,590,092 Washington Mutual, Inc. 8.25%, 04/01/10 1,500,000 1,891,793 Waste Management, Inc. 7.38%, 08/01/10 400,000 480,652 7.75%, 05/15/32 1,200,000 1,508,874 Wells Fargo & Co. 5.00%, 11/15/14 900,000 955,601 Wells Fargo Bank NA 6.45%, 02/01/11 1,260,000 1,487,855 Westport Resources Corporation 8.25%, 11/01/11 144A 40,000 44,000 Weyerhaeuser Co. 6.75%, 03/15/12 144A 990,000 1,128,000 7.38%, 03/15/32 700,000 807,261 Williams Cos., Inc. 7.50%, 01/15/31 1,020,000 969,000 7.75%, 06/15/31 200,000 194,000 8.75%, 03/15/32 144A 1,130,000 1,180,850 WorldCom, Inc.-WorldCom Group 7.50%, 05/15/11# 554,000 164,815 8.25%, 05/15/31# 705,000 209,738 XTO Energy, Inc. 7.50%, 04/15/12 83,000 94,620 6.25%, 04/15/13 144A 130,000 138,775 --------------
PAR VALUE ----------- -------------- TOTAL CORPORATE BONDS (Cost $135,170,251) $ 147,189,783 -------------- FOREIGN BONDS -- 17.0% AUSTRALIA -- 0.0% QBE Insurance Group, Ltd. 5.65%, 07/01/23 STEP 144A++ $ 200,000 194,749 -------------- BAHAMAS -- 0.0% Teekay Shipping Corporation 8.88%, 07/15/11 313,000 344,691 --------------
See Notes to Financial Statements. 39 MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ----------- -------------- BERMUDA -- 0.5% Tyco International Group SA 1.75%, 07/30/03++ $ 110,000 $ 109,883 5.80%, 08/01/06 800,000 830,000 6.13%, 11/01/08 90,000 94,500 6.75%, 02/15/11 1,000,000 1,065,000 6.38%, 10/15/11 1,520,000 1,611,200 6.88%, 01/15/29 100,000 101,100 -------------- 3,811,683 -------------- BRAZIL -- 0.9% Federal Republic of Brazil 8.00%, 10/15/03 997,442 880,243 3.06%, 04/15/06 1,584,000 1,499,850 2.19%, 04/15/09++ 221,539 187,339 14.50%, 10/15/09 250,000 290,000 12.00%, 04/15/10 520,000 541,580 2.19%, 04/15/12++ 450,000 340,031 2.19%, 04/15/12 570,000 430,706 8.00%, 04/15/14 2,351,993 2,073,208 11.00%, 08/17/40 675,000 617,625 -------------- 6,860,582 -------------- BULGARIA -- 0.1% Republic of Bulgaria 2.19%, 07/28/11++ 643,200 611,040 8.25%, 01/15/15 144A 260,000 306,800 -------------- 917,840 -------------- CANADA -- 1.3% Abitibi-Consolidated, Inc. 8.55%, 08/01/10 32,000 35,903 Alliance Atlantis Communications, Inc. 13.00%, 12/15/09 74,000 84,730 Anderson Exploration, Ltd. 6.75%, 03/15/11 50,000 57,982 Biovail Corporation 7.88%, 04/01/10 110,000 117,150 Bombardier Capital Funding LP 6.13%, 05/14/07(E) 250,000 284,453 Canadian Government 4.50%, 09/01/07(C) 3,900,000 2,975,050 5.75%, 06/01/29(C) 1,464,000 1,179,281 Conoco Funding Co. 7.25%, 10/15/31 315,000 397,072 General Motors Nova Scotia Finance Co. 6.85%, 10/15/08 1,670,000 1,755,743 Hydro Quebec 6.30%, 05/11/11 860,000 1,013,742 Province of Ontario 6.50%, 03/08/29(C) 743,000 622,944 Province of Quebec 7.13%, 02/09/24 830,000 1,045,558 7.50%, 09/15/29 702,000 939,338 Western Oil Sands, Inc. 8.38%, 05/01/12 135,000 151,200 -------------- 10,660,146 -------------- CAYMAN ISLANDS -- 0.7% Alpine Partners LP 1.73%, 07/08/03 144A++ 3,050,190 3,034,939 G-Wing, Ltd. 3.96%, 11/06/11 144A++ 1,297,346 1,273,371 PDVSA Finance, Ltd. 8.50%, 11/16/12 730,000 669,775 PRIME Capital Hurricane, Ltd. 7.78%, 07/07/03 144A++ 290,000 289,991 -------------- 5,268,076 --------------
PAR VALUE ----------- -------------- COLOMBIA -- 0.1% Republic of Colombia 11.75%, 02/25/20 $ 865,000 $ 1,079,088 -------------- DOMINICAN REPUBLIC -- 0.1% Dominican Republic 9.50%, 09/27/06 830,000 790,631 9.04%, 01/23/13 144A 400,000 363,000 -------------- 1,153,631 -------------- FRANCE -- 0.1% Compagnie Generale de Geophysique SA 10.63%, 11/15/07 79,000 81,370 France Telecom 9.25%, 03/01/11 450,000 567,340 -------------- 648,710 -------------- GERMANY -- 8.6% Deutsche Bundesrepublik 3.75%, 01/04/09(E) 6,000,000 7,116,610 5.38%, 01/04/10(E) 3,800,000 4,880,352 5.25%, 01/04/11(E) 8,500,000 10,864,416 5.00%, 07/04/11(E) 14,000,000 17,621,845 5.00%, 01/04/12(E) 5,455,000 6,861,203 5.63%, 01/04/28(E) 1,500,000 1,954,954 6.25%, 01/04/30(E) 6,400,000 9,014,525 5.50%, 01/04/31(E) 7,800,000 9,995,540 -------------- 68,309,445 -------------- MALAYSIA -- 0.1% Petronas Capital, Ltd. 7.88%, 05/22/22 144A 430,000 511,695 -------------- MEXICO -- 1.3% Mexican Bonos 10.50%, 07/14/11(M) 6,900,000 760,149 United Mexican States 8.38%, 01/14/11 500,000 600,250 7.50%, 01/14/12 750,000 859,688 6.38%, 01/16/13 350,000 371,875
See Notes to Financial Statements. 40
PAR VALUE ----------- -------------- 11.38%, 09/15/16 $ 730,000 $ 1,063,975 11.50%, 05/15/26 4,605,000 6,877,568 -------------- 10,533,505 -------------- NETHERLANDS -- 0.4% Aegon NV 4.75%, 06/01/13 500,000 506,846 Deutsche Telekom International Finance BV 8.75%, 06/15/30 1,200,000 1,534,400 Royal KPN NV 8.00%, 10/01/10 200,000 248,017 Scotland International Finance No. 2 BV 4.25%, 05/23/13 144A 500,000 499,181 -------------- 2,788,444 -------------- PANAMA -- 0.5% Republic of Panama 2.75%, 07/17/03++ 572,715 460,678 8.25%, 04/22/08 1,300,000 1,447,875 9.63%, 08/08/11 543,000 631,238 10.75%, 05/15/20 517,000 644,958 9.38%, 01/16/23 420,000 469,350 -------------- 3,654,099 -------------- PERU -- 0.2% Republic of Peru 5.00%, 09/07/03 144A++ 633,600 540,144 4.50%, 09/08/03++ 530,000 417,044 4.50%, 03/07/17++ 297,600 254,262 -------------- 1,211,450 -------------- PHILIPPINES -- 0.0% Republic of Philippines 9.88%, 01/15/19 195,000 215,719 10.63%, 03/16/25 50,000 58,313 -------------- 274,032 -------------- POLAND -- 0.3% Republic of Poland 8.50%, 05/12/07(P) 3,850,000 1,109,796 5.75%, 06/24/08(P) 3,850,000 1,028,668 -------------- 2,138,464 -------------- QATAR -- 0.0% State of Qatar 9.75%, 06/15/30 240,000 337,048 --------------
PAR VALUE ----------- -------------- RUSSIA -- 0.2% Ministry Finance of Russia 3.00%, 05/14/08 $ 330,000 $ 301,369 Russian Federation 8.25%, 03/31/10 70,000 81,025 5.00%, 03/31/30 STEP++ 1,290,000 1,254,524 -------------- 1,636,918 -------------- SINGAPORE -- 0.0% Flextronics International, Ltd. 9.88%, 07/01/10 149,000 163,900 -------------- SOUTH AFRICA -- 0.6% Republic of South Africa 13.00%, 08/31/10 23,580,000 3,779,310 7.38%, 04/25/12 750,000 862,500 -------------- 4,641,810 -------------- SOUTH KOREA -- 0.1% Korea Asset Funding, Ltd. 3.35%, 08/11/03 144A++ 182,946 182,946 Republic of Korea 8.88%, 04/15/08 670,000 837,232 -------------- 1,020,178 -------------- UNITED KINGDOM -- 0.9% Abbey National PLC 7.95%, 10/26/29 450,000 602,551 BP Capital Markets PLC 4.63%, 05/27/05 1,670,000 1,768,545 British Telecommunications PLC 8.38%, 12/15/10 300,000 380,063 8.88%, 12/15/30 2,070,000 2,835,167 HSBC Capital Funding LP 4.61%, 12/29/49 144A++ 990,000 973,983 Standard Chartered Bank 8.00%, 05/30/31 144A 350,000 446,221 Telewest Communications PLC 9.88%, 02/01/10# 145,000 53,288 XL Capital Europe PLC 6.50%, 01/15/12 370,000 423,862 -------------- 7,483,680 -------------- VENEZUELA -- 0.0% Petrozuata Finance, Inc. 8.22%, 04/01/17 144A 140,000 122,500 -------------- TOTAL FOREIGN BONDS (Cost $121,916,629) 135,766,364 -------------- MUNICIPAL BONDS -- 1.8% California State, Series A Revenue Anticipation Warrants (Non-Callable) 2.00%, 06/16/04 2,300,000 2,318,998 Florida State Board of Education, Series A General Obligation Bond (Callable 06/01/12 @ $101) 5.00%, 06/01/32 1,200,000 1,260,240
See Notes to Financial Statements. 41 MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ----------- -------------- Las Vegas Valley, Nevada Water District, Series A General Obligation Bond (FGIC Insured) (Callable 12/01/12 @ $100) 5.00%, 06/01/32 $ 1,000,000 $ 1,044,220 Massachusetts State Special Obligation, Series A Revenue Bond (FGIC Insured) (Callable 06/01/12 @ $100) 5.00%, 06/01/21 2,945,000 3,127,531 Massachusetts State Water Resources Authority, Series J Revenue Bond (FSA Insured) (Callable 08/01/12 @ $100) 5.00%, 08/01/32 1,250,000 1,306,538 Minnesota State, General Obligation Bond (Callable 10/01/11 @ $100) 5.00%, 10/01/20 200,000 212,904 New York State, Urban Development Corporation, Series A Revenue Bond (Callable 03/15/12 @ $100) 5.13%, 03/15/22 1,500,000 1,588,935 South Carolina, Transportation Infrastructure Bank, Series A Revenue Bond (AMBAC Insured) (Callable 10/01/11 @ $100) 5.00%, 10/01/23 2,700,000 2,854,818 Virginia State Housing Development Authority, Commonwealth Mortgage, Series H Revenue Bond (MBIA Insured) (Callable 07/01/11 @ $100) 5.38%, 07/01/36 1,000,000 1,039,150 -------------- TOTAL MUNICIPAL BONDS (Cost $13,990,374) 14,753,334 -------------- NUMBER OF CONTRACTS ----------- OPTIONS -- 0.0% CALL OPTIONS -- 0.0% 3-Month EURIBOR, Strike Price 94.50, Expires 09/15/03 14 22,856 -------------- PUT OPTIONS -- 0.0% 90-Day Eurodollar Futures, Strike Price 94.75, Expires 03/15/03 104 0 10-Year U.S. Treasury Note Futures, Strike Price 100.00, Expires 08/23/03 282 4,406 10-Year U.S. Treasury Note Futures, Strike Price 104.00, Expires 08/23/03 400 6,250 Deutsche Bundesrepublik Eurodollar, Strike Price 96.00, Expires 09/01/03 1,400 0 Euro-Bund Futures, Strike Price 108.00, Expires 08/22/03 45 517 Euro-Bund Futures, Strike Price 110.00, Expires 08/22/03 50 1,148 Federal National Mortgage Association TBA Eurodollar, Strike Price 91.00, Expires 11/06/03 1,850 2,168 Federal National Mortgage Association TBA Eurodollar, Strike Price 94.00, Expires 10/08/03 500 586 Federal National Mortgage Association TBA Eurodollar, Strike Price 96.00, Expires 10/08/03 600 703 -------------- 15,778 --------------
NUMBER OF CONTRACTS VALUE ----------- -------------- TOTAL OPTIONS (Cost $20,856) $ 38,634 -------------- SHARES ----------- SHORT-TERM INVESTMENTS -- 24.0% AB Funds Trust -- Money Market Fund (Affiliated Fund) 103,976,413 103,976,413 Northern Institutional Liquid Assets Portfolio sec. 87,295,263 87,295,263 -------------- TOTAL SHORT-TERM INVESTMENTS (Cost $191,271,676) 191,271,676 -------------- RIGHTS -- 0.0% United Mexican States Recovery Rights Series B 1,100,000 11,550 United Mexican States Recovery Rights Series C 1,100,000 3,300
See Notes to Financial Statements. 42
SHARES VALUE ----------- -------------- United Mexican States Recovery Rights Series D 1,100,000 $ 935 United Mexican States Recovery Rights Series E 1,100,000 660 -------------- TOTAL RIGHTS (Cost $0) 16,445 -------------- PAR ----------- U.S. TREASURY OBLIGATIONS -- 19.8% U.S. Treasury Bills 1.10%, 08/07/03 $ 10,000 9,990 1.11%, 08/07/03++++ 80,000 79,920 1.02%, 08/14/03++++ 120,000 119,886 1.04%, 08/14/03 470,000 469,555 1.07%, 08/14/03 30,000 29,972 1.08%, 08/14/03++++ 160,000 159,848 -------------- 869,171 -------------- U.S. Treasury Bonds 6.50%, 02/15/10 400,000 485,391 7.25%, 05/15/16 3,500,000 4,655,823 7.50%, 11/15/16 11,050,000 15,003,403 8.88%, 08/15/17 10,500,000 15,887,813 9.00%, 11/15/18 700,000 1,080,926 7.88%, 02/15/21 7,900,000 11,280,955 8.13%, 05/15/21 8,300,000 12,123,519 6.25%, 08/15/23 7,200,000 8,821,692 5.50%, 08/15/28 2,050,000 2,306,652 5.38%, 02/15/31 400,000 450,547 -------------- 72,096,721 -------------- U.S. Treasury Inflationary Index Bonds 3.38%, 01/15/07++++ 16,050,000 20,453,891 3.63%, 01/15/08 3,750,000 4,788,011 3.63%, 04/15/28 2,100,000 2,909,772 3.88%, 04/15/29 11,488,000 16,391,526 -------------- 44,543,200 -------------- U.S. Treasury Notes 1.63%, 01/31/05 7,200,000 7,251,754 1.25%, 05/31/05 7,000,000 6,998,089 -------------- 14,249,843 -------------- U.S. Treasury STRIPS 4.03%, 02/15/14 (2) $ 6,400,000 4,189,068 4.44%, 11/15/16 (2) 900,000 500,278 4.84%, 05/15/20 (2) 17,600,000 7,853,876 4.93%, 11/15/21 (2) 5,600,000 2,288,737 4.97%, 02/15/23 (2) 2,800,000 1,068,564 5.07%, 11/15/24 (2) 2,500,000 857,465 5.02%, 11/15/24 (2) 4,850,000 1,680,913 5.08%, 08/15/25 (2) 600,000 197,780 5.03%, 08/15/25 (2) 3,000,000 999,627 5.10%, 05/15/26 (2) 1,500,000 474,074 5.05%, 11/15/26 (2) 1,500,000 467,583 5.11%, 11/15/26 (2) 3,600,000 1,106,957 5.04%, 11/15/27 (2) 13,330,000 3,962,516 -------------- 25,647,438 -------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $154,317,846) 157,406,373 --------------
PAR VALUE ----------- -------------- TOTAL INVESTMENTS -- 140.6% (Cost $1,008,346,407) $1,120,391,835 -------------- NUMBER OF CONTRACTS ----------- WRITTEN OPTIONS -- (0.3)% CALL SWAPTIONS -- (0.3)% 3-Month LIBOR, Strike Price 3.00, Expires 11/12/03 (840) (113,786) 3-Month LIBOR, Strike Price 3.25, Expires 03/03/04 (550) (107,393) 3-Month LIBOR, Strike Price 4.00, Expires 03/03/04 (670) (164,512) 3-Month LIBOR, Strike Price 5.50, Expires 01/07/05 (900) (833,643) 3-Month LIBOR, Strike Price 5.97, Expires 10/04/04 (890) (1,093,739) 3-Month LIBOR, Strike Price 6.00, Expires 10/19/04 (520) (341,851) -------------- (2,654,924) -------------- PUT SWAPTIONS -- 0.0% 3-Month LIBOR, Strike Price 5.97, Expires 10/04/04 (890) (68,574) 3-Month LIBOR, Strike Price 7.00, Expires 01/07/05 (900) (46,944) U.S. Treasury Bond Futures, Strike Price 120.00, Expires 08/23/03 (88) (85,161) -------------- (200,679) -------------- TOTAL WRITTEN OPTIONS (Cost $(1,845,041)) (2,855,603) -------------- LIABILITIES IN EXCESS OF OTHER ASSETS -- (40.3%) (321,157,318) -------------- NET ASSETS -- 100.0% $ 796,378,914 ==============
See Notes to Financial Statements. 43 MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED Interest rate swap agreements outstanding at June 30, 2003:
UNREALIZED EXPIRATION APPRECIATION/ DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION) - ----------- ---------- -------------- --------------- BRITISH POUNDS Receive fixed rate payments of 5.25% and pay variable rate payments on the six month LIBOR floating rate(a) 03/15/04 $ 6,700,000 $ 137,615 Receive fixed rate payments of 5.25% and pay variable rate payments on the six month LIBOR floating rate(b) 03/15/04 15,000,000 305,619 Receive fixed rate payments of 4.25% and pay variable rate payments on the six month LIBOR floating rate(d) 03/16/05 6,200,000 62,839 Receive fixed rate payments of 4.25% and pay variable rate payments on the six month LIBOR floating rate(h) 03/17/05 59,900,000 591,982 Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 5.00%(a) 03/20/18 5,600,000 41,020 --------------- 1,139,076 --------------- EURODOLLARS Receive fixed rate payments of 4.50% and pay variable rate payments on the six month LIBOR floating rate(h) 06/18/07 13,700,000 990,427 Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 5.00%(f) 06/17/12 10,900,000 (1,151,223) Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 5.50%(e) 12/15/31 7,000,000 (957,960) Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 5.00%(g) 06/17/12 22,200,000 (2,344,764) --------------- (3,463,520) --------------- JAPANESE YEN Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 0.238%(d) 05/17/04 2,660,000,000 (28,422) ---------------
UNREALIZED EXPIRATION APPRECIATION/ DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION) ----------- ---------- -------------- --------------- SWISS FRANCS Receive fixed rate payments of 4.00% and pay variable rate payments on the three month Swiss Franc STIBOR floating rate(g) 03/29/05 $ 10,700,000 $ 42,562 --------------- U.S. DOLLARS Receive fixed rate payments of 6.00% and pay variable rate payments on the three month LIBOR floating rate(d) 06/17/05 20,000,000 1,733,760 Receive fixed rate payments of 4.00% and pay variable rate payments on the three month LIBOR floating rate(h) 06/18/05 8,800,000 424,688 Receive fixed rate payments of 1.40% and pay floating par in event of default on Republic of Peru, 9.125% due 02/21/12(a) 12/13/03 500,000 (926) Receive fixed rate payments of 1.30% and pay floating par in event of default on United Mexican States, 11.50% due 05/15/26(a) 01/27/05 1,000,000 10,510 Receive fixed rate payments of 4.80% and pay floating par in event of default on AOL Time Warner, Inc., 0.00% due 12/06/19(c) 12/06/04 2,200,000 114,683 Receive variable rate payments on the three month LIBOR floating rate and pay fixed rate payments of 4.00%(a) 12/17/13 500,000 4,187 Receive variable rate payments on the three month LIBOR floating rate and pay fixed rate payments of 4.00%(e) 12/17/08 6,300,000 (269,155) Receive variable rate payments on the three month LIBOR floating rate and pay fixed rate payments of 5.00%(h) 12/17/23 19,100,000 (386,756) Receive variable rate payments on the three month LIBOR floating rate and pay fixed rate payments of 4.00%(g) 12/01/13 45,300,000 379,342 --------------- 2,010,333 --------------- $ (299,972) ===============
See Notes to Financial Statements. 44 EXTENDED-DURATION BOND FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03 - --------------------------------------------------------------------------------
RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* BENCHMARK INDEX** ----------------- -------------------- ------------- ----------------- One Year 21.51% 21.61% 21.26% 20.91% Since Inception (8/27/01 -- 6/30/03) 12.88% 12.83% 12.43% 12.94%
Past performance is no guarantee of future results, share prices will fluctuate, and you may have a gain or loss when you redeem shares. [LINE GRAPH]
EXT.-DURATION RETIREMENT CLASS BENCHMARK INDEX** ------------------------------ ----------------- 8/27/01 10000.00 10000.00 8/31/01 10097.00 10111.00 9/30/01 9943.00 10027.00 10/31/01 10364.00 10516.00 11/30/01 10281.00 10202.00 12/31/01 10248.00 10063.00 1/31/02 10349.00 10202.00 2/28/02 10439.00 10300.00 3/31/02 10143.00 9948.00 4/30/02 10251.00 10208.00 5/31/02 10390.00 10286.00 6/30/02 10290.00 10350.00 7/31/02 10295.00 10443.00 8/31/02 10680.00 10927.00 9/30/02 10896.00 11259.00 10/31/02 10574.00 10965.00 11/30/02 10777.00 11066.00 12/31/02 11276.00 11521.00 1/31/03 11332.00 11530.00 2/28/03 11646.00 11868.00 3/31/03 11597.00 11774.00 4/30/03 11995.00 12039.00 5/31/03 12579.00 12691.00 6/30/03 12504.00 12515.00
The graph compares the results of a $10,000 investment in the Retirement Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the weighted composite benchmark index. *These returns reflect expense waivers by the Fund's investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. **Represents a weighted composite benchmark index consisting of the Lehman Brothers Long-Term Government Bond Index and the Lehman Brothers Long-Term Credit Bond Index. The Lehman Brothers Long-Term Government Index is composed of all bonds covered by the Lehman Brothers Government Bond Index with maturities of 10 years or greater. The Lehman Brothers Long-Term Credit Index is composed of a subset of the Lehman Brothers Credit Bond Index covering all corporate, publicly issued, fixed-rate, nonconvertible U.S. debt issues rated at least Baa with at least $50 million principal outstanding and maturity greater than 10 years. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. Not Part of the Semi-Annual Report 45 EXTENDED-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2003 PAR VALUE - ------------- -------------- ------------ AGENCY OBLIGATIONS -- 2.8% Federal Home Loan Mortgage Corporation 4.63%, 02/15/07(E) 2,250,000 $ 2,754,308 Federal National Mortgage Association 5.35%, 10/29/07(N)(2) 4,815,000 2,242,470 5.25%, 01/15/09 $ 1,000,000 1,124,184 5.50%, 03/15/11 6,000,000 6,818,058 ------------ TOTAL AGENCY OBLIGATIONS (Cost $11,328,594) 12,939,020 ------------ ASSET-BACKED SECURITIES -- 2.5% Community Program Loan Trust 4.50%, 04/01/29 1,950,000 1,710,906 PSE&G Transition Funding LLC 6.45%, 03/15/13 8,325,000 9,825,753 ------------ TOTAL ASSET-BACKED SECURITIES (Cost $10,118,526) 11,536,659 ------------ COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.6% Federal Home Loan Mortgage Corporation 5.00%, 12/01/31 443,632 451,396 Federal National Mortgage Association 5.00%, 07/25/23 2,000,000 2,069,664 ------------ TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $2,165,652) 2,521,060 ------------ CORPORATE BONDS -- 48.7% AIG SunAmerica Global Finance IX 6.90%, 03/15/32 144A 10,000,000 11,950,369 American Airlines, Inc. 6.98%, 04/01/11 85,387 83,872 8.61%, 10/01/11 850,000 593,898 Analog Devices, Inc. 4.75%, 10/01/05 CONV 250,000 255,625 4.75%, 10/01/05 144A CONV 3,300,000 3,374,250 Arrow Electronics, Inc. 6.88%, 07/01/13 250,000 248,037 Atlas Air, Inc. 7.20%, 01/02/19 466,434 412,405 Bausch & Lomb, Inc. 7.13%, 08/01/28 1,500,000 1,445,625 BellSouth Corporation 6.88%, 10/15/31 2,250,000 2,659,284 Boise Cascade Corporation 7.35%, 02/01/16 450,000 478,307 Borden, Inc. 7.88%, 02/15/23@ 1,200,000 786,000
PAR VALUE -------------- ------------ Chesapeake Energy Corporation 8.13%, 04/01/11 $ 150,000 $ 162,375 9.00%, 08/15/12 700,000 784,000 CIT Group, Inc. 7.75%, 04/02/12 3,455,000 4,126,345 Citigroup, Inc. 6.63%, 01/15/28 2,000,000 2,323,356 5.88%, 02/22/33 5,000,000 5,276,000 Comcast Corporation 5.50%, 03/15/11 500,000 535,558 Commonwealth Edison Co. 4.75%, 12/01/11 605,000 628,839 Constellation Energy Group, Inc. 6.13%, 09/01/09 500,000 563,045 4.55%, 06/15/15 250,000 239,203 Continental Airlines, Inc. 6.70%, 06/15/21 465,578 451,324 Corning, Inc. 2.37%, 11/08/05 CONV(2) 500,000 373,750 COX Communications, Inc. 6.75%, 03/15/11 250,000 292,050 Dana Corporation 6.50%, 03/01/09 250,000 244,375 Delphi Auto Systems Corporation 7.13%, 05/01/29 2,500,000 2,508,475 Delta Air Lines, Inc. 8.30%, 12/15/29 500,000 355,000 Devon Energy Corporation 4.95%, 08/15/08 CONV 963,000 989,483 Dillard's, Inc. 7.75%, 07/15/26 890,000 789,875 Dresdner Funding Trust I 8.15%, 06/30/31 144A 9,250,000 10,234,024 Duke Energy Corporation 6.45%, 10/15/32 2,660,000 2,867,565 Edison Mission Energy 7.73%, 06/15/09 170,000 146,200 El Paso Corporation 7.00%, 05/15/11 400,000 366,000 EOP Operating LP 7.25%, 06/15/28 500,000 561,035 First Industrial LP 7.60%, 07/15/28 1,000,000 1,106,360 Foot Locker, Inc. 8.50%, 01/15/22 1,000,000 1,046,250 Ford Motor Co. 6.63%, 02/15/28 5,425,000 4,533,900 6.63%, 10/01/28 1,500,000 1,251,594 6.38%, 02/01/29 1,500,000 1,216,208 9.98%, 02/15/47 5,000,000 5,595,220 Ford Motor Credit Co. 5.80%, 01/12/09 500,000 497,509
See Notes to Financial Statements. 46
PAR VALUE -------------- ------------ General Electric Capital Corporation 6.75%, 03/15/32 $ 6,150,000 $ 7,217,603 General Motors Acceptance Corporation 6.88%, 08/28/12 250,000 249,833 8.00%, 11/01/31 9,000,000 8,854,856 Georgia-Pacific Corporation 7.75%, 11/15/29 2,950,000 2,684,500 GTE Corporation 6.94%, 04/15/28 2,800,000 3,189,575 HCA, Inc. 6.30%, 10/01/12 1,500,000 1,536,210 7.58%, 09/15/25 1,000,000 1,044,241 7.05%, 12/01/27 500,000 486,082 Health Care Property Investment, Inc. 6.00%, 03/01/15 1,500,000 1,558,308 Highwoods Properties, Inc. 7.50%, 04/15/18 1,500,000 1,448,546 Household Finance Corporation 7.63%, 05/17/32 3,750,000 4,769,299 7.35%, 11/27/32 5,000,000 6,148,815 HVB Funding Trust III 9.00%, 10/22/31 144A 8,300,000 8,706,036 IMC Global, Inc. 7.38%, 08/01/18 500,000 385,000 7.30%, 01/15/28 500,000 367,500 International Paper Co. 6.88%, 11/01/23 300,000 331,124 Kinder Morgan, Inc. 7.25%, 03/01/28 500,000 580,695 May Department Stores Co. (The) 8.75%, 05/15/29 4,750,000 6,305,093 7.88%, 03/01/30 2,225,000 2,710,584 Midamerican Energy Holdings Co. 5.88%, 10/01/12 1,000,000 1,098,697 Missouri Pacific Railroad 4.25%, 01/01/05 90,000 92,489 Motorola, Inc. 6.75%, 02/01/06 250,000 273,750 5.80%, 10/15/08 500,000 538,750 7.63%, 11/15/10 500,000 590,000 6.50%, 11/15/28 500,000 510,000 National Rural Utilities Cooperative Finance Corporation 8.00%, 03/01/32 9,650,000 12,485,979 Nextel Communications, Inc. 9.38%, 11/15/09 1,000,000 1,078,750 Nisource Finance 6.15%, 03/01/13 1,000,000 1,075,382 Oasis Residential, Inc. 7.25%, 11/15/06 2,000,000 2,246,946
PAR VALUE -------------- ------------ Pemex Project Funding Master Trust 9.13%, 02/01/22 144A $ 1,000,000 $ 1,145,000 Penney (JC) Co., Inc. 7.60%, 04/01/07 250,000 263,750 7.95%, 04/01/17 500,000 497,500 8.25%, 08/15/22 500,000 492,500 7.13%, 11/15/23 500,000 447,500 Phillips Van-Huesen Corporation 7.75%, 11/15/23 450,000 454,500 Pioneer Natural Resources Co. 7.20%, 01/15/28 2,500,000 2,740,188 Pioneer Standard Electronics, Inc. 9.50%, 08/01/06 500,000 570,000 Principal Life Global Funding I 6.25%, 02/15/12 144A 5,000,000 5,665,580 5.25%, 01/15/13 144A 3,000,000 3,190,755 Prologis Trust 7.63%, 07/01/17 1,000,000 1,178,580 Provident Co. 7.25%, 03/15/28 500,000 494,178 Pulte Homes, Inc. 7.30%, 10/24/05 1,000,000 1,066,105 7.63%, 10/15/17 1,000,000 1,236,096 7.88%, 06/15/32 1,500,000 1,795,842 Raytheon Co. 6.40%, 12/15/18 2,600,000 2,932,470 7.20%, 08/15/27 250,000 292,047 7.00%, 11/01/28 750,000 856,058 Sears Roebuck Acceptance Corporation 6.75%, 08/15/11 3,300,000 3,730,571 6.75%, 01/15/28 500,000 538,060 6.50%, 12/01/28 1,500,000 1,567,934 Southern California Edison Co. 7.25%, 03/01/26 500,000 511,875 6.65%, 04/01/29 250,000 234,688 Southern Natural Gas Co. 7.35%, 02/15/31 1,500,000 1,533,750 Sprint Capital Corporation 6.88%, 11/15/28 3,450,000 3,473,605 Swift Energy Co. 9.38%, 05/01/12 250,000 273,125 Tennessee Gas Pipeline Co. 7.00%, 10/15/28 750,000 717,188 Travelers Property Casualty Corporation 6.38%, 03/15/33 144A 3,430,000 3,761,887 Trinet Corporate Realty Trust, Inc. 7.70%, 07/15/17 1,000,000 1,037,500 Union Pacific Resources Group 7.15%, 05/15/28 250,000 298,040
See Notes to Financial Statements. 47 EXTENDED-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE -------------- ------------ UnumProvident Corporation 6.75%, 12/15/28 $ 1,500,000 $ 1,430,037 Verizon Global Funding Corporation 7.75%, 12/01/30 6,500,000 8,264,126 Wachovia Bank NA 6.50%, 12/01/28 10,075,000 11,084,443 Weyerhaeuser Co. 7.13%, 07/15/23 500,000 554,748 7.38%, 03/15/32 144A 250,000 287,565 Wisconsin Electric Power 6.88%, 12/01/49 6,295,000 7,461,753 Yellow Corporation 7.00%, 05/01/11 CONV 250,000 201,875 ------------ TOTAL CORPORATE BONDS (Cost $197,205,432) 223,198,652 ------------ FOREIGN BONDS -- 17.2% BRAZIL -- 0.7% Federal Republic of Brazil 8.00%, 04/15/14 3,447,948 3,042,814 ------------ CANADA -- 5.2% British Columbia Generic Residual 5.06%, 08/23/13 STRIP(C)(2) 2,500,000 1,107,636 5.14%, 06/09/14 STRIP(C)(2) 11,500,000 4,858,142 5.56%, 09/05/20 STRIP(C)(2) 1,750,000 502,300 Canada Generic Residual 5.13%, 06/01/22 STRIP(C)(2) 7,795,000 2,200,098 5.11%, 06/01/25 STRIP(C)(2) 4,110,000 1,001,222 Canadian Government 3.50%, 06/01/04(C) 525,000 389,224 6.00%, 09/01/05(C) 3,000,000 2,346,701 4.50%, 09/01/07(C) 3,275,000 2,498,280 Macmillan Bloedel, Ltd. 7.70%, 02/15/26 500,000 555,444 Ontario Residual 5.62%, 07/13/22 STRIP(C)(2) 3,900,000 998,859 5.75%, 03/08/29 STRIP(C)(2) 7,000,000 1,202,429 Rogers Cablevision, Ltd. 9.65%, 01/15/14(C) 2,370,000 1,835,823 Saskatchewan Generic Residual 5.24%, 04/10/14 STRIP(C)(2) 7,500,000 3,160,074 5.81%, 02/04/22 STRIP(C)(2) 3,000,000 760,581 ------------ 23,416,813 ------------
PAR VALUE -------------- ------------ CAYMAN ISLANDS -- 0.1% Enersis SA 7.40%, 12/01/16 $ 625,000 $ 617,155 ------------ COLOMBIA -- 0.1% Transgas de Occidente SA 9.79%, 11/01/10 144A 405,300 418,472 ------------ FRANCE -- 1.6% France Telecom 10.00%, 03/01/31 5,400,000 7,498,623 ------------ HONG KONG -- 0.6% Bangkok Bank Public Co. 9.03%, 03/15/29 144A 2,500,000 2,881,185 ------------ ITALY -- 3.0% Cartesio S.R.L 6.02%, 03/07/33 144A 13,000,000 13,644,540 ------------ MALAYSIA -- 0.4% Telekom Malaysia BHD 7.88%, 08/01/25 144A 225,000 255,230 Tenaga Nasional BHD 7.50%, 11/01/25 144A 1,500,000 1,634,097 ------------ 1,889,327 ------------ MEXICO -- 0.3% Petroleos Mexicanos 8.63%, 12/01/23 144A 1,000,000 1,147,500 TFM SA de CV 11.75%, 06/15/09 STEP 250,000 255,625 ------------ 1,403,125 ------------ NETHERLANDS -- 1.6% Deutsche Telekom International Finance BV 8.75%, 06/15/30 1,680,000 2,148,161 Telefonica Europe BV 8.25%, 09/15/30 3,950,000 5,188,016 ------------ 7,336,177 ------------ NORWAY -- 0.8% Norway Government 6.75%, 01/15/07(K) 24,000,000 3,640,696 ------------ PHILIPPINES -- 0.3% Bangko Sentral Pilipinas 8.60%, 06/15/27 500,000 462,500 Philippine Long Distance Telephone Co. 8.35%, 03/06/17 500,000 430,822 Quezon Power (Philippines), Ltd. 8.86%, 06/15/17 480,000 379,200 ------------ 1,272,522 ------------ SUPRANATIONAL -- 1.6% European Bank for Reconstruction & Development 5.52%, 02/10/28(A)(2) 5,000,000 893,710
See Notes to Financial Statements. 48
PAR VALUE -------------- ------------ International Bank for Reconstruction & Development 5.13%, 08/20/07(N)(2) $13,625,000 $ 6,466,555 ------------ 7,360,265 ------------ UNITED KINGDOM -- 0.8% Vodafone Group PLC 7.88%, 02/15/30 3,000,000 3,879,522 ------------ VENEZUELA -- 0.1% Petrozuata Finance, Inc. 8.37%, 10/01/22 144A 450,000 356,625 ------------ TOTAL FOREIGN BONDS (Cost $64,004,976) 78,657,861 ------------ MUNICIPAL BONDS -- 3.9% Chicago, Illinois Board of Education, General Obligation Bond (FGIC Insured) (Non-Callable) 4.99%, 12/01/22(2) 5,700,000 2,189,655 Coppell, Texas Independent School District, General Obligation Bond (PSF-GTD Insured) (Non-Callable) 5.07%, 08/15/23(2) 2,195,000 806,443 Granbury, Texas Independent School District, General Obligation Bond (PSF-GTD Insured) (Non-Callable) 4.88%, 08/01/20(2) 1,000,000 441,140 Indianapolis, Indiana Local Public Improvement Bond Bank, Series E Revenue Bond (AMBAC Insured) (Non-Callable) 4.99%, 02/01/22(2) 2,550,000 1,026,222 Lake County, Illinois Community Consolidated School District No. 073, General Obligation Bond (FGIC Insured) (Non- Callable) 4.56%, 12/01/17(2) 5,000,000 2,625,600 McHenry & Kane Counties, Illinois Community Consolidated School District No. 158, General Obligation Bond (FGIC Insured) (Non-Callable) 3.83%, 01/01/12(2) 3,340,000 2,429,950 Metropolitan Pier & Exposition Authority, Illinois Dedicated State Tax, Series A Revenue Bond (MBIA Insured) (Non-Callable) 5.08%, 12/15/23(2) 5,850,000 2,109,686
PAR VALUE -------------- ------------ Northern Illinois University, Auxiliary Facilities System, Revenue Bond (FGIC Insured) (Non-Callable) 4.00%, 10/01/13(2) $ 1,225,000 $ 820,554 San Jose, California Unified School District, Santa Clara County, Series A General Obligation Bond (FGIC Insured) (Non-Callable) 4.67%, 08/01/18(2) 2,055,000 1,030,583 Union Elementary School District, California, Series A General Obligation Bond (FGIC Insured) (Non-Callable) 4.79%, 09/01/19(2) 1,750,000 819,490 Washington State, Motor Vehicle Fuel Tax, Series 03-C General Obligation Bond, (MBIA Insured) (Non-Callable) 5.10%, 06/01/23(2) 10,000,000 3,690,199 ------------ TOTAL MUNICIPAL BONDS (Cost $16,933,826) 17,989,522 ------------ SHARES -------------- SHORT-TERM INVESTMENTS -- 8.8% AB Funds Trust -- Money Market Fund (Affiliated Fund) 2,314,770 2,314,770 Northern Institutional Liquid Assets Portfolio sec. 37,915,051 37,915,051 ------------ TOTAL SHORT-TERM INVESTMENTS (Cost $40,229,821) 40,229,821 ------------ PREFERRED STOCKS -- 0.7% EVI, Inc. CONV 16,218 806,846 International Paper Capital Trust CONV 45,000 2,207,250 ------------ TOTAL PREFERRED STOCKS (Cost $2,919,897) 3,014,096 ------------ PAR -------------- U.S. TREASURY OBLIGATIONS -- 21.7% U.S. Treasury Bonds 7.25%, 05/15/16 $38,615,000 51,367,024 8.00%, 11/15/21 28,080,000 40,688,594 5.25%, 02/15/29 6,500,000 7,079,670 ------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $100,117,182) 99,135,288 ------------ TOTAL INVESTMENTS -- 106.9% (Cost $445,023,906) 489,221,979 LIABILITIES IN EXCESS OF OTHER ASSETS -- (6.9%) (31,546,514) ------------ NET ASSETS -- 100.0% $457,675,465 ============
See Notes to Financial Statements. 49 EQUITY INDEX FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03 - --------------------------------------------------------------------------------
S&P 500(R) RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* INDEX** ----------------- -------------------- ------------- ---------- One Year (0.15%) 0.13% (0.19%) 0.26% Since Inception (8/27/01 -- 6/30/03) (8.94%) (9.14%) (9.05%) (8.57%)
Past performance is no guarantee of future results, share prices will fluctuate, and you may have a gain or loss when you redeem shares. [LINE GRAPH]
EQUITY INDEX RETIREMENT CLASS S&P 500(R) INDEX** ----------------------------- ------------------ 8/27/01 10000 10000 8/31/01 9585 9570 9/30/01 8817 8796 10/31/01 8985 8964 11/30/01 9666 9652 12/31/01 9745 9736 1/31/02 9589 9594 2/28/02 9378 9409 3/31/02 9726 9764 4/30/02 9116 9171 5/31/02 9041 9103 6/30/02 8428 8455 7/31/02 7757 7796 8/31/02 7801 7847 9/30/02 6955 6994 10/31/02 7569 7609 11/30/02 8046 8057 12/31/02 7544 7584 1/31/03 7348 7386 2/28/03 7240 7275 3/31/03 7322 7347 4/30/03 7917 7952 5/31/03 8321 8372 6/30/03 8415 8478
The graph compares the results of a $10,000 investment in the Retirement Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the S&P 500(R) Index. *These returns reflect expense waivers by the Fund's investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. **The S&P 500(R) Index is an unmanaged index (with no defined investment objective) of common stocks, includes reinvestment of dividends, and is a registered trademark of McGraw-Hill Co., Inc. The S&P 500(R) Index includes 500 of the largest stocks (in terms of market value) in the United States. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. Not Part of the Semi-Annual Report 50 EQUITY INDEX FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2003 SHARES VALUE ------------- ---------- ------------ COMMON STOCK -- 97.1% AUTO & TRANSPORTATION -- 2.5% Burlington Northern Santa Fe Corporation 15,500 $ 440,820 Cooper Tire & Rubber Co. 3,100 54,529 CSX Corporation 8,900 267,801 Dana Corporation 6,200 71,672 Delphi Corporation 23,400 201,942 Delta Air Lines, Inc. 5,100 74,868 FedEx Corporation 12,400 769,172 Ford Motor Co. 76,327 838,834 General Motors Corporation 23,400 842,400 Genuine Parts Co. 7,300 233,673 Goodyear Tire & Rubber Co. (The) 7,300 38,325 Harley-Davidson, Inc. 12,600 502,236 Navistar International Corporation* 2,800 91,364 Norfolk Southern Corporation 16,300 312,960 Paccar, Inc. 4,850 327,666 Southwest Airlines Co. 32,500 559,000 Union Pacific Corporation 10,600 615,012 United Parcel Service, Inc. Class B 46,900 2,987,529 Visteon Corporation 5,418 37,222 ------------ 9,267,025 ------------ CONSUMER DISCRETIONARY -- 12.5% Alberto-Culver Co. Class B 2,400 122,640 Allied Waste Industries, Inc.* 8,700 87,435 American Greetings Corporation Class A* 2,700 53,028 AOL Time Warner, Inc.* 187,600 3,018,484 Apollo Group, Inc. Class A* 7,300 450,848 AutoNation, Inc.* 11,700 183,924 AutoZone, Inc.* 3,700 281,089 Avon Products, Inc. 9,800 609,560 Bed Bath & Beyond, Inc.* 12,300 477,363 Best Buy Co., Inc.* 13,450 590,724 Big Lots, Inc.* 4,900 73,696 Black & Decker Corporation 3,200 139,040 Carnival Corporation 26,200 851,762 Cendant Corporation* 42,500 778,600 Cintas Corporation 7,100 251,624 Circuit City Stores, Inc. -- Circuit City Group 8,600 75,680 Clear Channel Communications, Inc.* 25,600 1,085,184 Convergys Corporation* 6,200 99,200 Costco Wholesale Corporation* 19,000 695,400 Darden Restaurants, Inc. 7,050 133,809 Dillard's, Inc. Class A 3,500 47,145 Dollar General Corporation 13,900 253,814 Donnelley (R.R.) & Sons Co. 4,700 122,858 Eastman Kodak Co. 12,000 328,200 eBay, Inc.* 13,200 1,375,176 Electronic Arts, Inc.* 6,100 451,339
SHARES VALUE ---------- ------------ Family Dollar Stores, Inc. 7,200 $ 274,680 Federated Department Stores, Inc. 7,800 287,430 Gannett Co., Inc. 11,200 860,272 Gap, Inc. (The) 37,200 697,872 Gillette Co. (The) 42,600 1,357,236 Hasbro, Inc. 7,200 125,928 Hilton Hotels Corporation 15,700 200,803 Home Depot, Inc. (The) 95,850 3,174,552 International Flavors & Fragrances, Inc. 3,900 124,527 Interpublic Group Cos., Inc. 16,300 218,094 Jones Apparel Group, Inc.* 5,300 155,078 Kimberly-Clark Corporation 21,200 1,105,368 Knight-Ridder, Inc. 3,400 234,362 Kohl's Corporation* 14,100 724,458 Leggett & Platt, Inc. 8,000 164,000 Limited Brands 21,800 337,900 Liz Claiborne, Inc. 4,508 158,907 Lowe's Cos., Inc. 32,500 1,395,875 Marriott International, Inc. Class A 9,700 372,674 Mattel, Inc. 18,300 346,236 May Department Stores Co. (The) 12,000 267,120 Maytag Corporation 3,300 80,586 McDonald's Corporation 53,100 1,171,386 McGraw Hill Co., Inc. (The) 8,000 496,000 Meredith Corporation 2,100 92,400 Monster Worldwide, Inc.* 4,700 92,731 New York Times Co. Class A 6,300 286,650 Newell Rubbermaid, Inc. 11,400 319,200 Nike, Inc. Class B 11,000 588,390 Nordstrom, Inc. 5,700 111,264 Office Depot, Inc.* 12,900 187,179 Omnicom Group, Inc. 7,900 566,430 Penney (JC) Co., Inc. 11,200 188,720 RadioShack Corporation 7,000 184,170 Reebok International, Ltd.* 2,500 84,075 Robert Half International, Inc.* 7,100 134,474 Sabre Holdings Corporation 6,000 147,900 Sears, Roebuck & Co. 12,800 430,592 Snap-On, Inc. 2,400 69,672 Stanley Works (The) 3,600 99,360 Staples, Inc.* 20,300 372,505 Starbucks Corporation* 16,300 399,676 Starwood Hotels & Resorts Worldwide, Inc. 8,400 240,156 Target Corporation 38,000 1,437,920 Tiffany & Co. 6,100 199,348 TJX Cos., Inc. 21,300 401,292 Toys "R" Us, Inc.* 8,900 107,868 Tribune Co. 12,900 623,070 Tupperware Corporation 2,400 34,464 Univision Communications, Inc. Class A* 9,600 291,840
See Notes to Financial Statements. 51 EQUITY INDEX FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- ------------ VF Corporation 4,500 $ 152,865 Wal-Mart Stores, Inc. 182,700 9,805,509 Waste Management, Inc. 24,700 595,023 Wendy's International, Inc. 4,700 136,159 Whirlpool Corporation 2,900 184,730 Yahoo!, Inc.* 25,200 825,552 Yum! Brands, Inc.* 12,200 360,632 ------------ 46,720,782 ------------ CONSUMER STAPLES -- 6.3% Albertson's, Inc. 15,300 293,760 Campbell Soup Co. 17,100 418,950 Clorox Co. 9,000 383,850 Coca-Cola Co. (The) 102,800 4,770,948 Coca-Cola Enterprises, Inc. 18,900 343,035 Colgate-Palmolive Co. 22,400 1,298,080 ConAgra Foods, Inc. 22,400 528,640 CVS Corporation 16,400 459,692 General Mills, Inc. 15,400 730,114 Heinz (H.J.) Co. 14,700 484,806 Hershey Foods Corporation 5,500 383,130 Kellogg Co. 17,000 584,290 Kroger Co.* 31,500 525,420 McCormick & Co., Inc. 5,800 157,760 Pepsi Bottling Group, Inc. 11,400 228,228 PepsiCo, Inc. 71,640 3,187,980 Procter & Gamble Co. 54,000 4,815,720 Safeway, Inc.* 18,400 376,464 Sara Lee Corporation 32,400 609,444 Supervalu, Inc. 5,600 119,392 Sysco Corporation 27,100 814,084 Walgreen Co. 42,800 1,288,280 Winn-Dixie Stores, Inc. 5,900 72,629 Wrigley (W.M.), Jr. Co. 9,400 528,562 ------------ 23,403,258 ------------ FINANCIAL SERVICES -- 21.8% ACE, Ltd. 11,000 377,190 AFLAC, Inc. 21,400 658,050 Allstate Corporation (The) 29,352 1,046,399 AMBAC Financial Group, Inc. 4,400 291,500 American Express Co. 54,100 2,261,921 American International Group, Inc. 108,792 6,003,143 AmSouth Bancorporation 14,600 318,864 AON Corporation 13,000 313,040 Apartment Investment & Management Co. Class A REIT 3,900 134,940 Automatic Data Processing, Inc. 24,900 843,114 Bank of America Corporation 62,443 4,934,870 Bank of New York Co., Inc. (The) 32,200 925,750 Bank One Corporation 47,700 1,773,486 BB&T Corporation 19,700 675,710 Bear Stearns Cos., Inc. (The) 4,100 296,922 Block (H&R), Inc. 7,500 324,375
SHARES VALUE ---------- ------------ Capital One Financial Corporation 9,400 $ 462,292 Charter One Financial, Inc. 9,361 291,876 Chubb Corporation 7,700 462,000 Cigna Corporation 5,800 272,252 Cincinnati Financial Corporation 6,700 248,503 Citigroup, Inc. 214,730 9,190,444 Comerica, Inc. 7,300 339,450 Concord EFS, Inc.* 20,300 298,816 Countrywide Financial Corporation 5,427 377,556 Deluxe Corporation 2,300 103,040 Dow Jones & Co., Inc. 3,354 144,323 Equifax, Inc. 5,900 153,400 Equity Office Properties Trust REIT 16,800 453,768 Equity Residential Properties Trust REIT 11,400 295,830 Fannie Mae 40,900 2,758,296 Federated Investors, Inc. Class B 4,500 123,390 Fifth Third Bancorp 23,994 1,375,816 First Data Corporation 31,200 1,292,928 First Tennessee National Corporation 5,300 232,723 Fiserv, Inc.* 8,100 288,441 FleetBoston Financial Corporation 43,900 1,304,269 Franklin Resources, Inc. 10,600 414,142 Freddie Mac 28,700 1,457,099 Golden West Financial Corporation 6,400 512,064 Goldman Sachs Group, Inc. 19,600 1,641,500 Hartford Financial Services Group, Inc. 11,700 589,212 Huntington Bancshares, Inc. 9,500 185,440 Janus Capital Group, Inc. 10,000 164,000 Jefferson-Pilot Corporation 5,900 244,614 John Hancock Financial Services, Inc. 12,100 371,833 JP Morgan Chase & Co. 84,690 2,894,704 KeyCorp 17,600 444,752 Lehman Brothers Holdings, Inc. 10,100 671,448 Lincoln National Corporation 7,400 263,662 Loews Corporation 7,700 364,133 Marsh & McLennan Cos., Inc. 22,300 1,138,861 Marshall & Ilsley Corporation 9,500 290,510 MBIA, Inc. 6,000 292,500 MBNA Corporation 53,250 1,109,730 Mellon Financial Corporation 18,000 499,500 Merrill Lynch & Co., Inc. 38,800 1,811,184 MetLife, Inc. 31,700 897,744 MGIC Investment Corporation 4,100 191,224 Moody's Corporation 6,200 326,802 Morgan Stanley 45,400 1,940,850 National City Corporation 25,500 834,105 North Fork Bancorporation, Inc. 6,500 221,390 Northern Trust Corporation 9,200 384,468
See Notes to Financial Statements. 52
SHARES VALUE ---------- ------------ Paychex, Inc. 15,700 $ 460,167 Plum Creek Timber Co., Inc. REIT 7,600 197,220 PNC Financial Services Group, Inc. 11,800 575,958 Principal Financial Group 13,700 441,825 Progressive Corporation (The) 9,100 665,210 Providian Financial Corporation* 12,100 112,046 Prudential Financial, Inc. 22,900 770,585 Regions Financial Corporation 9,300 314,154 Ryder System, Inc. 2,600 66,612 Safeco Corporation 5,800 204,624 Schwab (Charles) Corporation (The) 56,350 568,572 Simon Property Group, Inc. REIT 7,900 308,337 SLM Corporation 18,900 740,313 SouthTrust Corporation 14,200 386,240 St. Paul Cos., Inc. 9,500 346,845 State Street Corporation 13,900 547,660 Sungard Data Systems, Inc.* 11,900 308,329 SunTrust Banks, Inc. 11,700 694,278 Synovus Financial Corporation 12,700 273,050 T Rowe Price Group, Inc. 5,100 192,525 Torchmark Corporation 4,800 178,800 Travelers Property Casualty Corporation Class B 42,024 662,718 Union Planters Corporation 8,250 255,998 UnumProvident Corporation 12,000 160,920 US Bancorp 80,100 1,962,450 Wachovia Corporation 56,100 2,241,756 Washington Mutual, Inc. 38,800 1,602,440 Wells Fargo & Co. 69,830 3,519,432 XL Capital, Ltd. Class A 5,700 473,100 Zions Bancorporation 3,800 192,318 ------------ 81,230,640 ------------ HEALTHCARE -- 14.8% Abbott Laboratories 65,100 2,848,776 Aetna, Inc. 6,300 379,260 Allergan, Inc. 5,400 416,340 AmerisourceBergen Corporation 4,572 317,068 Amgen, Inc.* 52,528 3,489,960 Anthem, Inc.* 5,800 447,470 Bard (C.R.), Inc. 2,200 156,882 Bausch & Lomb, Inc. 2,200 82,500 Baxter International, Inc. 24,900 647,400 Becton Dickinson & Co. 10,600 411,810 Biogen, Inc.* 6,200 235,600 Biomet, Inc. 10,800 309,528 Boston Scientific Corporation* 17,100 1,044,810 Bristol-Myers Squibb Co. 80,900 2,196,435 Cardinal Health, Inc. 18,600 1,195,980 Chiron Corporation* 7,800 341,016 Forest Laboratories, Inc.* 15,100 826,725 Genzyme Corporation -- General Division* 9,000 376,200
SHARES VALUE ---------- ------------ Guidant Corporation 12,900 $ 572,631 HCA, Inc. 21,300 682,452 Health Management Associates, Inc. Class A 10,000 184,500 Humana, Inc.* 6,700 101,170 IMS Health, Inc. 10,100 181,699 Johnson & Johnson 123,890 6,405,113 King Pharmaceuticals, Inc.* 10,000 147,600 Lilly (Eli) & Co. 46,900 3,234,693 Manor Care, Inc.* 3,800 95,038 McKesson Corporation 12,100 432,454 Medimmune, Inc.* 10,500 381,885 Medtronic, Inc. 50,900 2,441,673 Merck & Co., Inc. 93,500 5,661,425 Millipore Corporation* 2,000 88,740 Pfizer, Inc. 329,283 11,245,015 Quest Diagnostics, Inc.* 4,400 280,720 Quintiles Transnational Corporation* 4,900 69,531 Schering-Plough Corporation 61,300 1,140,180 St. Jude Medical, Inc.* 7,500 431,250 Stryker Corporation 8,300 575,771 Tenet Healthcare Corporation* 19,450 226,593 UnitedHealth Group, Inc. 24,700 1,241,175 Watson Pharmaceuticals, Inc.* 4,500 181,665 WellPoint Health Networks, Inc.* 6,100 514,230 Wyeth 55,400 2,523,470 Zimmer Holdings, Inc.* 8,220 370,311 ------------ 55,134,744 ------------ INTEGRATED OILS -- 4.3% Amerada Hess Corporation 3,800 186,884 ChevronTexaco Corporation 44,540 3,215,788 Conocophillips 28,350 1,553,580 Exxon Mobil Corporation 278,644 10,006,106 Marathon Oil Corporation 12,907 340,099 Occidental Petroleum Corporation 15,800 530,090 Unocal Corporation 10,800 309,852 ------------ 16,142,399 ------------ MATERIALS & PROCESSING -- 3.1% Air Products & Chemicals, Inc. 9,500 395,200 Alcoa, Inc. 35,300 900,150 Allegheny Technologies, Inc. 3,400 22,440 American Standard Cos., Inc.* 3,000 221,790 Archer-Daniels-Midland Co. 26,927 346,550 Ashland, Inc. 2,800 85,904 Avery Dennison Corporation 4,600 230,920 Ball Corporation 2,396 109,042 Bemis Co. 2,200 102,960 Boise Cascade Corporation 2,400 57,360 Dow Chemical Co. (The) 38,200 1,182,672 Du Pont (E.I.) de Nemours & Co. 41,555 1,730,351 Eastman Chemical Co. 3,200 101,344 Ecolab, Inc. 11,000 281,600 Engelhard Corporation 5,300 131,281
See Notes to Financial Statements. 53 EQUITY INDEX FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- ------------ Fluor Corporation 3,400 $ 114,376 Freeport-McMoRan Copper & Gold, Inc. Class B 6,100 149,450 Georgia-Pacific Corporation 10,400 197,080 Great Lakes Chemical Corporation 2,100 42,840 Hercules, Inc.* 4,600 45,540 International Paper Co. 20,000 714,600 Louisiana-Pacific Corporation* 4,400 47,696 Masco Corporation 19,900 474,615 McDermott International, Inc.* 2,700 17,091 MeadWestvaco Corporation 8,383 207,060 Monsanto Co. 10,860 235,010 Newmont Mining Corporation 16,800 545,328 Nucor Corporation 3,300 161,205 Pactiv Corporation* 6,700 132,057 Phelps Dodge Corporation* 3,700 141,858 PPG Industries, Inc. 7,100 360,254 Praxair, Inc. 6,740 405,074 Rohm & Haas Co. 9,300 288,579 Sealed Air Corporation* 3,500 166,810 Sherwin-Williams Co. (The) 6,100 163,968 Sigma-Aldrich Corporation 3,000 162,540 Temple-Inland, Inc. 2,300 98,693 United States Steel Corporation 4,300 70,391 Vulcan Materials Co. 4,200 155,694 Weyerhaeuser Co. 9,100 491,400 Worthington Industries, Inc. 3,600 48,240 ------------ 11,537,013 ------------ OTHER -- 4.3% 3M Co. 16,300 2,102,374 Brunswick Corporation 3,800 95,076 Eaton Corporation 3,100 243,691 General Electric Co. 416,900 11,956,692 Honeywell International, Inc. 35,800 961,230 ITT Industries, Inc. 3,800 248,748 Johnson Controls, Inc. 3,696 316,378 Textron, Inc. 5,600 218,512 ------------ 16,142,701 ------------ OTHER ENERGY -- 1.6% Anadarko Petroleum Corporation 10,400 462,488 Apache Corporation 6,774 440,716 Baker Hughes, Inc. 14,000 469,980 BJ Services Co.* 6,600 246,576 Burlington Resources, Inc. 8,400 454,188 Calpine Corporation* 15,900 104,940 Devon Energy Corporation 9,600 512,640 Dynegy, Inc. Class A 15,500 65,100 El Paso Corporation 25,000 202,000 EOG Resources, Inc. 4,800 200,832 Halliburton Co. 18,200 418,600 Kerr-McGee Corporation 4,230 189,504 Nabors Industries, Ltd.* 6,100 241,255 Noble Corporation* 5,600 192,080 Rowan Cos., Inc.* 3,900 87,360
SHARES VALUE ---------- ------------ Schlumberger, Ltd. 24,300 $ 1,155,951 Sunoco, Inc. 3,200 120,768 Transocean, Inc.* 13,300 292,201 Williams Cos., Inc. 21,600 170,640 ------------ 6,027,819 ------------ PRODUCER DURABLES -- 4.1% Agilent Technologies, Inc.* 19,700 385,135 American Power Conversion Corporation* 8,200 127,838 Andrew Corporation* 4,100 37,720 Applied Materials, Inc.* 69,100 1,095,926 Boeing Co. (The) 35,100 1,204,632 Caterpillar, Inc. 14,400 801,504 Centex Corporation 2,600 202,254 Cooper Industries, Ltd. Class A 3,900 161,070 Crane Co. 2,500 56,575 Cummins, Inc. 1,700 61,013 Danaher Corporation 6,400 435,520 Deere & Co. 10,000 457,000 Dover Corporation 8,400 251,664 Emerson Electric Co. 17,600 899,360 Goodrich Corporation 4,900 102,900 Grainger (W.W.), Inc. 3,800 177,688 Illinois Tool Works, Inc. 12,800 842,880 Ingersoll-Rand Co. Class A 7,100 335,972 KB HOME 2,000 123,960 KLA-Tencor Corporation* 7,900 367,271 Lexmark International, Inc.* 5,300 375,081 Lockheed Martin Corporation 18,800 894,316 Molex, Inc. 7,950 214,571 Northrop Grumman Corporation 7,678 662,535 Novellus Systems, Inc.* 6,300 230,712 Pall Corporation 5,100 114,750 Parker Hannifin Corporation 4,900 205,751 Pitney Bowes, Inc. 9,800 376,418 Power-One, Inc.* 3,500 25,025 Pulte Homes, Inc. 2,552 157,356 Rockwell Collins, Inc. 7,400 182,262 Tektronix, Inc.* 3,500 75,600 Teradyne, Inc.* 7,700 133,287 Thermo Electron Corporation* 6,710 141,044 Thomas & Betts Corporation* 2,400 34,680 Tyco International, Ltd. 83,284 1,580,730 United Technologies Corporation 19,500 1,381,185 Waters Corporation* 5,200 151,476 Xerox Corporation* 32,600 345,234 ------------ 15,409,895 ------------ TECHNOLOGY -- 14.3% ADC Telecommunications, Inc.* 33,500 77,988 Adobe Systems, Inc. 9,700 311,079 Advanced Micro Devices, Inc.* 14,400 92,304 Altera Corporation* 16,000 262,400 Analog Devices, Inc.* 15,200 529,264 Apple Computer, Inc.* 15,300 292,536
See Notes to Financial Statements. 54
SHARES VALUE ---------- ------------ Applera Corporation-Applied Biosystems Group 8,700 $ 165,561 Applied Micro Circuits Corporation* 12,700 76,835 Autodesk, Inc. 4,680 75,629 Avaya, Inc.* 15,948 103,024 BMC Software, Inc.* 9,700 158,401 Broadcom Corporation Class A* 11,700 291,447 CIENA Corporation* 19,700 102,243 Cisco Systems, Inc.* 292,800 4,886,832 Citrix Systems, Inc.* 6,900 140,484 Computer Associates International, Inc. 24,100 536,948 Computer Sciences Corporation* 7,800 297,336 Compuware Corporation* 15,800 91,166 Comverse Technology, Inc.* 7,900 118,737 Corning, Inc.* 52,800 390,192 Dell Computer Corporation* 107,100 3,422,916 Electronic Data Systems Corporation 20,000 429,000 EMC Corporation* 91,200 954,864 Gateway, Inc.* 13,500 49,275 General Dynamics Corporation 8,200 594,500 Hewlett-Packard Co. 127,302 2,711,533 Intel Corporation 272,600 5,665,718 International Business Machines Corporation 72,100 5,948,250 Intuit, Inc.* 8,600 382,958 Jabil Circuit, Inc.* 8,300 183,430 JDS Uniphase Corporation* 59,700 209,547 Linear Technology Corporation 13,100 421,951 LSI Logic Corporation* 15,700 111,156 Lucent Technologies, Inc.* 172,576 350,329 Maxim Integrated Products, Inc. 13,500 461,565 Mercury Interactive Corporation* 3,600 138,996 Micron Technology, Inc.* 25,400 295,402 Microsoft Corporation 447,900 11,470,719 Motorola, Inc. 96,600 910,938 National Semiconductor Corporation* 7,600 149,872 NCR Corporation* 4,000 102,480 Network Appliance, Inc.* 14,200 230,182 Novell, Inc.* 15,400 47,432 Nvidia Corporation* 6,600 151,866 Oracle Corporation* 218,700 2,628,774 Parametric Technology Corporation* 11,000 33,550 Peoplesoft, Inc.* 13,200 232,188 PerkinElmer, Inc. 5,300 73,193 PMC-Sierra, Inc.* 7,000 82,110 QLogic Corporation* 3,900 188,487 Qualcomm, Inc. 32,900 1,176,175 Raytheon Co. 17,100 561,564 Rockwell Automation, Inc. 7,700 183,568 Sanmina-SCI Corporation* 21,300 134,403 Scientific-Atlanta, Inc. 6,200 147,808
SHARES VALUE ---------- ------------ Siebel Systems, Inc.* 20,400 $ 194,616 Solectron Corporation* 34,600 129,404 Sun Microsystems, Inc.* 134,700 619,620 Symantec Corporation* 6,200 271,932 Symbol Technologies, Inc. 9,650 125,547 Tellabs, Inc.* 17,200 113,004 Texas Instruments, Inc. 72,100 1,268,960 Unisys Corporation* 13,700 168,236 Veritas Software Corporation* 17,275 495,274 Xilinx, Inc.* 14,100 356,871 ------------ 53,580,569 ------------ UTILITIES -- 7.5% AES Corporation (The)* 25,600 162,560 Allegheny Energy, Inc. 5,200 43,940 Alltel Corporation 13,000 626,860 Ameren Corporation 6,700 295,470 American Electric Power Co., Inc. 16,500 492,195 AT&T Corporation 32,785 631,111 AT&T Wireless Services, Inc.* 113,164 929,076 BellSouth Corporation 77,000 2,050,510 Centerpoint Energy, Inc. 12,700 103,505 CenturyTel, Inc. 6,000 209,100 Cinergy Corporation 7,300 268,567 Citizens Communications Co.* 11,800 152,102 CMS Energy Corporation 6,000 48,600 Comcast Corporation Class A* 93,815 2,831,337 Consolidated Edison, Inc. 9,300 402,504 Constellation Energy Group, Inc. 6,900 236,670 Dominion Resources, Inc. 13,000 835,510 DTE Energy Co. 7,000 270,480 Duke Energy Corporation 37,600 750,120 Edison International* 13,600 223,448 Entergy Corporation 9,452 498,877 Exelon Corporation 13,512 808,153 FirstEnergy Corporation 12,384 476,165 FPL Group, Inc. 7,600 508,060 KeySpan Corporation 6,600 233,970 Kinder Morgan, Inc. 5,100 278,715 Mirant Corporation* 16,831 48,810 Nextel Communications, Inc. Class A* 42,900 775,632 Nicor, Inc. 1,800 66,798 NiSource, Inc. 11,000 209,000 Peoples Energy Corporation 1,500 64,335 PG&E Corporation* 17,100 361,665 Pinnacle West Capital Corporation 3,800 142,310 PPL Corporation 7,000 301,000 Progress Energy, Inc. 10,000 439,000 Public Service Enterprise Group, Inc. 9,400 397,150 Qwest Communications International, Inc.* 70,700 337,946 SBC Communications, Inc. 138,634 3,542,099 Sempra Energy 8,700 248,211
See Notes to Financial Statements. 55 EQUITY INDEX FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- ------------ Southern Co. (The) 30,100 $ 937,916 Sprint Corporation (FON Group) 37,500 540,000 Sprint Corporation (PCS Group)* 42,700 245,525 TECO Energy, Inc. 7,400 88,726 TXU Corporation 13,400 300,830 Verizon Communications, Inc. 114,734 4,526,255 Xcel Energy, Inc. 16,600 249,664 ------------ 28,190,477 ------------ TOTAL COMMON STOCK (Cost $379,281,478) 362,787,322 ------------ SHORT-TERM INVESTMENTS -- 7.7% AB Funds Trust -- Money Market Fund (Affiliated Fund) 9,809,066 9,809,066 Northern Institutional Liquid Assets Portfolio sec. 19,105,216 19,105,216 ------------ TOTAL SHORT-TERM INVESTMENTS (Cost $28,914,282) 28,914,282 ------------
PAR VALUE --------- ------------ U.S. TREASURY OBLIGATIONS -- 0.2% U.S. Treasury Bills 1.11%, 07/17/03++++ $ 60,000 $ 59,975 1.13%, 07/17/03++++ 20,000 19,992 1.14%, 07/17/03++++ 635,000 634,730 1.16%, 07/17/03++++ 150,000 149,936 ------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $864,561) 864,633 ------------ TOTAL INVESTMENTS -- 105.0% (Cost $409,060,321) 392,566,237 LIABILITIES IN EXCESS OF OTHER ASSETS -- (5.0%) (18,717,324) ------------ NET ASSETS -- 100.0% $373,848,913 ============
See Notes to Financial Statements. 56 VALUE EQUITY FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03 - --------------------------------------------------------------------------------
RUSSELL 1000(R) VALUE RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* INDEX** ----------------- -------------------- ------------- --------------------- One Year (2.97%) (2.84%) (3.20%) (1.02%) Since Inception (8/27/01 -- 6/30/03) (6.21%) (5.58%) (6.06%) (4.83%)
Past performance is no guarantee of future results, share prices will fluctuate, and you may have a gain or loss when you redeem shares. [LINE GRAPH]
VALUE EQUITY RETIREMENT CLASS RUSSELL 1000(R) VALUE INDEX** ----------------------------- ----------------------------- 08/27/01 10000 10000 08/31/01 9711 9702 09/30/01 9027 9019 10/31/01 8948 8942 11/30/01 9408 9462 12/31/01 9621 9684 01/31/02 9529 9609 02/28/02 9535 9625 03/31/02 10031 10080 04/30/02 9747 9735 05/31/02 9734 9783 06/30/02 9157 9222 07/31/02 8273 8364 08/31/02 8366 8427 09/30/02 7382 7490 10/31/02 7807 8045 11/30/02 8306 8552 12/31/02 7950 8181 01/31/03 7782 7983 02/28/03 7514 7770 03/31/03 7528 7783 04/30/03 8138 8468 05/31/03 8755 9015 06/30/03 8885 9128
The graph compares the results of a $10,000 investment in the Retirement Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Russell 1000(R) Value Index. *These returns reflect expense waivers by the Fund's investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. **The Russell 1000(R) Value Index is a large-cap index consisting of those Russell 1000(R) index securities with a less-than-average growth orientation. Companies in this index tend to exhibit lower price-to-book and price-earnings-ratios, higher dividend yields and lower forecasted growth values than the growth universe. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. Not Part of the Semi-Annual Report 57 VALUE EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2003 SHARES VALUE - ------------- ---------- -------------- COMMON STOCK -- 95.5% AUTO & TRANSPORTATION -- 2.9% American Axle & Manufacturing Holdings, Inc.* 1,600 $ 38,240 AMR Corporation* 74,200 816,200 ArvinMeritor, Inc. 36,600 738,588 Autoliv, Inc. 6,000 162,480 BorgWarner, Inc. 1,600 103,040 Burlington Northern Santa Fe Corporation 403,400 11,472,696 CNF, Inc. 2,700 68,526 Continental Airlines, Inc. Class B* 3,900 58,383 Cooper Tire & Rubber Co. 3,900 68,601 CSX Corporation 13,000 391,170 Dana Corporation 9,100 105,196 Delphi Corporation 960,700 8,290,841 Delta Air Lines, Inc. 7,500 110,100 FedEx Corporation 18,300 1,135,149 Ford Motor Co. 110,895 1,218,736 General Motors Corporation 34,300 1,234,800 Genuine Parts Co. 10,700 342,507 Goodyear Tire & Rubber Co. (The) 9,400 49,350 Harley-Davidson, Inc. 22,900 912,794 JetBlue Airways Corporation* 350 14,802 Lear Corporation* 4,000 184,080 Navistar International Corporation* 3,800 123,994 Norfolk Southern Corporation 23,700 455,040 Northwest Airlines Corporation* 3,300 37,257 Paccar, Inc. 6,700 452,652 Skywest, Inc. 1,200 22,872 Southwest Airlines Co. 23,650 406,780 Swift Transportation Co., Inc.* 1,700 31,654 Tidewater, Inc. 17,400 511,038 Union Pacific Corporation 15,400 893,508 Visteon Corporation 84,800 582,576 -------------- 31,033,650 -------------- CONSUMER DISCRETIONARY --10.8% Alberto-Culver Co. Class B 2,000 102,200 Allied Waste Industries, Inc.* 1,400 14,070 American Eagle Outfitters, Inc.* 400 7,336 American Greetings Corporation Class A* 4,000 78,560 AnnTaylor Stores Corporation* 23,000 665,850 AOL Time Warner, Inc.* 138,400 2,226,856 AutoNation, Inc.* 11,000 172,920 AutoZone, Inc.* 7,100 539,387 Avon Products, Inc. 14,500 901,900 Barnes & Noble, Inc.* 1,900 43,795 Belo Corporation Class A 5,400 120,744 Big Lots, Inc.* 3,200 48,128 Black & Decker Corporation 300 13,035 Blockbuster, Inc. Class A 1,100 18,535
SHARES VALUE ---------- -------------- Borders Group, Inc.* 4,500 $ 79,245 Brink's Co. (The) 3,300 48,081 Brinker International, Inc.* 500 18,010 Callaway Golf Co. 3,200 42,304 Carmax, Inc.* 2,084 62,833 Carnival Corporation 337,600 10,975,376 CBRL Group, Inc. 2,600 101,036 Cendant Corporation* 456,530 8,363,630 Charter Communications, Inc. Class A* 7,700 30,569 Circuit City Stores, Inc.-Circuit City Group 11,200 98,560 Claire's Stores, Inc. 5,200 131,872 Clear Channel Communications, Inc.* 15,625 662,344 Columbia Sportswear Co.* 3,100 159,371 Costco Wholesale Corporation* 13,700 501,420 Cox Radio, Inc. Class A* 700 16,177 Cumulus Media, Inc. Class A* 900 17,037 Dillard's, Inc. Class A 4,300 57,921 Donnelley (R.R.) & Sons Co. 5,400 141,156 Eastman Kodak Co. 252,400 6,903,140 Electronic Arts, Inc.* 25,800 1,908,942 Emmis Communications Corporation Class A* 2,000 45,900 Entercom Communications Corporation* 200 9,802 Entravision Communications Corporation Class A* 2,700 30,645 Estee Lauder Cos., Inc. (The) Class A 1,800 60,354 Ethan Allen Interiors, Inc. 900 31,644 Extended Stay America, Inc.* 3,400 45,866 Federated Department Stores, Inc. 74,500 2,745,325 Foot Locker, Inc. 5,300 70,225 FTI Consulting, Inc.* 40,200 1,003,794 Furniture Brands International, Inc.* 1,100 28,710 GameStop Corporation* 400 5,168 Gannett Co., Inc. 16,300 1,252,003 Gemstar-TV Guide International, Inc.* 6,900 35,121 General Motors-Hughes Electronics Corporation Class H* 28,100 359,961 Getty Images, Inc.* 300 12,390 Gillette Co. (The) 26,500 844,290 Harte-Hanks, Inc. 950 18,050 Hasbro, Inc. 8,625 150,851 Hearst-Argyle Television, Inc.* 22,000 569,800 Hilton Hotels Corporation 16,200 207,198 Hispanic Broadcasting Corporation* 1,200 30,540 IKON Office Solutions, Inc. 44,000 391,600 Interactivecorp 2,461 97,382
See Notes to Financial Statements. 58
SHARES VALUE ---------- -------------- International Flavors & Fragrances, Inc. 2,400 $ 76,632 International Speedway Corporation Class A 900 35,559 Iron Mountain, Inc.* 1,300 48,217 Jones Apparel Group, Inc.* 6,700 196,042 Kimberly-Clark Corporation 15,700 818,598 Knight-Ridder, Inc. 5,100 351,543 La-Z-Boy, Inc. 2,700 60,426 Lamar Advertising Co.* 1,400 49,294 Lee Enterprises, Inc. 2,700 101,331 Leggett & Platt, Inc. 8,200 168,100 Liberty Media Corporation Class A* 158,800 1,835,728 Limited Brands 15,900 246,450 Lin TV Corporation Class A* 400 9,420 Liz Claiborne, Inc. 6,500 229,125 Manpower, Inc. 1,500 55,635 Marriott International, Inc. Class A 5,500 211,310 Mattel, Inc. 97,125 1,837,605 May Department Stores Co. (The) 17,600 391,776 McClatchy Co. Class A 1,100 63,382 McDonald's Corporation 727,500 16,048,650 McGraw Hill Co., Inc. (The) 1,800 111,600 Media General, Inc. Class A 800 45,760 Meredith Corporation 2,200 96,800 Metro-Goldwyn-Mayer, Inc.* 1,400 17,388 Monster Worldwide, Inc.* 1,800 35,514 MSC Industrial Direct Co., Inc. Class A* 500 8,950 Neiman-Marcus Group, Inc. Class A* 2,200 80,520 New York Times Co. Class A 2,600 118,300 Newell Rubbermaid, Inc. 15,500 434,000 Nike, Inc. Class B 1,200 64,188 Nordstrom, Inc. 5,800 113,216 O'Reilly Automotive, Inc.* 300 10,017 Office Depot, Inc.* 142,900 2,073,479 Outback Steakhouse, Inc. 1,800 70,200 Pacific Sunwear of California, Inc.* 42,800 1,031,052 Penney (JC) Co., Inc. 60,800 1,024,480 Pier 1 Imports, Inc. 3,900 79,560 Polo Ralph Lauren Corporation 1,900 49,001 Radio One, Inc. Class D* 2,100 37,317 Reader's Digest Association, Inc. (The) 4,300 57,964 Reebok International, Ltd.* 3,000 100,890 Regal Entertainment Group Class A 600 14,148 Rent-A-Center, Inc.* 19,775 1,499,143 Republic Services, Inc.* 16,300 369,521 Royal Caribbean Cruises, Ltd. 45,100 1,044,516 Saks, Inc.* 7,400 71,780
SHARES VALUE ---------- -------------- Scholastic Corporation* 900 $ 26,802 Scripps Co. (E.W.) Class A 200 17,744 Sears, Roebuck & Co. 495,000 16,651,799 Servicemaster Co. 18,500 197,950 Six Flags, Inc.* 5,300 35,934 Snap-On, Inc. 3,600 104,508 Sonic Automotive, Inc.* 600 13,146 Stanley Works (The) 1,500 41,400 Staples, Inc.* 89,007 1,633,278 Starwood Hotels & Resorts Worldwide, Inc. 6,800 194,412 Talbots, Inc. 100 2,945 Tech Data Corporation* 2,100 56,091 Toys "R" Us, Inc.* 169,700 2,056,764 Tribune Co. 11,900 574,770 Valassis Communications, Inc.* 3,100 79,732 VeriSign, Inc.* 54,000 746,820 VF Corporation 16,500 560,505 Viad Corporation 1,000 22,390 Washington Post Co. Class B 200 146,580 Waste Management, Inc. 339,757 8,184,746 Wendy's International, Inc. 239,700 6,944,109 West Corporation* 100 2,665 Westwood One, Inc.* 11,900 403,767 Whirlpool Corporation 3,900 248,430 XM Satellite Radio Holdings, Inc. Class A* 29,500 325,975 Yum! Brands, Inc.* 3,600 106,416 Zale Corporation* 1,400 56,000 -------------- 114,248,764 -------------- CONSUMER STAPLES -- 4.1% Albertson's, Inc. 21,600 414,720 Campbell Soup Co. 75,300 1,844,850 Church and Dwight Co., Inc. 900 29,457 Clorox Co. 4,900 208,985 Coca-Cola Co. (The) 18,500 858,585 Coca-Cola Enterprises, Inc. 900 16,335 Colgate-Palmolive Co. 3,900 226,005 ConAgra Foods, Inc. 467,700 11,037,720 CVS Corporation 24,000 672,720 Dean Foods Co.* 39,450 1,242,675 Dial Corporation (The) 56,500 1,098,925 Fresh Del Monte Produce, Inc. 27,100 696,199 General Mills, Inc. 14,900 706,409 Heinz (H.J.) Co. 183,000 6,035,340 Hershey Foods Corporation 2,900 202,014 Hormel Foods Corporation 4,600 109,020 Kellogg Co. 28,000 962,360 Kraft Foods, Inc. Class A 12,700 413,385 Kroger Co.* 10,700 178,476 McCormick & Co., Inc. 4,000 108,800 PepsiAmericas, Inc. 4,800 60,288 Performance Food Group Co.* 700 25,900 Procter & Gamble Co. 32,375 2,887,203 Rite Aid Corporation* 14,900 66,305 Safeway, Inc.* 326,600 6,682,236
See Notes to Financial Statements. 59 VALUE EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- -------------- Sara Lee Corporation 314,115 $ 5,908,503 Smithfield Foods, Inc.* 6,800 155,856 Supervalu, Inc. 8,200 174,824 Tyson Foods, Inc. Class A 13,781 146,354 Winn-Dixie Stores, Inc. 4,000 49,240 Wrigley (W.M.), Jr. Co. 3,200 179,936 -------------- 43,399,625 -------------- FINANCIAL SERVICES -- 30.8% 21st Century Insurance Group 2,000 28,600 ACE, Ltd. 220,600 7,564,374 Advent Software, Inc.* 100 1,691 Affiliated Managers Group, Inc.* 2,300 140,185 AFLAC, Inc. 16,400 504,300 AG Edwards, Inc 4,900 167,580 Alleghany Corporation* 312 59,592 Alliance Data Systems Corporation* 900 21,060 Allied Capital Corporation 1,300 30,030 Allmerica Financial Corporation* 3,200 57,568 Allstate Corporation (The) 383,200 13,661,080 AMB Property Corporation REIT 5,100 143,667 AMBAC Financial Group, Inc. 4,750 314,688 American Capital Strategies, Ltd. 28,903 720,841 American Express Co. 27,100 1,133,051 American Financial Group, Inc. 1,800 41,040 American Financial Realty Trust REIT 1,500 22,365 American International Group, Inc. 79,033 4,361,041 American National Insurance Co. 600 51,836 AmeriCredit Corporation* 2,100 17,955 AmerUs Group Co. 18,800 529,972 AmSouth Bancorporation 70,500 1,539,720 Annaly Mortgage Management, Inc. REIT 5,700 113,487 AON Corporation 16,600 399,728 Apartment Investment & Management Co. Class A REIT 5,000 173,000 Archstone-Smith Trust REIT 10,800 259,200 Arden Realty, Inc. REIT 3,500 90,825 Associated Banc-Corp 4,700 173,336 Astoria Financial Corporation 4,800 134,064 AvalonBay Communities, Inc. REIT 3,700 157,768 Bancorpsouth, Inc. 5,000 104,250 Bank of America Corporation 294,024 23,236,717 Bank of Hawaii Corporation 3,900 129,285 Bank of New York Co., Inc. (The) 29,100 836,625 Bank One Corporation 71,900 2,673,242
SHARES VALUE ---------- -------------- Banknorth Group, Inc. 93,900 $ 2,396,328 BB&T Corporation 29,300 1,004,990 Bear Stearns Cos., Inc. (The) 17,600 1,274,592 Block (H&R), Inc. 46,500 2,011,125 BOK Financial Corporation* 927 35,754 Boston Properties, Inc. REIT 4,300 188,340 BRE Properties, Inc. Class A REIT 2,800 92,960 Camden Property Trust REIT 2,200 76,890 Capitol Federal Financial 1,400 39,354 CarrAmerica Realty Corporation REIT 3,200 88,992 Centerpoint Properties Corporation REIT 1,400 85,750 Charter One Financial, Inc. 42,008 1,309,809 Checkfree Corporation* 1,900 52,896 Chubb Corporation 9,900 594,000 Cigna Corporation 117,000 5,491,980 Cincinnati Financial Corporation 8,400 311,556 CIT Group, Inc. 21,100 520,115 Citigroup, Inc. 692,200 29,626,159 Citizens Banking Corporation 2,700 72,279 City National Corporation 2,400 106,944 CNA Financial Corporation* 1,500 36,900 Colonial Bancgroup, Inc. 7,400 102,638 Comerica, Inc. 184,800 8,593,200 Commerce Bancshares, Inc. 3,759 146,413 Compass Bancshares, Inc. 18,500 646,205 Countrywide Financial Corporation 6,800 473,076 Cousins Properties, Inc. REIT 2,200 61,380 Crescent Real Estate Equities Co. REIT 261,000 4,335,210 Cullen Frost Bankers, Inc. 3,100 99,510 D & B Corporation* 950 39,045 Developers Diversified Realty Corporation REIT 4,400 125,136 Doral Financial Corporation 33,100 1,477,915 Dow Jones & Co., Inc. 1,000 43,030 Downey Financial Corporation 1,300 53,690 Duke Realty Corporation REIT 8,200 225,910 E*TRADE Group, Inc.* 9,200 78,200 Equifax, Inc. 700 18,200 Equity Office Properties Trust REIT 25,485 688,350 Equity Residential Properties Trust REIT 16,800 435,960 Erie Indemnity Co. Class A 1,600 66,000 Everest Re Group, Ltd. 22,300 1,705,950 Fannie Mae 37,000 2,495,280 Fidelity National Financial, Inc. 8,218 252,786 First American Corporation 4,600 121,210 First Industrial Realty Trust, Inc. REIT 2,400 75,840 First Midwest Bancorp, Inc. 3,000 86,430
See Notes to Financial Statements. 60
SHARES VALUE ---------- -------------- First Tennessee National Corporation 61,600 $ 2,704,856 First Virginia Banks, Inc. 4,350 187,572 FirstMerit Corporation 5,200 118,872 FleetBoston Financial Corporation 513,616 15,259,531 FNB Corporation 2,835 85,787 Franklin Resources, Inc. 10,400 406,328 Freddie Mac 81,400 4,132,678 Fulton Financial Corporation 6,615 131,440 GATX Corporation 2,500 40,875 General Growth Properties, Inc. REIT 27,800 1,735,832 Global Payments, Inc. 100 3,550 Golden West Financial Corporation 7,700 616,077 Goldman Sachs Group, Inc. 14,800 1,239,500 Greater Bay Bancorp 2,300 46,966 Greenpoint Financial Corporation 48,400 2,465,496 Hartford Financial Services Group, Inc. 322,200 16,225,992 HCC Insurance Holdings, Inc. 3,300 97,581 Health Care Property Investors, Inc. REIT 3,500 148,225 Hibernia Corporation Class A 9,800 177,968 Highwoods Properties, Inc. REIT 3,200 71,360 Hospitality Properties Trust REIT 3,800 118,750 Host Marriott Corporation REIT* 14,400 131,760 Hudson City Bancorp, Inc. 4,600 117,622 Hudson United Bancorp 2,000 68,300 Huntington Bancshares, Inc. 14,300 279,136 Independence Community Bank Corporation 3,200 90,304 IndyMac Bancorp, Inc. 29,200 742,264 Instinet Group, Inc. 3,400 15,844 Interactive Data Corporation* 2,100 35,490 IPC Holdings, Ltd.* 10,100 338,350 iStar Financial, Inc. REIT 3,100 113,150 Janus Capital Group, Inc. 12,900 211,560 Jefferson-Pilot Corporation 8,700 360,702 John Hancock Financial Services, Inc. 18,000 553,140 JP Morgan Chase & Co. 710,522 24,285,641 KeyCorp 281,550 7,114,769 Kimco Realty Corporation REIT 5,600 212,240 LaBranche & Co., Inc. 2,600 53,794 Legg Mason, Inc. 1,700 110,415 Lehman Brothers Holdings, Inc. 14,900 990,552 Leucadia National Corporation 2,400 89,088 Liberty Property Trust REIT 4,600 159,160 Lincoln National Corporation 10,800 384,804
SHARES VALUE ---------- -------------- Loews Corporation 8,200 $ 387,778 M & T Bank Corporation 6,200 522,164 Mack-Cali Realty Corporation REIT 2,600 94,588 Markel Corporation* 500 128,000 Marsh & McLennan Cos., Inc. 1,800 91,926 Marshall & Ilsley Corporation 13,700 418,946 MBIA, Inc. 9,050 441,188 Mellon Financial Corporation 13,900 385,725 Mercantile Bankshares Corporation 4,300 169,334 Mercury General Corporation 1,600 73,040 Merrill Lynch & Co., Inc. 219,267 10,235,384 MetLife, Inc. 18,200 515,424 MGIC Investment Corporation 135,500 6,319,720 Mony Group, Inc. 2,800 75,460 Morgan Stanley 138,900 5,937,975 National City Corporation 140,600 4,599,026 National Commerce Financial Corporation 12,600 279,594 Nationwide Financial Services Class A 1,500 48,750 Neuberger Berman, Inc. 200 7,982 New Plan Excel Realty Trust REIT 5,800 123,830 New York Community Bancorp, Inc. 5,866 170,642 North Fork Bancorporation, Inc. 7,500 255,450 Northern Trust Corporation 6,100 254,919 Old National Bancorp 3,952 90,896 Old Republic International Corporation 53,600 1,836,872 Park National Corporation 700 79,975 People's Bank 1,500 43,485 Phoenix Cos., Inc. 5,800 52,374 Plum Creek Timber Co., Inc. REIT 11,262 292,249 PMI Group, Inc. (The) 5,500 147,620 PNC Financial Services Group, Inc. 17,300 844,413 Popular, Inc. 31,200 1,204,008 Principal Financial Group 17,600 567,600 Progressive Corporation (The) 4,800 350,880 Prologis Trust REIT 9,789 267,240 Protective Life Corporation 4,200 112,350 Provident Financial Group, Inc. 1,300 33,319 Providian Financial Corporation* 46,700 432,442 Prudential Financial, Inc. 34,100 1,147,465 Public Storage, Inc. REIT 6,100 206,607 Radian Group, Inc. 5,500 201,575 Raymond James Financial, Inc. 2,400 79,320 Reckson Associates Realty Corporation REIT 3,300 68,838 Regency Centers Corporation REIT 1,500 52,470
See Notes to Financial Statements. 61 VALUE EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- -------------- Regions Financial Corporation 14,000 $ 472,920 Reinsurance Group of America, Inc. 1,000 32,100 Roslyn Bancorp, Inc. 36,300 780,087 Rouse Co. REIT 32,200 1,226,820 Ryder System, Inc. 28,000 717,360 Safeco Corporation 8,400 296,352 Silicon Valley Bancshares* 2,200 52,382 Simon Property Group, Inc. REIT 8,600 335,658 Sky Financial Group, Inc. 4,600 99,912 SLM Corporation 116,100 4,547,637 SouthTrust Corporation 36,977 1,005,774 Sovereign Bancorp, Inc. 15,900 248,835 St. Paul Cos., Inc. 13,700 500,187 Stancorp Financial Group, Inc. 1,800 93,996 State Street Corporation 6,400 252,160 Student Loan Corporation 200 25,200 SunTrust Banks, Inc. 15,200 901,968 T Rowe Price Group, Inc. 4,300 162,325 TCF Financial Corporation 1,900 75,696 Torchmark Corporation 7,400 275,650 Transatlantic Holdings, Inc. 1,300 89,895 Travelers Property Casualty Corporation Class B 58,034 915,196 Trizec Properties, Inc. REIT 5,500 62,535 Trustmark Corporation 2,700 68,769 Union Planters Corporation 12,400 384,772 UnionBanCal Corporation 3,100 128,247 United Dominion Realty Trust, Inc. REIT 6,600 113,652 United Rentals, Inc.* 2,500 34,725 Unitrin, Inc. 2,800 75,936 UnumProvident Corporation 17,600 236,016 US Bancorp 524,326 12,845,987 Valley National Bancorp 5,716 150,617 Vornado Realty Trust REIT 4,400 191,840 W.R. Berkley Corporation 2,550 134,385 Wachovia Corporation 442,950 17,700,282 Washington Federal, Inc. 23,156 535,598 Washington Mutual, Inc. 393,914 16,268,648 Webster Financial Corporation 2,800 105,840 Weingarten Realty Investors REIT 2,800 117,320 Wells Fargo & Co. 194,972 9,826,589 Westamerica Bancorporation 1,600 68,928 Whitney Holding Corporation 2,400 76,728 Wilmington Trust Corporation 4,000 117,400 XL Capital, Ltd. Class A 67,300 5,585,900 Zions Bancorporation 5,600 283,416 -------------- 327,802,444 -------------- HEALTHCARE -- 5.9% Abbott Laboratories 58,500 2,559,960 Advanced Medical Optics, Inc.* 400 6,820 Aetna, Inc. 8,900 535,780 Allergan, Inc. 6,800 524,280
SHARES VALUE ---------- -------------- AmerisourceBergen Corporation 1,546 $ 107,215 Anthem, Inc.* 1,631 125,832 Apogent Technologies, Inc.* 2,900 58,000 Bard (C.R.), Inc. 3,200 228,192 Bausch & Lomb, Inc. 3,100 116,250 Baxter International, Inc. 251,800 6,546,800 Beckman Coulter, Inc. 41,700 1,694,688 Becton Dickinson & Co. 13,500 524,475 Bristol-Myers Squibb Co. 363,400 9,866,309 Community Health Systems, Inc.* 900 17,361 Conventry Health Care, Inc.* 1,200 55,392 DaVita, Inc.* 14,000 374,920 Edwards Lifesciences Corporation* 1,100 35,354 Genentech, Inc.* 1,300 93,756 Genzyme Corporation -- General Division* 1,700 71,060 Guidant Corporation 45,000 1,997,550 Health Net, Inc.* 224,500 7,397,275 Henry Schein, Inc.* 800 41,872 Human Genome Sciences, Inc.* 3,700 47,064 Humana, Inc.* 9,800 147,980 ICN Pharmaceuticals, Inc. 3,700 62,012 ICOS Corporation* 3,200 117,600 IDEXX Laboratories, Inc.* 4,400 147,576 IMS Health, Inc. 210,400 3,785,096 Invitrogen Corporation* 1,700 65,229 IVAX Corporation* 121,000 2,159,850 Laboratory Corporation of America Holdings* 19,600 590,940 Lilly (Eli) & Co. 6,000 413,820 Manor Care, Inc.* 3,400 85,034 McKesson Corporation 2,600 92,924 Medicis Pharmaceutical Corporation Class A* 400 22,680 Merck & Co., Inc. 84,200 5,098,310 Millennium Pharmeceuticals, Inc.* 7,900 124,267 Mylan Laboratories, Inc. 750 26,078 Omnicare, Inc. 2,200 74,338 Orthodontic Centers of America, Inc.* 200 1,602 Pfizer, Inc. 23,100 788,865 Quintiles Transnational Corporation* 3,600 51,084 Renal Care Group, Inc.* 800 28,168 Ribapharm, Inc.* 300 1,935 Schering-Plough Corporation 254,600 4,735,560 SICOR, Inc.* 500 10,170 Steris Corporation* 200 4,618 Tenet Healthcare Corporation* 531,500 6,191,975 Triad Hospitals, Inc.* 2,100 52,122 Vertex Pharmaceuticals, Inc.* 4,400 64,240 Watson Pharmaceuticals, Inc.* 7,500 302,775
See Notes to Financial Statements. 62
SHARES VALUE ---------- -------------- WebMD Corporation* 8,700 $ 94,221 Wyeth 83,500 3,803,425 -------------- 62,170,699 -------------- INTEGRATED OILS -- 8.4% Amerada Hess Corporation 51,800 2,547,524 BP PLC ADR 211,268 8,877,481 ChevronTexaco Corporation 335,398 24,215,736 Conocophillips 463,488 25,399,142 Exxon Mobil Corporation 415,000 14,902,650 Marathon Oil Corporation 114,600 3,019,710 Murphy Oil Corporation 1,000 52,600 Occidental Petroleum Corporation 279,700 9,383,935 Unocal Corporation 15,800 453,302 -------------- 88,852,080 -------------- MATERIALS & PROCESSING -- 5.9% Air Products & Chemicals, Inc. 13,900 578,240 AK Steel Holding Corporation* 5,800 20,996 Albemarle Corporation 1,700 47,549 Alcoa, Inc. 275,100 7,015,050 Allegheny Technologies, Inc. 4,900 32,340 American Standard Cos., Inc.* 600 44,358 Aptargroup, Inc. 2,200 79,200 Archer-Daniels-Midland Co. 34,889 449,021 Ashland, Inc. 4,200 128,856 Avery Dennison Corporation 1,700 85,340 Ball Corporation 2,700 122,877 Bemis Co. 3,100 145,080 Boise Cascade Corporation 3,100 74,090 Bowater, Inc. 3,200 119,840 Cabot Corporation 3,300 94,710 Catellus Development Corporation* 1,100 24,200 Dow Chemical Co. (The) 222,482 6,888,043 Du Pont (E.I.) de Nemours & Co. 60,800 2,531,712 Eastman Chemical Co. 161,400 5,111,538 Energizer Holdings, Inc.* 4,500 141,300 Engelhard Corporation 7,900 195,683 Fluor Corporation 4,200 141,288 Forest City Enterprises, Inc. Class A 1,400 58,030 Georgia-Pacific Corporation 359,371 6,810,080 Harsco Corporation 2,500 90,125 Hercules, Inc.* 5,000 49,500 IMC Global, Inc. 6,600 44,286 International Paper Co. 228,200 8,153,586 Jacobs Engineering Group, Inc.* 800 33,720 Lafarge North America, Inc. 1,900 58,710 Lubrizol Corporation 3,100 96,069 Lyondell Chemical Co. 227,200 3,074,016 Martin Marietta Materials, Inc. 3,000 100,830 Masco Corporation 16,000 381,600 MeadWestvaco Corporation 12,247 302,501 Monsanto Co. 507,900 10,990,957
SHARES VALUE ---------- -------------- Newmont Mining Corporation 2,200 $ 71,412 Nucor Corporation 4,800 234,480 OM Group, Inc. 1,500 22,095 Owens-Illinois, Inc.* 19,000 261,630 Packaging Corporation of America* 3,600 66,348 Pactiv Corporation* 9,700 191,187 Phelps Dodge Corporation* 5,100 195,534 PPG Industries, Inc. 10,300 522,622 Praxair, Inc. 10,000 601,000 Precision Castparts Corporation 3,200 99,520 Rayonier, Inc. 2,550 84,150 Rohm & Haas Co. 9,600 297,888 RPM International, Inc. 49,700 683,375 Scotts Co. (The) Class A* 900 44,550 Sealed Air Corporation* 500 23,830 Shaw Group, Inc. (The)* 900 10,845 Sherwin-Williams Co. (The) 44,300 1,190,784 Sigma-Aldrich Corporation 18,700 1,013,166 Smurfit-Stone Container Corporation* 10,600 138,118 Sonoco Products Co. 5,900 141,718 Temple-Inland, Inc. 2,900 124,439 Timken Co. 4,200 73,542 United States Steel Corporation 88,000 1,440,560 Valspar Corporation 2,100 88,662 Vulcan Materials Co. 5,500 203,885 Weyerhaeuser Co. 13,400 723,600 York International Corporation 2,400 56,160 -------------- 62,920,421 -------------- OTHER -- 0.6% 3M Co. 24,400 3,147,112 Brunswick Corporation 5,500 137,610 Eaton Corporation 4,300 338,023 Hillenbrand Industries, Inc. 9,700 489,365 Honeywell International, Inc. 45,600 1,224,360 ITT Industries, Inc. 5,100 333,846 Johnson Controls, Inc. 5,400 462,240 Lancaster Colony Corporation 1,700 65,722 SPX Corporation* 2,800 123,368 Teleflex, Inc. 1,600 68,080 Textron, Inc. 7,200 280,944 Wesco Financial Corporation 100 31,200 -------------- 6,701,870 -------------- OTHER ENERGY -- 2.6% Anadarko Petroleum Corporation 26,800 1,191,796 Apache Corporation 58,261 3,790,461 Baker Hughes, Inc. 48,000 1,611,360 Burlington Resources, Inc. 34,700 1,876,229 Calpine Corporation* 15,100 99,660 Cimarex Energy Co.* 1,294 30,733 Consol Energy, Inc. 12,600 286,524 Cooper Cameron Corporation* 200 10,076 Devon Energy Corporation 10,219 545,695
See Notes to Financial Statements. 63 VALUE EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- -------------- Diamond Offshore Drilling, Inc. 1,200 $ 25,188 Dynegy, Inc. Class A 16,500 69,300 El Paso Corporation 172,372 1,392,766 ENSCO International, Inc. 1,600 43,040 EOG Resources, Inc. 7,100 297,064 Equitable Resources, Inc. 3,900 158,886 FMC Technologies, Inc.* 3,035 63,887 Forest Oil Corporation* 900 22,608 Halliburton Co. 13,300 305,900 Helmerich & Payne, Inc. 3,100 90,520 Kerr-McGee Corporation 14,300 640,640 National-Oilwell, Inc.* 1,800 39,600 Newfield Exploration Co.* 1,300 48,815 Noble Energy, Inc. 1,500 56,700 Patterson-UTI Energy, Inc.* 200 6,480 Peabody Energy Corporation 1,400 47,026 Pioneer Natural Resources Co.* 5,900 153,990 Pogo Producing Co. 3,000 128,250 Premcor, Inc.* 1,500 32,325 Pride International, Inc.* 96,300 1,812,366 Reliant Resources, Inc.* 276,673 1,696,005 Rowan Cos., Inc.* 2,400 53,760 Sunoco, Inc. 39,400 1,486,956 Texas Genco Holdings, Inc. 700 16,275 Transocean, Inc.* 287,300 6,311,980 Valero Energy Corporation 62,000 2,252,460 Varco International, Inc.* 1,800 35,280 Williams Cos., Inc. 26,900 212,510 XTO Energy, Inc. 9,566 192,372 -------------- 27,135,483 -------------- PRODUCER DURABLES -- 5.9% AGCO Corporation* 2,200 37,576 Agilent Technologies, Inc.* 14,900 291,295 American Power Conversion Corporation* 8,700 135,633 Andrew Corporation* 6,000 55,200 Boeing Co. (The) 334,500 11,480,040 Caterpillar, Inc. 21,000 1,168,860 Centex Corporation 3,700 287,823 Clayton Homes, Inc. 5,600 70,280 Crane Co. 3,100 70,153 Cummins, Inc. 2,100 75,369 Deere & Co. 14,600 667,220 Diebold, Inc. 4,400 190,300 Donaldson Co., Inc. 800 35,560 Dover Corporation 12,400 371,504 DR Horton, Inc. 5,900 165,790 Emerson Electric Co. 199,900 10,214,890 Flowserve Corporation* 400 7,868 Goodrich Corporation 6,600 138,600 Grainger (W.W.), Inc. 4,800 224,448 HON Industries, Inc. 3,200 97,600 Hubbell, Inc. Class B 7,700 254,870 Illinois Tool Works, Inc. 115,900 7,632,015 KB HOME 8,500 526,830 Lennar Corporation Class A 3,000 214,500
SHARES VALUE ---------- -------------- Lennar Corporation Class B 300 $ 20,610 Lexmark International, Inc.* 29,400 2,080,638 Lockheed Martin Corporation 17,900 851,503 MKS Instruments, Inc.* 100 1,807 Molex, Inc. 1,200 32,388 Northrop Grumman Corporation 51,035 4,403,810 Novellus Systems, Inc.* 1,000 36,621 NVR, Inc.* 1,300 534,300 Pall Corporation 6,500 146,250 Parker Hannifin Corporation 7,200 302,328 Pentair, Inc. 3,000 117,180 Pitney Bowes, Inc. 5,800 222,778 Polycom, Inc.* 1,500 20,790 Pulte Homes, Inc. 3,000 184,980 Rockwell Collins, Inc. 10,100 248,763 Ryland Group, Inc. 1,600 111,040 Steelcase, Inc. Class A 1,800 21,168 Tektronix, Inc.* 3,900 84,240 Teradyne, Inc.* 2,400 41,544 Thermo Electron Corporation* 7,100 149,242 Toll Brothers, Inc.* 2,800 79,268 Tyco International, Ltd. 383,100 7,271,238 United Defense Industries, Inc.* 12,900 334,626 United Technologies Corporation 147,450 10,443,884 Xerox Corporation* 44,100 467,019 -------------- 62,622,239 -------------- TECHNOLOGY -- 4.7% 3Com Corporation* 21,800 102,024 Acxiom Corporation* 1,400 21,126 Adaptec, Inc.* 3,300 25,674 ADC Telecommunications, Inc.* 28,800 67,046 Advanced Fibre Communications, Inc.* 2,400 39,048 Advanced Micro Devices, Inc.* 14,400 92,304 Agere Systems, Inc. Class B* 44,950 103,385 Amkor Technology, Inc.* 2,000 26,280 Apple Computer, Inc.* 21,800 416,816 Applera Corporation-Applied Biosystems Group 800 15,224 Applied Micro Circuits Corporation* 9,200 55,660 Arrow Electronics, Inc.* 4,700 71,628 Atmel Corporation* 7,400 18,722 Autodesk, Inc. 5,100 82,416 Avaya, Inc.* 20,300 131,138 Avnet, Inc.* 6,900 87,492 AVX Corporation 3,200 35,168 BMC Software, Inc.* 6,700 109,411 Broadcom Corporation Class A* 5,700 141,987 Ceridian Corporation* 1,900 32,243 CIENA Corporation* 12,991 67,423 Citrix Systems, Inc.* 1,300 26,468 Computer Associates International, Inc. 60,700 1,352,396
See Notes to Financial Statements. 64
SHARES VALUE ---------- -------------- Computer Sciences Corporation* 140,000 $ 5,336,800 Compuware Corporation* 11,400 65,778 Comverse Technology, Inc.* 66,900 1,005,507 Conexant Systems, Inc.* 7,900 32,390 Corning, Inc.* 237,500 1,755,125 Cypress Semiconductor Corporation* 1,700 20,400 Electronic Data Systems Corporation 80,100 1,718,145 EMC Corporation* 100,000 1,047,000 Emulex Corporation* 1,000 22,770 Fairchild Semicoductor International, Inc.* 400 5,116 Gateway, Inc.* 10,800 39,420 General Dynamics Corporation 8,500 616,250 Harris Corporation 1,800 54,090 Hewlett-Packard Co. 739,450 15,750,285 Ingram Micro, Inc. Class A* 20,100 221,100 Integrated Device Technology, Inc.* 17,800 196,690 International Business Machines Corporation 65,700 5,420,250 International Rectifier Corporation* 15,200 407,664 Intersil Corporation Class A* 2,600 69,186 Jabil Circuit, Inc.* 800 17,680 JDS Uniphase Corporation* 41,400 145,314 Juniper Networks, Inc.* 2,400 29,688 Kemet Corporation* 5,300 53,530 L-3 Communications Holdings, Inc.* 21,300 926,337 LSI Logic Corporation* 11,300 80,004 Lucent Technologies, Inc.* 239,300 485,779 Macromedia, Inc.* 800 16,832 McData Corporation Class A* 13,500 198,045 Micron Technology, Inc.* 64,200 746,646 Mindspeed Technologies Inc. 2,633 7,110 Motorola, Inc. 47,500 447,925 National Semiconductor Corporation* 1,700 33,524 NCR Corporation* 5,100 130,662 PanAmSat Corporation* 900 16,587 PerkinElmer, Inc. 4,100 56,621 Perot Systems Corporation Class A* 200 2,272 Raytheon Co. 90,100 2,958,884 RealNetworks, Inc.* 900 6,102 Rockwell Automation, Inc. 10,000 238,400 Sanmina-SCI Corporation* 14,876 93,868 Scientific-Atlanta, Inc. 9,600 228,864 Seagate Technology, Inc.*+ 4,600 0 Solectron Corporation* 25,200 94,248 Storage Technology Corporation* 5,300 136,422 Sun Microsystems, Inc.* 102,300 470,580
SHARES VALUE ---------- -------------- Sybase, Inc.* 3,000 $ 41,730 Symbol Technologies, Inc. 7,000 91,070 Tellabs, Inc.* 13,800 90,666 Texas Instruments, Inc. 231,100 4,067,360 Titan Corporation* 500 5,145 Unisys Corporation* 16,300 200,164 Veritas Software Corporation* 43,188 1,238,200 Vishay Intertechnology, Inc.* 7,600 100,320 Zebra Technologies Corporation Class A* 100 7,519 -------------- 50,369,143 -------------- UTILITIES -- 12.9% AES Corporation (The)* 16,000 101,600 Allegheny Energy, Inc. 7,700 65,065 Allete, Inc. 4,700 124,785 Alliant Energy Corporation 5,500 104,665 Alltel Corporation 60,800 2,931,776 Ameren Corporation 9,800 432,180 American Electric Power Co., Inc. 212,800 6,347,824 Aquila, Inc. 11,882 30,656 AT&T Corporation 46,660 898,205 AT&T Wireless Services, Inc.* 68,500 562,385 BellSouth Corporation 482,700 12,854,301 Cablevision Systems Corporation Class A* 8,275 171,789 Centerpoint Energy, Inc. 344,700 2,809,305 CenturyTel, Inc. 63,200 2,202,520 Cinergy Corporation 10,700 393,653 Citizens Communications Co.* 9,200 118,588 CMS Energy Corporation 8,300 67,230 Comcast Corporation Class A* 368,863 11,132,285 Consolidated Edison, Inc. 13,700 592,936 Constellation Energy Group, Inc. 24,700 847,210 Cox Communications, Inc. Class A* 12,000 382,800 Dominion Resources, Inc. 18,719 1,203,070 DPL, Inc. 7,700 122,738 DTE Energy Co. 9,900 382,536 Duke Energy Corporation 54,400 1,085,280 Edison International* 19,900 326,957 Energy East Corporation 8,800 182,688 Entergy Corporation 191,800 10,123,204 Exelon Corporation 94,087 5,627,343 FirstEnergy Corporation 301,112 11,577,756 FPL Group, Inc. 10,800 721,980 Great Plains Energy, Inc. 4,200 121,296 Hawaiian Electric Industries 2,200 100,870 Idacorp, Inc. 2,300 60,375 IDT Corporation* 3,000 53,700 KeySpan Corporation 93,500 3,314,575 Kinder Morgan, Inc. 10,300 562,895 MDU Resources Group, Inc. 18,400 616,216 Mirant Corporation* 20,688 59,995 National Fuel Gas Co. 4,400 114,620
See Notes to Financial Statements. 65 VALUE EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- -------------- Nicor, Inc. 2,700 $ 100,197 NiSource, Inc. 16,000 304,000 Northeast Utilities 305,000 5,105,700 NSTAR 3,200 145,760 OGE Energy Corporation 4,800 102,576 Oneok, Inc. 83,100 1,631,253 Peoples Energy Corporation 2,200 94,358 Pepco Holdings, Inc. 32,798 628,410 PG&E Corporation* 80,100 1,694,115 Philadelphia Suburban Corporation 3,500 85,330 Pinnacle West Capital Corporation 5,100 190,995 PPL Corporation 155,400 6,682,200 Progress Energy, Inc.+ 14,500 636,550 Progress Energy, Inc. Contingent Value Obligation* 3,100 1,209 Public Service Enterprise Group, Inc. 75,100 3,172,975 Puget Energy, Inc. 5,700 136,059 Questar Corporation 37,300 1,248,431 Qwest Communications International, Inc.* 41,600 198,848 SBC Communications, Inc. 204,400 5,222,420 SCANA Corporation 6,800 233,104 Sempra Energy 25,000 713,250 Southern Co. (The) 43,000 1,339,880 Sprint Corporation (FON Group) 197,400 2,842,560 TECO Energy, Inc. 45,000 539,550 Telephone & Data Systems, Inc. 3,200 159,040 TXU Corporation 128,300 2,880,335 UnitedGlobalCom, Inc. Class A* 4,200 21,714
SHARES VALUE ---------- -------------- US Cellular Corporation* 1,000 $ 25,450 Vectren Corporation 4,100 102,705 Verizon Communications, Inc. 542,024 21,382,847 Wisconsin Energy Corporation 7,100 205,900 Xcel Energy, Inc. 24,240 364,570 -------------- 137,722,143 -------------- TOTAL COMMON STOCK (Cost $1,017,719,648) 1,014,978,561 -------------- SHORT-TERM INVESTMENTS -- 11.1% AB Funds Trust -- Money Market Fund (Affiliated Fund) 43,993,591 43,993,591 Northern Institutional Liquid Assets Portfolio sec. 74,211,756 74,211,756 -------------- TOTAL SHORT-TERM INVESTMENTS (Cost $118,205,347) 118,205,347 --------------
PAR ---------- U.S. TREASURY OBLIGATIONS -- 0.4% U.S. Treasury Bills 1.14%, 07/17/03++++ $ 130,000 129,945 1.16%, 07/17/03++++ 3,810,000 3,808,382 -------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $3,938,004) 3,938,327 -------------- TOTAL INVESTMENTS -- 107.0% (Cost $1,139,862,999) 1,137,122,235 LIABILITIES IN EXCESS OF OTHER ASSETS -- (7.0%) (74,569,186) -------------- NET ASSETS -- 100.0% $1,062,553,049 ==============
See Notes to Financial Statements. 66 GROWTH EQUITY FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03 - --------------------------------------------------------------------------------
RUSSELL 1000(R) GROWTH RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* INDEX** ----------------- -------------------- ------------- ---------------------- One Year 1.34% 1.38% 1.13% 2.94% Since Inception (8/27/01 -- 6/30/03) (11.04%) (10.92%) (11.22%) (11.31%)
Past performance is no guarantee of future results, share prices will fluctuate, and you may have a gain or loss when you redeem shares. [LINE GRAPH]
GROWTH EQUITY RETIREMENT CLASS RUSSELL 1000(R) GROWTH INDEX** ------------------------------ ------------------------------ 08/27/01 10000 10000 08/31/01 9492 9481 09/30/01 8506 8535 10/31/01 8945 8982 11/30/01 9837 9845 12/31/01 9812 9827 01/31/02 9642 9653 02/28/02 9266 9253 03/31/02 9642 9573 04/30/02 8858 8791 05/31/02 8619 8579 06/30/02 7954 7785 07/31/02 7345 7357 08/31/02 7351 7379 09/30/02 6566 6614 10/31/02 7207 7220 11/30/02 7646 7613 12/31/02 7050 7087 01/31/03 6874 6915 02/28/03 6861 6883 03/31/03 7043 7011 04/30/03 7577 7529 05/31/03 7966 7905 06/30/03 8060 8014
The graph compares the results of a $10,000 investment in the Retirement Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Russell 1000(R) Growth Index. *These returns reflect expense waivers by the Fund's investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. **The Russell 1000(R) Growth Index is a large-cap index consisting of those Russell 1000(R) Index securities with greater-than-average growth orientation. Companies in this index tend to exhibit higher price-to-book and price-earnings-ratios, lower dividend yields and higher forecasted growth values than the value universe. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. Not Part of the Semi-Annual Report 67 GROWTH EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2003 SHARES VALUE - ------------- ---------- -------------- COMMON STOCK -- 94.2% AUTO & TRANSPORTATION -- 2.5% ArvinMeritor, Inc. 200 $ 4,036 C.H. Robinson Worldwide, Inc. 2,700 96,012 Expeditors International of Washington, Inc. 3,800 131,632 Gentex Corporation* 3,000 91,830 Harley-Davidson, Inc. 132,700 5,289,422 JetBlue Airways Corporation* 50 2,115 Polaris Industries, Inc. 900 55,260 Ryanair Holdings PLC ADR* 88,400 3,969,160 Skywest, Inc. 1,400 26,684 Southwest Airlines Co. 606,000 10,423,200 Swift Transportation Co., Inc.* 1,400 26,068 Tidewater, Inc. 1,100 32,307 United Parcel Service, Inc. Class B 150,600 9,593,220 -------------- 29,740,946 -------------- CONSUMER DISCRETIONARY --15.3% 99 Cents Only Stores* 1,700 58,344 Activision, Inc.* 3,300 42,636 Advance Auto Parts* 600 36,540 Alberto-Culver Co. Class B 100 5,110 Allied Waste Industries, Inc.* 4,700 47,235 Amazon.com, Inc.* 501,900 18,314,330 American Eagle Outfitters, Inc.* 1,900 34,846 AMN Healthcare Services, Inc.* 500 6,350 AOL Time Warner, Inc.* 81,200 1,306,508 Apollo Group, Inc. Class A* 81,275 5,019,544 Applebee's International, Inc. 2,200 69,146 Aramark Corporation Class B* 1,200 26,904 AutoZone, Inc.* 2,500 189,925 Barnes & Noble, Inc.* 500 11,525 BearingPoint, Inc.* 6,900 66,585 Bed Bath & Beyond, Inc.* 167,500 6,500,675 Best Buy Co., Inc.* 10,300 452,376 Big Lots, Inc.* 2,600 39,104 BJ's Wholesale Club, Inc.* 2,900 43,674 Black & Decker Corporation 3,100 134,695 Blockbuster, Inc. Class A 500 8,425 Borders Group, Inc.* 300 5,283 Brinker International, Inc.* 126,200 4,545,724 Callaway Golf Co. 700 9,254 Career Education Corporation* 1,800 123,156 Carmax, Inc.* 2,745 82,762 Catalina Marketing Corporation* 1,500 26,475 CBRL Group, Inc. 300 11,658 CDW Corporation* 2,400 109,920 CEC Entertainment, Inc.* 1,000 36,930 Cheesecake Factory (The)* 2,000 71,780 Chico's FAS, Inc.* 2,900 61,045 ChoicePoint, Inc.* 3,433 118,507 Cintas Corporation 4,800 170,112
SHARES VALUE ---------- -------------- Circuit City Stores, Inc.- Circuit City Group 1,000 $ 8,800 Clear Channel Communications, Inc.* 10,425 441,916 Coach, Inc.* 3,600 179,064 Columbia Sportswear Co.* 500 25,705 Convergys Corporation* 6,000 96,000 Copart, Inc.* 2,700 25,515 Costco Wholesale Corporation* 114,300 4,183,380 Cox Radio, Inc. Class A* 900 20,799 Cumulus Media, Inc. Class A* 600 11,358 Darden Restaurants, Inc. 6,950 131,911 DeVry, Inc.* 2,300 53,567 Dollar General Corporation 11,343 207,123 Dollar Tree Stores, Inc.* 155,050 4,919,737 Donnelley (R.R.) & Sons Co. 600 15,684 eBay, Inc.* 165,878 17,281,170 EchoStar Communications Corporation Class A* 144,200 4,992,204 Education Management Corporation* 1,000 53,180 Electronic Arts, Inc.* 24,800 1,834,952 Emmis Communications Corporation Class A* 100 2,295 Entercom Communications Corporation* 1,300 63,713 Estee Lauder Cos., Inc. (The) Class A 3,100 103,943 Ethan Allen Interiors, Inc. 700 24,612 Expedia, Inc.* 800 61,104 Extended Stay America, Inc.* 700 9,443 Family Dollar Stores, Inc. 6,400 244,160 Fastenal Co. 2,400 81,456 Fisher Scientific International, Inc.* 2,200 76,780 Foot Locker, Inc. 2,100 27,825 Furniture Brands International, Inc.* 1,300 33,930 GameStop Corporation* 500 6,460 Gap, Inc. (The) 24,700 463,372 Gemstar-TV Guide International, Inc.* 4,500 22,905 General Motors-Hughes Electronics Corporation Class H* 20,000 256,200 Getty Images, Inc.* 1,000 41,300 Gillette Co. (The) 125,000 3,982,500 Harman International Industries, Inc. 1,000 79,140 Harte-Hanks, Inc. 1,850 35,150 Hilton Hotels Corporation 2,700 34,533 Hispanic Broadcasting Corporation* 1,600 40,720 Home Depot, Inc. (The) 223,550 7,403,976 InterActiveCorp* 8,201 324,514
See Notes to Financial Statements. 68
SHARES VALUE ---------- -------------- International Flavors & Fragrances, Inc. 1,300 $ 41,509 International Speedway Corporation Class A 600 23,706 Interpublic Group Cos., Inc. 15,328 205,089 Iron Mountain, Inc.* 1,650 61,199 Jones Apparel Group, Inc.* 400 11,704 Kimberly-Clark Corporation 50,500 2,633,070 Kohl's Corporation* 85,400 4,387,852 Krispy Kreme Doughnuts, Inc.* 1,800 74,124 La-Z-Boy, Inc. 100 2,238 Lamar Advertising Co.* 2,000 70,420 Leggett & Platt, Inc. 2,500 51,250 Limited Brands 6,610 102,455 Lin TV Corporation Class A* 400 9,420 Lowe's Cos., Inc. 153,900 6,610,005 Manpower, Inc. 2,000 74,180 Marriott International, Inc. Class A 4,100 157,522 Mattel, Inc. 222,700 4,213,484 Maytag Corporation 3,100 75,702 McGraw Hill Co., Inc. (The) 6,600 409,200 Meredith Corporation 200 8,800 Metro-Goldwyn-Mayer, Inc.* 900 11,178 Michael's Stores, Inc.* 2,700 102,762 Mohawk Industries, Inc.* 2,100 116,613 Monster Worldwide, Inc.* 2,100 41,433 MSC Industrial Direct Co., Inc. Class A* 700 12,530 New York Times Co. Class A 3,700 168,350 Newell Rubbermaid, Inc. 500 14,000 Nike, Inc. Class B 22,100 1,182,129 O'Reilly Automotive, Inc.* 1,400 46,746 Omnicom Group, Inc. 7,500 537,750 Outback Steakhouse, Inc. 1,200 46,800 Petco Animal Supplies, Inc.* 600 13,044 PETsMART, Inc.* 5,700 95,019 Pier 1 Imports, Inc. 1,200 24,480 Pixar, Inc.* 164,700 10,020,348 Radio One, Inc. Class D* 1,600 28,432 RadioShack Corporation 7,000 184,170 Reader's Digest Association, Inc. (The) 1,100 14,828 Regal Entertainment Group Class A 300 7,074 Rent-A-Center, Inc.* 1,300 98,553 Robert Half International, Inc.* 6,200 117,428 Ross Stores, Inc. 3,200 136,768 Ruby Tuesday, Inc. 2,600 64,298 Sabre Holdings Corporation 5,800 142,970 Scholastic Corporation* 600 17,868 Scripps Co. (E.W.) Class A 1,100 97,592 Sonic Automotive, Inc.* 700 15,337 Stanley Works (The) 1,800 49,680 Staples, Inc.* 18,700 343,145 Starbucks Corporation* 195,500 4,793,660
SHARES VALUE ---------- -------------- Starwood Hotels & Resorts Worldwide, Inc. 3,500 $ 100,065 Talbots, Inc. 900 26,505 Target Corporation 36,400 1,377,376 Tech Data Corporation* 600 16,026 Tiffany & Co. 4,500 147,060 Timberland Co. Class A* 700 37,002 TJX Cos., Inc. 21,700 408,828 Tribune Co. 90,000 4,347,000 University of Phoenix Online* 633 32,093 Univision Communications, Inc. Class A* 6,100 185,440 VeriSign, Inc.* 4,490 62,097 Viad Corporation 2,900 64,931 Wal-Mart Stores, Inc. 682,900 36,651,242 Waste Management, Inc. 4,500 108,405 Weight Watchers International, Inc.* 50,400 2,292,696 Wendy's International, Inc. 2,800 81,116 West Corporation* 700 18,655 Westwood One, Inc.* 3,100 105,183 Wiley (John) & Sons, Inc. Class A 1,900 49,780 Williams-Sonoma, Inc.* 3,600 105,120 Yahoo!, Inc.* 476,244 15,601,753 Yum! Brands, Inc.* 9,500 280,820 Zale Corporation* 300 12,000 -------------- 185,568,286 -------------- CONSUMER STAPLES -- 7.7% Church and Dwight Co., Inc. 900 29,457 Clorox Co. 3,100 132,215 Coca-Cola Co. (The) 209,300 9,713,613 Coca-Cola Enterprises, Inc. 203,000 3,684,450 Colgate-Palmolive Co. 285,000 16,515,750 Dial Corporation (The) 2,000 38,900 General Mills, Inc. 10,500 497,805 Heinz (H.J.) Co. 6,800 224,264 Hershey Foods Corporation 1,900 132,354 Kellogg Co. 5,100 175,287 Kraft Foods, Inc. Class A 3,000 97,650 Kroger Co.* 23,300 388,644 McCormick & Co., Inc. 2,900 78,880 Pepsi Bottling Group, Inc. 7,000 140,140 PepsiCo, Inc. 425,980 18,956,110 Performance Food Group Co.* 1,300 48,100 Procter & Gamble Co. 150,900 13,457,262 Rite Aid Corporation* 6,400 28,480 Safeway, Inc.* 7,200 147,312 Sara Lee Corporation 15,700 295,317 Sysco Corporation 306,600 9,210,264 Tootsie Roll Industries, Inc. 1,048 31,954 Walgreen Co. 628,500 18,917,850 Whole Foods Market, Inc.* 2,100 99,813 Wrigley (W.M.), Jr. Co. 4,400 247,412 -------------- 93,289,283 --------------
See Notes to Financial Statements. 69 GROWTH EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- -------------- FINANCIAL SERVICES -- 12.6% Accenture, Ltd. Class A* 200,000 $ 3,618,000 Advent Software, Inc.* 1,200 20,292 Affiliated Computer Services, Inc. Class A* 51,300 2,345,949 Affiliated Managers Group, Inc.* 700 42,665 AFLAC, Inc. 368,100 11,319,075 Alliance Data Systems Corporation* 1,900 44,460 Allied Capital Corporation 3,500 80,850 AMBAC Financial Group, Inc. 200 13,250 American Express Co. 29,500 1,233,395 American International Group, Inc. 203,800 11,245,683 AmeriCredit Corporation* 4,800 41,040 Arthur J. Gallagher & Co. 3,500 95,200 Automatic Data Processing, Inc. 74,900 2,536,114 Bank of New York Co., Inc. (The) 10,100 290,375 BISYS Group, Inc. (The)* 4,400 80,828 Block (H&R), Inc. 7,400 320,050 Brown & Brown, Inc. 1,900 61,750 Capital One Financial Corporation 8,300 408,194 Certegy, Inc.* 2,350 65,213 Checkfree Corporation* 1,200 33,408 Citigroup, Inc. 153,300 6,561,240 Commerce Bancorp, Inc. 2,300 85,330 Concord EFS, Inc.* 20,500 301,760 Countrywide Financial Corporation 68,400 4,758,588 D & B Corporation* 2,400 98,640 Deluxe Corporation 2,300 103,040 Doral Financial Corporation 1,750 78,138 Dow Jones & Co., Inc. 1,300 55,939 DST Systems, Inc.* 4,800 182,400 E*TRADE Group, Inc.* 5,300 45,050 Eaton Vance Corporation 2,400 75,840 Equifax, Inc. 5,400 140,400 Fair Isaac & Co., Inc. 1,900 97,755 Fannie Mae 98,400 6,636,096 Federated Investors, Inc. Class B 3,250 89,115 Fifth Third Bancorp 56,750 3,254,045 First Data Corporation 30,700 1,272,208 Fiserv, Inc.* 7,725 275,087 Franklin Resources, Inc. 110,000 4,297,700 Freddie Mac 65,500 3,325,435 Global Payments, Inc. 1,400 49,700 Goldman Sachs Group, Inc. 80,200 6,716,750 Greater Bay Bancorp 300 6,126 Hartford Financial Services Group, Inc. 44,300 2,230,948 HCC Insurance Holdings, Inc. 400 11,828
SHARES VALUE ---------- -------------- Henry (Jack) & Associates, Inc. 2,700 $ 48,033 Hudson United Bancorp 500 17,075 Investment Technology Group, Inc.* 1,950 36,270 Investors Financial Services Corporation 2,600 75,426 Janus Capital Group, Inc. 1,100 18,040 LaBranche & Co., Inc. 200 4,138 Legg Mason, Inc. 1,500 97,425 Marsh & McLennan Cos., Inc. 90,800 4,637,156 MBNA Corporation 42,650 888,826 Mellon Financial Corporation 8,600 238,650 Merrill Lynch & Co., Inc. 25,000 1,167,000 Moody's Corporation 5,200 274,092 National Processing, Inc.* 300 4,824 Neuberger Berman, Inc. 2,100 83,811 New York Community Bancorp, Inc. 1,866 54,282 North Fork Bancorporation, Inc. 1,700 57,902 Northern Trust Corporation 3,900 162,981 Nuveen Investments, Inc. Class A 900 24,516 Paychex, Inc. 93,225 2,732,425 Progressive Corporation (The) 523,995 38,304,034 Provident Financial Group, Inc. 800 20,504 Providian Financial Corporation* 4,200 38,892 Radian Group, Inc. 60,200 2,206,330 Rouse Co. REIT 500 19,050 Schwab (Charles) Corporation (The) 740,076 7,467,367 SEI Investments Co. 3,000 96,000 Silicon Valley Bancshares* 100 2,381 SLM Corporation 286,200 11,210,454 State Street Corporation 8,800 346,720 Sungard Data Systems, Inc.* 11,300 292,783 Synovus Financial Corporation 11,900 255,850 T Rowe Price Group, Inc. 1,400 52,850 TCF Financial Corporation 1,700 67,728 Total System Services, Inc. 1,500 33,450 United Rentals, Inc.* 400 5,556 Waddell & Reed Financial, Inc. Class A 2,900 74,443 Wells Fargo & Co. 89,800 4,525,920 Westamerica Bancorporation 300 12,924 Willis Group Holdings, Ltd. 86,700 2,666,025 -------------- 152,967,082 -------------- HEALTHCARE -- 23.5% Abbott Laboratories 137,600 6,021,376 Accredo Health, Inc.* 1,750 38,150 Advanced Medical Optics, Inc.* 955 16,283 AdvancePCS* 3,000 114,690 Affymetrix, Inc.* 2,000 39,420 Allergan, Inc. 5,400 416,340 AmerisourceBergen Corporation 3,455 239,604
See Notes to Financial Statements. 70
SHARES VALUE ---------- -------------- Amgen, Inc.* 601,836 $ 39,985,983 Andrx Corporation* 2,500 49,750 Anthem, Inc.* 4,580 353,347 Apogent Technologies, Inc.* 2,200 44,000 Baxter International, Inc. 24,100 626,600 Beckman Coulter, Inc. 2,300 93,472 Becton Dickinson & Co. 1,500 58,275 Biogen, Inc.* 6,000 228,000 Biomet, Inc. 10,800 309,528 Boston Scientific Corporation* 95,300 5,822,830 Bristol-Myers Squibb Co. 28,900 784,635 Cardinal Health, Inc. 96,500 6,204,950 Caremark Rx, Inc.* 9,700 249,096 Celgene Corporation* 3,200 97,280 Cephalon, Inc.* 1,900 78,204 Cerner Corporation* 1,100 25,245 Charles River Laboratories International, Inc.* 1,800 57,924 Chiron Corporation* 3,700 161,764 Community Health Systems, Inc.* 1,400 27,006 Conventry Health Care, Inc.* 700 32,312 Cytyc Corporation* 4,700 49,444 DaVita, Inc.* 2,200 58,916 Dentsply International, Inc. 2,800 114,520 Diagnostic Products Corporation 900 36,945 Edwards Lifesciences Corporation* 1,700 54,638 Express Scripts, Inc.* 2,500 170,800 First Health Group Corporation* 3,800 104,880 Forest Laboratories, Inc.* 12,900 706,275 Genentech, Inc.* 376,280 27,137,313 Genzyme Corporation- General Division* 6,700 280,060 Gilead Sciences, Inc.* 71,700 3,985,086 Guidant Corporation 12,300 545,997 HCA, Inc. 19,800 634,392 Health Management Associates, Inc. Class A 9,700 178,965 Health Net, Inc.* 800 26,360 Henry Schein, Inc.* 1,100 57,574 Human Genome Sciences, Inc.* 2,400 30,528 ICN Pharmaceuticals, Inc. 900 15,084 Idec Pharmaceuticals Corporation* 4,500 153,000 IMS Health, Inc. 10,100 181,699 Invitrogen Corporation* 900 34,533 IVAX Corporation* 6,050 107,993 Johnson & Johnson 425,792 22,013,445 King Pharmaceuticals, Inc.* 9,966 147,098 Laboratory Corporation of America Holdings* 5,700 171,855 LifePoint Hospitals, Inc.* 1,600 33,504 Lilly (Eli) & Co. 171,600 11,835,252 Lincare Holdings, Inc.* 4,300 135,493
SHARES VALUE ---------- -------------- Manor Care, Inc.* 1,600 $ 40,016 McKesson Corporation 9,259 330,917 Medicis Pharmaceutical Corporation Class A* 900 51,030 Medimmune, Inc.* 208,875 7,596,784 Medtronic, Inc. 347,646 16,676,579 Merck & Co., Inc. 299,700 18,146,835 Mid Atlantic Medical Services, Inc.* 1,900 99,370 Millennium Pharmeceuticals, Inc.* 6,773 106,539 Millipore Corporation* 1,900 84,303 Mylan Laboratories, Inc. 7,050 245,129 Omnicare, Inc. 1,800 60,822 Orthodontic Centers of America, Inc.* 1,700 13,617 Oxford Health Plans, Inc.* 3,300 138,699 Patterson Dental Co.* 2,000 90,760 Pfizer, Inc. 1,565,310 53,455,336 Pharmaceutical Product Development, Inc.* 1,900 54,587 Quest Diagnostics, Inc.* 3,200 204,160 Quintiles Transnational Corporation* 2,400 34,056 Renal Care Group, Inc.* 1,500 52,815 Ribapharm, Inc.* 800 5,160 Schering-Plough Corporation 23,500 437,100 SICOR, Inc.* 2,700 54,918 St. Jude Medical, Inc.* 107,400 6,175,500 Steris Corporation* 2,600 60,034 Stryker Corporation 40,400 2,802,548 Tenet Healthcare Corporation* 19,650 228,923 Teva Pharmaceutical Industries, Ltd. ADR 244,300 13,907,999 Triad Hospitals, Inc.* 1,500 37,230 UnitedHealth Group, Inc. 167,000 8,391,750 Universal Health Services, Inc. Class B* 2,000 79,240 Varian Medical Systems, Inc.* 2,700 155,439 Watson Pharmaceuticals, Inc.* 1,500 60,555 WebMD Corporation* 5,700 61,731 WellPoint Health Networks, Inc.* 70,800 5,968,440 Wyeth 353,200 16,088,260 Zimmer Holdings, Inc.* 7,750 349,138 -------------- 283,524,032 -------------- INTEGRATED OILS -- 0.9% Amerada Hess Corporation 1,400 68,852 BP PLC ADR 75,000 3,151,500 ChevronTexaco Corporation 25,000 1,805,000 Exxon Mobil Corporation 157,100 5,641,461 Murphy Oil Corporation 2,300 120,980 -------------- 10,787,793 --------------
See Notes to Financial Statements. 71 GROWTH EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- -------------- MATERIALS & PROCESSING -- 0.6% Alcoa, Inc. 5,000 $ 127,500 American Standard Cos., Inc.* 2,100 155,253 Avery Dennison Corporation 2,800 140,560 Ball Corporation 500 22,755 Cabot Corporation 300 8,610 Catellus Development Corporation* 2,600 57,200 Ecolab, Inc. 10,400 266,240 Energizer Holdings, Inc.* 400 12,560 Fluor Corporation 500 16,820 Freeport-McMoRan Copper & Gold, Inc. Class B 2,900 71,050 Jacobs Engineering Group, Inc.* 1,400 59,010 Masco Corporation 8,900 212,265 Newmont Mining Corporation 13,000 421,980 OM Group, Inc. 100 1,473 Praxair, Inc. 97,500 5,859,750 Scotts Co. (The) Class A* 200 9,900 Sealed Air Corporation* 3,100 147,746 Shaw Group, Inc. (The)* 900 10,845 Sigma-Aldrich Corporation 500 27,090 St. Joe Co. (The) 1,100 34,320 Valspar Corporation 600 25,332 Vulcan Materials Co. 200 7,414 -------------- 7,695,673 -------------- OTHER -- 4.0% 3M Co. 52,900 6,823,042 General Electric Co. 1,426,100 40,900,548 Honeywell International, Inc. 2,900 77,865 ITT Industries, Inc. 300 19,638 SPX Corporation* 1,200 52,872 Teleflex, Inc. 400 17,020 -------------- 47,890,985 -------------- OTHER ENERGY -- 2.2% Anadarko Petroleum Corporation 4,600 204,562 Baker Hughes, Inc. 202,700 6,804,639 BJ Services Co.* 101,300 3,784,568 Burlington Resources, Inc. 1,700 91,919 Calpine Corporation* 4,300 28,380 Cimarex Energy Co.* 800 19,000 Consol Energy, Inc. 800 18,192 Cooper Cameron Corporation* 1,700 85,646 Devon Energy Corporation 2,070 110,538 Diamond Offshore Drilling, Inc. 1,400 29,386 ENSCO International, Inc. 4,900 131,810 EOG Resources, Inc. 52,500 2,196,600 FMC Technologies, Inc.* 300 6,315 Forest Oil Corporation* 600 15,072 Grant Prideco, Inc.* 3,900 45,825 Halliburton Co. 8,700 200,100 Nabors Industries, Ltd.* 203,500 8,048,425 National-Oilwell, Inc.* 2,100 46,200
SHARES VALUE ---------- -------------- Newfield Exploration Co.* 1,200 $ 45,060 Noble Corporation* 100,000 3,430,000 Noble Energy, Inc. 1,300 49,140 Patterson-UTI Energy, Inc.* 2,700 87,480 Pioneer Natural Resources Co.* 800 20,880 Pogo Producing Co. 300 12,825 Pride International, Inc.* 2,200 41,404 Rowan Cos., Inc.* 2,200 49,280 Schlumberger, Ltd. 21,500 1,022,755 Smith International, Inc.* 4,100 150,634 Texas Genco Holdings, Inc. 100 2,325 Varco International, Inc.* 1,900 37,240 Williams Cos., Inc. 1,520 12,008 XTO Energy, Inc. 500 10,055 -------------- 26,838,263 -------------- PRODUCER DURABLES -- 4.2% AGCO Corporation* 1,600 27,328 Agilent Technologies, Inc.* 8,823 172,490 Alliant Techsystems, Inc.* 1,300 67,483 American Power Conversion Corporation* 900 14,031 Applied Materials, Inc.* 1,120,250 17,767,165 Boeing Co. (The) 20,500 703,560 Cymer, Inc.* 1,400 44,184 Danaher Corporation 4,500 306,225 Donaldson Co., Inc. 1,000 44,450 DR Horton, Inc. 800 22,480 Flowserve Corporation* 2,000 39,340 Graco, Inc. 1,900 60,800 Herman Miller, Inc. 3,100 62,651 HON Industries, Inc. 300 9,150 IIIinois Tool Works, Inc. 4,200 276,570 KLA-Tencor Corporation* 7,600 353,324 Lam Research Corporation* 5,100 92,871 Lennar Corporation Class A 100 7,150 Lennar Corporation Class B 10 687 Lexmark International, Inc.* 5,200 368,004 Lockheed Martin Corporation 193,700 9,214,309 Mettler Toledo International, Inc.* 1,400 51,310 MKS Instruments, Inc.* 900 16,263 Molex, Inc. 4,450 120,106 Nokia Corporation ADR 473,800 7,784,534 Northrop Grumman Corporation 25,000 2,157,250 Novellus Systems, Inc.* 5,400 197,753 NVR, Inc.* 200 82,200 Pall Corporation 300 6,750 Pitney Bowes, Inc. 5,800 222,778 Polycom, Inc.* 3,000 41,580 Rockwell Collins, Inc. 700 17,241 Tektronix, Inc.* 600 12,960 Teradyne, Inc.* 5,800 100,398 Thermo Electron Corporation* 1,900 39,938
See Notes to Financial Statements. 72
SHARES VALUE ---------- -------------- United Technologies Corporation 137,000 $ 9,703,710 Waters Corporation* 5,000 145,650 -------------- 50,354,673 -------------- TECHNOLOGY -- 19.4% Acxiom Corporation* 2,200 33,198 Adaptec, Inc.* 2,100 16,338 ADC Telecommunications, Inc.* 13,000 30,264 Adobe Systems, Inc. 9,600 307,872 Advanced Fibre Communications, Inc.* 1,700 27,659 Advanced Micro Devices, Inc.* 4,300 27,563 Agere Systems, Inc. Class B* 36,200 83,260 Altera Corporation* 15,400 252,560 Amkor Technology, Inc.* 2,200 28,908 Amphenol Corporation Class A* 800 37,456 Analog Devices, Inc.* 14,700 511,854 Applera Corporation-Applied Biosystems Group 8,000 152,240 Applied Micro Circuits Corporation* 6,000 36,300 Arrow Electronics, Inc.* 1,000 15,240 Atmel Corporation* 11,500 29,095 Autodesk, Inc. 1,300 21,008 Avaya, Inc.* 1,983 12,810 BEA Systems, Inc.* 14,500 157,470 BMC Software, Inc.* 5,400 88,182 Broadcom Corporation Class A* 4,000 99,640 Brocade Communications Systems, Inc.* 10,300 60,667 Cadence Design Systems, Inc.* 10,600 127,836 Ceridian Corporation* 4,700 79,759 CIENA Corporation* 8,718 45,246 Cisco Systems, Inc.* 1,728,400 28,846,996 Citrix Systems, Inc.* 6,000 122,160 Computer Associates International, Inc. 2,200 49,016 Computer Sciences Corporation* 700 26,684 Compuware Corporation* 5,900 34,043 Comverse Technology, Inc.* 3,800 57,114 Conexant Systems, Inc.* 5,200 21,320 Corning, Inc.* 22,100 163,319 CSG Systems International, Inc.* 2,100 29,673 Cypress Semiconductor Corporation* 3,800 45,600 Dell Computer Corporation* 984,300 31,458,228 Edwards (J.D.) & Co.* 4,000 57,320 Electronic Data Systems Corporation 16,200 347,490 EMC Corporation* 50,000 523,500 Emulex Corporation* 2,600 59,202 Fairchild Semicoductor International, Inc.* 4,300 54,997
SHARES VALUE ---------- -------------- General Dynamics Corporation 1,700 $ 123,250 Harris Corporation 1,300 39,065 Ingram Micro, Inc. Class A* 900 9,900 Integrated Circuit Systems, Inc.* 1,900 59,717 Integrated Device Technology, Inc.* 2,200 24,310 Intel Corporation 1,186,140 24,652,734 International Business Machines Corporation 31,800 2,623,500 International Rectifier Corporation* 2,200 59,004 Intersil Corporation Class A* 3,100 82,491 Intuit, Inc.* 7,600 338,428 Jabil Circuit, Inc.* 5,700 125,970 JDS Uniphase Corporation* 27,180 95,402 Juniper Networks, Inc.* 11,400 141,018 L-3 Communications Holdings, Inc.* 2,800 121,772 Linear Technology Corporation 12,700 409,067 LSI Logic Corporation* 7,400 52,392 Macromedia, Inc.* 2,000 42,080 Maxim Integrated Products, Inc. 538,959 18,427,008 Mercury Interactive Corporation* 3,100 119,691 Micrel, Inc.* 2,500 25,975 Microchip Technology, Inc. 8,012 197,336 Micron Technology, Inc.* 11,100 129,093 Microsoft Corporation 1,991,500 51,002,315 Mindspeed Technologies, Inc.* 1,733 4,680 Motorola, Inc. 60,021 565,998 National Instruments Corporation* 1,200 45,336 National Semiconductor Corporation* 6,100 120,292 Network Appliance, Inc.* 1,128,000 18,284,880 Network Associates, Inc.* 6,200 78,616 Nvidia Corporation* 5,400 124,254 Oracle Corporation* 480,300 5,773,206 PanAmSat Corporation* 600 11,058 Peoplesoft, Inc.* 11,000 193,490 PerkinElmer, Inc. 1,800 24,858 Perot Systems Corporation Class A* 2,600 29,536 PMC-Sierra, Inc.* 6,700 78,591 QLogic Corporation* 3,500 169,155 Qualcomm, Inc. 282,500 10,099,375 RealNetworks, Inc.* 3,000 20,340 Reynolds & Reynolds Co. (The) Class A 2,600 74,256 RF Micro Devices, Inc.* 6,300 37,926 Sanmina-SCI Corporation* 11,308 71,353 Seagate Technology, Inc.*+ 5,600 0 Semtech Corporation* 2,500 35,600 Siebel Systems, Inc.* 992,540 9,468,832
See Notes to Financial Statements. 73 GROWTH EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- -------------- Solectron Corporation* 16,500 $ 61,710 Storage Technology Corporation* 800 20,592 Sun Microsystems, Inc.* 63,200 290,720 Sybase, Inc.* 1,700 23,647 Symantec Corporation* 5,800 254,388 Symbol Technologies, Inc. 4,600 59,846 Synopsys, Inc.* 3,000 185,550 Taiwan Semiconductor Manufacturing Co., Ltd. ADR* 277,776 2,799,982 Tellabs, Inc.* 7,400 48,618 Texas Instruments, Inc. 69,600 1,224,960 Titan Corporation* 2,600 26,754 Unisys Corporation* 2,200 27,016 Utstarcom, Inc.* 72,800 2,589,496 Veritas Software Corporation* 114,125 3,271,964 Vishay Intertechnology, Inc.* 1,400 18,480 Xilinx, Inc.* 622,400 15,752,944 Zebra Technologies Corporation Class A* 900 67,671 -------------- 235,116,575 -------------- UTILITIES -- 1.3% AES Corporation (The)* 7,000 44,450 Amdocs, Ltd.* 184,700 4,432,801 AT&T Wireless Services, Inc.* 44,935 368,916 Citizens Communications Co.* 5,300 68,317 Comcast Corporation Class A* 5,200 156,936 Cox Communications, Inc. Class A* 400 12,760 Kinder Morgan, Inc. 2,200 120,230 Level 3 Communications, Inc.* 14,700 97,608 Mirant Corporation* 2,600 7,540 Nextel Communications, Inc. Class A* 30,300 547,824 Qwest Communications International, Inc.* 27,257 130,288 SBC Communications, Inc. 125,000 3,193,750
SHARES VALUE ---------- -------------- Sprint Corporation (PCS Group)* 507,700 $ 2,919,275 UnitedGlobalCom, Inc. Class A* 200 1,034 Vodafone Group PLC ADR 210,000 4,126,500 -------------- 16,228,229 -------------- TOTAL COMMON STOCK (Cost $1,175,596,500) 1,140,001,820 -------------- SHORT-TERM INVESTMENTS -- 11.1% AB Funds Trust -- Money Market Fund (Affiliated Fund) 67,313,126 67,313,126 Northern Institutional Liquid Assets Portfolio sec. 67,428,296 67,428,296 -------------- TOTAL SHORT-TERM INVESTMENTS (Cost $137,741,422) 134,741,422 -------------- PAR ---------- U.S. TREASURY OBLIGATIONS -- 0.3% U.S. Treasury Bills 1.00%, 07/17/03++++ $ 100,000 99,958 1.15%, 07/17/03++++ 3,805,000 3,803,384 -------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $3,903,021) 3,903,342 -------------- SHARES ---------- WARRANTS -- 0.0% TECHNOLOGY Orbital Sciences Corporation, Strike Price $4.82, 8/31/04* (Cost $0) 328 1,105 -------------- TOTAL INVESTMENTS -- 105.6% (Cost $1,314,240,943) 1,278,647,689 LIABILITIES IN EXCESS OF OTHER ASSETS -- (5.6%) (68,575,991) -------------- NET ASSETS -- 100.0% $1,210,071,698 ==============
See Notes to Financial Statements. 74 SMALL CAP EQUITY FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03 - --------------------------------------------------------------------------------
RUSSELL 2000(R) RETIREMENT CLASS* INSTITUTIONAL CLASS* RETAIL CLASS* INDEX** ----------------- -------------------- ------------- --------------- One Year (3.83%) (3.74%) (4.07%) (1.64%) Since Inception (8/27/01 -- 6/30/03) (4.31%) (4.08%) (4.48%) (2.33%)
Past performance is no guarantee of future results, share prices will fluctuate, and you may have a gain or loss when you redeem shares. [LINE GRAPH]
SMALL CAP RETIREMENT CLASS RUSSELL 2000(R) INDEX** -------------------------- ----------------------- 08/27/01 10000.00 10000.00 8/31/01 9770.00 9748.00 09/30/01 8317.00 8436.00 10/31/01 8845.00 8929.00 11/30/01 9541.00 9621.00 12/31/01 10084.00 10214.00 01/31/02 10000.00 10108.00 02/28/02 9656.00 9831.00 03/31/02 10543.00 10621.00 04/30/02 10497.00 10718.00 05/31/02 10122.00 10242.00 06/30/02 9587.00 9734.00 07/31/02 8125.00 8264.00 08/31/02 8148.00 8243.00 09/30/02 7445.00 7651.00 10/31/02 7682.00 7896.00 11/30/02 8363.00 8601.00 12/31/02 7842.00 8122.00 1/31/03 7636.00 7897.00 2/28/03 7429.00 7659.00 3/31/03 7506.00 7757.00 4/30/03 8233.00 8493.00 5/31/03 9021.00 9404.00 6/30/03 9220.00 9574.00
The graph compares the results of a $10,000 investment in the Retirement Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Russell 2000(R) Index. **These returns reflect expense waivers by the Fund's investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. **The Russell 2000(R) Index is a small-cap equity index comprised of the 2,000 smallest companies in the Russell 3000(R) Index, which represents approximately 8% of the total market capitalization of the Russell 3000(R) Index. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. Not Part of the Semi-Annual Report 75 SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2003 SHARES VALUE - ------------- ---------- ------------ COMMON STOCK -- 93.4% AUTO & TRANSPORTATION -- 4.0% AAR Corporation 2,000 $ 14,120 Airborne, Inc. 3,800 79,420 Airtran Holdings, Inc.* 13,200 138,204 Alaska Air Group, Inc.* 1,900 40,755 Alexander & Baldwin, Inc. 16,000 424,480 American Axle & Manufacturing 14,000 334,600 Holdings, Inc.* Arctic Cat, Inc. 700 13,412 Arkansas Best Corporation 11,500 273,585 ArvinMeritor, Inc. 4,600 92,828 ATA Holdings Corporation* 200 1,518 Atlas Air Worldwide Holdings, 1,200 1,764 Inc.* Autoliv, Inc. 36,700 993,836 Aviall, Inc.* 1,600 18,192 Bandag, Inc. 800 29,816 BorgWarner, Inc. 7,200 463,680 CNF, Inc. 19,200 487,296 Coachmen Industries, Inc. 1,100 13,145 Collins & Aikman Corporation* 1,100 3,245 Covenant Transport, Inc. Class 500 8,500 A* Dana Corporation 11,700 135,252 Decoma International, Inc.* 21,100 181,059 Dura Automotive Systems, Inc. 27,500 269,775 Class A* EGL, Inc.* 2,000 30,400 ExpressJet Holdings, Inc.* 53,500 807,850 Fleetwood Enterprises, Inc.* 2,800 20,720 Florida East Coast, Inc. 1,800 45,990 Frontier Airlines, Inc.* 500 4,540 Genesee & Wyoming, Inc. Class 600 12,342 A* Gentex Corporation* 16,200 495,882 Gulfmark Offshore, Inc.* 32,100 541,848 Heartland Express, Inc.* 1,100 24,475 Hunt (J.B.) Transport 11,600 437,900 Services, Inc.* IMPCO Technologies, Inc.* 1,000 6,160 Kansas City Southern* 4,800 57,744 Keystone Automotive 700 12,782 Industries, Inc.* Kirby Corporation* 7,897 222,695 Lear Corporation* 8,100 372,762 Mesaba Holdings, Inc.* 800 4,936 Midwest Express Holdings, 1,000 2,620 Inc.* Modine Manufacturing Co. 2,300 44,551 Monaco Coach Corporation* 600 9,198 Offshore Logistics, Inc.* 13,600 295,800 Old Dominion Freight Line, 9,350 202,147 Inc.* OMI Corporation* 55,600 342,496 Oshkosh Truck Corporation 500 29,660 Overseas Shipholding Group, 11,900 261,919 Inc.
SHARES VALUE ---------- ------------ P.A.M Transportation Services, 19,600 $ 492,352 Inc.* Pacer International, Inc.* 27,500 518,650 Petroleum Helicopters, Inc.* 200 6,310 RailAmerica, Inc.* 2,200 18,590 Raytech Corporation* 3,300 14,025 Roadway Corporation 12,500 356,625 Sauer-Danfoss, Inc. 800 8,600 SCS Transportation, Inc.* 750 9,473 Standard Motor Products, Inc. 500 5,550 Stoneridge, Inc.* 1,000 13,650 Superior Industries 700 29,190 International, Inc. TBC Corporation* 1,300 24,765 Teekay Shipping Corporation 14,800 634,920 Tenneco Automotive, Inc.* 2,900 10,440 Tower Automotive, Inc.* 33,100 121,146 U.S. Xpress Enterprises, Inc. 400 4,264 Class A* USF Corporation 2,100 56,637 UTI Worldwide, Inc. 7,000 218,330 Wabash National Corporation* 2,000 28,060 Wabtec Corporation 19,700 274,027 Werner Enterprises, Inc. 3,100 65,720 Yellow Corporation* 29,400 680,610 ------------ 11,897,833 ------------ CONSUMER DISCRETIONARY -- 21.1% 1-800-FLOWERS.COM, Inc. Class 20,900 172,216 A* 4Kids Entertainment, Inc.* 700 13,020 99 Cents Only Stores* 5,332 182,994 Aaron Rents, Inc. 39,100 1,008,780 Acme Communications, Inc.* 200 1,520 Advance Auto Parts* 13,000 791,700 Advanced Marketing Services, 200 2,600 Inc. Advisory Board Co. (The)* 7,800 316,056 Advo, Inc.* 20,300 901,320 Aeropostale, Inc.* 13,800 296,424 Alberto-Culver Co. Class A 3,600 179,208 Alderwoods Group, Inc.* 3,100 16,926 Alloy, Inc.* 24,900 160,605 AMC Entertainment, Inc.* 68,000 777,920 Amerco, Inc.* 800 5,696 American Eagle Outfitters, 20,700 379,638 Inc.* American Greetings Corporation 25,800 506,712 Class A* American Woodmark Corporation 2,000 93,120 Angelica Corporation 700 11,865 AnnTaylor Stores Corporation* 2,600 75,270 Applica, Inc. 1,300 11,050 Aquantive, Inc.* 2,700 28,350 Arbitron, Inc.* 25,300 903,210 Asbury Automotive Group, Inc.* 600 8,088 Ascent Media Group, Inc. Class 400 496 A*
See Notes to Financial Statements. 76
SHARES VALUE ---------- ------------ Atari, Inc.* 100 $ 445 Bally Total Fitness Holding 2,200 19,866 Corporation* Banta Corporation 27,800 899,886 Barnes & Noble, Inc.* 13,800 318,090 Bassett Furniture Industries, 800 10,624 Inc. Beasley Broadcasting Group, 17,400 238,032 Inc. Class A* Big Lots, Inc.* 19,700 296,288 Blair Corporation 600 13,320 Blyth, Inc. 7,300 198,560 Bob Evans Farms, Inc. 31,000 856,530 Boca Resorts, Inc. Class A* 2,300 29,900 Bombay Co., Inc. (The)* 2,600 27,638 Borders Group, Inc.* 27,700 487,797 Bowne & Co., Inc. 2,700 35,181 Brink's Co. (The) 9,800 142,786 Brookstone, Inc.* 700 14,175 Brown Shoe Co., Inc. 20,800 619,840 Buckle, Inc. (The)* 24,700 474,981 Burlington Coat Factory 1,400 25,060 Warehouse Corporation Bush Industries, Inc. Class A 600 1,800 Callaway Golf Co. 19,900 263,078 Carmax, Inc.* 16,700 503,505 Carmike Cinemas, Inc.* 200 4,544 Casella Waste Systems, Inc. 1,300 11,739 Class A* Catalina Marketing 37,000 653,050 Corporation* CBRL Group, Inc. 8,800 341,968 CDI Corporation* 17,600 456,896 Central Garden & Pet Co.* 21,100 503,235 Central Parking Corporation 1,200 14,832 Century Business Services, 87,600 284,700 Inc.* Championship Auto Racing 800 2,000 Teams, Inc.* Charles River Associates, 500 14,135 Inc.* Charming Shoppes, Inc.* 8,500 42,245 Checkers Drive-In Restaurants, 100 1,144 Inc.* Cherokee, Inc.* 300 6,006 Choice Hotels International, 29,400 802,914 Inc.* Circuit City Stores, Inc. -- 72,100 634,480 Circuit City Group CKE Restaurants, Inc.* 3,400 19,006 Claire's Stores, Inc. 35,800 907,888 Clark, Inc.* 800 9,560 CNET Networks, Inc.* 4,600 28,658 Coinstar, Inc.* 10,500 198,030 Coldwater Creek, Inc.* 450 5,549 Cole National Corporation* 700 8,764 Concord Camera Corporation* 1,900 13,471 Consolidated Graphics, Inc.* 900 20,592 Convergys Corporation* 39,000 624,000 Copart, Inc.* 27,000 255,150 Corinthian Colleges, Inc.* 14,400 699,408
SHARES VALUE ---------- ------------ Cornell Cos., Inc.* 1,000 $ 15,140 Corporate Executive Board Co.* 37,900 1,536,087 Corrections Corporation of 26,900 681,377 America* Cost Plus, Inc.* 10,600 377,996 CoStar Group, Inc.* 10,250 306,065 CPI Corporation 200 3,530 Crown Media Holdings, Inc. 2,000 8,260 Class A* CSK Auto Corporation* 700 10,115 CSS Industries, Inc. 300 11,565 Cumulus Media, Inc. Class A* 11,800 223,374 Dave & Buster's, Inc.* 900 9,810 Deb Shops, Inc. 100 1,880 Department 56, Inc.* 900 13,797 DiamondCluster International, 1,000 3,710 Inc. Class A* Dollar Thrifty Automotive 33,300 617,715 Group, Inc.* DoubleClick, Inc.* 2,600 24,050 Dover Motorsports, Inc. 1,200 4,920 Dress Barn, Inc.* 1,500 19,005 Drugstore.com, Inc.* 2,100 12,264 EarthLink, Inc.* 18,000 142,020 Education Management 39,100 2,079,337 Corporation* Elizabeth Arden, Inc.* 200 2,634 Emmis Communications 17,400 399,330 Corporation Class A* Entercom Communications 8,000 392,080 Corporation* Entravision Communications 17,200 195,220 Corporation Class A* EUniverse, Inc.*+ 300 1,068 FindWhat.Com* 5,250 99,435 Finish Line, Inc. (The) Class 1,400 31,094 A* Finlay Enterprises, Inc.* 400 6,620 First Consulting Group, Inc.* 37,000 172,790 Fisher Communications, Inc. 400 19,564 Footstar, Inc.* 51,900 674,700 Forrester Research, Inc.* 14,100 230,676 Fred's, Inc. 17,900 665,522 Friedman's, Inc. Class A 1,300 14,781 FTI Consulting, Inc.* 22,775 568,692 G & K Services, Inc. Class A 1,000 29,600 Galyan's Trading Co., Inc.* 100 1,434 Gaylord Entertainment Co.* 1,800 35,226 Genesco, Inc.* 7,800 138,060 Getty Images, Inc.* 36,800 1,519,840 Goody's Family Clothing, Inc.* 1,200 10,380 Gray Television, Inc. 5,600 69,440 Gray Television, Inc. Class A 600 7,380 Group 1 Automotive, Inc.* 300 9,723 Guess?, Inc.* 600 3,600 Guitar Center, Inc.* 2,300 66,700 Gymboree Corporation* 12,900 216,462
See Notes to Financial Statements. 77 SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- ------------ Hall Kinion & Associates, 600 $ 1,644 Inc.* Hancock Fabrics, Inc. 600 9,690 Handleman Co.* 37,500 600,000 Harris Interactive, Inc.* 2,900 19,111 Haverty Furniture Cos., Inc. 700 12,250 Hiedrick & Struggles 1,300 16,406 International, Inc.* Hollinger International, Inc. 1,000 10,770 Hollywood Entertainment 7,600 130,720 Corporation* Hot Topic, Inc.* 14,000 376,740 IHOP Corporation 200 6,314 IKON Office Solutions, Inc. 36,400 323,960 Information Holdings, Inc.* 26,100 476,325 Insight Communications Co., 3,000 39,540 Inc.* Insurance Auto Auctions, Inc.* 800 10,048 Intertan, Inc.* 400 3,280 ITT Educational Services, 19,200 561,600 Inc.* Jack in the Box, Inc.* 1,500 33,450 Jakks Pacific, Inc.* 1,800 23,922 Jo-Ann Stores, Inc. Class A* 1,100 27,830 Johnson Outdoors, Inc. Class 300 4,095 A* Journal Register Co.* 15,000 271,350 K-Swiss, Inc. Class A 11,300 390,076 K2, Inc.* 2,100 25,725 Kellwood Co. 2,000 63,260 Kelly Services, Inc. Class A 700 16,415 Kenneth Cole Productions, Inc. 200 3,898 Class A* Kforce, Inc.* 1,500 7,245 Kirkland's, Inc.* 16,700 269,705 Korn/Ferry International* 3,000 24,300 Landry's Restaurants, Inc. 37,700 889,720 Lawson Products, Inc. 400 11,016 Liberty Corporation 1,300 55,250 Lightbridge, Inc.* 2,000 17,520 Lin TV Corporation Class A* 5,000 117,750 Linens 'N Things, Inc.* 200 4,722 Lithia Motors, Inc. Class A* 900 14,553 Lodgenet Entertainment 47,200 516,840 Corporation* Lone Star Steakhouse & Saloon, 1,300 28,301 Inc. Luby's, Inc.* 1,700 3,825 Mail-Well, Inc.* 2,200 5,544 Marcus Corporation 1,600 23,920 MarineMax, Inc.* 600 8,400 Marvel Enterprises, Inc.* 36,700 700,970 MAXIMUS, Inc.* 15,500 428,265 Maxwell Shoe Co., Inc. Class 5,800 83,520 A* Media General, Inc. Class A 9,700 554,840 Medical Staffing Network 300 2,100 Holdings, Inc.* Memberworks, Inc.* 300 5,925 Men's Warehouse, Inc.* 1,600 34,960
SHARES VALUE ---------- ------------ Midas, Inc.* 400 $ 4,848 Mohawk Industries, Inc.* 5,800 322,074 Monro Muffler Brake, Inc.* 400 11,304 Mossimo, Inc.* 300 1,242 Movado Group, Inc. 700 15,225 Movie Gallery, Inc.* 32,800 605,160 MPS Group, Inc.* 7,400 50,912 MSC Industrial Direct Co., 18,900 338,310 Inc. Class A* National Presto Industries, 400 12,640 Inc. Natuzzi SPA ADR 15,000 120,300 Nautica Enterprises, Inc.* 2,000 25,660 Navigant Consulting, Inc.* 13,500 159,975 Navigant International, Inc.* 1,000 12,900 Neoforma, Inc.* 600 6,552 Netflix, Inc.* 100 2,555 NetRatings, Inc.* 600 5,484 Nu Skin Enterprises, Inc. 46,500 485,925 Class A O'Charley's, Inc.* 100 2,153 OfficeMax, Inc.* 9,100 59,605 Oneida, Ltd. 600 4,050 Overstock.com, Inc.* 100 1,451 Oxford Industries, Inc. 500 20,760 Pacific Sunwear of California, 16,700 402,303 Inc.* Panera Bread Co. Class A* 10,200 408,000 Papa John's International, 40,300 1,130,415 Inc.* Paxson Communications 1,100 6,589 Corporation* Payless ShoeSource, Inc.* 8,800 110,000 PC Connection, Inc.* 400 2,720 PDI, Inc.* 400 4,064 Pegasus Solutions, Inc.* 2,000 32,500 Pep Boys-Manny, Moe & Jack 3,800 51,338 PF Chang's China Bistro, Inc.* 2,800 137,788 Phillips-Van Heusen 2,000 27,260 Corporation PLATO Learning, Inc.* 200 1,150 Playtex Products, Inc.* 34,400 220,848 Pricesmart, Inc.* 300 3,981 Prime Hospitality Corporation* 3,600 24,156 Primedia, Inc.* 3,300 10,065 ProQuest Co.* 28,200 727,560 Protection One, Inc.* 900 882 Pulitzer, Inc. 700 34,594 Quicksilver, Inc.* 14,000 230,860 R.H. Donnelley Corporation* 1,100 40,117 Radio One, Inc. Class D* 32,300 573,971 Raindance Communications, 3,000 7,470 Inc.* Rare Hospitality 15,800 516,344 International, Inc.* Regent Communications, Inc.* 1,000 5,900 Regis Corporation 1,000 29,050 Register.com, Inc.* 2,300 13,478 Remedytemp, Inc. Class A* 400 3,692 Rent-A-Center, Inc.* 24,000 1,819,439 Rent-Way, Inc.* 2,000 9,300
See Notes to Financial Statements. 78
SHARES VALUE ---------- ------------ Resources Connection, Inc.* 30,500 $ 727,730 Revlon, Inc. Class A* 600 1,800 Rex Stores Corporation* 700 8,477 Right Management Consultants, 150 1,898 Inc.* Roto-Rooter, Inc. 800 30,512 Russ Berrie & Co., Inc. 700 25,557 Russell Corporation 29,100 552,900 Ryan's Family Steak Houses, 25,700 359,800 Inc.* Saga Communications, Inc. 36,000 700,200 Class A* Saks, Inc.* 61,400 595,580 Salton, Inc.* 500 4,510 Scholastic Corporation* 11,000 327,580 School Specialty, Inc.* 300 8,538 SCP Pool Corporation* 39,200 1,348,480 Service Corporation 23,400 90,558 International* Sharper Image Corporation* 100 2,727 Shoe Carnival, Inc.* 400 5,904 ShopKo Stores, Inc.* 34,900 453,700 Sina Corporation* 11,300 229,729 Sinclair Broadcast Group, Inc. 11,000 127,710 Class A* Sirius Satellite Radio, Inc.* 65,200 110,188 Sitel Corporation* 4,500 6,975 Six Flags, Inc.* 15,200 103,056 Skechers USA, Inc. Class A* 100 740 SOURCECORP, Inc.* 800 17,280 Spanish Broadcasting Systems, 62,400 508,560 Inc. Class A* Speedway Motorsports, Inc. 100 2,680 Spherion Corporation* 21,700 150,815 Sports Authority, Inc. (The)* 1,200 12,840 Stage Stores, Inc.* 15,200 357,200 Stamps.com, Inc.* 2,400 11,520 Starrett (L.S.) Co. Class A 500 6,475 Steak n Shake Co. (The)* 1,200 18,300 Stein Mart, Inc.* 700 4,193 Steinway Musical Intruments, 300 4,620 Inc.* Steven Madden, Ltd.* 700 15,288 Stewart Enterprises, Inc. 7,600 32,680 Class A* Strayer Education, Inc. 5,200 413,140 Stride Rite Corporation 3,100 30,876 Sturm Ruger & Co., Inc. 200 2,000 Summit America Television, 1,200 3,468 Inc.* Sylvan Learning Systems, Inc.* 500 11,420 Take-Two Interactive Software, 10,700 303,238 Inc.* Tetra Tech, Inc.* 3,800 65,094 Thomas Nelson, Inc.* 600 7,500 Timberland Co. Class A* 11,700 618,462 Tommy Hilfiger Corporation* 92,900 858,396 Too, Inc.* 38,500 779,625
SHARES VALUE ---------- ------------ Topps Co. (The)* 36,800 $ 316,112 Toro Co. 1,200 47,700 Tractor Supply Co.* 8,300 396,325 Trans World Entertainment 1,300 6,656 Corporation* Triarc Cos., Inc.* 1,100 32,989 Tuesday Morning Corporation* 11,800 310,340 Tupperware Corporation 1,800 25,848 Tweeter Home Entertainment 1,400 12,152 Group, Inc.* UniFirst Corporation 600 13,140 United Auto Group, Inc.* 1,300 28,314 United Natural Foods, Inc.* 14,000 393,960 United Online, Inc.* 10,700 271,138 United Stationers, Inc.* 22,200 802,974 Urban Outfitters, Inc.* 8,000 287,200 Vail Resorts, Inc.* 700 9,429 Valassis Communications, Inc.* 23,900 614,708 Valueclick, Inc.* 4,100 24,723 Valuevision Media, Inc. Class 19,200 261,696 A* Vans, Inc.* 1,400 12,572 VeriSign, Inc.* 25,300 349,899 Volt Information Sciences, 600 8,190 Inc.* Wackenhut Corrections 46,600 638,886 Corporation* Warnaco Group, Inc. (The)* 15,500 208,475 Waste Connections, Inc.* 300 10,515 Water Pik Technologies, Inc.* 800 6,216 Watson Wyatt & Co. Holdings* 6,400 148,352 WESCO International, Inc.* 27,000 162,000 West Corporation* 22,100 588,965 West Marine, Inc.* 800 14,008 Wet Seal, Inc. Class A* 6,700 71,556 Wilsons The Leather Experts, 1,100 7,931 Inc.* Wireless Facilities, Inc.* 1,100 13,090 Wolverine World Wide, Inc. 3,300 63,558 World Fuel Services 500 12,295 Corporation Wyndham International, Inc. 11,100 4,884 Class A* XM Satellite Radio Holdings, 5,300 58,565 Inc. Class A* Young Broadcasting, Inc. Class 700 14,791 A* ------------ 63,003,398 ------------ CONSUMER STAPLES -- 2.3% 7-Eleven, Inc.* 54,900 579,195 American Italian Pasta Co. 17,200 716,380 Class A* Aurora Foods, Inc.* 1,700 595 Casey's General Stores, Inc. 3,100 43,834 Chiquita Brands International, 55,000 797,500 Inc.* Del Monte Foods Co.* 33,600 297,024 Duane Reade, Inc.* 11,100 163,725 Farmer Brothers Co. 100 33,929
See Notes to Financial Statements. 79 SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- ------------ Flowers Foods, Inc. 2,550 $ 50,388 Fresh Del Monte Produce, Inc. 24,700 634,543 Great Atlantic & Pacific Tea 1,300 11,440 Co., Inc.* Hain Celestial Group, Inc.* 1,900 30,381 Ingles Markets, Inc. Class A 800 8,080 International Multifoods 29,400 673,554 Corporation* Interstate Bakeries 13,000 165,100 Corporation J & J Snack Foods Corporation* 200 6,326 J.M. Smucker Co. (The) 2,000 79,780 Long's Drug Stores Corporation 2,500 41,500 Maui Land & Pineapple Co., 200 4,496 Inc.* Nash Finch Co. 100 1,665 Nature's Sunshine Products, 800 6,408 Inc. Pathmark Stores, Inc.* 39,800 304,470 Pilgrim's Pride Corporation 15,900 114,162 Class A Pilgrim's Pride Corporation 1,200 11,604 Class B Ralcorp Holdings, Inc.* 2,400 59,904 Ruddick Corporation 2,500 39,300 Sanderson Farms, Inc. 13,400 376,540 Seaboard Corporation 30 6,210 Sensient Technologies 15,400 354,046 Corporation Smart & Final, Inc.* 900 4,167 Supervalu, Inc. 27,300 582,036 Tasty Baking Co. 300 3,150 Weis Markets, Inc. 800 24,816 Winn-Dixie Stores, Inc. 40,000 492,400 ------------ 6,718,648 ------------ FINANCIAL SERVICES -- 17.4% 1st Source Corporation 1,200 22,272 ABC Bancorp 800 11,464 Acadia Realty Trust REIT 1,100 10,065 Advanta Corporation Class B 1,800 18,108 Affiliated Managers Group, 10,800 658,260 Inc.* AG Edwards, Inc 25,000 855,000 Alabama National Bancorp 600 29,088 Alfa Corporation 1,400 17,794 Allegiant Bancorp, Inc. 900 18,225 Alliance Data Systems 64,100 1,499,939 Corporation* Amcore Financial, Inc. 2,000 46,560 American Capital Strategies, 3,000 74,820 Ltd. American Financial Group, Inc. 27,300 622,440 American National Bankshares, 300 8,067 Inc. American Physicians Capital, 700 16,975 Inc.* AMLI Residential Properties 1,100 25,905 Trust REIT Anthracite Capital, Inc. REIT 3,700 44,622
SHARES VALUE ---------- ------------ Anworth Mortgage Asset 2,100 $ 32,382 Corporation REIT Apex Mortgage Capital, Inc. 2,100 11,487 REIT Arch Capital Group, Ltd.* 15,800 548,734 Argonaut Group, Inc. 1,700 20,961 Associated Banc-Corp 17,100 630,648 Associated Estates Realty REIT 1,300 8,541 Astoria Financial Corporation 19,600 547,428 Baldwin & Lyons, Inc. Class B 625 14,844 Banc Corporation 1,000 6,710 Bancfirst Corporation 300 15,558 Bancorpsouth, Inc. 34,300 715,155 Bank Mutual Corporation 900 29,250 Bank of Granite Corporation 900 15,345 Bank of Hawaii Corporation 11,500 381,225 Bank of the Ozarks, Inc. 3,150 122,094 BankAtlantic Bancorp, Inc. 3,300 39,237 Class A BankUnited Financial 12,900 259,935 Corporation Class A* Banner Corporation 800 16,392 Bay View Capital Corporation* 5,000 28,900 Bedford Property Investors, 1,200 34,080 Inc. REIT Berkshire Hills Bancorp, Inc. 500 14,200 BISYS Group, Inc. (The)* 54,400 999,327 BKF Capital Group, Inc.* 400 8,732 Boston Private Financial 36,000 758,880 Holdings, Inc. BostonFed Bancorp, Inc. 300 8,073 Boykin Lodging Co., Inc. REIT 1,400 10,920 Brandywine Realty Trust REIT 2,100 51,702 Brookfield Properties 13,200 280,500 Corporation Brookline Bancorp, Inc. 10,100 141,400 BSB Bancorp, Inc. 600 14,892 California First National 300 2,847 Bancorp Camden National Corporation 500 13,750 Capital Automotive REIT 1,900 53,181 Capital City Bank Group, Inc. 750 27,150 Capstead Mortgage Corporation 800 9,016 REIT Cascade Bancorp 400 6,932 Cash America International, 1,700 22,474 Inc. CB Bancshares, Inc. 330 20,500 CBL & Associates Properties, 1,500 64,500 Inc. REIT CCBT Financial Cos., Inc. 600 14,334 CCC Information Services 200 2,900 Group* Central Pacific Financial 100 2,770 Corporation Century Bancorp, Inc. Class A 100 2,978 Ceres Group, Inc.* 1,400 4,032 Certegy, Inc.* 12,800 355,200 CFS Bancorp, Inc. 900 12,690
See Notes to Financial Statements. 80
SHARES VALUE ---------- ------------ Charter Financial Corporation 200 $ 5,650 Charter Municipal Mortgage 3,300 62,733 Acceptance Co. Chemical Financial Corporation 1,780 53,044 Chittenden Corporation 355 9,709 Citizens First Bancorp, Inc. 700 15,288 City Bank Lynwood 200 5,412 City Holdings Co. 500 14,635 CNA Surety Corporation 1,200 11,820 Coastal Bancorp, Inc. 300 8,526 Colonial Properties Trust REIT 1,200 42,228 Columbia Banking System, Inc.* 1,100 19,701 Commerce Group, Inc. 15,700 568,340 Commercial Federal Corporation 3,600 76,320 Commercial Net Lease Realty, 2,900 49,996 Inc. REIT Community Bank System, Inc. 900 34,200 Community Banks, Inc. 210 6,245 Community First Bankshares, 1,900 51,870 Inc. Community Trust Bancorp, Inc. 990 25,879 CompuCredit Corporation* 1,000 12,150 Connecticut Bancshares, Inc. 900 35,325 Cornerstone Realty Income 3,800 27,778 Trust, Inc. REIT Corporate Office Properties 1,700 28,781 Trust REIT Correctional Properties Trust 600 16,800 REIT Corus Bankshares, Inc. 700 33,901 Credit Acceptance Corporation* 200 2,018 CVB Financial Corporation 25,425 496,296 Delphi Financial Group, Inc. 8,300 388,440 Class A Digital Insight Corporation* 34,950 665,798 Dime Community Bancshares 24,500 623,525 Doral Financial Corporation 17,700 790,305 E*TRADE Group, Inc.* 41,900 356,150 East West Bancorp, Inc. 700 25,298 Eastgroup Properties REIT 1,200 32,400 eFunds Corporation* 700 8,071 Electro Rent Corporation* 11,800 127,204 EMC Insurance Group, Inc. 200 3,710 Entertainment Properties Trust 1,400 40,250 REIT Equity Inns, Inc. REIT 3,200 22,080 Equity One, Inc. REIT 2,240 36,736 F&M Bancorp 800 39,456 Farmers Capital Bank 400 12,772 Corporation FBL Financial Group, Inc. 900 18,135 Class A Federated Investors, Inc. 11,000 301,620 Class B FelCor Lodging Trust, Inc. 3,900 30,615 REIT Fidelity Bankshares, Inc. 1,200 26,760 Fidelity National Financial, 23,100 710,556 Inc. Financial Industries 600 8,844 Corporation
SHARES VALUE ---------- ------------ First American Corporation 30,500 $ 803,675 First Bancorp 600 15,546 First Charter Corporation 2,500 43,500 First Citizens BancShares, 500 50,420 Inc. Class A First Commonwealth Financial 4,700 60,912 Corporation First Community Bancshares, 400 14,120 Inc. First Defiance Financial 400 7,936 Corporation First Essex Bancorp, Inc. 500 23,570 First Federal Capital 1,300 25,805 Corporation First Financial Corporation 500 26,450 First Financial Bancorp 2,700 43,200 First Financial Bankshares, 750 25,095 Inc. First Financial Holdings, Inc. 800 21,632 First Indiana Corporation 900 15,408 First Merchants Corporation 1,220 29,658 First National Corporation 220 5,425 First Oak Brook Bancshares, 200 6,598 Inc. First of Long Island 200 7,980 Corporation (The) First Place Financial 1,000 17,320 Corporation First Republic Bank* 700 18,620 First Sentinal Bancorp, Inc. 1,700 27,149 FirstFed America Bancorp, Inc. 600 20,700 FirstFed Financial 18,800 663,452 Corporation* Flagstar Bancorp, Inc. 37,400 914,430 Flushing Financial Corporation 700 15,519 FNB Corporation 400 10,828 FPIC Insurance Group, Inc.* 700 9,709 Fremont General Corporation 55,300 757,610 Friedman, Billings, Ramsey 6,140 82,276 Group, Inc. Class A Gables Residential Trust REIT 1,700 51,391 GBC Bancorp 600 23,040 German American Bancorp 767 13,384 Glacier Bancorp, Inc. 440 10,833 Glenborough Realty Trust, Inc. 1,200 22,980 REIT Glimcher Realty Trust REIT 400 8,960 Global Payments, Inc. 24,400 866,200 Gold Banc Corporation, Inc. 2,500 26,275 Great American Financial 600 7,866 Resources, Inc. Great Lakes REIT 1,000 16,000 Greater Bay Bancorp 7,700 157,234 Hancock Holding Co. 1,100 51,766 Harbor Florida Bancshares, 1,400 33,544 Inc. Harleysville Group, Inc. 2,400 55,248 Hawthorne Financial 600 20,796 Corporation* HCC Insurance Holdings, Inc. 10,400 307,528 Health Care REIT, Inc. 3,100 94,550 Healthcare Realty Trust, Inc. 3,300 96,195 REIT
See Notes to Financial Statements. 81 SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- ------------ HealthExtras, Inc.* 300 $ 2,346 Henry (Jack) & Associates, 37,700 670,683 Inc. Heritage Property Investment 1,400 37,912 Trust REIT Hibernia Corporation Class A 42,500 771,800 Home Properties of New York, 2,200 77,528 Inc. REIT Homestore, Inc.* 6,100 10,797 Horace Mann Educators 19,600 316,148 Corporation* HRPT Properties Trust REIT 10,200 93,840 Hudson River Bancorp, Inc. 1,200 33,504 Hypercom Corporation* 2,700 11,205 IBERIABANK Corporation 500 24,400 Impac Mortgage Holdings, Inc. 3,900 65,091 REIT Independence Community Bank 23,200 654,704 Corporation Independence Holding Co. 300 6,333 Independent Bank Corporation 945 24,277 IndyMac Bancorp, Inc. 34,800 884,616 Infinity Property & Casualty 10,350 244,674 Corporation Innkeepers USA Trust REIT 2,000 13,600 Integra Bank Corporation 1,200 20,652 Interpool, Inc. 4,700 77,174 Investment Technology Group, 21,000 390,600 Inc.* Investors Financial Services 51,300 1,488,212 Corporation Investors Real Estate Trust 2,100 22,659 REIT iPayment, Inc.* 8,400 200,508 IPC Holdings, Ltd.* 9,200 308,200 Irwin Financial Corporation 18,500 479,150 ITLA Capital Corporation* 400 16,172 Jefferies Group, Inc. 12,350 614,907 John H. Harland Co. 26,200 685,392 Kansas City Life Insurance Co. 300 12,852 Keystone Property Trust REIT 1,300 24,063 Kilroy Realty Corporation REIT 1,900 52,250 Knight Trading Group, Inc.* 16,400 102,008 Koger Equity, Inc. REIT 1,500 25,845 Kramont Realty Trust REIT 1,600 26,400 La Quinta Corporation REIT* 10,900 46,979 Lakeland Financial Corporation 100 3,038 Landamerica Financial Group, 17,300 821,750 Inc. LaSalle Hotel Properties REIT 1,300 19,214 LendingTree, Inc.* 300 7,344 Lexington Corporate Properties 2,400 42,480 Trust REIT Local Financial Corporation* 1,400 20,216 LSB Bancshares, Inc. 600 10,386 LTC Properties, Inc. REIT 1,100 10,505 Macatawa Bank Corporation 525 12,647 MAF Bancorp, Inc. 1,000 37,070
SHARES VALUE ---------- ------------ MainSource Financial Group, 420 $ 10,235 Inc. Markel Corporation* 6,600 1,689,599 MASSBANK Corporation 300 10,851 MB Financial, Inc. 800 32,032 MCG Capital Corporation 1,200 17,400 Merchant Bancshares, Inc. 100 2,600 MeriStar Hospitality 3,200 16,448 Corporation REIT Metris Cos., Inc. 2,400 13,320 MFA Mortgage Investments, Inc. 2,700 27,108 REIT Mid-America Apartment 1,100 29,711 Communities, Inc. REIT Mid-Atlantic Realty Trust REIT 200 4,188 Mid-State Bancshares 1,700 33,575 Midland Co. 600 13,326 Mission West Properties, Inc. 700 7,959 REIT Montpelier Re Holdings, Ltd.* 11,500 363,400 NASB Financial, Inc. 100 2,900 National Health Investors, 1,800 33,192 Inc. REIT National Health Realty, Inc. 500 7,995 REIT National Western Life 200 22,086 Insurance Co. Class A* Nationwide Health Properties, 3,500 55,755 Inc. REIT Navigators Group, Inc.* 300 8,946 NBC Capital Corporation 500 12,650 NBT Bancorp, Inc. 1,200 23,220 NCO Group, Inc.* 1,500 26,865 NDCHealth Corporation 37,200 682,620 NetBank, Inc.* 2,600 34,216 New Century Financial 19,800 864,270 Corporation Novastar Financial, Inc. REIT 900 53,775 NYMAGIC, Inc. 100 2,026 OceanFirst Financial 400 9,772 Corporation Ocwen Financial Corporation* 2,900 13,166 Odyssey Re Holdings 30,300 639,330 Corporation Ohio Casualty Corporation* 4,000 52,720 Old Republic International 20,100 688,827 Corporation Old Second Bancorp, Inc. 400 17,140 Omega Financial Corporation 700 23,940 Omega Healthcare Investors, 1,200 6,300 Inc. REIT* Pacific Northwest Bancorp 200 6,952 Pacific Union Bank* 300 4,017 Pan Pacific Retail Properties, 2,874 113,092 Inc. REIT Parkvale Financial Corporation 400 9,832 Parkway Properties, Inc. REIT 700 29,435 Partners Trust Financial 400 7,632 Group, Inc.
See Notes to Financial Statements. 82
SHARES VALUE ---------- ------------ Pennfed Financial Services, 400 $ 11,100 Inc. Peoples Bancorp, Inc. 400 10,108 Peoples Holding Co. 400 17,700 PFF Bancorp, Inc. 800 30,920 Philadelphia Consolidated 1,300 52,520 Holding Corporation* PICO Holdings, Inc.* 500 6,500 Platinum Underwriters 6,200 168,268 Holdings, Ltd. PMA Capital Corporation Class 2,100 26,397 A PMI Group, Inc. (The) 33,100 888,404 Port Financial Corporation 400 21,552 Portfolio Recovery Associates, 7,900 246,401 Inc.* Post Properties, Inc. REIT 2,700 71,550 Prentiss Properties Trust REIT 2,400 71,976 Presidential Life Corporation 1,600 22,576 PRG-Schultz International, 33,000 194,700 Inc.* Price Legacy Corporation REIT* 1,400 5,250 ProAssurance Corporation* 1,900 51,281 Prosperity Bancshares, Inc. 500 9,625 Provident Bankshares 6,600 167,706 Corporation Provident Financial Group, 10,500 269,115 Inc. Provident Financial Services, 8,600 163,830 Inc.* PS Business Parks, Inc. REIT 800 28,240 Quaker City Bancorp, Inc.* 400 16,420 R&G Financial Corporation 24,300 721,710 Class B RAIT Investment Trust REIT 1,400 37,100 Ramco-Gershenson Properties 700 16,310 REIT Realty Income Corporation REIT 2,600 99,008 Redwood Trust, Inc. REIT 1,000 39,910 RenaissanceRe Holdings, Ltd. 14,000 637,280 Republic Bancorp, Inc. 14,290 191,772 Republic Bancorp, Inc. Class A 600 8,898 Republic Bancshares, Inc.* 400 10,004 RFS Hotel Investors, Inc. REIT 2,600 32,032 Riggs National Corporation 1,100 16,742 RLI Corporation 1,200 39,480 Royal Bancshares of 206 4,398 Pennsylvania, Inc. Class A Ryder System, Inc. 24,500 627,690 S&T Bancorp, Inc. 200 5,486 Sandy Spring Bancorp, Inc. 600 18,960 Santander Bancorp 700 11,452 Saul Centers, Inc. REIT 700 17,920 Saxon Capital, Inc.* 2,000 34,760 Scottish Annuity & Life 13,550 273,846 Holdings, Ltd. Seacoast Banking Corporation 700 11,928 of Florida Seacoast Financial Services 1,800 35,640 Corporation
SHARES VALUE ---------- ------------ Second Bancorp, Inc. 500 $ 12,900 Selective Insurance Group, 2,100 52,605 Inc. Senior Housing Properties 3,600 48,816 Trust REIT Shurgard Storage Centers, Inc. 600 19,848 Class A REIT Simmons First National 1,200 24,012 Corporation Class A Sizeler Property Investors 700 7,175 REIT SL Green Realty Corporation 2,100 73,269 REIT Sotheby's Holdings, Inc. Class 30,200 224,688 A* SoundView Technology Group, 1,180 11,942 Inc.* South Financial Group, Inc. 3,800 88,654 Southwest Bancorp of Texas, 10,600 344,606 Inc.* Southwest Bancorp, Inc. 400 10,964 Sovereign Bancorp, Inc. 42,900 671,385 Sovran Self Storage, Inc. REIT 1,000 31,500 St. Francis Capital 600 17,442 Corporation Stancorp Financial Group, Inc. 12,900 673,638 State Auto Financial 1,000 22,450 Corporation State Bancorp, Inc. 525 10,274 Staten Island Bancorp, Inc. 25,700 500,636 Sterling Bancorp 600 16,734 Sterling Bancshares, Inc. 1,600 20,928 Sterling Financial Corporation 300 6,975 Sterling Financial Corporation 1,210 29,476 WA* Stewart Information Services 21,700 604,345 Corporation* Summit Bancshares, Inc. 300 7,044 Summit Properties, Inc. REIT 1,800 37,170 Sun Bancorp, Inc. 400 8,072 Sun Bancorp, Inc. NJ* 525 10,448 Sun Communities, Inc. REIT 500 19,650 Superior Financial Corporation 600 14,400 Susquehanna Bancshares, Inc. 2,800 65,380 SWS Group, Inc. 1,100 22,165 Taubman Centers, Inc. REIT 2,300 44,068 Texas Regional Banchshares, 1,100 38,170 Inc. Class A Thornburg Mortgage, Inc. REIT 4,500 111,150 Tompkins Trustco, Inc. 100 4,465 Transcontinental Realty 200 2,940 Investors, Inc. REIT* Triad Guaranty, Inc.* 400 15,180 Trico Bancshares 200 5,086 Troy Financial Corporation 600 16,290 Trust Co. of New Jersey 1,100 33,330 U.S. Restaurant Properties, 1,600 25,120 Inc. REIT UCBH Holdings, Inc. 43,100 1,236,108 UICI* 47,900 721,853 UMB Financial Corporation 1,300 55,120
See Notes to Financial Statements. 83 SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- ------------ Umpqua Holdings Corporation 748 $ 14,205 Union Bankshares Corporation 600 16,962 United Community Financial 2,500 23,100 Corporation United Fire & Casualty Co. 600 19,494 United National Bancorp 300 8,277 Universal American Financial 1,800 11,466 Corporation* Universal Health Realty Income 700 18,900 Trust REIT Unizan Financial Corporation 1,800 31,626 Urstadt Biddle Properties, 1,500 19,290 Inc. Class A REIT USB Holding Co., Inc. 500 8,875 USI Holdings Corporation* 31,700 372,792 Ventas, Inc. REIT 4,400 66,660 Vesta Insurance Group, Inc. 2,700 6,210 Virginia Financial Group, Inc. 100 2,800 W Holding Co., Inc. 1,900 32,148 W.R. Berkley Corporation 8,050 424,235 Warwick Community Bancorp, 300 8,775 Inc. Washington Federal, Inc. 15,306 354,028 Waypoint Financial Corporation 2,600 46,904 Webster Financial Corporation 19,500 737,100 WesBanco, Inc. 1,600 38,880 West Coast Bancorp 1,300 23,660 Westcorp 10,300 288,400 Westfield Financial, Inc. 400 7,524 WFS Financial, Inc.* 100 3,351 Willow Grove Bancorp, Inc. 400 6,788 Winston Hotels, Inc. REIT 1,300 10,621 Wintrust Financial Corporation 19,200 568,320 World Acceptance Corporation* 800 13,024 WSFS Financial Corporation 100 3,840 Yardville National Bancorp 600 11,700 Zenith National Insurance 600 17,100 Corporation ------------ 51,900,638 ------------ HEALTHCARE -- 10.2% aaiPharma, Inc.* 17,700 351,876 Abgenix, Inc.* 6,200 65,038 Abiomed, Inc.* 1,000 5,470 Able Laboratories, Inc.* 5,500 108,900 Acacia Research -- 700 1,673 CombiMatrix* Affymetrix, Inc.* 12,800 252,288 Alaris Medical, Inc.* 18,300 236,985 Alexion Pharmaceuticals, Inc.* 1,400 23,870 Align Technology, Inc.* 2,900 36,395 Alkermes, Inc.* 8,500 91,375 Alliance Imaging, Inc.* 800 3,520 Allscripts Healthcare 200 734 Solutions, Inc.* Alpharma, Inc. Class A 30,200 652,320 American Healthways, Inc.* 5,900 213,108
SHARES VALUE ---------- ------------ American Medical Security 500 $ 9,550 Group, Inc.* American Pharmaceutical 26,300 891,570 Partners, Inc.* Amylin Pharmaceuticals, Inc.* 1,500 32,835 Angiotech Pharmaceuticals, 11,100 452,214 Inc.* Applera Corporation -- Celera 2,600 26,832 Genomics Group* Applied Molecular Evolution, 1,100 4,708 Inc.* Arena Pharmaceuticals, Inc.* 1,500 9,960 Arqule, Inc.* 1,900 7,980 Arrow International, Inc. 400 17,660 Arthrocare Corporation* 200 3,352 Atrix Laboratories, Inc.* 31,200 686,088 AVANIR Pharmaceuticals Class 1,200 2,100 A* Avigen, Inc.* 1,500 5,190 Beverly Enterprises, Inc.* 3,100 10,850 Bio-Rad Laboratories, Inc. 19,200 1,062,720 Class A* Bio-Reference Laboratories, 100 690 Inc.* Bone Care International, Inc.* 200 2,780 Bradley Pharmaceuticals, Inc.* 20,200 333,300 Bruker AXS, Inc.* 100 307 Cardiac Science, Inc.* 800 2,144 Cell Genesys, Inc.* 2,600 22,464 Cell Therapeutics, Inc.* 2,600 25,298 Centene Corporation* 100 3,890 Chattem, Inc.* 40,500 761,400 CIMA Labs, Inc.* 700 18,823 Ciphergen Biosystems, Inc.* 600 6,150 Columbia Laboratories, Inc.* 500 5,625 Computer Programs and Systems, 100 2,001 Inc. Conmed Corporation* 9,900 180,774 Corixa Corporation* 3,600 27,828 Covance, Inc.* 26,700 483,270 CuraGen Corporation* 1,500 8,325 CV Therapeutics, Inc.* 2,200 65,252 Datascope Corporation 900 26,577 DaVita, Inc.* 66,600 1,783,548 Decode Genetics, Inc.* 2,900 9,048 Deltagen, Inc.* 500 65 Digene Corporation* 26,600 724,318 Discovery Partners 1,300 5,772 International, Inc.* Diversa Corporation* 700 6,881 DJ Orthopedics, Inc.* 600 6,576 DVI, Inc.* 1,000 4,670 Encysive Pharmaceuticals, 200 960 Inc.* Enzon, Inc.* 16,600 207,832 Eon Labs, Inc.* 4,700 165,205 Epix Medical, Inc.* 200 2,830 Esperion Therapeutics, Inc.* 7,000 137,130 Exelixis, Inc.* 3,400 23,596
See Notes to Financial Statements. 84
SHARES VALUE ---------- ------------ First Health Group 21,400 $ 590,640 Corporation* Gen-Probe, Inc* 11,200 457,744 Gene Logic, Inc.* 2,500 14,925 Genesis Health Ventures, Inc.* 2,200 38,830 Gentiva Health Services, Inc.* 1,800 16,200 Genzyme Corporation -- General 147 6,162 Division* Guilford Pharmaceuticals, 1,900 8,626 Inc.* Hanger Orthopedic Group, Inc.* 1,400 16,030 Health Net, Inc.* 23,500 774,325 Healthcare Services Group, 700 9,891 Inc.* Hologic, Inc.* 100 1,318 Icon PLC ADR* 13,500 429,570 IDEXX Laboratories, Inc.* 12,000 402,480 IGEN International, Inc.* 200 6,280 ILEX Oncology, Inc.* 13,200 256,212 Illumina, Inc.* 1,600 4,800 ImClone Systems, Inc.* 1,600 50,592 Immunogen, Inc.* 3,400 14,518 IMPAC Medical Systems, Inc.* 5,400 112,752 Incyte Corporation* 5,700 26,448 Inspire Pharmaceuticals, Inc.* 12,800 138,240 Kendle International, Inc.* 700 4,340 Kindred Healthcare, Inc.* 900 16,056 KOS Pharmaceuticals, Inc.* 100 2,347 KV Pharmaceutical Co. Class A* 11,525 320,395 Kyphon, Inc.* 100 1,512 Lexicon Genetics, Inc.* 2,600 17,446 Ligand Pharmaceuticals, Inc. 28,900 392,751 Class B* Martek Biosciences 10,200 437,988 Corporation* Matria Healthcare, Inc.* 200 3,530 Maxygen, Inc.* 2,300 25,231 Medarex, Inc.* 5,800 38,222 Medcath Corporation* 500 2,925 Medicines Co.* 12,350 243,172 Medicis Pharmaceutical 14,900 844,830 Corporation Class A* MedQuist, Inc.* 8,400 170,016 MGI Pharma, Inc.* 9,500 243,485 Mid Atlantic Medical Services, 4,700 245,810 Inc.* Molecular Devices Corporation* 200 3,182 Myriad Genetics, Inc.* 27,500 374,275 Nabi Biopharmaceuticals, Inc.* 3,000 20,580 National Healthcare 400 7,872 Corporation* Nektar Therapeutics* 4,400 40,612 Neopharm, Inc.* 1,035 14,335 Neose Technologies, Inc.* 1,000 10,010 Neurocrine Biosciences, Inc.* 3,700 184,778 Neurogen Corporation* 700 3,192 Odyssey HealthCare, Inc.* 12,950 479,150 Omnicare, Inc. 36,300 1,226,577 Onyx Pharmacueticals, Inc.* 1,200 14,796 Option Care, Inc.* 100 1,153 OSI Pharmaceuticals, Inc.* 2,500 80,525
SHARES VALUE ---------- ------------ Osteotech, Inc.* 14,100 $ 191,619 Owens & Minor, Inc. 23,900 534,165 PacifiCare Health Systems, 11,300 557,429 Inc.* PAREXEL International 27,000 376,650 Corporation* Pediatrix Medical Group, Inc.* 9,400 335,110 Per-Se Technologies, Inc.* 25,700 288,611 Pharmaceutical Product 7,000 201,110 Development, Inc.* Pharmaceutical Resources, 6,000 291,960 Inc.* Pharmacopeia, Inc.* 1,900 15,675 Pozen, Inc.* 1,700 18,666 Praecis Pharmaceuticals, Inc.* 4,100 20,090 Prime Medical Services, Inc.* 1,100 5,170 Priority Healthcare 2,750 51,013 Corporation Class B* Protein Design Labs, Inc.* 27,400 383,052 ProxyMed, Inc.* 400 5,164 PSS World Medical, Inc.* 44,000 253,000 RehabCare Group, Inc.* 500 7,325 Res-Care, Inc.* 1,100 5,027 Respironics, Inc.* 50,100 1,879,751 Sangamo Biosciences, Inc.* 100 285 Savient Pharmaceuticals, Inc.* 4,600 21,344 Seattle Genetics, Inc.* 500 2,575 Sepracor, Inc.* 1,500 27,045 Sequenom, Inc.* 3,100 8,432 Sola International, Inc.* 1,700 29,580 Specialty Laboratories, Inc.* 400 4,100 Stericycle, Inc.* 19,000 731,120 Steris Corporation* 18,000 415,620 Sunrise Senior Living, Inc.* 1,400 31,332 SuperGen, Inc.* 2,300 12,420 SurModics, Inc.* 5,400 164,700 Sybron Dental Specialties, 1,400 33,040 Inc.* Tanox, Inc.* 1,300 20,865 Taro Pharmaceuticals 14,500 795,760 Industries, Ltd.* Theragenics Corporation* 2,100 9,030 Thoratec Corporation* 3,900 58,110 Trimeris, Inc.* 4,100 187,288 TriPath Imaging, Inc.* 1,700 11,611 United Surgical Partners 18,700 422,433 International, Inc.* United Therapeutics 1,200 26,136 Corporation* US Oncology, Inc.* 93,400 690,226 VCA Antech, Inc.* 51,000 998,070 Viasys Healthcare, Inc.* 2,100 43,470 Vical, Inc.* 1,400 6,090 VistaCare, Inc. Class A* 5,900 143,429 VISX, Inc.* 20,900 362,615 West Pharmaceutical Services, 10,800 264,600 Inc. Zoll Medical Corporation* 7,725 259,251 Zymogenetics, Inc.* 300 3,492 ------------ 30,374,822 ------------
See Notes to Financial Statements. 85 SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- ------------ MATERIALS & PROCESSING -- 7.8% Aceto Corporation 6,700 $ 124,620 Acuity Brands, Inc. 26,800 486,956 Agrium, Inc. 32,400 355,104 Airgas, Inc. 700 11,725 AK Steel Holding Corporation* 25,200 91,224 Albemarle Corporation 19,800 553,806 Alico, Inc. 300 7,407 Amcol International 1,600 12,800 Corporation Ameron International 600 20,862 Corporation Apogee Enterprises, Inc. 200 1,804 Arch Chemicals, Inc. 3,700 70,670 Avatar Holdings, Inc.* 300 9,060 Baker (Michael) Corporation* 300 3,210 Barnes Group, Inc. 31,700 689,792 Boise Cascade Corporation 20,300 485,170 Brush Engineered Materials, 1,300 10,855 Inc.* Buckeye Technologies, Inc.* 2,000 13,600 Building Materials Holding 1,000 14,810 Corporation Butler Manufacturing Co. 400 6,612 Calgon Carbon Corporation 2,600 14,950 Cambrex Corporation 700 16,114 Caraustar Industries, Inc.* 2,100 16,821 Carpenter Technology 1,500 23,400 Corporation Castle (A.M.) & Co.* 500 3,275 Centex Construction Products, 400 16,036 Inc. Century Aluminum Co. 900 6,327 Chesapeake Corporation 9,100 198,835 Chicago Bridge & Iron Co. NV 10,600 240,408 CIRCOR International, Inc. 800 14,264 Cleveland-Cliffs, Inc.* 700 12,495 Comfort Systems USA, Inc.* 3,000 7,890 Commercial Metals Co. 72,300 1,286,217 CompX International, Inc. 300 1,674 Corn Products International, 2,700 81,081 Inc. Crompton Corporation 30,500 215,025 Crown Holdings, Inc.* 12,700 90,678 Culp, Inc.* 500 3,450 Cytec Industries, Inc.* 25,100 848,380 Delta & Pine Land Co. 1,300 28,574 Deltic Timber Corporation 400 11,380 DHB Industries, Inc.* 900 3,681 Drew Industries, Inc.* 400 7,280 Dycom Industries, Inc.* 32,300 526,490 ElkCorp 2,400 54,000 EMCOR Group, Inc.* 1,100 54,296 Encore Wire Corporation* 800 7,600 Energizer Holdings, Inc.* 14,500 455,300 Ferro Corporation 1,200 27,036 Florida Rock Industries, Inc. 1,300 53,664 Foamex International, Inc.* 1,100 3,366 Freeport-McMoRan Copper & 23,700 580,650 Gold, Inc. Class B
SHARES VALUE ---------- ------------ Georgia Gulf Corporation 19,400 $ 384,120 Gibraltar Steel Corporation 700 14,336 Glatfelter 100 1,475 Grace (W.R.) & Co.* 3,500 15,435 GrafTech International, Ltd.* 3,900 21,255 Granite Construction, Inc. 17,200 329,552 Graphic Packaging 1,800 8,118 International Corporation* Great Lakes Chemical 3,000 61,200 Corporation Greif, Inc. Class A 20,600 473,800 Griffon Corporation* 10,000 160,000 H.B. Fuller Co. 18,900 416,178 Hercules, Inc.* 6,800 67,320 Hexel Corporation* 800 2,560 Hughes Supply, Inc. 1,900 65,930 IMC Global, Inc. 31,000 208,010 IMCO Recycling, Inc.* 600 3,984 Insignia Financial Group, 1,500 16,665 Inc.* Insituform Technologies, Inc. 100 1,768 Class A* Integrated Electical Services, 2,600 18,850 Inc.* Interface, Inc. Class A 3,400 15,776 Intermet Corporation 1,700 5,729 IPSCO, Inc. 105,100 1,124,570 Jones Lang LaSalle, Inc.* 2,100 33,180 Kaydon Corporation 22,300 463,840 Lennox International, Inc. 21,500 276,705 Liquidmetal Technologies, 300 1,539 Inc.* LNR Property Corporation 20,400 762,960 Lone Star Technologies, Inc.* 13,200 279,576 Longview Fibre Co. 4,100 33,620 Louisiana-Pacific Corporation* 8,300 89,972 LSI Industries, Inc. 300 3,330 Lubrizol Corporation 10,100 312,999 Lydall, Inc.* 700 7,490 MacDermid, Inc. 25,200 662,760 Material Sciences Corporation* 800 7,760 Maverick Tube Corporation* 17,500 335,125 Medis Technologies, Ltd.* 111 791 Mestek, Inc.* 200 3,600 Millennium Chemicals, Inc. 5,000 47,550 Minerals Technologies, Inc. 14,100 686,106 Mobile Mini, Inc.* 16,600 271,078 Modtech Holdings, Inc.* 700 6,433 MTC Technologies, Inc.* 14,800 347,208 Mueller Industries, Inc.* 7,000 189,770 Myers Industries, Inc. 1,475 14,013 NCI Building Systems, Inc.* 1,500 25,050 NL Industries, Inc. 700 11,900 Northwest Pipe Co.* 300 4,257 NS Group, Inc.* 1,400 13,650 Octel Corporation 800 11,120 Olin Corporation 320 5,472 Omnova Solutions, Inc.* 3,100 12,524
See Notes to Financial Statements. 86
SHARES VALUE ---------- ------------ Oregon Steel Mills, Inc.* 2,000 $ 5,800 Owens-Illinois, Inc.* 38,400 528,768 Pechiney SA ADR 18,100 325,438 Penford Corporation 200 2,234 Penn Engineering & 900 12,285 Manufacturing Corporation PolyOne Corporation 52,800 234,960 Pope & Talbot, Inc. 1,200 13,260 Potlatch Corporation 2,300 59,225 Quaker Fabric Corporation 900 5,940 Quanex Corporation 12,100 359,612 Quanta Services, Inc.* 56,800 403,280 Reliance Steel & Aluminum Co. 15,100 312,570 Roanoke Electric Steel 800 5,992 Corporation Rock-Tenn Co. Class A 900 15,255 RPM International, Inc. 13,500 185,625 RTI International Metals, 1,700 18,411 Inc.* Ryerson Tull, Inc. 1,800 15,804 Schnitzer Steel Industries, 300 13,236 Inc. Class A Schulman (A.), Inc. 17,000 273,020 Seminis, Inc. Class A* 1,000 3,680 Silgan Holdings, Inc.* 800 25,024 Solutia, Inc. 8,200 17,876 Southern Peru Copper 1,100 16,830 Corporation Spartech Corporation 600 12,726 SPS Technologies, Inc.* 1,800 48,672 Standard Register Co. 17,700 291,696 Steel Dynamics, Inc.* 27,900 382,230 Stepan Co. 500 11,300 Stillwater Mining Co.* 3,400 17,476 Terra Industries, Inc.* 2,900 3,103 Texas Industries, Inc. 1,700 40,460 Trammell Crow Co.* 2,500 26,525 Tredegar Corporation 1,900 28,481 Trex Co., Inc.* 100 3,925 U.S. Concrete, Inc.* 1,600 6,144 Unifi, Inc.* 4,000 24,800 Universal Forest Products, 1,100 23,034 Inc. URS Corporation* 2,000 38,920 USEC, Inc. 6,400 44,928 USG Corporation* 2,900 55,100 Valhi, Inc. 1,740 16,739 Valmont Industries, Inc. 12,600 245,196 Washington Group 17,900 393,084 International, Inc.* Watsco, Inc. 35,300 584,568 Wausau-Mosinee Paper 23,900 267,680 Corporation Wellman, Inc. 79,000 884,800 Wellsford Real Properties, 400 6,164 Inc.*
SHARES VALUE ---------- ------------ Wilson Greatbatch 16,900 $ 610,090 Technologies, Inc.* Worthington Industries, Inc. 19,600 262,640 ------------ 23,403,339 ------------ OTHER -- 0.5% Carlisle Cos., Inc. 1,400 59,024 FMC Corporation* 4,700 106,361 GenCorp, Inc. 2,500 22,225 Jacuzzi Brands, Inc.* 87,700 463,933 Kaman Corporation Class A 1,800 21,042 Lancaster Colony Corporation 3,300 127,578 Ritchie Bros. Auctioneers, 7,800 300,378 Inc.* Sequa Corporation Class A* 500 17,150 Trinity Industries, Inc. 2,800 51,828 Walter Industries, Inc. 28,800 338,400 ------------ 1,507,919 ------------ OTHER ENERGY -- 4.6% Arch Coal, Inc. 1,700 39,066 Atwood Oceanics, Inc.* 13,500 366,525 Berry Petroleum Co. Class A 23,300 418,235 Brown (Tom), Inc.* 2,700 75,033 Cabot Oil & Gas Corporation 2,200 60,742 Cal Dive International, Inc.* 15,900 346,620 Capstone Turbine Corporation* 2,700 2,943 CARBO Ceramics, Inc. 11,800 439,550 Chesapeake Energy Corporation 52,900 534,290 Comstock Resources, Inc.* 2,000 27,360 Core Laboratories NV* 8,700 93,960 Denbury Resources, Inc.* 1,900 25,517 Dril-Quip, Inc.* 11,600 211,120 Encore Acquisition Co.* 700 13,405 Energy Partners, Ltd.* 21,800 251,790 Equitable Resources, Inc. 9,100 370,734 Evergreen Resources, Inc.* 12,300 668,013 Forest Oil Corporation* 17,200 432,064 FuelCell Energy, Inc.* 1,100 9,009 Global Industries, Ltd.* 7,200 34,704 Grey Wolf, Inc.* 24,800 100,192 Gulf Island Fabrication, Inc.* 400 6,768 Hanover Compressor Co.* 3,400 38,420 Harvest Natural Resources, 1,300 8,281 Inc.* Helmerich & Payne, Inc. 6,400 186,880 Holly Corporation 800 22,080 Horizon Offshore, Inc.* 600 2,988 Houston Exploration Co.* 11,100 385,170 Hydril Co.* 12,600 343,350 Input/Output, Inc.* 3,500 18,830 Key Energy Services, Inc.* 25,300 271,216 Lufkin Industries, Inc. 400 9,740 Massey Energy Co. 14,040 184,626 Meridian Resource Corporation* 2,500 11,825 NATCO Group, Inc. Class A* 300 2,049 Newpark Resources, Inc.* 400 2,192 Nuevo Energy Co.* 44,600 778,270 Oceaneering International, 21,400 546,770 Inc.*
See Notes to Financial Statements. 87 SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- ------------ Oil States International, 10,400 $ 125,840 Inc.* Parker Drilling Co.* 6,100 17,751 Patina Oil & Gas Corporation 19,900 639,785 Patterson-UTI Energy, Inc.* 11,200 362,880 Penn Virginia Corporation 600 25,800 Plains Exploration & 15,350 165,934 Production Co.* Quicksilver Resources, Inc.* 200 4,790 Range Resources Corporation* 4,100 25,707 Remington Oil & Gas 400 7,352 Corporation* Resource America, Inc. Class A 1,200 12,420 Seacor Smit, Inc.* 1,400 51,086 Spinnaker Exploration Co.* 21,300 558,060 St. Mary Land & Exploration 2,400 65,520 Co. Stone Energy Corporation* 900 37,728 Sunoco, Inc. 20,400 769,896 Swift Energy Co.* 22,100 243,100 Syntroleum Corporation* 200 532 Tesoro Petroleum Corporation* 73,900 508,432 Tetra Technologies, Inc.* 11,600 343,940 Transmontaigne, Inc.* 1,400 9,072 Trico Marine Services, Inc.* 1,700 6,664 Universal Compression 1,300 27,118 Holdings, Inc.* Valero Energy Corporation 6,000 217,980 Varco International, Inc.* 21,000 411,600 Veritas DGC, Inc.* 38,300 440,450 Vintage Petroleum, Inc. 48,400 545,952 W-H Energy Services, Inc.* 24,000 467,520 Westport Resources 17,000 386,750 Corporation* ------------ 13,819,986 ------------ PRODUCER DURABLES -- 8.4% Active Power, Inc.* 1,100 1,848 Actuant Corporation Class A* 700 33,124 ADE Corporation* 700 6,006 Advanced Energy Industries, 40,000 570,000 Inc.* Alamo Group, Inc. 500 6,110 Allen Telecom, Inc.* 2,200 36,344 American Superconductor 700 4,193 Corporation* American Tower Corporation 7,600 67,260 Class A* Applied Films Corporation* 700 18,116 Applied Industrial 1,500 31,650 Technologies, Inc. Arris Group, Inc.* 4,000 19,840 Artesyn Technologies, Inc.* 2,300 12,903 Astec Industries, Inc.* 1,200 10,464 Asyst Technologies, Inc.* 200 1,338 ATMI, Inc.* 9,500 237,215 Audiovox Corporation Class A* 1,300 14,547 Axcelis Technologies, Inc.* 60,600 370,872 BE Aerospace, Inc.* 1,800 5,958 Beazer Homes USA, Inc.* 6,300 526,050
SHARES VALUE ---------- ------------ Belden, Inc. 10,700 $ 170,023 Briggs & Stratton Corporation 9,200 464,600 Brooks Automation, Inc.* 12,300 139,482 C & D Technologies, Inc. 10,000 143,600 C-COR.net Corporation* 1,300 6,370 Cable Design Technologies 3,500 25,025 Corporation* Cascade Corporation 700 12,180 Champion Enterprises, Inc.* 4,500 23,310 Columbus McKinnon Corporation* 900 2,088 Credence Systems Corporation* 62,000 525,140 Crown Castle International 11,200 87,024 Corporation* CTS Corporation 32,900 343,805 CUNO, Inc.* 400 14,448 Curtiss-Wright Corporation 500 31,600 Cymer, Inc.* 20,400 643,824 Dionex Corporation* 400 15,900 Dominion Homes, Inc.* 200 4,770 Ducommun, Inc.* 500 7,050 DuPont Photomasks, Inc.* 26,500 498,995 Electro Scientific Industries, 100 1,516 Inc.* Electroglas, Inc.* 300 393 Emcore Corporation* 900 2,952 ESCO Technologies, Inc.* 900 39,600 Esterline Technologies 1,600 27,856 Corporation* Federal Signal Corporation 29,600 520,072 FEI Co.* 7,500 140,700 Flow International 600 846 Corporation* FSI International, Inc.* 2,300 8,970 Gardner Denver, Inc.* 1,300 26,598 Genlyte Group, Inc.* 12,800 447,616 Gorman-Rupp Co. 200 4,800 Headwaters, Inc.* 18,400 270,296 Heico Corporation 1,100 13,420 HON Industries, Inc. 19,100 582,550 Hovnanian Enterprises, Inc. 12,500 736,875 Class A* IDEX Corporation 24,500 887,880 Imagistics International, 1,200 30,960 Inc.* Integrated Defense 59,200 918,192 Technologies, Inc.* Ionics, Inc.* 1,400 31,318 JLG Industries, Inc. 3,300 22,440 Joy Global, Inc.* 13,500 199,395 Kadant, Inc.* 1,100 20,625 KB HOME 16,300 1,010,274 Kennametal, Inc. 2,700 91,368 Kimball International, Inc. 2,700 42,120 Class B Ladish Co., Inc.* 700 4,634 Littelfuse, Inc.* 700 15,652 LTX Corporation* 104,900 904,238 M/I Schottenstein Homes, Inc. 18,000 768,240
See Notes to Financial Statements. 88
SHARES VALUE ---------- ------------ Magnetek, Inc.* 1,500 $ 3,810 Manitowoc Co., Inc. 800 17,840 Mastec, Inc.* 1,500 8,640 Mattson Technology, Inc.* 1,700 5,253 MDC Holdings, Inc. 10,450 504,526 Meritage Corporation* 500 24,630 Mettler Toledo International, 20,200 740,330 Inc.* Milacron, Inc. 1,300 6,357 Moog, Inc. Class A* 1,200 41,700 MTS Systems Corporation 1,700 25,058 Mykrolis Corporation* 800 8,120 NACCO Industries, Inc. Class A 7,900 465,626 Nanometrics, Inc.* 500 3,540 Nordson Corporation 900 21,465 NVR, Inc.* 1,000 411,000 Orbital Sciences Corporation* 18,100 132,130 Palm Harbor Homes, Inc.* 14,900 282,206 Paxar Corporation* 38,100 419,100 Photon Dynamics, Inc.* 10,500 290,115 Photronics, Inc.* 50,600 882,970 Plantronics, Inc.* 57,100 1,237,357 Powell Industries, Inc.* 400 5,856 Power-One, Inc.* 2,000 14,300 Powerwave Technologies, Inc.* 48,300 302,841 Proton Energy Systems, Inc.* 1,900 4,066 Proxim Corporation Class A* 9,300 13,578 Pulte Homes, Inc. 12,600 776,916 Rayovac Corporation* 41,300 534,835 Regal-Beloit Corporation 15,900 303,690 Robbins & Myers, Inc. 800 14,800 Roper Industries, Inc. 24,600 915,120 Ryland Group, Inc. 12,900 895,260 Skyline Corporation 500 15,000 Smith (A.O.) Corporation 1,300 36,595 Somera Communications, Inc.* 300 438 Standard-Pacific Corporation 2,600 86,216 Standex International 800 16,800 Corporation Stewart & Stevenson Services, 48,200 759,150 Inc. Surebeam Corporation Class A* 4,800 12,720 Technical Olympic USA, Inc.* 200 4,726 Technitrol, Inc. 1,700 25,585 Tecumseh Products Co. Class A 3,200 122,592 Teledyne Technologies, Inc.* 1,000 13,100 Tennant Co. 7,300 268,275 Terayon Communication Systems, 5,100 13,923 Inc.* Terex Corporation* 3,400 66,368 Therma-Wave, Inc.* 200 416 Thomas & Betts Corporation* 3,200 46,240 Thomas Industries, Inc. 17,500 473,375 Tollgrade Communications, 12,200 227,530 Inc.* Trikon Technologies, Inc.* 100 362 Triumph Group, Inc.* 12,400 349,308 Ultratech, Inc.* 1,700 31,433
SHARES VALUE ---------- ------------ United Defense Industries, 1,700 $ 44,098 Inc.* Veeco Instruments, Inc.* 200 3,406 Vicor Corporation* 900 8,640 Virco Manufacturing 330 2,099 Corporation Watts Industries, Inc. Class A 8,300 148,155 William Lyon Homes, Inc.* 300 9,555 Woodhead Industries, Inc. 600 7,512 Woodward Governor Co. 400 17,200 X-Rite, Inc. 1,300 12,883 Zygo Corporation* 400 3,200 ------------ 25,045,403 ------------ TECHNOLOGY -- 13.9% @Road, Inc.* 3,550 38,766 3D Systems Corporation* 600 4,218 Acacia Research -- Acacia 400 484 Technologies* Acxiom Corporation* 17,000 256,530 Adtran, Inc.* 18,700 959,123 Advanced Digital Information 2,200 21,978 Corporation* Aeroflex, Inc.* 19,552 151,332 Aether Systems, Inc.* 1,300 6,370 Agile Software Corporation* 44,600 430,390 Alliance Semiconductor 1,800 8,712 Corporation* Altiris, Inc.* 20,200 405,010 American Management Systems, 1,600 22,848 Inc.* Anadigics, Inc.* 900 2,961 Analogic Corporation 500 24,380 Anaren, Inc.* 1,800 16,866 Anixter International, Inc.* 2,500 58,575 Answerthink, Inc.* 2,800 5,404 Anteon International 12,700 354,457 Corporation* Ariba, Inc.* 9,800 29,106 Arrow Electronics, Inc.* 33,900 516,636 Ascential Software 2,500 41,100 Corporation* Ask Jeeves, Inc.* 16,700 229,625 ASM International NV* 58,900 875,843 Aspect Communications 4,100 15,867 Corporation* Aspen Technology, Inc.* 900 4,320 ATI Technologies, Inc.* 47,100 480,420 Avanex Corporation* 3,200 12,800 Avid Technology, Inc.* 6,300 220,941 Avnet, Inc.* 47,900 607,372 Avocent Corporation* 22,500 673,425 AXT, Inc.* 700 819 Bel Fuse, Inc. Class B 100 2,290 Bell Microproducts, Inc.* 1,400 5,978 Benchmark Electronics, Inc.* 14,800 455,248 Black Box Corporation 14,800 535,760 Business Objects SA ADR* 19,200 421,440 Caliper Technologies 900 4,095 Corporation* Checkpoint Systems, Inc.* 2,400 33,960
See Notes to Financial Statements. 89 SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- ------------ ChipPAC, Inc. Class A* 40,700 $ 312,169 CIBER, Inc.* 42,500 298,350 Cirrus Logic, Inc.* 5,000 20,100 Citrix Systems, Inc.* 24,800 504,928 Cognizant Technology Solutions 20,150 490,854 Corporation* Cognos, Inc.* 29,500 796,500 Coherent, Inc.* 2,300 55,039 CommScope, Inc.* 17,300 164,350 CompuCom Systems, Inc.* 1,800 8,136 Computer Horizons Corporation* 2,500 11,350 Computer Network Technology 1,000 8,100 Corporation* Concur Technologies, Inc.* 19,200 193,344 Cree, Inc.* 19,400 315,832 Datastream Systems, Inc.* 300 3,177 Digimarc Corporation* 100 1,570 Digital River, Inc.* 16,300 314,590 Digitas, Inc.* 300 1,488 Documentum, Inc.* 17,300 340,291 DSP Group, Inc.* 9,000 193,770 Dynamics Research Corporation* 100 1,528 E.piphany, Inc.* 2,300 11,753 EDO Corporation 27,100 479,670 Electronics for Imaging, Inc.* 23,300 472,757 EMS Technologies, Inc.* 300 3,981 Emulex Corporation* 18,000 409,860 Enterasys Networks, Inc.* 10,800 32,724 Entrust, Inc.* 200 588 Exar Corporation* 500 7,915 Fairchild Semicoductor 13,200 168,828 International, Inc.* Filenet Corporation* 20,400 368,016 Finisar Corporation* 5,000 7,750 FLIR Systems, Inc.* 17,200 518,580 Foundry Networks, Inc.* 24,200 348,480 Gartner, Inc. Class A* 4,500 34,110 Gartner, Inc. Class B* 75,500 566,250 GlobespanVirata, Inc.* 66,200 546,150 Handspring, Inc.* 800 904 Hutchinson Technology, Inc.* 13,600 447,304 iGate Corporation* 1,500 5,205 II-VI, Inc.* 200 4,616 Imation Corporation 2,800 105,896 InFocus Corporation* 2,900 13,688 Infonet Services Corporation 4,900 7,791 Class B* Informatica Corporation* 84,500 583,895 Information Resources, Inc.* 2,200 8,690 Inforte Corporation* 100 788 Integrated Circuit Systems, 35,000 1,100,050 Inc.* Integrated Device Technology, 89,500 988,975 Inc.* Integrated Silicon Solutions, 2,100 14,574 Inc.* Interland, Inc.* 10,300 10,094
SHARES VALUE ---------- ------------ International Rectifier 13,800 $ 370,116 Corporation* Internet Security Systems, 200 2,898 Inc.* Interwoven, Inc.* 141,300 313,686 Iomega Corporation* 51,200 542,720 ITXC Corporation* 1,400 3,654 j2 Global Communications, 1,650 75,867 Inc.* Keane, Inc.* 800 10,904 Keynote Systems, Inc.* 700 7,336 Lattice Semiconductor 57,300 471,579 Corporation* Lawson Software, Inc.* 56,300 437,451 LeCroy Corporation* 400 3,864 Macromedia, Inc.* 21,600 454,464 Macrovision Corporation* 29,900 595,608 Magma Design Automation, Inc.* 400 6,860 Mantech International 21,700 416,206 Corporation Class A* Manufacturers' Services, Ltd.* 800 3,880 Manugistics Group, Inc.* 2,100 8,631 Mapinfo Corporation* 100 713 MatrixOne, Inc.* 800 4,592 Maxtor Corporation* 13,800 103,638 McData Corporation Class A* 25,000 366,750 MEMC Electronic Materials, 1,400 13,720 Inc.* Mentor Graphics Corporation* 31,900 461,912 Merix Corporation* 300 2,286 MetaSolv Software, Inc.* 1,800 3,528 Methode Electronics, Inc. 2,700 29,025 Class A Micrel, Inc.* 20,600 214,034 Micromuse, Inc.* 25,400 202,946 Microsemi Corporation* 24,600 393,600 MicroStrategy, Inc. Class A* 11,600 422,588 Microtune, Inc.* 3,200 10,240 MRV Communications, Inc.* 3,100 6,231 National Instruments 26,500 1,001,170 Corporation* Net2Phone, Inc.* 1,300 5,629 Netegrity, Inc.* 800 4,672 NETIQ Corporation* 1,500 23,190 Netro Corporation* 1,500 4,320 Netscout Systems, Inc.* 18,900 101,493 NetScreen Technologies, Inc.* 12,100 272,855 New Focus, Inc.* 2,400 8,976 Newport Corporation* 14,400 213,120 Novell, Inc.* 28,700 88,396 NU Horizons Electronics 48,050 288,300 Corporation* Nuance Communications, Inc.* 1,000 5,400 Omnivision Technologies, Inc.* 3,200 99,840 ON Semiconductor Corporation* 600 1,620 Openwave Systems, Inc.* 6,500 12,675 Oplink Communications, Inc.* 8,100 15,147
See Notes to Financial Statements. 90
SHARES VALUE ---------- ------------ Optical Communication 600 $ 1,080 Products, Inc.* Palm, Inc.* 1,475 23,998 Paradyne Networks, Inc.* 1,300 2,340 Parametric Technology 9,400 28,670 Corporation* Park Electrochemical 1,000 19,950 Corporation PC-Tel, Inc.* 1,600 18,976 Pericom Semiconductor 1,500 13,950 Corporation* Perot Systems Corporation 2,900 32,944 Class A* Pinnacle Systems, Inc.* 30,800 329,560 Pioneer Standard Electronics, 2,400 20,352 Inc. Pixelworks, Inc.* 43,300 257,202 Plexus Corporation* 61,700 711,401 PMC-Sierra, Inc.* 21,300 249,849 Pomeroy Computer Resources* 800 8,848 ProcureNet, Inc.* 7,600 0 Quantum Corporation* 11,400 46,170 Quovadx, Inc.* 1,700 5,083 Radisys Corporation* 500 6,600 Radware, Ltd.* 10,700 183,291 Rainbow Technologies, Inc.* 1,900 15,979 Red Hat, Inc.* 1,100 8,327 REMEC, Inc.* 3,000 20,880 Richardson Electronics, Ltd. 500 4,050 Riverstone Networks, Inc.* 1,200 1,416 Roxio, Inc.* 200 1,338 RSA Security, Inc.* 2,900 31,175 Safeguard Scientifics, Inc.* 9,300 25,110 SafeNet, Inc.* 6,600 184,668 Sandisk Corporation* 29,000 1,170,150 Sapient Corporation* 3,800 10,526 SBS Technologies, Inc.* 900 8,848 ScanSoft, Inc.* 38,900 211,227 Scientific-Atlanta, Inc. 40,000 953,600 SCM Microsystems, Inc.* 1,200 6,552 Seachange International, Inc.* 700 6,678 Semtech Corporation* 56,700 807,408 Serena Software, Inc.* 9,250 193,140 Sierra Wireless, Inc.* 68,200 421,476 Silicon Graphics, Inc.* 14,800 16,872 Sipex Corporation* 2,000 9,800 Skyworks Solutions, Inc.* 48,500 328,345 SonicWALL, Inc.* 2,400 11,520 SpeechWorks International, 900 4,230 Inc.* SPSS, Inc.* 700 11,718 SRA International, Inc. Class 6,400 204,800 A* Standard Microsystems 1,100 16,687 Corporation* StorageNetworks, Inc.* 2,300 3,197 Stratasys, Inc.* 5,500 193,435 Stratex Networks, Inc.* 6,500 20,800 Stratos Lightwave, Inc.* 280 1,392 Suntron Corporation* 100 282
SHARES VALUE ---------- ------------ Supertex, Inc.* 21,300 $ 391,281 Sybase, Inc.* 109,900 1,528,709 Sycamore Networks, Inc.* 9,400 36,002 SYKES Enterprises, Inc.* 1,100 5,379 Synaptics, Inc.* 28,900 388,994 Systems & Computer Technology 1,100 9,900 Corporation* Tekelec* 31,400 354,820 Tellium, Inc.* 2,700 2,511 Three-Five Systems, Inc.* 29,200 201,480 TIBCO Software, Inc.* 72,400 368,516 Titan Corporation* 109,900 1,130,871 Transaction Systems 40,400 361,984 Architects, Inc. Class A* Transmeta Corporation* 3,600 5,760 Trimble Navigation, Ltd.* 5,500 126,115 Triquint Semiconductor, Inc.* 1,800 7,488 TriZetto Group, Inc.* 500 3,020 TTM Technologies, Inc.* 100 469 Turnstone Systems, Inc.* 2,800 7,028 Ulticom, Inc.* 400 3,800 UNOVA, Inc.* 3,300 36,630 Varian, Inc.* 7,200 249,624 Vastera, Inc.* 400 2,388 Verint Systems, Inc.* 100 2,541 Verity, Inc.* 29,400 372,204 Viasat, Inc.* 500 7,170 Vignette Corporation* 9,000 18,720 Vitesse Semiconductor 95,800 471,336 Corporation* Vitria Technology, Inc.* 650 3,725 WatchGuard Technologies, Inc.* 1,100 5,060 webMethods, Inc.* 600 4,878 Websense, Inc.* 57,100 894,186 Western Digital Corporation* 26,800 276,040 Wind River Systems, Inc.* 1,500 5,715 Zomax, Inc.* 1,500 4,905 Zoran Corporation* 600 11,526 ------------ 41,515,792 ------------ UTILITIES -- 3.2% AGL Resources, Inc. 5,000 127,200 Alaska Communications Systems 500 1,760 Group, Inc.* Allegiance Telecom, Inc.* 3,600 198 American States Water Co. 1,100 30,030 Atmos Energy Corporation 3,600 89,280 Avista Corporation 34,900 493,835 Black Hills Corporation 1,500 46,050 Boston Communications Group, 17,400 298,062 Inc.* California Water Service Group 1,000 28,120 Cascade Natural Gas 400 7,640 Corporation Centennial Communications 300 1,200 Corporation* Central Vermont Public Service 900 17,595 Corporation
See Notes to Financial Statements. 91 SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- ------------ CH Energy Group, Inc. 1,300 $ 58,500 Cincinnati Bell, Inc.* 15,200 101,840 Citizens Communications Co.* 50,700 653,523 Cleco Corporation 36,100 625,252 CT Communications, Inc. 1,300 13,975 DQE, Inc. 5,700 85,899 El Paso Electric Co.* 3,700 45,621 Empire District Electric Co. 1,800 39,150 Energen Corporation 2,700 89,910 Energy East Corporation 24,800 514,848 EnergySouth, Inc. 100 3,280 Golden Telecom, Inc.* 1,100 24,684 Laclede Group, Inc. 1,500 40,200 MGE Energy, Inc. 500 15,690 New Jersey Resources 2,000 71,000 Corporation Northeast Utilities 25,800 431,892 Northwest Natural Gas Co. 2,000 54,500 Northwestern Corporation 2,900 5,800 NSTAR 11,400 519,270 NUI Corporation 1,300 20,176 Oneok, Inc. 46,500 912,795 Piedmont Natural Gas Co., Inc. 2,400 93,144 Pinnacle West Capital 18,400 689,080 Corporation PNM Resources, Inc. 18,500 494,875 PTEK Holdings, Inc.* 3,700 17,945 RCN Corporation* 2,000 3,960 SEMCO Energy, Inc. 1,400 8,148 Sierra Pacific Resources* 9,300 55,242 SJW Corporation 200 17,050 South Jersey Industries, Inc. 1,000 36,850 Southern Union Co.* 3,200 54,208 Southwest Gas Corporation 2,600 55,068 Southwestern Energy Co.* 39,100 586,891 Talk America Holdings, Inc.* 1,800 19,638 Time Warner Telecom, Inc. 1,800 11,466 Class A* Ubiquitel, Inc.* 4,300 6,450 UGI Corporation 11,400 361,380 UIL Holdings Corporation 1,000 40,550 Unisource Energy Corporation 24,600 462,480 Unitil Corporation 300 7,230 Westar Energy, Inc. 4,500 73,035 Western Gas Resources, Inc. 1,200 47,520 Western Wireless Corporation 15,200 175,256 Class A*
SHARES VALUE ---------- ------------ WGL Holdings, Inc. 3,900 $ 104,130 Wisconsin Energy Corporation 19,900 577,100 WPS Resources Corporation 2,500 100,500 ------------ 9,567,971 ------------ TOTAL COMMON STOCK (Cost $248,238,011) 278,755,749 ------------ SHORT-TERM INVESTMENTS -- 33.3% AB Funds Trust -- Money Market 18,958,471 18,958,471 Fund (Affiliated Fund) Northern Institutional Liquid 80,189,573 80,189,573 Assets Portfolio sec. ------------ TOTAL SHORT-TERM INVESTMENTS 99,148,044 (Cost $99,148,044) ------------ MUTUAL FUNDS -- 0.4% Gladstone Capital Corporation 500 10,315 IShares Russell 2000 12,975 1,153,478 ------------ TOTAL MUTUAL FUNDS (Cost $1,018,262) 1,163,793 ------------
PAR ---------- U.S. TREASURY OBLIGATIONS -- 0.4% U.S. Treasury Bills 1.07%, 07/17/03++++ $ 50,000 49,976 1.14%, 07/17/03++++ 1,200,000 1,199,491 ------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,249,368) 1,249,467 ------------ CORPORATE BONDS -- 0.0% TIMCO Aviation Services, Inc. 8.00%, 01/01/07 (Cost $0) 4,888 28 ------------ SHARES ---------- WARRANTS -- 0.0% PRODUCER DURABLES TIMCO Aviation Services, Inc., Strike price $5.16, 2/27/07, (Cost $0) 5,070 5 ------------ TOTAL INVESTMENTS -- 127.5% (Cost $349,653,685) 380,317,086 LIABILITIES IN EXCESS OF OTHER ASSETS -- (27.5%) (82,035,386) ------------ NET ASSETS -- 100.0% $298,281,700 ============
See Notes to Financial Statements. 92 INTERNATIONAL EQUITY FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/03 - --------------------------------------------------------------------------------
RETIREMENT INSTITUTIONAL MSCI AC WORLD CLASS* CLASS* RETAIL CLASS* FREE EX-U.S. INDEX** ---------- ------------- ------------- -------------------- One Year (5.96%) (5.79%) (6.06%) (4.19%) Since Inception (8/27/01 -- 6/30/03) (4.71%) (4.60%) (5.34%) (5.80%)
Past performance is no guarantee of future results, share prices will fluctuate, and you may have a gain or loss when you redeem shares. [LINE GRAPH]
MSCI ALL COUNTRY WORLD FREE EX- INTERNATIONAL RETIREMENT CLASS U.S. INDEX** ------------------------------ ------------------------------- 8/27/01 10000.00 10000.00 8/31/01 9777.00 9707.00 9/30/01 8731.00 8677.00 10/31/01 9014.00 8920.00 11/30/01 9460.00 9328.00 12/31/01 9539.00 9448.00 1/31/02 9203.00 9043.00 2/28/02 9375.00 9108.00 3/31/02 9891.00 9603.00 4/30/02 9994.00 9666.00 5/31/02 10149.00 9771.00 6/30/02 9728.00 9349.00 7/31/02 8773.00 8438.00 8/31/02 8765.00 8439.00 9/30/02 7939.00 7544.00 10/31/02 8274.00 7949.00 11/30/02 8541.00 8331.00 12/31/02 8400.00 8062.00 1/31/03 8061.00 7779.00 2/28/03 7887.00 7622.00 3/31/03 7687.00 7474.00 4/30/03 8348.00 8194.00 5/31/03 8870.00 8716.00 6/30/03 9148.00 8957.00
The graph compares the results of a $10,000 investment in the Retirement Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Morgan Stanley Capital International All Country World Free ex-U.S. Index. *These returns reflect expense waivers by the Fund's investment advisor. Without these waivers, returns would have been lower. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. **The Morgan Stanley Capital International All Country World Free ex-U.S. Index is a market-capitalization weighted index composed of companies representative of the market structure of developed and emerging market countries in the Americas (excluding the U.S.), Europe/Middle East, and Asia/Pacific Regions. It excludes closed markets and those shares in otherwise free markets that are not purchasable by foreigners. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. Not Part of the Semi-Annual Report 93 INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2003 PAR VALUE - ------------- ----------- ------------ FOREIGN CONVERTIBLE BONDS -- 0.0% SWITZERLAND Credit Suisse Group Finance, Ltd.(S) 6.00%, 12/23/05 (Cost $162,992) 241,000 $ 205,409 ------------ SHARES ----------- FOREIGN COMMON STOCK -- 95.5% AUSTRALIA -- 4.8% Alumina, Ltd. 98,500 268,864 Amcor, Ltd. 687,796 3,745,566 Australia and New Zealand Banking Group, Ltd. 50,000 624,048 BHP Billiton, Ltd. 781,458 4,528,153 Brambles Industries, Ltd. 45,100 138,228 Coca-Cola Amatil, Ltd. 245,000 938,218 Coles Myer, Ltd. 822,970 3,863,526 Commonwealth Bank of Australia 94,000 1,862,890 InterOil Corporation* 180,000 229,365 Lend Lease Corporation, Ltd. 465,756 2,608,235 National Australia Bank, Ltd. 221,340 4,972,863 Orica, Ltd. 201,526 1,463,731 QBE Insurance Group, Ltd. 73,327 458,333 Telstra Corporation, Ltd. 1,415,414 4,176,745 WMC Resources, Ltd.* 98,500 231,870 Woodside Petroleum, Ltd. 850,000 7,057,345 Woolworths, Ltd. 115,800 972,332 ------------ 38,140,312 ------------ BELGIUM -- 1.6% Colruyt NV 56,600 3,912,771 Electrabel SA 6,959 1,773,274 Fortis 217,589 3,761,562 UCB SA 107,900 2,956,402 ------------ 12,404,009 ------------ BRAZIL -- 0.4% Aracruz Celulose SA ADR 10,800 227,448 Brasil Telecom Participacoes SA ADR 23,000 861,350 Companhia Brasileira de Distribuicao Grupo Pao de Acucar ADR 14,800 227,032 Companhia Vale Do Rio Doce ADR 18,000 499,500 Compania Paranaense de Energia ADR* 12,600 37,800 Empresa Brasileira de Aeronautica SA ADR 6,000 114,600 Gerdau SA ADR 8,000 94,000 Petroleo Brasileiro SA -- Petrobas ADR 40,000 710,400 Tele Norte Leste Participacoes SA ADR 10,000 116,800 ------------ 2,888,930 ------------
SHARES VALUE ----------- ------------ CANADA -- 1.5% Abitibi-Consolidated, Inc. 74,000 $ 468,372 Alcan, Inc. 8,800 272,079 BCE, Inc. 68,000 1,554,429 Bombardier, Inc. Class B 312,100 1,049,713 Manulife Financial Corporation 118,000 3,316,591 Suncor Energy, Inc. 27,400 510,996 Talisman Energy, Inc. 36,000 1,629,439 TELUS Corporation 50,500 830,672 Thomson Corporation (The) 66,200 2,067,495 ------------ 11,699,786 ------------ CHILE -- 0.3% AFP Provida SA ADR 40,000 961,200 Banco Santander Chile SA 4,000 81,640 Compania de Telecomunicaciones de Chile SA ADR 10,000 118,000 Distribucion y Servicio D&S SA ADR 35,200 450,560 Embotelladora Andina SA ADR Class A 30,100 236,285 Embotelladora Andina SA ADR Class B 40,000 307,600 Empresa Nacional de Electricidad SA ADR* 9,000 81,090 Lan Chile SA ADR 42,000 336,000 ------------ 2,572,375 ------------ CHINA -- 0.2% Beijing Datang Power Generation Co., Ltd. Class H* 378,000 166,021 China Petroleum & Chemical Corporation Class H 228,000 54,675 Hainan Meilan Airport Co., Ltd. Class H 183,000 86,242 Jiangsu Expressway Co., Ltd. Class H 1,434,100 542,514 Sinotrans, Ltd. Class H* 1,659,000 468,035 Travelsky Technology, Ltd. Class H 601,000 404,616 ------------ 1,722,103 ------------ CROATIA -- 0.1% Pliva DD GDR 61,400 850,390 ------------ CZECH REPUBLIC -- 0.0% Komercni Banka AS 4,070 293,730 ------------ DENMARK -- 0.7% Novo-Nordisk AS Class B 127,100 4,449,413 TDC AS 48,600 1,453,471 ------------ 5,902,884 ------------ ECUADOR -- 0.0% La Cemento Nacional GDR 26,250 202,125 ------------
See Notes to Financial Statements. 94
SHARES VALUE ----------- ------------ EGYPT -- 0.1% Egyptian Co. for Mobile Services 61,095 $ 546,110 Orascom Construction Industries 71,580 579,192 ------------ 1,125,302 ------------ ESTONIA -- 0.1% Hansabank, Ltd. 52,000 1,065,892 ------------ FINLAND -- 0.7% Nokia OYJ 212,300 3,495,995 UPM-Kymmene OYJ 144,600 2,110,500 ------------ 5,606,495 ------------ FRANCE -- 8.6% Accor SA 11,700 423,222 Air Liquide SA 7,912 1,172,962 Assurances Generales de France 42,500 1,750,620 Aventis SA 33,667 1,852,261 BNP Paribas SA 58,600 2,977,711 Bouygues SA 69,200 1,910,347 Carrefour SA 140,591 6,890,544 Compagnie de Saint-Gobain 122,200 4,809,024 Essilor International SA Compagnie Generale D'Optique 14,100 568,003 France Telecom SA 90,307 2,215,105 Groupe Danone 8,000 1,107,003 L'Oreal SA 48,840 3,443,624 Lafarge SA 24,100 1,411,428 Pechiney SA 9,600 344,613 Pinault-Printemps-Redoute SA 18,617 1,402,443 Renault SA 29,600 1,564,943 Sanofi-Synthelabo SA 141,900 8,310,443 Schneider Electric SA 24,200 1,137,718 Societe BIC SA 14,600 568,361 Societe Generale Class A 75,300 4,773,156 Societe Television Francaise 1 80,000 2,462,047 Suez SA 54,190 862,490 Thomson 40,970 631,849 Total SA 81,881 12,374,016 Valeo SA 36,307 1,259,125 Vivendi Universal SA 91,000 1,656,312 ------------ 67,879,370 ------------ GERMANY -- 4.9% Allianz AG 30,029 2,495,922 BASF AG 33,193 1,417,950 Bayer AG 134,271 3,111,537 Bayerische Hypo-und Vereinsbank AG 118,771 1,962,650 Bayerische Motoren Werke AG 55,400 2,131,210 Continental AG 93,500 1,962,725 DaimlerChrysler AG 16,100 562,045 Deutsche Bank AG 15,900 1,031,249 Deutsche Boerse AG 13,188 698,609 Deutsche Telekom AG 94,100 1,436,105 E.ON AG 32,600 1,676,009
SHARES VALUE ----------- ------------ Epcos AG 3,700 $ 47,672 Metro AG 69,100 2,233,716 Muenchener Rueckversicherungs AG 7,700 785,014 RWE AG 129,160 3,899,332 SAP AG 6,900 813,750 SAP AG ADR 700 20,454 Schering AG 16,000 782,343 Siemens AG 90,216 4,425,745 Volkswagen AG 165,948 7,014,706 ------------ 38,508,743 ------------ GHANA -- 0.2% Ashanti Goldfields Co., Ltd. GDR* 184,100 1,467,277 ------------ GREECE -- 0.3% Commercial Bank of Greece 19,000 332,951 Hellenic Tellecommunications Organization SA 130,000 1,537,631 Piraeus Bank SA 75,000 566,707 ------------ 2,437,289 ------------ HONG KONG -- 3.8% Cheung Kong Holdings, Ltd. 111,000 667,583 China Merchants Holdings International Co., Ltd. 348,000 310,151 China Mobile, Ltd. 1,421,000 3,352,906 Citic Pacific, Ltd. 51,000 93,195 CLP Holdings, Ltd. 1,150,000 5,028,770 CNOOC, Ltd. 1,311,500 1,934,085 Hang Lung Properties, Ltd. 423,000 382,419 Hang Seng Bank, Ltd. 67,400 713,056 Hong Kong & China Gas Co., Ltd. 4,290,000 5,418,799 Hongkong Electric Holdings, Ltd. 901,500 3,537,502 Hongkong Land Holdings, Ltd. 283,000 353,750 Hutchison Whampoa, Ltd. 92,000 560,391 Jardine Matheson Holdings, Ltd. 263,600 1,621,140 Johnson Electric Holdings, Ltd. 542,000 670,712 Li & Fung, Ltd. 516,000 665,006 Shangri-La Asia, Ltd. 463,000 293,897 Sun Hung Kai Properties, Ltd. 292,485 1,477,779 Swire Pacific, Ltd. Class A 168,500 736,824 Wharf Holdings, Ltd. 1,308,000 2,515,988 ------------ 30,333,953 ------------ HUNGARY -- 0.2% Matav Rt. 27,861 95,287 Matav Rt. ADR 30,700 528,040 Mol Magyar Olaj-es Gazipari Rt. 3,419 74,613 Mol Magyar Olaj-es Gazipari Rt. GDR 24,681 545,450 OTP Bank Rt. 31,243 301,832 ------------ 1,545,222 ------------
See Notes to Financial Statements. 95 INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ----------- ------------ INDIA -- 0.8% Bajaj Auto, Ltd. GDR 21,691 $ 264,196 GAIL India, Ltd. GDR 175,000 2,467,499 Grasim Industries, Ltd. GDR 144A 22,572 243,814 HDFC Bank, Ltd. ADR 13,050 244,688 Hindalco Industries, Ltd. GDR 144A 22,097 354,233 Mahanagar Telephone Nigam, Ltd. ADR 40,100 192,480 Ranbaxy Laboratories, Ltd. GDR 74,000 1,434,120 Reliance Industries, Ltd. GDR 144A 32,200 462,070 Satyam Computer Services, Ltd. ADR 26,500 263,145 State Bank of India, Ltd. GDR 15,325 313,856 Tata Engineering & Locomotive Co., Ltd. GDR 79,302 337,295 ------------ 6,577,396 ------------ INDONESIA -- 0.4% PT Bank Mandiri Persero*+ 515,000 42,136 PT Ramayana Lestari Sentosa TBK 1,790,200 699,805 PT Telekomunikasi Indonesia TBK 2,574,400 1,443,225 PT Unilever Indonesia TBK 300,000 970,909 ------------ 3,156,075 ------------ IRELAND -- 0.5% Allied Irish Banks PLC 105,000 1,568,694 CRH PLC 136,662 2,148,194 ------------ 3,716,888 ------------ ISRAEL -- 0.3% Bank Hapoalim, Ltd.* 53,000 112,521 Check Point Software Technologies, Ltd.* 38,900 760,495 Orbotech, Ltd.* 24,000 399,120 Teva Pharmaceutical Industries, Ltd. ADR 13,400 762,862 ------------ 2,034,998 ------------ ITALY -- 2.8% Assicurazioni Generali SpA 14,100 326,747 Banca Intesa SpA 2,224,977 7,115,777 Ente Nazionale Idrocarburi SpA 491,413 7,431,972 Mediaset SpA 506,723 4,288,542 Telecom Italia Mobile SpA 360,324 1,775,097 Telecom Italia SpA 154,710 1,399,962 ------------ 22,338,097 ------------ JAPAN -- 19.6% Advantest Corporation 51,600 2,286,171 Aeon Co., Ltd. 64,000 1,465,751 Aiful Corporation 7,605 324,277 Bridgestone Corporation 169,000 2,294,150 Canon, Inc. 298,000 13,674,620
SHARES VALUE ----------- ------------ Chugai Pharmaceutical Co., Ltd. 35,400 $ 402,129 Dai Nippon Printing Co., Ltd. 161,000 1,702,853 Daiwa Securities Group, Inc. 134,000 770,019 Denso Corporation 208,200 3,299,643 Eisai Co., Ltd. 267,100 5,494,375 Fanuc, Ltd. 71,900 3,562,815 Fuji Machine Manufacturing Co., Ltd. 65,000 752,446 Fuji Photo Film Co., Ltd. 154,000 4,450,386 Fujisawa Pharmaceutical Co., Ltd. 140,000 2,623,361 Hirose Electric Co., Ltd. 41,000 3,390,631 Hitachi, Ltd. 594,000 2,517,976 Honda Motor Co., Ltd. 187,900 7,120,091 Hoya Corporation 11,900 819,596 Ito-Yokado Co., Ltd. 131,000 3,136,582 Japan Airlines System Corporation 102,000 222,561 Japan Telecom Holdings Co., Ltd. 652 1,981,929 JFE Holdings, Inc. 43,500 652,092 Kansai Electric Power Co., Inc. (The) 25,000 394,337 Kao Corporation 188,000 3,499,313 Keyence Corporation 24,400 4,470,540 Matsushita Electric Industrial Co., Ltd. 402,686 3,987,455 Millea Holdings, Inc.* 535 4,090,194 Mitsubishi Corporation 51,000 353,804 Mitsubishi Estate Co., Ltd. 590,000 3,994,754 Mitsubishi Heavy Industries, Ltd. 142,000 367,787 Mitsubishi Motors Corporation* 180,000 406,246 Mitsubishi Tokyo Financial Group, Inc. 370 1,673,204 Mitsui Fudosan Co., Ltd. 120,000 766,521 Mitsui Sumitomo Insurance Co., Ltd. 78,000 361,824 Murata Manufacturing Co., Ltd. 76,700 3,014,983 NEC Corporation 179,000 894,441 Nidec Corporation* 4,200 277,377 Nikko Cordial Corporation 656,000 2,633,288 Nintendo Co., Ltd. 14,600 1,061,487 Nippon Telegraph & Telephone Corporation 500 1,961,274 Nippon Yusen Kabushiki Kaisha 277,000 1,079,625 Nissan Motor Co., Ltd. 616,400 5,893,211 Nitto Denko Corporation 16,700 546,583 Nomura Holdings, Inc. 65,000 824,984 NTT DoCoMo, Inc. 1,892 4,096,773 ORIX Corporation 36,700 2,029,465 Pioneer Corporation 28,000 629,607 Rohm Co., Ltd. 52,310 5,702,586 Sankyo Co. Ltd. 37,000 441,874 Secom Co., Ltd. 70,000 2,052,051 Sekisui House, Ltd. 113,000 856,381
See Notes to Financial Statements. 96
SHARES VALUE ----------- ------------ Shimamura Co., Ltd. 5,500 $ 303,685 Shin-Etsu Chemical Co., Ltd. 157,500 5,377,889 Shionogi & Co., Ltd. 87,000 1,178,838 SMC Corporation 3,600 303,111 Sony Corporation 65,700 1,849,394 Sumitomo Chemical Co., Ltd. 312,000 979,588 Suzuki Motor Corporation 105,000 1,365,896 Takeda Chemical Industries, Ltd. 168,000 6,198,127 TDK Corporation 13,100 646,954 Terumo Corporation 50,200 834,054 Tokyo Electron, Ltd. 39,500 1,871,789 Tokyu Corporation 161,000 518,901 Toray Industries, Inc. 239,000 555,328 Toyota Motor Corporation 159,400 4,128,537 West Japan Railway Co. 483 1,830,231 Yahoo Japan Corporation* 35 568,395 Yamanouchi Pharmaceutical Co., Ltd. 168,700 4,397,510 Yamato Transport Co., Ltd. 22,000 243,498 ------------ 154,458,148 ------------ JORDAN -- 0.0% Arab Bank PLC 900 273,558 ------------ LUXEMBOURG -- 0.1% SES Global 48,100 312,079 Tenaris SA ADR* 7,042 179,571 ------------ 491,650 ------------ MALAYSIA -- 0.4% Hong Leong Bank BHD 229,000 278,417 Malaysian Oxygen BHD 167,000 461,450 Maxis Communications BHD 108,100 162,151 OYL Industries BHD 109,000 738,623 Public Bank BHD 1,678,000 1,219,401 Road Builder M Holdings BHD 185,000 171,369 Transmile Group BHD 420,000 371,370 ------------ 3,402,781 ------------ MEXICO -- 1.5% America Movil SA de CV ADR Series L 74,300 1,393,125 Cemex SA de CV 192,167 859,072 Cemex SA de CV ADR 57,482 1,281,274 Coca-Cola Femsa SA de CV ADR* 34,200 735,300 Grupo Financiero Bancomer SA de CV Series B* 1,305,600 1,105,950 Grupo Financiero Banorte SA de CV Class O 55,000 155,650 Grupo Televisa SA ADR 22,300 769,350 Kimberly-Clark de Mexico SA de CV Class A 242,400 651,112 Telefonos de Mexico SA de CV ADR Class L 133,822 4,204,686
SHARES VALUE ----------- ------------ Wal-Mart de Mexico SA de CV Series C 110,000 $ 296,527 Wal-Mart de Mexico SA de CV Series V 274,698 811,918 ------------ 12,263,964 ------------ NETHERLANDS -- 6.3% ABN AMRO Holding NV* 193,547 3,700,601 Aegon NV 355,602 3,560,839 Akzo Nobel NV 41,000 1,086,654 ASML Holding NV* 45,300 430,205 CSM NV 160,000 3,525,872 Gucci Group NV 12,031 1,179,038 Hagemeyer NV 135,000 519,338 IHC Caland NV 55,000 2,808,043 ING Groep NV 217,599 3,780,658 Koninklijke Numico NV 74,600 1,147,930 Koninklijke Philips Electronics NV 92,100 1,751,649 Reed Elsevier NV 238,274 2,810,080 Royal Dutch Petroleum Co. 267,988 12,441,405 Royal KPN NV* 492,212 3,487,458 TPG NV 76,000 1,319,584 Unilever NV 41,372 2,219,632 VNU NV 146,520 4,514,287 ------------ 50,283,273 ------------ NEW ZEALAND -- 0.6% Carter Holt Harvey, Ltd. 274,829 288,010 Telecom Corporation of New Zealand, Ltd. 1,555,636 4,772,331 ------------ 5,060,341 ------------ NORWAY -- 0.5% Norsk Hydro ASA 49,000 2,409,813 Norske Skogindustrier ASA 19,100 285,770 Statoil ASA 144,000 1,226,865 ------------ 3,922,448 ------------ PERU -- 0.1% Compania de Minas Buenaventura SA ADR 20,300 610,827 ------------ PHILIPPINES -- 0.1% ABS-CBN Broadcasting Corporation* 223,500 76,319 Bank of the Philippine Islands 347,800 299,351 SM Prime Holdings, Inc. 996,000 109,952 ------------ 485,622 ------------ POLAND -- 0.0% Bank Pekao SA 8,680 224,580 Polski Koncern Naftowy Orlen GDR 6,090 59,127 ------------ 283,707 ------------ PORTUGAL -- 0.0% Portugal Telecom SGPS SA 44,600 319,588 ------------
See Notes to Financial Statements. 97 INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ----------- ------------ RUSSIA -- 0.7% LUKOIL ADR 26,672 $ 2,107,088 Lukoil Holdings ADR 144A 1,900 150,100 Mining and Metallurgical Co. Norilsk Nickel ADR 38,700 1,323,540 Mobile Telesystems ADR* 20,300 1,197,700 Wimm-Bill-Dann Foods OJSC ADR* 11,500 233,450 YUKOS ADR 11,000 616,000 ------------ 5,627,878 ------------ SINGAPORE -- 1.1% DBS Group Holdings, Ltd. ADR 144A 124,000 725,264 Oversea-Chinese Banking Corporation, Ltd. 346,000 1,964,770 Singapore Airlines, Ltd. 78,000 460,642 Singapore Telecommunications, Ltd. 3,246,800 2,783,993 United Overseas Bank, Ltd. 341,000 2,401,109 Venture Corporation, Ltd. 42,000 383,982 ------------ 8,719,760 ------------ SOUTH AFRICA -- 1.3% ABSA Group, Ltd. 80,500 376,667 Alexander Forbes, Ltd. 400,000 585,885 Anglo American Platinum Corporation, Ltd. 2,130 67,076 Anglo American PLC 203,948 3,147,203 AngloGold, Ltd. 2,800 88,362 FirstRand, Ltd. 305,400 310,686 Gold Fields, Ltd. 26,900 320,830 Impala Platinum Holdings, Ltd. 3,370 200,136 Iscor, Ltd. 107,300 228,602 M-Cell, Ltd.* 571,800 1,239,532 Nedcor, Ltd. 18,000 214,514 Old Mutual PLC 97,800 143,900 Pick'n Pay Stores, Ltd. 97,200 176,021 Sanlam, Ltd. 254,400 237,124 Sasol, Ltd. 148,800 1,655,422 Standard Bank Investment Corporation, Ltd. 135,000 589,613 Venfin, Ltd.* 199,900 447,179 ------------ 10,028,752 ------------ SOUTH KOREA -- 2.5% Hyundai Mobis 20,280 520,370 Hyundai Motor Co., Ltd.* 24,560 649,725 Kia Motors Corporation 18,190 134,008 Kookmin Bank 74,320 2,239,866 Kookmin Bank ADR 25,378 767,685 Kookmin Credit Card Co., Ltd. 14,000 190,456 Korea Electric Power Corporation 52,300 827,518 KT Corporation 25,590 1,000,463 KT Corporation ADR 13,950 274,955 KT Freetel* 24,000 501,298 LG Chem, Ltd. 2,570 103,273
SHARES VALUE ----------- ------------ LG Electronics, Inc. 4,470 $ 186,359 LG Engineering & Construction Corporation 21,270 367,707 POSCO 3,640 377,865 POSCO ADR 5,100 133,569 S-Oil Corporation 37,700 647,007 S1 Corporation 39,280 743,179 Samsung Electronics Co., Ltd. 12,030 3,575,260 Samsung Electronics Co., Ltd. GDR 10,209 736,342 Samsung Electronics Co., Ltd. GDR 144A 13,359 1,985,117 Samsung Fire & Marine Insurance Co., Ltd. 14,400 700,410 Shinhan Financial Group Co., Ltd. 10,100 105,270 Shinsegae Co., Ltd. 8,440 1,317,756 SK Telecom Co., Ltd. 3,350 572,122 SK Telecom Co., Ltd. ADR 33,055 623,417 Tae Young Corporation 10,000 344,077 ------------ 19,625,074 ------------ SPAIN -- 3.2% Acerinox SA 15,439 590,030 Banco Bilbao Vizcaya Argentaria SA 303,112 3,184,900 Banco Santander Central Hispano SA 367,608 3,220,929 Endesa SA 156,870 2,626,449 Grupo Dragados SA 67,512 1,359,047 Iberdrola SA 205,800 3,563,841 Inditex SA 65,100 1,637,181 Repsol YPF SA 34,000 551,296 Telefonica SA* 727,445 8,445,454 ------------ 25,179,127 ------------ SRI LANKA -- 0.1% DFCC Bank* 168,000 518,759 ------------ SWEDEN -- 1.8% Assa Abloy AB Class B 79,374 768,462 Autoliv, Inc. AB 24,291 653,936 Electrolux AB Class B 91,900 1,813,907 ForeningsSparbanken AB 81,600 1,126,406 Hennes & Mauritz AB Class B 144,200 3,314,557 Nordea AB 400,000 1,947,420 Sandvik AB 50,900 1,332,123 Svenska Handelsbanken Class A 24,900 407,486 TeliaSonera AB 255,193 1,058,399 Volvo AB Class B 69,500 1,528,058 ------------ 13,950,754 ------------ SWITZERLAND -- 3.6% Adecco SA 31,779 1,309,129 Compagnie Financiere Richemont AG Class A 102,849 1,662,847 Credit Suisse Group 74,358 1,957,020 Holcim, Ltd. 39,211 1,448,839 Nestle SA 32,600 6,726,786
See Notes to Financial Statements. 98
SHARES VALUE ----------- ------------ Novartis AG 186,954 $ 7,397,889 Roche Holding AG 12,500 980,499 STMicroelectronics NV 55,800 1,161,744 Swiss Reinsurance 41,584 2,304,014 Swisscom AG 7,070 2,009,501 Synthes-Stratec, Inc. 542 389,332 UBS AG 21,604 1,201,782 ------------ 28,549,382 ------------ TAIWAN -- 0.9% Chinatrust Financial Holding Co., Ltd. 405,000 326,481 Compal Electronics, Inc. 251,000 336,504 Faraday Technology Corporation* 190,000 455,649 Fubon Financial Holding Co., Ltd.* 563,000 450,595 HON HAI Precision Industry Co., Ltd. 80,000 290,090 MediaTek, Inc. 44,000 441,144 Phoenixtec Power Co., Ltd. 321,000 269,896 President Chain Store Corporation 141,000 189,439 Sunplus Technology Co., Ltd. 165,000 214,533 Taishin Financial Holdings Co., Ltd.* 488,000 253,799 Taiwan Semiconductor Manufacturing Co., Ltd.* 2,093,000 3,447,010 United Microelectronics Corporation* 249,000 160,436 ------------ 6,835,576 ------------ THAILAND -- 0.3% Advanced Info Service Public Co., Ltd. 427,000 619,577 Bangkok Bank Public Co., Ltd.* 205,400 329,793 BEC World Public Co., Ltd. 77,700 443,578 PTT Exploration and Production Public Co., Ltd. 197,900 757,894 PTT Public Co., Ltd. 151,400 239,489 Siam Commercial Bank Public Co., Ltd.* 58,300 49,924 ------------ 2,440,255 ------------ TURKEY -- 0.1% Akbank TAS 48,291,250 143,060 Enka Insaat Ve Sanayi AS 1,172,402 40,314 Hurriyet Gazetecilik Ve Matbaacilik AS* 60,362,127 104,311 Migros Turk TAS 48,090,000 478,270 Turkcell Iletisim Hizmetleri AS* 4,606,570 30,868 Turkcell Iletisim Hizmetleri AS ADR* 4,358 73,650 Turkiye Garanti Bankasi AS* 68,084,179 92,204 ------------ 962,677 ------------
SHARES VALUE ----------- ------------ UNITED KINGDOM -- 17.4% Antofagasta PLC 175,000 $ 1,775,990 ARM Holdings PLC* 110,000 121,617 AstraZeneca PLC 220,694 8,911,967 Aviva PLC 189,663 1,316,843 BAA PLC 324,826 2,629,161 BAE Systems PLC 1,058,854 2,489,879 Barclays PLC 117,200 870,297 BG Group PLC 2,247,218 9,956,734 BHP Billiton PLC 198,163 1,043,135 BOC Group PLC 134,300 1,723,073 Boots Group PLC 437,534 4,682,191 BP PLC 271,283 1,881,298 Brambles Industries PLC 638,524 1,728,019 British Airways PLC 850,400 2,126,000 British Sky Broadcasting PLC* 299,252 3,315,969 Cable & Wireless PLC 815,418 1,520,499 Cadbury Schweppes PLC 300,000 1,772,277 Centrica PLC 636,500 1,845,955 Compass Group PLC 45,400 244,793 Dimension Data Holdings PLC* 436,700 156,736 GKN PLC 503,116 1,847,249 GlaxoSmithKline PLC 243,818 4,920,617 GUS PLC 420,400 4,710,422 Hays PLC 589,300 933,545 HBOS PLC 481,461 6,232,776 HSBC Holdings PLC 379,673 4,485,905 Intercontinental Hotels Group PLC* 408,484 2,898,484 Johnson Matthey PLC 125,000 1,821,370 Kingfisher PLC 699,531 3,200,412 Lloyds TSB Group PLC 699,953 4,969,551 Marks & Spencer Group PLC 336,190 1,751,683 mmO2 PLC* 497,500 465,893 National Grid Transco PLC 135,500 918,985 Next PLC 382,503 6,479,198 Northumbrian Water Group PLC* 464,416 885,149 Pearson PLC 158,300 1,478,512 Peninsular & Oriental Steam Navigation Co. (The) 220,400 854,686 Prudential PLC 69,800 422,716 Reckitt Benckiser PLC 181,720 3,334,532 Reed Elsevier PLC 429,411 3,573,110 Reuters Group PLC 111,900 324,528 Rio Tinto PLC 143,877 2,706,597 Royal Bank of Scotland Group PLC 200,964 5,637,604 Scottish Power PLC 100,400 603,063 Shell Transport & Trading Co. PLC 640,000 4,224,422 Smith & Nephew PLC 189,633 1,089,764 Smiths Group PLC 151,700 1,759,820 Standard Chartered PLC 99,600 1,209,663 Trinity Mirror PLC 197,000 1,396,229 Unilever PLC 295,500 2,352,785
See Notes to Financial Statements. 99 INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ----------- ------------ Vodafone Group PLC 4,920,566 $ 9,621,900 Xstrata PLC 110,000 730,611 ------------ 137,954,214 ------------ VENEZUELA -- 0.0% Compania Anonima Nacional Telefonos de Venezuela ADR 2,001 24,992 ------------ TOTAL FOREIGN COMMON STOCK (Cost $791,194,642) 756,742,748 ------------ FOREIGN PREFERRED STOCK -- 0.2% BRAZIL -- 0.1% Companhia de Tecidos do Norte de Minas -- Coteminas 4,986,860 347,636 Gerdau SA 19,500 223,614 Investimentos Itau SA (Preferred Receipts)* 7,412 5,839 Investimentos Itau SA 250,000 196,932 ------------ 774,021 ------------ JAPAN -- 0.1% SMFG Finance, Ltd. 144A 78,000,000 601,686 ------------ TOTAL FOREIGN PREFERRED STOCK (Cost $1,181,907) 1,375,707 ------------
SHARES VALUE ----------- ------------ RIGHTS -- 0.0% FRANCE Lafarge SA, Strike price 41 Euros, 07/02/03* (Cost $0) 24,100 $ 65,036 ------------ SHORT-TERM INVESTMENTS -- 12.4% AB Funds Trust -- Money Market Fund (Affiliated Fund) 30,237,796 30,237,796 Northern Institutional Liquid Assets Portfolio sec. 68,154,450 68,154,450 ------------ TOTAL SHORT-TERM INVESTMENTS (Cost $98,392,246) 98,392,246 ------------ TOTAL INVESTMENTS -- 108.1% (Cost $890,931,787) 856,781,146 LIABILITIES IN EXCESS OF OTHER ASSETS -- (8.1%) (64,317,294) ------------ NET ASSETS -- 100.0% $792,463,852 ============
See Notes to Financial Statements. 100 SCHEDULE OF INVESTMENTS DEFINITIONS AND ABBREVIATIONS ADR -- American Depository Receipt CONV -- Convertible GDR -- Global Depository Receipt IO -- Interest Only. Principal amount shown is notional. PO -- Principal Only REIT -- Real Estate Investment Trust STEP -- Stepped Coupon Bonds(1) STRIP -- Stripped Security. TRACER -- Tracking Certificate sec. -- Security purchased with the cash proceeds from securities loaned. * -- Non-income producing security. # -- Security in default. ++ -- Variable rate security(1). ++++ -- All or a portion of the security was held as collateral for open futures, options and/or swap contracts. @ -- Illiquid. + -- Security is valued at fair value. (A) -- Par is denominated in Australian Dollars. (C) -- Par is denominated in Canadian Dollars. (E) -- Par is denominated in European Euros. (K) -- Par is denominated in Norwegian Krone. (M) -- Par is denominated in Mexican Pesos. (N) -- Par is denominated in New Zealand Dollars. (P) -- Par is denominated in Polish Zloty. (S) -- Par is denominated in Swiss Francs. 144A -- Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. (a) -- Counterparty to contract is Goldman Sachs Capital Markets, LP. (b) -- Counterparty to contract is UBS AG. (c) -- Counterparty to contract is Salomon Brothers, Inc. (d) -- Counterparty to contract is Merrill Lynch International. (e) -- Counterparty to contract is Lehman Brothers Special Financing, Inc. (f) -- Counterparty to contract is Citibank NA. London. (g) -- Counterparty to contract is JPMorgan Chase Bank. (h) -- Counterparty to contract is Merrill Lynch Capital Services, Inc.
(1) Interest rates shown reflect the rates currently in effect. (2) Interest rates shown reflect the effective yields as of June 30, 2003. 101 STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
MONEY LOW-DURATION MEDIUM-DURATION JUNE 30, 2003 MARKET FUND BOND FUND BOND FUND ------------- -------------- ------------ --------------- ASSETS Investments at value (1)(2) $1,059,732,508 $836,202,239 $1,120,353,201 Options purchased at value (3) -- -- 38,634 Cash 969 3,207,572 1,943,874 Foreign currency (4) -- 340,058 4,709,692 Receivables: Dividends and reclaims -- 13,994 62,483 Interest 2,203,004 5,148,402 7,404,210 Interest on swaps -- -- 249,333 Investment securities sold -- 7,918,018 138,710,165 Maturities -- 507,138 2,575 Fund shares sold 6,294,040 225,208 136,573 Variation margin -- 67,197 133,389 Securities lending 1,567 25,208 17,244 Realized gain from forward contract -- -- 21,832 Unrealized appreciation on foreign currency exchange contracts -- 13,430 398,815 Unrealized appreciation on swap agreements -- 467,553 4,839,234 Prepaid expenses and other assets 25,263 24,890 24,532 -------------- ------------ -------------- Total Assets 1,068,257,351 854,160,907 1,279,045,786 -------------- ------------ -------------- LIABILITIES Cash overdraft -- -- -- Options written at value (5) -- 714,917 2,855,603 Unrealized depreciation on foreign currency exchange contracts -- 329,131 393,464 Unrealized depreciation on swap agreements -- -- 5,139,206 Collateral held for securities on loan at value 130,579,380 314,325 87,295,263 Payables: Investment securities purchased -- 54,103,909 385,730,089 Fund shares purchased 6,820,269 3,861 486,381 Interest on swaps -- -- 194,508 Variation margin -- 5,469 96,603 Distributions 20,467 51 -- Securities lending 470 7,562 5,173 Accrued expenses Advisory fee payable 101,723 97,445 97,618 Distribution fee payable 679 1,891 1,841 Other accrued expenses 252,307 334,002 371,123 Other liabilities -- -- -- -------------- ------------ -------------- Total Liabilities 137,775,295 55,912,563 482,666,872 -------------- ------------ -------------- NET ASSETS $ 930,482,056 $798,248,344 $ 796,378,914 ============== ============ ============== NET ASSETS CONSIST OF: Paid-in-capital $ 930,491,527 $775,416,231 $ 749,506,467 Undistributed net investment income (loss) -- 2,286,122 4,483,117 Accumulated net realized gain (loss) on investments, foreign currency related items and derivative transactions (9,471) 6,235,698 10,267,868 Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions -- 14,310,293 32,121,462 -------------- ------------ -------------- NET ASSETS $ 930,482,056 $798,248,344 $ 796,378,914 ============== ============ ============== NET ASSET VALUE: $0.001 par value, unlimited shares authorized Net assets applicable to the Retail Class $ 8,285,478 $23,001,002 $ 22,536,716 -------------- ------------ -------------- Retail shares outstanding 8,287,672 2,334,579 2,294,891 -------------- ------------ -------------- Net asset value, offering price and redemption price per retail share $ 1.00 $ 9.85 $ 9.82 ============== ============ ============== Net assets applicable to the Retirement Class $ 916,417,477 $764,907,866 $ 759,592,418 -------------- ------------ -------------- Retirement shares outstanding 916,389,498 57,525,941 54,067,914 -------------- ------------ -------------- Net asset value, offering price and redemption price per retirement share $ 1.00 $ 13.30 $ 14.05 ============== ============ ============== Net assets applicable to the Institutional class $ 5,779,101 $10,339,476 $ 14,249,780 -------------- ------------ -------------- Institutional shares outstanding 5,779,851 1,053,023 1,459,570 -------------- ------------ -------------- Net asset value, offering price and redemption price per institutional share $ 1.00 $ 9.82 $ 9.76 ============== ============ ============== - --------------- (1) Investments at cost $1,059,732,508 $821,555,181 $1,088,325,551 ============== ============ ============== (2) Includes securities loaned of: 162,270,846 79,948,007 163,473,669 ============== ============ ============== (3) Premiums paid on options purchased -- -- 20,856 ============== ============ ============== (4) Foreign currency at cost -- 345,418 4,613,471 ============== ============ ============== (5) Premiums received on options written -- (400,920) (1,845,041) ============== ============ ==============
See Notes to Financial Statements. 102
EXTENDED-DURATION EQUITY VALUE GROWTH SMALL CAP INTERNATIONAL BOND FUND INDEX FUND EQUITY FUND EQUITY FUND EQUITY FUND EQUITY FUND ----------------- ------------ -------------- -------------- ------------ ------------- $489,221,979 $392,566,237 $1,137,122,235 $1,278,647,689 $380,317,086 $ 856,781,146 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 1,895,322 4,357 453,858 2,196,342 800,189 113,644 2,457,802 6,095,324 -- 0 -- 196 6,309 -- -- -- -- -- -- -- -- 3,330,057 1,141,992 2,138,846 2,343,908 -- -- -- -- -- -- 2,016,565 120,267 118,191 338,917 78,310 1,055,424 -- -- -- -- 14,883 -- 9,593 3,566 14,574 11,381 15,201 55,670 -- -- -- -- -- -- -- -- -- -- -- 522,113 -- -- -- -- -- -- 24,752 24,305 24,030 24,605 24,510 24,358 ------------ ------------ -------------- -------------- ------------ ------------- 497,372,570 393,168,233 1,142,805,429 1,280,964,773 382,702,676 865,142,052 ------------ ------------ -------------- -------------- ------------ ------------- -- -- 383,767 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 37,915,051 19,105,216 74,211,756 67,428,296 80,189,573 68,154,450 247,500 -- 4,699,041 2,503,408 2,166,062 3,582,383 1,201,012 65,486 103,404 1,105 1,706,009 1,187 -- -- -- -- -- -- -- -- 658 204 -- -- -- -- -- -- -- -- 2,878 1,070 4,372 3,414 4,560 16,701 97,992 31,584 349,910 385,716 38,051 238,500 2,456 1,216 1,326 1,238 1,275 1,288 200,657 111,140 497,625 568,285 314,351 678,749 29,559 3,608 521 1,409 1,095 4,942 ------------ ------------ -------------- -------------- ------------ ------------- 39,697,105 19,319,320 80,252,380 70,893,075 84,420,976 72,678,200 ------------ ------------ -------------- -------------- ------------ ------------- $457,675,465 $373,848,913 $1,062,553,049 $1,210,071,698 $298,281,700 $ 792,463,852 ============ ============ ============== ============== ============ ============= $396,933,846 $399,479,793 $1,167,434,839 $1,554,079,933 $313,903,282 $ 935,087,877 2,683,235 543,574 799,414 179,376 (397,204) 9,362,519 13,858,516 (9,529,834) (102,223,364) (307,308,157) (45,584,208) (118,387,747) 44,199,868 (16,644,620) (3,457,840) (36,879,454) 30,359,830 (33,598,797) ------------ ------------ -------------- -------------- ------------ ------------- $457,675,465 $373,848,913 $1,062,553,049 $1,210,071,698 $298,281,700 $ 792,463,852 ============ ============ ============== ============== ============ ============= $ 29,528,424 $ 14,619,812 $ 16,127,231 $ 14,985,978 $ 15,589,409 $ 15,607,756 ------------ ------------ -------------- -------------- ------------ ------------- 2,855,770 1,818,318 1,887,089 1,867,102 1,696,439 1,751,987 ------------ ------------ -------------- -------------- ------------ ------------- $ 10.34 $ 8.04 $ 8.55 $ 8.03 $ 9.19 $ 8.91 ============ ============ ============== ============== ============ ============= $417,836,529 $353,107,921 $1,036,125,483 $1,185,618,755 $275,832,652 $ 767,440,367 ------------ ------------ -------------- -------------- ------------ ------------- 26,316,566 26,639,626 78,868,508 92,353,612 22,884,165 72,952,423 ------------ ------------ -------------- -------------- ------------ ------------- $ 15.88 $ 13.25 $ 13.14 $ 12.84 $ 12.05 $ 10.52 ============ ============ ============== ============== ============ ============= $ 10,310,512 $ 6,121,180 $ 10,300,335 $ 9,466,965 $ 6,859,639 $ 9,415,729 ------------ ------------ -------------- -------------- ------------ ------------- 996,647 765,473 1,200,892 1,171,458 740,560 1,046,171 ------------ ------------ -------------- -------------- ------------ ------------- $ 10.35 $ 8.00 $ 8.58 $ 8.08 $ 9.26 $ 9.00 ============ ============ ============== ============== ============ ============= $445,023,906 $409,060,321 $1,139,862,999 $1,314,240,943 $349,653,685 $ 890,931,787 ============ ============ ============== ============== ============ ============= 88,559,452 19,013,091 76,616,086 81,574,555 79,440,483 67,227,166 ============ ============ ============== ============== ============ ============= -- -- -- -- -- -- ============ ============ ============== ============== ============ ============= -- -- -- -- -- 1,926,457 ============ ============ ============== ============== ============ ============= -- -- -- -- -- -- ============ ============ ============== ============== ============ =============
See Notes to Financial Statements. 103 STATEMENTS OF OPERATIONS (UNAUDITED)
MONEY LOW-DURATION MEDIUM-DURATION FOR THE SIX MONTHS ENDED JUNE 30, 2003 MARKET FUND BOND FUND BOND FUND - -------------------------------------- ----------- ------------ --------------- INVESTMENT INCOME Dividends $ -- $ -- $ -- Income distributions received from affiliated funds -- 147,347 362,978 Interest 6,565,109 13,231,583 18,798,030 Securities Lending 11,575 116,968 67,386 Less foreign taxes withheld -- -- (11,439) ---------- ----------- ----------- Total Investment Income 6,576,684 13,495,898 19,216,955 ---------- ----------- ----------- EXPENSES Investment advisory fees 946,012 1,617,324 1,747,316 Transfer agent fees Retail shares 9,642 7,956 8,582 Retirement shares 13,960 9,765 9,882 Institutional shares 1,801 1,794 1,802 Custodian fees 10,180 30,965 75,766 Distribution fees -- Retail shares 6,243 10,966 10,364 Shareholders servicing fees: Retail shares 9,361 16,426 15,517 Retirement shares 859,615 722,085 730,049 Accounting and administration fees 174,007 170,943 187,683 Professional fees 23,872 23,872 23,872 Registration fees 6,358 6,164 6,065 Shareholder reporting fees Retail shares 7,305 3,696 5,078 Retirement shares (50) (446) (442) Institutional shares 60 29 60 Trustee fees 1,510 1,366 1,379 Line of credit facility fees 3,620 3,291 3,292 Other expenses 7,613 8,762 12,991 ---------- ----------- ----------- Total expenses 2,081,109 2,634,958 2,839,256 Expenses waived (21,863) (209,387) (340,062) Fees paid indirectly (4,179) (15,013) (5,887) ---------- ----------- ----------- Net expenses 2,055,067 2,410,558 2,493,307 ---------- ----------- ----------- NET INVESTMENT INCOME (LOSS) 4,521,617 11,085,340 16,723,648 ---------- ----------- ----------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) from: Investment securities $ (10,148) $ 5,056,709 $17,302,283 Futures transactions -- 1,112,946 6,369,494 Swap agreements -- 313,324 (7,815,937) Option contracts -- 255,110 (364,064) Foreign currency transactions -- (1,338,846) (5,690,656) ---------- ----------- ----------- Net realized gain (loss) (10,148) 5,399,243 9,801,120 ---------- ----------- ----------- Net change in unrealized appreciation (depreciation) on: Investment securities -- 629,087 12,885,956 Futures transactions -- (680,852) (1,544,873) Swap agreements -- 257,217 2,986,906 Option contracts -- (313,998) (440,408) Foreign currency translations -- (192,630) 2,101,747 ---------- ----------- ----------- Net change in unrealized appreciation (depreciation) -- (301,176) 15,989,328 ---------- ----------- ----------- NET REALIZED AND UNREALIZED GAIN (LOSS) (10,148) 5,098,067 25,790,448 ---------- ----------- ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $4,511,469 $16,183,407 $42,514,096 ========== =========== ===========
See Notes to Financial Statements. 104
EXTENDED-DURATION EQUITY VALUE GROWTH SMALL CAP INTERNATIONAL BOND FUND INDEX FUND EQUITY FUND EQUITY FUND EQUITY FUND EQUITY FUND ----------------- ----------- ------------ ------------ ----------- ------------- $ 34,063 $ 2,783,531 $ 12,759,039 $ 4,752,043 $ 943,908 $ 14,341,627 55,270 45,255 211,427 267,177 68,659 105,334 14,120,035 4,713 23,653 25,096 7,398 7,757 42,429 14,769 101,423 58,943 73,954 188,837 (27,062) -- (22,595) (19,366) (1,412) (1,227,034) ----------- ----------- ------------ ------------ ----------- ------------ 14,224,735 2,848,268 13,072,947 5,083,893 1,092,507 13,416,521 ----------- ----------- ------------ ------------ ----------- ------------ 1,088,390 271,050 3,339,798 4,186,049 1,393,528 3,475,638 8,027 8,294 8,446 8,598 8,369 7,407 9,590 9,663 9,635 9,510 9,319 9,634 1,794 1,794 1,818 1,804 1,815 1,794 13,904 15,158 48,673 34,378 53,509 271,737 13,485 6,626 7,126 6,616 6,626 6,991 20,181 9,934 10,691 9,915 9,932 10,482 388,829 291,081 894,663 1,027,970 224,180 653,956 92,834 70,844 199,681 220,689 82,492 172,549 23,872 23,872 23,872 23,872 23,872 23,872 5,724 5,689 5,689 4,370 5,879 5,450 4,040 4,341 4,221 4,980 4,220 1,957 54 191 (865) (989) 225 (448) 29 29 91 63 91 26 963 804 1,487 1,670 727 1,204 2,496 2,228 3,680 3,948 2,078 3,095 9,489 7,612 7,612 7,611 7,612 23,151 ----------- ----------- ------------ ------------ ----------- ------------ 1,683,701 729,210 4,566,318 5,551,054 1,834,474 4,668,495 (44,438) (79,400) (215,402) (572,889) (227,380) (600,010) (2,394) (209) (132,662) (73,648) (101,727) (67,923) ----------- ----------- ------------ ------------ ----------- ------------ 1,636,869 649,601 4,218,254 4,904,517 1,505,367 4,000,562 ----------- ----------- ------------ ------------ ----------- ------------ 12,587,866 2,198,667 8,854,693 179,376 (412,860) 9,415,959 ----------- ----------- ------------ ------------ ----------- ------------ $13,718,324 $ (541,387) $(16,102,593) $(63,794,856) $ 609,357 $(33,132,874) -- 607,409 4,073,580 5,304,623 2,172,324 -- -- -- -- -- -- -- -- -- -- -- -- -- (504,356) -- -- -- -- 446,030 ----------- ----------- ------------ ------------ ----------- ------------ 13,213,968 66,022 (12,029,013) (58,490,233) 2,781,681 (32,686,844) ----------- ----------- ------------ ------------ ----------- ------------ 21,067,375 34,649,137 114,782,374 208,148,269 41,793,847 87,300,743 -- (28,509) 84,416 1,481,993 (43,024) -- -- -- -- -- -- -- -- -- -- -- -- -- (18,641) -- -- -- -- 183,038 ----------- ----------- ------------ ------------ ----------- ------------ 21,048,734 34,620,628 114,866,790 209,630,262 41,750,823 87,483,781 ----------- ----------- ------------ ------------ ----------- ------------ 34,262,702 34,686,650 102,837,777 151,140,029 44,532,504 54,796,937 ----------- ----------- ------------ ------------ ----------- ------------ $46,850,568 $36,885,317 $111,692,470 $151,319,405 $44,119,644 $ 64,212,896 =========== =========== ============ ============ =========== ============
See Notes to Financial Statements. 105 STATEMENT OF CHANGES IN NET ASSETS
MONEY MARKET FUND ---------------------------- FOR THE SIX FOR THE YEAR MONTHS ENDED ENDED 6/30/2003 12/31/2002 ------------ ------------ (UNAUDITED) INCREASE/(DECREASE) IN NET ASSETS OPERATIONS: Net investment income $ 4,521,617 $ 14,389,410 Net realized gain (loss) on investment securities, foreign currency and futures transactions (10,148) 677 Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations, and futures contracts -- -- ------------ ------------ Net increase in net assets resulting from operations 4,511,469 14,390,087 ------------ ------------ DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME Retail shares (46,057) (211,879) Retirement shares (4,442,677) (14,080,267) Institutional shares (32,883) (98,374) DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS Retail shares -- (2,139) Retirement shares -- (122,219) Institutional shares -- (709) RETURN OF CAPITAL Retail shares -- -- Retirement shares -- -- Institutional shares -- -- ------------ ------------ Total dividends and distributions (4,521,617) (14,515,587) ------------ ------------ NET INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 2,159,666 (68,734,603) ------------ ------------ Total increase (decrease) in net assets 2,149,518 (68,860,103) ------------ ------------ NET ASSETS: Beginning of the Period $928,332,538 $997,192,641 ------------ ------------ End of the Period $930,482,056 $928,332,538 ============ ============
See Notes to Financial Statements. 106
LOW-DURATION BOND FUND MEDIUM-DURATION BOND FUND EXTENDED-DURATION BOND FUND --------------------------- --------------------------- --------------------------- FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR MONTHS ENDED ENDED MONTHS ENDED ENDED MONTHS ENDED ENDED 6/30/2003 12/31/2002 6/30/2003 12/31/2002 6/30/2003 12/31/2002 ------------ ------------ ------------ ------------ ------------ ------------ (UNAUDITED) (UNAUDITED) (UNAUDITED) $ 11,085,340 $ 28,004,785 $ 16,723,648 $ 37,436,569 $ 12,587,866 $ 25,918,328 5,399,243 10,127,389 9,801,120 28,478,461 13,213,968 6,449,350 (301,176) 6,436,331 15,989,328 4,121,731 21,048,734 7,183,095 ------------ ------------ ------------ ------------ ------------ ------------ 16,183,407 44,568,505 42,514,096 70,036,761 46,850,568 39,550,773 ------------ ------------ ------------ ------------ ------------ ------------ (290,195) (891,700) (434,263) (1,019,885) (835,573) (2,004,286) (7,868,719) (28,377,608) (11,941,024) (37,167,512) (8,472,040) (23,749,846) (116,585) (300,705) (223,860) (413,967) (258,753) (539,205) -- (314,466) -- (749,228) -- (608,575) -- (8,567,498) -- (21,292,911) -- (6,527,530) -- (95,235) -- (282,811) -- (159,603) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ (8,275,499) (38,547,212) (12,599,147) (60,926,314) (9,566,366) (33,589,045) ------------ ------------ ------------ ------------ ------------ ------------ (951,614) (30,599,815) (27,969,099) (42,599,829) (12,124,408) 13,696,928 ------------ ------------ ------------ ------------ ------------ ------------ 6,956,294 (24,578,522) 1,945,850 (33,489,382) 25,159,794 19,658,656 ------------ ------------ ------------ ------------ ------------ ------------ $791,292,050 $815,870,572 $794,433,064 $827,922,446 $432,515,671 $412,857,015 ------------ ------------ ------------ ------------ ------------ ------------ $798,248,344 $791,292,050 $796,378,914 $794,433,064 $457,675,465 $432,515,671 ============ ============ ============ ============ ============ ============
See Notes to Financial Statements. 107 STATEMENT OF CHANGES IN NET ASSETS
EQUITY INDEX FUND ---------------------------- FOR THE SIX FOR THE YEAR MONTHS ENDED ENDED 6/30/2003 12/31/2002 ------------ ------------ (UNAUDITED) INCREASE/(DECREASE) IN NET ASSETS OPERATIONS: Net investment income (loss) $ 2,198,667 $ 4,233,513 Net realized gain (loss) on investment securities, foreign currency and futures transactions 66,022 (8,337,123) Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations, and futures contracts 34,620,628 (86,488,833) ------------ ------------ Net increase (decrease) in net assets resulting from operations 36,885,317 (90,592,443) ------------ ------------ DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME Retail shares (109,373) (284,510) Retirement shares (1,544,125) (3,810,917) Institutional shares (51,463) (114,879) DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS Retail shares -- (51,388) Retirement shares -- (723,900) Institutional shares -- (18,967) RETURN OF CAPITAL Retail shares -- -- Retirement shares -- -- Institutional shares -- -- ------------ ------------ Total dividends and distributions (1,704,961) (5,004,561) ------------ ------------ NET INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 25,780,249 6,619,642 ------------ ------------ Total increase (decrease) in net assets 60,960,605 (88,977,362) ------------ ------------ NET ASSETS: Beginning of the Period $312,888,308 $401,865,670 ------------ ------------ End of the Period $373,848,913 $312,888,308 ============ ============
See Notes to Financial Statements. 108
VALUE EQUITY FUND GROWTH EQUITY FUND SMALL CAP EQUITY FUND INTERNATIONAL EQUITY FUND ------------------------------- ------------------------------- --------------------------- --------------------------- FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR MONTHS ENDED ENDED MONTHS ENDED ENDED MONTHS ENDED ENDED MONTHS ENDED ENDED 6/30/2003 12/31/2002 6/30/2003 12/31/2002 6/30/2003 12/31/2002 6/30/2003 12/31/2002 -------------- -------------- -------------- -------------- ------------ ------------ ------------ ------------ (UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED) $ 8,854,693 $ 16,612,447 $ 179,376 $ (609,038) $ (412,860) $ (584,539) $ 9,415,959 $ 7,653,878 (12,029,013) (63,914,069) (58,490,233) (170,669,128) 2,781,681 (38,839,206) (32,686,844) (58,572,782) 114,866,790 (153,063,309) 209,630,262 (221,901,627) 41,750,823 (31,682,156) 87,483,781 (46,113,641) -------------- -------------- -------------- -------------- ------------ ------------ ------------ ------------ 111,692,470 (200,364,931) 151,319,405 (393,179,793) 44,119,644 (71,105,901) 64,212,896 (97,032,545) -------------- -------------- -------------- -------------- ------------ ------------ ------------ ------------ (183,268) (335,450) -- -- -- -- -- (149,912) (8,112,463) (15,700,497) -- -- -- -- -- (7,393,223) (133,987) (149,517) -- -- -- -- -- (79,869) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- (3,045) -- -- -- -- -- (4,136) -- (134,245) -- -- -- -- -- (174,185) -- (1,142) -- -- -- -- -- (1,573) -------------- -------------- -------------- -------------- ------------ ------------ ------------ ------------ (8,429,718) (16,323,896) -- -- -- -- -- (7,802,898) -------------- -------------- -------------- -------------- ------------ ------------ ------------ ------------ 1,455,884 15,069,203 (8,012,154) 105,305,231 3,423,154 (94,482) 10,052,671 27,592,506 -------------- -------------- -------------- -------------- ------------ ------------ ------------ ------------ 104,718,636 (201,619,624) 143,307,251 (287,874,562) 47,542,798 (71,200,383) 74,265,567 (77,242,937) -------------- -------------- -------------- -------------- ------------ ------------ ------------ ------------ $ 957,834,413 $1,159,454,037 $1,066,764,447 $1,354,639,009 $250,738,902 $321,939,285 $718,198,285 $795,441,222 -------------- -------------- -------------- -------------- ------------ ------------ ------------ ------------ $1,062,553,049 $ 957,834,413 $1,210,071,698 $1,066,764,447 $298,281,700 $250,738,902 $792,463,852 $718,198,285 ============== ============== ============== ============== ============ ============ ============ ============
See Notes to Financial Statements. 109 FINANCIAL HIGHLIGHTS
MONEY MARKET FUND ----------------------------------------------------------------------------- RETAIL CLASS RETIREMENT CLASS ------------------------------------- ------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ ----------- -------- ------------ (UNAUDITED) (UNAUDITED) PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE -- BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------ ------- ------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income --++ 0.01 0.01 --++ 0.02 0.01 Realized and unrealized gain (loss) on investments -- net -- -- -- -- -- -- ------ ------- ------- -------- -------- -------- Total from investment operations -- 0.01 0.01 -- 0.02 0.01 ------ ------- ------- -------- -------- -------- LESS DIVIDENDS AND DISTRIBUTIONS Dividends from net investment income --++ (0.01) (0.01) --++ (0.02) (0.01) Distributions from capital gains -- --++ -- -- --++ -- Return of capital -- -- -- -- -- -- ------ ------- ------- -------- -------- -------- Total dividends and distributions -- (0.01) (0.01) -- (0.02) (0.01) ------ ------- ------- -------- -------- -------- NET ASSET VALUE -- END OF THE PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ====== ======= ======= ======== ======== ======== Total Return (1) 0.36% 1.38% 0.81% 0.49% 1.60% 0.94% RATIOS/SUPPLEMENTAL DATA: Ratios to average net assets: Expenses -- net (2) 0.71% 0.65% 0.75% 0.44% 0.45% 0.44% Expenses -- including expense reduction (2) 0.71% 0.65% 0.75% 0.44% 0.44% 0.44% Expenses -- before waivers and expense reduction (2) 0.79% 0.77% 16.37% 0.45% 0.50% 0.49% Investment income -- net (2) 0.74% 1.35% 1.98% 0.98% 1.58% 2.72% Investment income (loss) -- excluding waivers and expense reduction (2) 0.66% 1.23% (13.64%) 0.97% 1.52% 2.67% Portfolio turnover rate (1) N/A N/A N/A N/A N/A N/A Net Assets -- end of the period (000's) $8,285 $16,538 $ 788 $916,417 $906,302 $996,380 ====== ======= ======= ======== ======== ======== MONEY MARKET FUND ------------------------------------- INSTITUTIONAL CLASS ------------------------------------- FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ (UNAUDITED) PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE -- BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 ------ ------ ------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.01 0.02 0.01 Realized and unrealized gain (loss) on investments -- net -- -- -- ------ ------ ------- Total from investment operations 0.01 0.02 0.01 ------ ------ ------- LESS DIVIDENDS AND DISTRIBUTIONS Dividends from net investment income (0.01) (0.02) (0.01) Distributions from capital gains -- --++ -- Return of capital -- -- -- ------ ------ ------- Total dividends and distributions (0.01) (0.02) (0.01) ------ ------ ------- NET ASSET VALUE -- END OF THE PERIOD $ 1.00 $ 1.00 $ 1.00 ====== ====== ======= Total Return (1) 0.59% 1.80% 0.66% RATIOS/SUPPLEMENTAL DATA: Ratios to average net assets: Expenses -- net (2) 0.25% 0.25% 0.25% Expenses -- including expense reduction (2) 0.25% 0.25% 0.25% Expenses -- before waivers and expense reduction (2) 0.32% 0.55% 90.37% Investment income -- net (2) 1.17% 1.75% 2.60% Investment income (loss) -- excluding waivers and expense reduction (2) 1.10% 1.45% (87.52%) Portfolio turnover rate (1) N/A N/A N/A Net Assets -- end of the period (000's) $5,779 $5,493 $ 25 ====== ====== =======
- --------------- * Commencement of operations. # Calculated using the average shares outstanding method. (1) Non-annualized. (2) Annualized. ++ Amount represents less than $0.01 per share. See Notes to Financial Statements. 110
LOW-DURATION BOND FUND --------------------------------------------------------------------------------------------------------------------- RETAIL CLASS RETIREMENT CLASS INSTITUTIONAL CLASS ------------------------------------- ------------------------------------- ------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ ----------- -------- ------------ ----------- -------- ------------ (UNAUDITED) (UNAUDITED) (UNAUDITED) $ 9.79 $ 9.86 $ 10.00 $ 13.16 $ 13.06 $ 13.10 $ 9.76 $ 9.85 $ 10.00 ------- ------- ------- -------- -------- -------- ------- ------- ------- 0.14 0.33# 0.22 0.19 0.46# 0.21 0.20 0.37# 0.15 0.05 0.22 (0.06) 0.09 0.27 0.05 0.01 0.19 -- ------- ------- ------- -------- -------- -------- ------- ------- ------- 0.19 0.55 0.16 0.28 0.73 0.26 0.21 0.56 0.15 ------- ------- ------- -------- -------- -------- ------- ------- ------- (0.13) (0.47) (0.22) (0.14) (0.48) (0.22) (0.15) (0.50) (0.22) -- (0.15) (0.08) -- (0.15) (0.08) -- (0.15) (0.08) -- -- -- -- -- -- -- -- -- ------- ------- ------- -------- -------- -------- ------- ------- ------- (0.13) (0.62) (0.30) (0.14) (0.63) (0.30) (0.15) (0.65) (0.30) ------- ------- ------- -------- -------- -------- ------- ------- ------- $ 9.85 $ 9.79 $ 9.86 $ 13.30 $ 13.16 $ 13.06 $ 9.82 $ 9.76 $ 9.85 ======= ======= ======= ======== ======== ======== ======= ======= ======= 1.95% 5.70% 1.54% 2.11% 5.71% 1.96% 2.13% 5.89% 1.54% 0.81% 0.79% 0.85% 0.61% 0.62% 0.61% 0.45% 0.46% 0.45% 0.81% 0.79% 0.85% 0.61% 0.61% 0.61% 0.45% 0.45% 0.45% 0.83% 0.93% 74.57% 0.66% 0.72% 0.72% 0.51% 0.78% 57.60% 2.61% 3.35% 4.18% 2.81% 3.50% 4.47% 2.95% 3.71% 4.73% 2.59% 3.21% (69.54%) 2.76% 3.39% 4.36% 2.89% 3.38% (52.42%) 94.66% 181.96% 79.53% 94.66% 181.96% 79.53% 94.66% 181.96% 79.53% $23,001 $20,985 $ 3,458 $764,908 $763,987 $812,387 $10,339 $ 6,320 $ 25 ======= ======= ======= ======== ======== ======== ======= ======= =======
See Notes to Financial Statements. 111
MEDIUM-DURATION BOND FUND ----------------------------------------------------------------------------- RETAIL CLASS RETIREMENT CLASS ------------------------------------- ------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ ----------- -------- ------------ (UNAUDITED) (UNAUDITED) PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.53 $ 9.70 $ 10.00 $ 13.54 $ 13.37 $ 13.60 ------- ------- ------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.20 0.42# 0.17 0.29 0.62# 0.22 Realized and unrealized gain (loss) on investments -- net 0.29 0.41 (0.04) 0.43 0.57 (0.02) ------- ------- ------- -------- -------- -------- Total from investment operations 0.49 0.83 0.13 0.72 1.19 0.20 ------- ------- ------- -------- -------- -------- LESS DIVIDENDS AND DISTRIBUTIONS Dividends from net investment income (0.20) (0.63) (0.23) (0.21) (0.65) (0.23) Distributions from capital gains -- (0.37) (0.20) -- (0.37) (0.20) Return of capital -- -- --++ -- -- --++ ------- ------- ------- -------- -------- -------- Total dividends and distributions (0.20) (1.00) (0.43) (0.21) (1.02) (0.43) ------- ------- ------- -------- -------- -------- NET ASSET VALUE -- END OF THE PERIOD $ 9.82 $ 9.53 $ 9.70 $ 14.05 $ 13.54 $ 13.37 ======= ======= ======= ======== ======== ======== Total Return (1) 5.23% 8.90% 1.30% 5.38% 9.15% 1.49% RATIOS/SUPPLEMENTAL DATA: Ratios to average net assets: Expenses -- net (2) 0.86% 0.90% 0.92% 0.62% 0.63% 0.64% Expenses -- including expense reduction (2) 0.86% 0.90% 0.90% 0.62% 0.62% 0.62% Expenses -- before waivers and expense reduction (2) 0.89% 1.03% 58.64% 0.71% 0.77% 0.77% Investment income -- net (2) 3.93% 4.33% 4.48% 4.19% 4.58% 4.61% Investment income (loss) -- excluding waivers and expense reduction (2) 3.90% 4.20% (53.26%) 4.10% 4.43% 4.46% Portfolio turnover rate (1) 229.40% 542.94% 247.20% 229.40% 542.94% 247.20% Net Assets -- end of the period (000's) $22,537 $19,289 $ 123 $759,592 $767,926 $827,774 ======= ======= ======= ======== ======== ======== MEDIUM-DURATION BOND FUND ------------------------------------- INSTITUTIONAL CLASS ------------------------------------- FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ (UNAUDITED) PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE -- BEGINNING OF PERIOD $ 9.47 $ 9.65 $ 10.00 ------- ------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.30 0.46# 0.16 Realized and unrealized gain (loss) on investments -- net 0.21 0.40 (0.08) ------- ------- -------- Total from investment operations 0.51 0.86 0.08 ------- ------- -------- LESS DIVIDENDS AND DISTRIBUTIONS Dividends from net investment income (0.22) (0.67) (0.23) Distributions from capital gains -- (0.37) (0.20) Return of capital -- -- --++ ------- ------- -------- Total dividends and distributions (0.22) (1.04) (0.43) ------- ------- -------- NET ASSET VALUE -- END OF THE PERIOD $ 9.76 $ 9.47 $ 9.65 ======= ======= ======== Total Return (1) 5.45% 9.25% 0.89% RATIOS/SUPPLEMENTAL DATA: Ratios to average net assets: Expenses -- net (2) 0.50% 0.51% 0.52% Expenses -- including expense reduction (2) 0.50% 0.50% 0.50% Expenses -- before waivers and expense reduction (2) 0.54% 0.82% 92.28% Investment income -- net (2) 4.25% 4.73% 4.98% Investment income (loss) -- excluding waivers and expense reduction (2) 4.21% 4.41% (86.80%) Portfolio turnover rate (1) 229.40% 542.94% 247.20% Net Assets -- end of the period (000's) $14,250 $ 7,218 $ 25 ======= ======= ========
- --------------- * Commencement of operations. # Calculated using the average shares outstanding method. (1) Non-annualized. (2) Annualized. ++ Amount represents less than $0.01 per share. See Notes to Financial Statements. 112
EXTENDED-DURATION BOND FUND --------------------------------------------------------------------------------------------------------------------- RETAIL CLASS RETIREMENT CLASS INSTITUTIONAL CLASS ------------------------------------- ------------------------------------- ------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ ----------- -------- ------------ ----------- -------- ------------ (UNAUDITED) (UNAUDITED) (UNAUDITED) $ 9.63 $ 9.83 $ 10.00 $ 14.62 $ 14.37 $ 14.38 $ 9.64 $ 9.84 $ 10.00 ------- ------- ------- -------- -------- -------- ------- ------ ------- 0.30 0.62 0.32 0.43 0.90 0.32 0.38 0.65 0.24 0.72 0.29 (0.13) 1.14 0.47 0.03 0.65 0.29 (0.03) ------- ------- ------- -------- -------- -------- ------- ------ ------- 1.02 0.91 0.19 1.57 1.37 0.35 1.03 0.94 0.21 ------- ------- ------- -------- -------- -------- ------- ------ ------- (0.31) (0.87) (0.32) (0.31) (0.88) (0.32) (0.32) (0.90) (0.33) -- (0.24) (0.04) -- (0.24) (0.04) -- (0.24) (0.04) -- -- -- -- -- -- -- -- -- ------- ------- ------- -------- -------- -------- ------- ------ ------- (0.31) (1.11) (0.36) (0.31) (1.12) (0.36) (0.32) (1.14) (0.37) ------- ------- ------- -------- -------- -------- ------- ------ ------- $ 10.34 $ 9.63 $ 9.83 $ 15.88 $ 14.62 $ 14.37 $ 10.35 $ 9.64 $ 9.84 ======= ======= ======= ======== ======== ======== ======= ====== ======= 10.79% 9.93% 1.91% 10.89% 10.03% 2.48% 10.93% 10.27% 2.13% 0.89% 0.91% 1.06% 0.73% 0.73% 0.74% 0.60% 0.64% 0.66% 0.89% 0.91% 1.05% 0.73% 0.73% 0.73% 0.60% 0.64% 0.65% 0.90% 1.03% 28.96% 0.75% 0.82% 0.84% 0.60% 0.88% 90.75% 5.50% 6.18% 6.14% 5.67% 6.29% 6.32% 5.79% 6.47% 6.62% 5.49% 6.06% (21.77%) 5.65% 6.20% 6.21% 5.79% 6.23% (83.48%) 55.17% 45.17% 21.95% 55.17% 45.17% 21.95% 55.17% 45.17% 21.95% $29,528 $24,812 $ 8,553 $417,837 $401,198 $404,278 $10,311 $6,506 $ 26 ======= ======= ======= ======== ======== ======== ======= ====== =======
See Notes to Financial Statements. 113
EQUITY INDEX FUND ----------------------------------------------------------------------------- RETAIL CLASS RETIREMENT CLASS ------------------------------------- ------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ ----------- -------- ------------ (UNAUDITED) (UNAUDITED) PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE -- BEGINNING OF PERIOD $ 7.26 $ 9.63 $ 10.00 $ 11.93 $ 15.64 $ 16.15 ------- ------- ------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.11 0.13 0.02 0.14 0.17 0.05 Realized and unrealized gain (loss) on investments -- net 0.73 (2.31) (0.28) 1.24 (3.69) (0.46) ------- ------- ------- -------- -------- -------- Total from investment operations 0.84 (2.18) (0.26) 1.38 (3.52) (0.41) ------- ------- ------- -------- -------- -------- LESS DIVIDENDS AND DISTRIBUTIONS Dividends from net investment income (0.06) (0.16) (0.06) (0.06) (0.16) (0.05) Distributions from capital gains -- (0.03) (0.05) -- (0.03) (0.05) Return of capital -- -- -- -- -- -- ------- ------- ------- -------- -------- -------- Total dividends and distributions (0.06) (0.19) (0.11) (0.06) (0.19) (0.10) ------- ------- ------- -------- -------- -------- NET ASSET VALUE -- END OF THE PERIOD $ 8.04 $ 7.26 $ 9.63 $ 13.25 $ 11.93 $ 15.64 ======= ======= ======= ======== ======== ======== Total Return (1) 11.57% (22.71%) (2.65%) 11.55% (22.59%) (2.55%) RATIOS/SUPPLEMENTAL DATA: Ratios to average net assets: Expenses -- net (2) 0.45% 0.45% 0.45% 0.40% 0.40% 0.40% Expenses -- including expense reduction (2) 0.45% 0.45% 0.45% 0.40% 0.40% 0.40% Expenses -- before waivers and expense reduction (2) 0.69% 0.81% 28.52% 0.44% 0.51% 0.53% Investment income -- net (2) 1.31% 1.21% 0.95% 1.35% 1.21% 0.98% Investment income (loss) -- excluding waivers and expense reduction (2) 1.07% 0.85% (27.12%) 1.31% 1.10% 0.85% Portfolio turnover rate (1) 0.66% 3.17% 2.81% 0.66% 3.17% 2.81% Net Assets -- end of the period (000's) $14,620 $12,890 $ 367 $353,108 $295,261 $401,471 ======= ======= ======= ======== ======== ======== EQUITY INDEX FUND ------------------------------------- INSTITUTIONAL CLASS ------------------------------------- FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ (UNAUDITED) PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE -- BEGINNING OF PERIOD $ 7.22 $ 9.58 $ 10.00 ------ ------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.13 0.14 0.03 Realized and unrealized gain (loss) on investments -- net 0.72 (2.29) (0.34) ------ ------- ------- Total from investment operations 0.85 (2.15) (0.31) ------ ------- ------- LESS DIVIDENDS AND DISTRIBUTIONS Dividends from net investment income (0.07) (0.18) (0.06) Distributions from capital gains -- (0.03) (0.05) Return of capital -- -- -- ------ ------- ------- Total dividends and distributions (0.07) (0.21) (0.11) ------ ------- ------- NET ASSET VALUE -- END OF THE PERIOD $ 8.00 $ 7.22 $ 9.58 ====== ======= ======= Total Return (1) 11.74% (22.57%) (3.14%) RATIOS/SUPPLEMENTAL DATA: Ratios to average net assets: Expenses -- net (2) 0.25% 0.25% 0.25% Expenses -- including expense reduction (2) 0.25% 0.25% 0.25% Expenses -- before waivers and expense reduction (2) 0.31% 0.60% 86.25% Investment income -- net (2) 1.50% 1.40% 1.19% Investment income (loss) -- excluding waivers and expense reduction (2) 1.44% 1.05% (84.81%) Portfolio turnover rate (1) 0.66% 3.17% 2.81% Net Assets -- end of the period (000's) $6,121 $ 4,737 $ 28 ====== ======= =======
- --------------- * Commencement of operations. ++ Amount represents less than $0.01 per share. (1) Non-annualized. (2) Annualized. See Notes to Financial Statements. 114
VALUE EQUITY FUND --------------------------------------------------------------------------------------------------------------------- RETAIL CLASS RETIREMENT CLASS INSTITUTIONAL CLASS ------------------------------------- ------------------------------------- ------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ ----------- -------- ------------ ----------- -------- ------------ (UNAUDITED) (UNAUDITED) (UNAUDITED) $ 7.75 $ 9.61 $ 10.00 $ 11.85 $ 14.57 $ 15.21 $ 7.77 $ 9.64 $ 10.00 ------- ------- ------- ---------- -------- ---------- ------- ------- ------- 0.07 0.15 0.03 0.10 0.21 0.06 0.09 0.16 0.06 0.83 (1.82) (0.35) 1.29 (2.73) (0.64) 0.83 (1.80) (0.35) ------- ------- ------- ---------- -------- ---------- ------- ------- ------- 0.90 (1.67) (0.32) 1.39 (2.52) (0.58) 0.92 (1.64) (0.29) ------- ------- ------- ---------- -------- ---------- ------- ------- ------- (0.10) (0.19) (0.07) (0.10) (0.20) (0.06) (0.11) (0.23) (0.07) -- -- -- -- -- -- -- -- -- -- --++ -- -- --++ -- -- --++ -- ------- ------- ------- ---------- -------- ---------- ------- ------- ------- (0.10) (0.19) (0.07) (0.10) (0.20) (0.06) (0.11) (0.23) (0.07) ------- ------- ------- ---------- -------- ---------- ------- ------- ------- $ 8.55 $ 7.75 $ 9.61 $ 13.14 $ 11.85 $ 14.57 $ 8.58 $ 7.77 $ 9.64 ======= ======= ======= ========== ======== ========== ======= ======= ======= 11.59% (17.48%) (3.23%) 11.76% (17.37%) (3.79%) 11.88% (17.22%) (2.88%) 1.15% 1.15% 1.15% 0.90% 0.90% 0.90% 0.76% 0.76% 0.76% 1.12% 1.11% 1.15% 0.87% 0.87% 0.90% 0.74% 0.72% 0.76% 1.19% 1.29% 65.50% 0.95% 0.98% 1.00% 0.80% 1.06% 81.37% 1.59% 1.38% 1.12% 1.84% 1.57% 1.29% 1.96% 1.77% 1.60% 1.52% 1.20% (63.23%) 1.76% 1.46% 1.19% 1.90% 1.43% (79.01%) 24.60% 70.42% 21.09% 24.60% 70.42% 21.09% 24.60% 70.42% 21.09% $16,127 $13,987 $ 168 $1,036,125 $938,583 $1,159,209 $10,300 $ 5,265 $ 77 ======= ======= ======= ========== ======== ========== ======= ======= =======
See Notes to Financial Statements. 115
GROWTH EQUITY FUND ------------------------------------------------------------------------------- RETAIL CLASS RETIREMENT CLASS ------------------------------------- --------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ ----------- ---------- ------------ (UNAUDITED) (UNAUDITED) PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE -- BEGINNING OF PERIOD $ 7.03 $ 9.81 $ 10.00 $ 11.23 $ 15.63 $ 15.93 ------- ------- ------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS Net investment income (loss) --++ (0.02) --++ --++ (0.01) (0.01) Realized and unrealized gain (loss) on investments -- net 1.00 (2.76) (0.19) 1.61 (4.39) (0.29) ------- ------- ------- ---------- ---------- ---------- Total from investment operations 1.00 (2.78) (0.19) 1.61 (4.40) (0.30) ------- ------- ------- ---------- ---------- ---------- LESS DIVIDENDS AND DISTRIBUTIONS Dividends from net investment income -- -- -- -- -- -- Distributions from capital gains -- -- -- -- -- -- ------- ------- ------- ---------- ---------- ---------- Total dividends and distributions -- -- -- -- -- -- ------- ------- ------- ---------- ---------- ---------- NET ASSET VALUE -- END OF THE PERIOD $ 8.03 $ 7.03 $ 9.81 $ 12.84 $ 11.23 $ 15.63 ======= ======= ======= ========== ========== ========== Total Return (1) 14.23% (28.34%) (1.90%) 14.34% (28.15%) (1.88%) RATIOS/SUPPLEMENTAL DATA: Ratios to average net assets: Expenses -- net (2) 1.15% 1.15% 1.15% 0.90% 0.90% 0.90% Expenses -- including expense reduction (2) 1.14% 1.12% 1.15% 0.89% 0.88% 0.90% Expenses -- before waivers and expense reduction (2) 1.27% 1.36% 47.77% 1.00% 1.02% 1.05% Investment income -- net (2) (0.22%) (0.28%) (0.32%) 0.04% (0.05%) (0.11%) Investment income (loss) -- excluding waivers and expense reduction (2) (0.35%) (0.52%) (46.94%) (0.07%) (0.19%) (0.26%) Portfolio turnover rate (1) 17.52% 41.41% 8.71% 17.52% 41.41% 8.71% Net Assets -- end of the period (000's) $14,986 $12,503 $ 309 $1,185,619 $1,049,709 $1,354,301 ======= ======= ======= ========== ========== ========== GROWTH EQUITY FUND ------------------------------------- INSTITUTIONAL CLASS ------------------------------------- FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ (UNAUDITED) PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE -- BEGINNING OF PERIOD $ 7.07 $ 9.83 $ 10.00 ------ ------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income (loss) --++ 0.01 --++ Realized and unrealized gain (loss) on investments -- net 1.01 (2.77) (0.17) ------ ------- ------- Total from investment operations 1.01 (2.76) (0.17) ------ ------- ------- LESS DIVIDENDS AND DISTRIBUTIONS Dividends from net investment income -- -- -- Distributions from capital gains -- -- -- ------ ------- ------- Total dividends and distributions -- -- -- ------ ------- ------- NET ASSET VALUE -- END OF THE PERIOD $ 8.08 $ 7.07 $ 9.83 ====== ======= ======= Total Return (1) 14.29% (28.08%) (1.70%) RATIOS/SUPPLEMENTAL DATA: Ratios to average net assets: Expenses -- net (2) 0.78% 0.78% 0.78% Expenses -- including expense reduction (2) 0.77% 0.75% 0.78% Expenses -- before waivers and expense reduction (2) 0.86% 1.14% 83.19% Investment income -- net (2) 0.12% 0.09% 0.02% Investment income (loss) -- excluding waivers and expense reduction (2) 0.03% (0.30%) (82.39%) Portfolio turnover rate (1) 17.52% 41.41% 8.71% Net Assets -- end of the period (000's) $9,467 $ 4,553 $ 29 ====== ======= =======
- --------------- * Commencement of operations. ++ Amount represents less than $0.01 per share. (1) Non-annualized. (2) Annualized. See Notes to Financial Statements. 116
SMALL CAP EQUITY FUND --------------------------------------------------------------------------------------------------------------------- RETAIL CLASS RETIREMENT CLASS INSTITUTIONAL CLASS ------------------------------------- ------------------------------------- ------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ ----------- -------- ------------ ----------- -------- ------------ (UNAUDITED) (UNAUDITED) (UNAUDITED) $ 7.83 $ 10.09 $ 10.00 $ 10.25 $ 13.18 $ 13.07 $ 7.88 $ 10.12 $ 10.00 ------- ------- -------- -------- -------- -------- ------ ------- ------- (0.02) (0.04) --++ (0.01) (0.02) (0.01) (0.01) (0.01) --++ 1.38 (2.22) 0.09 1.81 (2.91) 0.12 1.39 (2.23) 0.12 ------- ------- -------- -------- -------- -------- ------ ------- ------- 1.36 (2.26) 0.09 1.80 (2.93) 0.11 1.38 (2.24) 0.12 ------- ------- -------- -------- -------- -------- ------ ------- ------- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- ------- ------- -------- -------- -------- -------- ------ ------- ------- -- -- -- -- -- -- -- -- -- ------- ------- -------- -------- -------- -------- ------ ------- ------- $ 9.19 $ 7.83 $ 10.09 $ 12.05 $ 10.25 $ 13.18 $ 9.26 $ 7.88 $ 10.12 ======= ======= ======== ======== ======== ======== ====== ======= ======= 17.37% (22.40%) 0.90% 17.56% (22.23%) 0.84% 17.66% (22.13%) 1.20% 1.50% 1.50% 1.50% 1.25% 1.25% 1.25% 1.18% 1.18% 1.18% 1.42% 1.43% 1.50% 1.17% 1.19% 1.25% 1.10% 1.11% 1.18% 1.67% 1.82% 123.38% 1.43% 1.51% 1.52% 1.30% 1.60% 76.30% (0.56%) (0.44%) (0.28%) (0.31%) (0.19%) (0.13%) (0.24%) (0.12%) 0.12% (0.81%) (0.83%) (122.16%) (0.57%) (0.51%) (0.40%) (0.44%) (0.61%) (75.00%) 68.88% 160.46% 91.89% 68.88% 160.46% 91.89% 68.88% 160.46% 91.89% $15,589 $12,878 $ 115 $275,833 $232,992 $321,743 $6,860 $ 4,869 $ 81 ======= ======= ======== ======== ======== ======== ====== ======= =======
See Notes to Financial Statements. 117
INTERNATIONAL EQUITY FUND ----------------------------------------------------------------------------- RETAIL CLASS RETIREMENT CLASS ------------------------------------- ------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ ----------- -------- ------------ (UNAUDITED) (UNAUDITED) PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE -- BEGINNING OF PERIOD $ 8.19 $ 9.43 $ 10.00 $ 9.66 $ 11.09 $ 11.66 ------- ------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income (loss) 0.10 0.06 (0.01)# 0.12 0.11 0.01 Realized and unrealized gain (loss) on investments -- net 0.62 (1.21) (0.53) 0.74 (1.43) (0.55) ------- ------- -------- -------- -------- -------- Total from investment operations 0.72 (1.15) (0.54) 0.86 (1.32) (0.54) ------- ------- -------- -------- -------- -------- LESS DIVIDENDS AND DISTRIBUTIONS Dividends from net investment income -- (0.09) (0.03) -- (0.11) (0.03) Distributions from capital gains -- -- -- -- -- -- Return of capital -- --++ -- -- --++ -- ------- ------- -------- -------- -------- -------- Total dividends and distributions -- (0.09) (0.03) -- (0.11) (0.03) ------- ------- -------- -------- -------- -------- NET ASSET VALUE -- END OF THE PERIOD $ 8.91 $ 8.19 $ 9.43 $ 10.52 $ 9.66 $ 11.09 ======= ======= ======== ======== ======== ======== Total Return (1) 8.79% (12.18%) (5.40%) 8.90% (11.94%) (4.61%) RATIOS/SUPPLEMENTAL DATA: Ratios to average net assets: Expenses -- net (2) 1.34% 1.37% 1.45% 1.15% 1.15% 1.15% Expenses -- including expense reduction (2) 1.32% 1.34% 1.45% 1.13% 1.12% 1.15% Expenses -- before waivers and expense reduction (2) 1.51% 1.64% 256.83% 1.31% 1.35% 1.37% Investment income -- net (2) 2.46% 0.88% (0.32%) 2.65% 1.00% 0.28% Investment income (loss) -- excluding waivers and expense reduction (2) 2.27% 0.58% (255.70%) 2.47% 0.77% 0.06% Portfolio turnover rate (1) 17.03% 30.13% 20.05% 17.03% 30.13% 20.05% Net Assets -- end of the period (000's) $15,608 $14,078 $ 51 $767,440 $698,704 $795,363 ======= ======= ======== ======== ======== ======== INTERNATIONAL EQUITY FUND ------------------------------------- INSTITUTIONAL CLASS ------------------------------------- FOR THE FOR THE FOR THE SIX MONTHS YEAR PERIOD ENDED ENDED 08/27/01* TO 06/30/03 12/31/02 12/31/01 ----------- -------- ------------ (UNAUDITED) PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE -- BEGINNING OF PERIOD $ 8.26 $ 9.50 $ 10.00 ------ ------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income (loss) 0.11 0.11 --++ Realized and unrealized gain (loss) on investments -- net 0.63 (1.22) (0.47) ------ ------- ------- Total from investment operations 0.74 (1.11) (0.47) ------ ------- ------- LESS DIVIDENDS AND DISTRIBUTIONS Dividends from net investment income -- (0.13) (0.03) Distributions from capital gains -- -- -- Return of capital -- --++ -- ------ ------- ------- Total dividends and distributions -- (0.13) (0.03) ------ ------- ------- NET ASSET VALUE -- END OF THE PERIOD $ 9.00 $ 8.26 $ 9.50 ====== ======= ======= Total Return (1) 8.96% (11.72%) (4.69%) RATIOS/SUPPLEMENTAL DATA: Ratios to average net assets: Expenses -- net (2) 0.96% 0.96% 0.96% Expenses -- including expense reduction (2) 0.94% 0.93% 0.96% Expenses -- before waivers and expense reduction (2) 1.18% 1.43% 88.97% Investment income -- net (2) 3.13% 1.29% 0.11% Investment income (loss) -- excluding waivers and expense reduction (2) 2.89% 0.79% (87.90%) Portfolio turnover rate (1) 17.03% 30.13% 20.05% Net Assets -- end of the period (000's) $9,416 $ 5,416 $ 27 ====== ======= =======
- --------------- * Commencement of operations. ++ Amount represents less than $0.01 per share. # Calculated using the average shares outstanding method. (1) Non-annualized. (2) Annualized. See Notes to Financial Statements. 118 NOTES TO FINANCIAL STATEMENTS 1. DESCRIPTION OF THE FUNDS AB Funds Trust (the "Trust") was organized as a Delaware business trust on March 2, 2000. The Trust has established thirteen series (each a "Fund" and together, the "Funds"). Each Fund is a diversified, open-end management investment company and registered under the Investment Company Act of 1940, as amended (the "1940 Act"). The Flexible Income Fund, Growth & Income Fund, Capital Opportunities Fund and Global Equity Fund are each referred to as a "Blended Fund" and together are referred to as the "Blended Funds." The remaining Funds are each referred to as a "Select Fund" and are together referred to as the "Select Funds." The Low-Duration Bond Fund, Medium-Duration Bond Fund and Extended-Duration Bond Fund are together referred to as the "Bond Funds." The Equity Index Fund, Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund, and International Equity Fund are together referred to as the "Equity Funds." The Money Market Fund is referred to as the "Money Market Fund." There are three classes of shares issued by the Trust -- the Retail Class, Retirement Class and Institutional Class. The Blended Funds consist of a Retail Class and Retirement Class. All classes of shares have identical voting, dividend and liquidation rights. The distribution fee (class specific expense) differs among classes. Income, expenses (other than class specific expenses) and realized and unrealized gains or losses on investments are allocated to each class of shares based upon its relative net assets. Each Fund is a separate mutual fund with its own investment objective, strategies and risks. The Select Funds invest directly in particular types of fixed income obligations, stocks and other investments and the Blended Funds primarily invest in a different mix of the Select Funds to meet a specified investment strategy. The Blended Funds are commonly referred to as "Fund of Funds". 2. SIGNIFICANT ACCOUNTING POLICIES The following significant accounting policies are in conformity with generally accepted accounting principles in the United States of America which requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. A. VALUATION OF SECURITIES The Funds (except the Money Market Fund) each value securities traded on national securities exchanges or included in national market systems at the last quoted sale price, or official close price, on the principal exchange on which they were traded, or, in the absence of any sale, or official close price, at the closing bid price. Securities which are primarily traded on foreign exchanges are generally valued at the closing values of such securities on their respective exchanges, except that when an occurrence subsequent to the time when the foreign security is valued is likely to have changed such value, then the fair value of those securities will be determined through procedures established by or under the direction of the Board of Trustees. Non-exchange traded securities for which an over-the-counter quotation is readily available are valued at the last quoted bid price. Debt securities, excluding asset-backed and mortgage-backed securities, are valued at the mean of the last bid and asked prices available. Asset-backed and mortgage-backed securities are valued at the last bid price. Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price. Short-term securities maturing in more than 60 days from the valuation date are valued at the mean of the last bid and asked prices; those maturing in 60 days or less are valued at amortized cost. Futures contracts are valued at the closing settlement price on the exchange on which they are primarily traded. Forward foreign exchange contracts are valued based upon closing exchange rates from each respective foreign market. Swap agreements are valued daily based upon the terms specific to each agreement with its counterparty. To the extent 119 available, valuations of portfolio securities are provided by independent pricing services approved by the Board of Trustees. Debt securities are valued on the basis of broker quotations or valuations provided by a pricing service which may use a matrix, formula or other objective method that takes into consideration market indices, matrices, yield curves and other specific adjustments. Securities for which market quotations are not readily available are valued at fair value according to methods established in good faith by the Board of Trustees. The Money Market Fund uses the amortized cost method to determine the value of its portfolio securities, which approximates market value. The Blended Funds value their investments in the underlying Select Funds daily at the closing net asset value of each respective Select Fund. B. REPURCHASE AGREEMENTS Each Fund may agree to purchase securities from financial institutions subject to the seller's agreement to repurchase them at a mutually agreed upon date and price. It is the Fund's policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund's custodian bank or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited. C. DERIVATIVE FINANCIAL INSTRUMENTS The Funds may engage in various portfolio strategies to seek to increase its return by hedging its portfolio against adverse movements in the equity, debt and currency markets. Losses may arise due to changes in the value of the contract if the counterparty does not perform under the contract. FINANCIAL FUTURES CONTRACTS -- The Funds (except the Money Market Fund) may purchase or sell financial futures contracts and the options on such futures contracts for the purpose of hedging risk on existing securities, the intended purchase of securities or to gain market exposure on cash balances. Financial futures contracts are contracts for the delivery of securities at a specified future date at an agreed upon price or yield. Upon entering into a contract, the Funds deposit and maintain as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Funds agree to pay to or receive from the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such payments or receipts are known as variation margin and are recorded by the Funds as unrealized gains or losses until the contract is closed or settled. Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a futures position prior to its maturity date. Third, the purchase of a futures contract involves the risk that a fund could lose more than the original margin deposit required to initiate a futures transaction. OPTIONS -- The Funds are authorized to write and purchase put and call options. The risk in writing a call option is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Funds may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Funds pay a premium whether or not the option is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Funds also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party and this party's ability to perform. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. 120 Options purchased are recorded as an asset and written options are recorded as liabilities to the extent of premiums paid or received. Each Fund will realize a gain or loss when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option or the cost of a security for a purchased put or call option is adjusted by the amount of the premium received or paid. The Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter a swap and is obligated to pay the fixed rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange. Swaptions are marked to market daily based upon quotations from market makers. When a Fund writes a swaption, the premium received is recorded as a liability and is subsequently adjusted to the current market value of the swaption. Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk in excess of the amounts reported in the Statement of Assets and Liabilities, associated with both option contracts and swap contracts. The Funds bear the market risk arising from any change in index values or interest rates. FORWARD FOREIGN EXCHANGE CONTRACTS -- The International Equity Fund and the Bond Funds may enter into forward foreign currency exchange contracts to hedge against adverse exchange rate fluctuation to the U.S. dollar or between different foreign currencies in connection with either specific security transactions or portfolio positions. Each contract is valued daily and the change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the opening value and the closing value of the contract. The International Equity Fund and the Bond Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. FOREIGN CURRENCY OPTIONS AND FUTURES -- The International Equity Fund and the Bond Funds may also enter into futures contracts on foreign currencies and related options on transactions as a short or long hedge against possible variations in foreign exchange rates. TBAS -- The Bond Funds may enter into "TBA" (to be announced) purchase commitments to purchase securities for a fixed price at a future date, typically not exceeding 45 days. TBAs may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to settlement date. This risk is in addition to the risk of decline in each Fund's other assets. Unsettled TBAs are valued at the current market value of the underlying securities, according to the procedures described under "Valuation of Securities" above. SWAP AGREEMENTS -- Each Select Fund may enter into swap agreements. The Equity Funds may enter into equity swap contracts, the Bond Funds may enter into interest rate and credit default swaps, the International Equity and Bond Funds may enter into currency swaps and each Select Fund may enter into total return swaps. Swap agreements are the exchange of one security or asset for another. A swap may be entered into in order to, among other things, change the maturity of a fund's portfolio, to protect a fund's value from changes in interest rates, to expose a fund to a different security or market, or to help a fund achieve a strategy relative to an index or other benchmark. By entering into a swap agreement, a fund is exposed to the risk of unanticipated movements in interest rates or in the value of an 121 underlying security or index, or that the counterparty will not fulfill its obligation under the agreement. Credit default swaps involve the payment of amounts based on a specified rate multiplied by a notional amount as well as upon an event of default. In connection with these agreements, securities may be set aside as collateral by the Fund's custodian. D. FOREIGN CURRENCY TRANSLATIONS AND FOREIGN CURRENCY CONTRACTS Securities and other assets and liabilities denominated in foreign currencies are translated daily into U.S. dollars. Foreign currency amounts related to the purchase or sale of securities and income and expenses are translated at the exchange rate on the transaction date. The effect of changes in foreign exchange rates on realized and unrealized security gains or losses is reflected as a component of such gains or losses. In the statement of operations, net realized gains or losses from foreign currency transactions, if any, may arise from sales of foreign currency, closed forward contracts, exchange gains or losses realized between the trade date and settlement date on securities transactions, and other translation gains or losses on dividends, interest income and foreign withholding taxes. E. FEDERAL INCOME TAXES Each Fund's policy is to comply with all sections of the Internal Revenue Code that apply to regulated investment companies and to distribute substantially all of its taxable income to shareholders. No provision for income or excise taxes is thus required. Each Fund is treated as a separate entity for federal income tax purposes. Net investment income (loss) and net realized gains (losses) may differ for financial statement and tax purposes primarily because of deferred losses on certain futures contracts and losses deferred due to "wash sale" transactions. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gains (losses) were recorded by the Funds. F. DIVIDENDS TO SHAREHOLDERS The Money Market Fund declares a dividend daily and payable monthly equal to its net investment income for that day. The Bond Funds declare and pay dividends from net investment income monthly. The Equity Index Fund, Value Equity Fund and Growth Equity Fund declare and pay dividends from net investment income semi-annually. The Small Cap Equity Fund, International Equity Fund and the Blended Funds declare and pay dividends from net investment income annually. The Funds declare and pay distributions from capital gains, if available, annually. Distributions to shareholders are recorded on the ex-dividend date. G. SECURITY TRANSACTIONS, INCOME AND REALIZED GAINS AND LOSSES Security transactions are accounted for on the date securities are purchased or sold (the trade date). Dividend income is recognized on the ex-dividend date and interest income is accrued daily, including the amortization of market premium and the accretion of market discount. Realized gains and losses from security transactions are identified on an identified cost basis. H. EXPENSES Expenses arising in connection with a Fund are charged directly to that Fund. Expenses common to all Funds of the Trust are generally allocated to each Fund in proportion to their relative net assets. Each class of shares bears its pro-rata portion of expenses attributable to its class, except that each class separately bears expenses related specifically to that class, such as printing, transfer agent, service and distribution fees. 3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEES Pursuant to a separate investment advisory agreement, SBC Financial Services, Inc. ("SBCFS" or "Investment Advisor") acts as the Investment Advisor to the Funds. 122 As Investment Advisor it supervises the investments of the Funds and for such services is paid a fee. SBCFS and the Trust have entered into sub-advisory agreements with various sub-advisers to manage each Select Fund's investments. Under the general supervision of SBCFS, the sub-advisers make the day-to-day investment decisions for the Select Funds and for such services each sub-adviser receives a fee from the Funds. The Advisory fees paid to SBCFS and aggregate sub-advisory fees paid to the sub-advisers are computed daily based upon the net assets of each Fund. The actual advisory and sub-advisory fees accrued during the six months ended June 30, 2003, based upon average daily net assets, were as follows:
FUND ADVISORY FEES SUB-ADVISER FEES - ---- ------------- ---------------- Flexible Income .10% -- Growth & Income .10% -- Capital Opportunities .10% -- Global Equity .10% -- Money Market .14% .06% Low-Duration Bond .20% .21% Medium-Duration Bond .23% .21% Extended-Duration Bond .27% .22% Equity Index .14% .03% Value Equity .43% .26% Growth Equity .48% .28% Small Cap Equity .30% .79% International Equity .47% .51%
For the six months ended June 30, 2003, advisory fees and waivers for each Fund were as follows:
GROSS NET ADVISORY FEE WAIVERS ADVISORY FEE ------------ --------- ------------ Flexible Income $ 138,850 $ (53,462) $ 85,388 Growth & Income 514,094 (2,805) 511,289 Capital Opportunities 381,026 (27,431) 353,595 Global Equity 315,562 (36,352) 279,210 Money Market 646,057 (21,863) 624,194 Low-Duration Bond 790,395 (209,387) 581,008 Medium-Duration Bond 920,044 (340,062) 579,982 Extended-Duration Bond 600,190 (44,438) 555,752 Equity Index 227,430 (79,400) 148,030 Value Equity 2,071,669 (215,402) 1,856,267 Growth Equity 2,645,361 (572,889) 2,072,472 Small Cap Equity 382,213 (227,380) 154,833 International Equity 1,666,978 (600,010) 1,066,968
B. DISTRIBUTION AND SHAREHOLDER SERVICING FEES The Board of Trustees has adopted Shareholder Service Plans for the Retirement and Retail Class of each Select Fund ("Service Plans") and a separate Plan of Distribution for the Retail Class of each Select Fund and Blended Fund pursuant to Rule 12b-1 under the 1940 Act ("12b-1 Plan"). Under the Service Plans, the Retail Class and Retirement Class of each Select Fund are authorized to pay fees to parties that provide services for and maintain shareholder accounts. The Retail Class and the Retirement Class of each Select Fund are authorized to pay service fees of 0.15% and 0.19% of average daily net assets, respectively. Under the 12b-1 Plan, the assets of each Select Fund and Blended Fund may be used to compensate the Annuity Board, the Distributor or others for certain expenses relating to the distribution of shares of the Funds to investors. Under the 12b-1 Plan, the maximum amount payable as a percentage of average daily net assets on an annual basis is 0.10% by the Retail Class of each Select Fund and 0.06% by the Retail Class of each Blended Fund. C. EXPENSE LIMITATION SBCFS has agreed, for the period May 1, 2003 through April 30, 2004, to waive fees and reimburse expenses of the Retail Class, Retirement Class and the Institutional Class of each Fund (excluding interest, taxes, brokerage commissions and extraordinary expenses) which exceed, in the aggregate, the annual percentage rate of each class's average daily net assets as follows:
RETAIL RETIREMENT INSTITUTIONAL FUND CLASS CLASS CLASS - ---- ------ ---------- ------------- Flexible Income .35% .13% -- Growth & Income .45% .13% -- Capital Opportunities .55% .13% -- Global Equity .42% .13% -- Money Market .72% .46% .27% Low-Duration Bond .85% .61% .45% Medium-Duration Bond .90% .62% .50% Extended-Duration Bond 1.05% .73% .65% Equity Index .45% .40% .25% Value Equity 1.15% .90% .76% Growth Equity 1.15% .90% .78% Small Cap Equity 1.50% 1.25% 1.18% International Equity 1.35% 1.15% .97%
123 During the period January 1, 2003 through April 30, 2003, SBCFS agreed to waive fees and reimburse expenses of the Retail Class (excluding interest, taxes, brokerage commissions and extraordinary expenses) which exceeded, in the aggregate, the annual percentage rate of each class's average daily net assets for the following Funds:
RETAIL FUND CLASS - ---- ------ Flexible Income .48% Growth & Income .48% Global Equity .48% Money Market .75% International Equity 1.45%
D. BROKERAGE SERVICE AND OTHER ARRANGEMENTS The Investment Advisor directs the sub-advisers to place security trades with designated brokers who have agreed to pay certain custody, transfer agency or other operating expenses through the use of Brokerage Service Arrangements on behalf of the Equity Funds. The amount of expenses paid through Brokerage Service Arrangements for the six months ended June 30, 2003 were as follows:
EXPENSES PAID THROUGH BROKERAGE FUND SERVICE ARRANGEMENTS - ---- -------------------- Value Equity $126,453 Growth Equity 73,213 Small Cap Equity 101,400 International Equity 67,197
In addition, the Funds have entered into arrangements with its custodian whereby interest earned on uninvested cash balances was used to offset a portion of each Fund's expenses. During the six months ended June 30, 2003, expenses reduced were as follows:
REDUCTION TO FUND EXPENSES - ---- ------------ Flexible Income $ 274 Growth & Income 151 Capital Opportunities 189 Global Equity 161 Money Market 4,179 Low-Duration Bond 15,013 Medium-Duration Bond 5,887 Extended-Duration Bond 2,394 Equity Index 209
REDUCTION TO FUND EXPENSES - ---- ------------ Value Equity $ 6,209 Growth Equity 435 Small Cap Equity 327 International Equity 726
E. ADMINISTRATOR, TRANSFER AGENT AND DISTRIBUTOR Certain employees of PFPC Inc. ("PFPC"), an indirect, wholly-owned subsidiary of The PNC Financial Services Group, Inc., are officers of the Funds. PFPC serves as Administrator and Transfer agent of the Funds. For its services as Administrator, PFPC is entitled to receive fees, computed daily and paid monthly, based upon the average daily net assets of each Fund. The fees currently range between .008% and .0375% of average net assets, excluding out of pocket expenses. For its services as Transfer Agent, PFPC receives a fee based mainly upon the number of accounts serviced. Certain minimum fees and transaction charges may apply. For the six months ended June 30, 2003, PFPC received $1,909,284 in aggregate fees and expenses for services rendered under the various agreements described above. PFPC Distributors, Inc. ("PDI"), also an indirect, wholly-owned subsidiary of The PNC Financial Services Group, Inc., serves as the Distributor for the Funds. The Funds do not pay any fees to PDI in its capacity as distributor. 4. SECURITIES LENDING Through an agreement with Northern Trust (the Funds' custodian) the Select Funds may lend portfolio securities to certain brokers, dealers and other financial institutions that pay the Select Funds a negotiated fee. The Select Funds receive cash, letters of credit or U.S. Government securities as collateral against the loaned securities in an amount at least equal to the market value of the loaned securities. The Funds continue to own the loaned securities and the securities remain in the investment portfolio. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. Cash collateral has been invested in a short-term money market fund of Northern Trust. At June 30, 2003, the market 124 values of loaned securities and collateral received were as follows:
MARKET VALUE OF MARKET VALUE OF FUND SECURITIES LOANED COLLATERAL - ---- ----------------- --------------- Money Market $162,270,846 $165,342,504 Low-Duration Bond 79,948,007 81,480,560 Medium-Duration Bond 163,473,669 166,305,732 Extended-Duration Bond 88,559,452 89,465,687 Equity Index 19,013,091 19,571,900 Value Equity 76,616,086 78,892,038 Growth Equity 81,574,555 83,327,467 Small Cap Equity 79,440,483 82,188,119 International Equity 67,227,166 70,256,561
5. INVESTMENT TRANSACTIONS For the six months ended June 30, 2003, the cost of purchases and proceeds from sales and maturities (other than short-term and U.S. Government obligations) aggregated for each Fund are as follows:
SALE AND MATURITY FUND PURCHASES PROCEEDS - ---- ------------ ----------------- Flexible Income $ 2,500,000 $ 7,000,000 Growth & Income 22,750,000 60,936,348 Capital Opportunities 14,250,000 19,250,000
SALE AND MATURITY FUND PURCHASES PROCEEDS - ---- ------------ ----------------- Global Equity $ 8,000,000 $ 12,500,000 Low-Duration Bond 106,824,213 146,423,775 Medium-Duration Bond 809,365,995 928,731,188
For the six months ended June 30, 2003, the cost of purchases and proceeds from sales and maturities of long-term U.S. Government obligations aggregated for each Fund are as follows:
SALE AND MATURITY FUND PURCHASES PROCEEDS - ---- -------------- ----------------- Flexible Income $ 9,034,176 $ 10,440,316 Growth & Income 21,253,992 19,643,813 Capital Opportunities 7,164,742 6,113,066 Low-Duration Bond 521,545,667 505,805,930 Medium-Duration Bond 1,083,429,822 937,361,954 Extended-Duration Bond 184,205,618 101,164,244 Extended-Duration Bond 54,449,885 141,532,212 Equity Index 28,166,079 2,084,736 Value Equity 235,125,117 227,546,895 Growth Equity 183,815,987 207,388,011 Small Cap Equity 169,130,759 168,313,376 International Equity 133,440,590 123,924,393
FUTURES CONTRACTS Investments in securities as of June 30, 2003, included securities that were valued and pledged as collateral to cover initial margin deposits. The market value of this collateral and open futures contracts is as follows:
MARKET VALUE OF OPEN PURCHASE NOTIONAL MARKET NET UNREALIZED GAIN COLLATERAL (SALE) CONTRACTS VALUE ON FUTURES (LOSS) ON FUTURES --------------- ---------------- ---------------- ------------------- FLEXIBLE INCOME FUND September 2003 S&P 500 $ 89,962 4 $ 973,300 $ (15,624) =========== GROWTH & INCOME FUND September 2003 S&P 500 629,732 41 9,976,325 $ (175,684) =========== CAPITAL OPPORTUNITIES FUND September 2003 S&P 500 854,393 57 13,869,525 $ (255,405) =========== GLOBAL EQUITY FUND September 2003 S&P 500 1,159,507 62 15,086,150 $ (299,185) =========== LOW-DURATION BOND FUND September 2003 2-Year U.S. Treasury Note 201,024 123 26,604,516 $ (20,083) September 2003 5-Year Euro Bobl 59,940 48 6,247,353 (25,399) September 2003 5-Year U.S. Treasury Note 1,548,238 28 3,223,500 (46,059) September 2003 10-Year U.S. Treasury Note 767,078 (12) 1,404,375 22,462 ----------- $ (69,079) ===========
125
MARKET VALUE OF OPEN PURCHASE NOTIONAL MARKET NET UNREALIZED GAIN COLLATERAL (SALE) CONTRACTS VALUE ON FUTURES (LOSS) ON FUTURES --------------- ---------------- ---------------- ------------------- MEDIUM-DURATION BOND FUND September 2003 U.S. Treasury Bond $ 245,927 13 $ 1,525,469 $ (17,463) September 2003 2-Year U.S. Treasury Note 234,128 47 10,165,953 12,486 September 2003 5-Year U.S. Treasury Note 763,603 (288) 33,156,000 212,572 September 2003 10-Year Euro-Bund 293,532 95 12,745,286 (159,385) September 2003 10-Year U.S. Treasury Note 630,701 234 27,385,313 (246,777) March 2004 90-Day Libor 77,997 17 3,386,675 6,257 June 2004 90-Day Libor 494,400 107 21,293,399 3,887 September 2004 90-Day Euribor 28,309 5 1,229,188 13,250 December 2004 90-Day Euribor 244,966 38 10,636,526 (14,645) December 2004 90-Day Libor 31,974 7 1,388,304 (4,447) March 2005 90-Day Libor 250,933 55 10,895,627 (34,720) June 2005 10-Year Euro-Bund 123,527 22 5,363,600 (14,025) ----------- $ (243,010) =========== EQUITY INDEX FUND September 2003 S&P 500 864,633 29 7,056,425 $ (150,536) =========== VALUE EQUITY FUND September 2003 Russell 1000 129,945 22 5,700,200 $ (15,682) September 2003 S&P 500 3,808,382 149 36,255,425 (701,394) ----------- $ (717,076) =========== GROWTH EQUITY FUND September 2003 Russell 1000 99,958 11 2,850,100 $ (9,316) September 2003 S&P 500 3,803,384 239 58,154,675 (1,276,884) ----------- $(1,286,200) =========== SMALL CAP EQUITY FUND September 2003 Russell 1000 635,954 36 8,071,200 $ (121,391) September 2003 S&P 500 613,513 32 7,786,400 (182,180) ----------- $ (303,571) ===========
FOREIGN CURRENCY CONTRACTS As of June 30, 2003, the following Funds have foreign currency exchange contracts that obligate it to deliver currencies at specified future dates. The unrealized appreciation and/or depreciation on these contracts is included in the accompanying financial statements. The terms of the open contracts are as follows:
AMOUNT OF FOREIGN AMOUNT OF FOREIGN NET UNREALIZED CURRENCY TO BE CURRENCY TO BE CURRENCY TO BE CURRENCY TO BE APPRECIATION/ FUND/EXPIRATION DATE DELIVERED DELIVERED RECEIVED RECEIVED (DEPRECIATION) - -------------------- ------------------ ----------------- ------------------ ----------------- -------------- INTERNATIONAL EQUITY 7/14/2003 Swiss Francs 1,288,997 Canadian Dollars 1,361,857 $ 51,355 7/17/2003 Japanese Yen 140,923,950 Canadian Dollars 1,728,916 100,138 9/5/2003 Japanese Yen 79,518,009 Australian Dollars 1,019,462 15,222 9/12/2003 Japanese Yen 33,062,850 European Euro 259,462 21,431
126
AMOUNT OF FOREIGN AMOUNT OF FOREIGN NET UNREALIZED CURRENCY TO BE CURRENCY TO BE CURRENCY TO BE CURRENCY TO BE APPRECIATION/ FUND/EXPIRATION DATE DELIVERED DELIVERED RECEIVED RECEIVED (DEPRECIATION) - -------------------- ------------------ ----------------- ------------------ ----------------- -------------- INTERNATIONAL EQUITY 9/30/2003 Japanese Yen 356,419,140 European Euro 2,813,095 $ 243,985 10/16/2003 Hong Kong Dollars 7,513,316 European Euro 919,713 89,982 ----------- $ 522,113 =========== MEDIUM-DURATION BOND FUND 7/1/2003 Polish Zloty 177,100 US Dollars 45,144 $ (313) 7/1/2003 European Euro 2,301,463 US Dollars 2,627,419 (16,537) 7/9/2003 Polish Zloty 8,012,694 US Dollars 1,937,352 (117,362) 7/9/2003 Polish Zloty 4,378,633 US Dollars 1,169,507 46,683 7/9/2003 US Dollars 1,061,054 Polish Zloty 4,145,964 2,105 7/21/2003 Mexican Peso 8,167,253 US Dollars 764,545 (14,216) 7/30/2003 European Euro 660,192 US Dollars 754,600 (3,139) 7/30/2003 European Euro 19,420,000 US Dollars 22,361,354 71,950 7/30/2003 European Euro 1,767,000 US Dollars 2,047,123 19,039 7/31/2003 Canadian Dollars 3,968,000 US Dollars 2,939,172 15,160 7/31/2003 British Pounds 233,000 US Dollars 382,884 (1,422) 8/20/2003 US Dollars 536,864 European Euro 464,014 (4,608) 8/20/2003 European Euro 12,983,424 US Dollars 15,047,790 154,901 8/20/2003 European Euro 6,004,282 US Dollars 6,946,955 59,626 8/20/2003 European Euro 1,464,768 US Dollars 1,693,272 13,081 8/20/2003 US Dollars 2,623,668 European Euro 2,301,463 16,270 9/11/2003 South African Rand 27,103,430 US Dollars 3,301,270 (235,867) ----------- $ 5,351 =========== LOW-DURATION BOND FUND 7/14/2003 Canadian Dollars 11,874,447 US Dollars 8,457,584 $ (302,746) 7/15/2003 European Euro 4,018,889 US Dollars 4,605,647 (9,297) 7/15/2003 European Euro 3,961,586 US Dollars 4,532,055 (17,088) 7/30/2003 European Euro 3,625,000 US Dollars 4,174,043 13,430 ----------- $ (315,701) ===========
OPTIONS WRITTEN Transactions in options written for the six months ended June 30, 2003, were as follows:
NUMBER OF PREMIUMS LOW-DURATION BOND FUND CONTRACTS RECEIVED - ---------------------- --------- ---------- Options written, 12/31/02 -- $ -- ------ ---------- Options written 3,432 656,030 Option expired (312) (255,110) Options closed -- -- ------ ---------- Options written, 06/30/03 3,120 $ 400,920 ====== ==========
127
NUMBER OF PREMIUMS MEDIUM-DURATION BOND FUND CONTRACTS RECEIVED - ------------------------- --------- ---------- Options written, 12/31/02 5,490 $1,553,865 ------ ---------- Options written 10,686 696,107 Option expired (8,708) (305,666) Options closed (1,220) (99,265) ------ ---------- Options written, 06/30/03 6,248 $1,845,041 ====== ==========
6. CAPITAL SHARE TRANSACTIONS Transactions in shares of capital stock for the six months ended June 30, 2003 and the year ended December 31, 2002, are as follows:
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02 --------------------------------- --------------------------------- FLEXIBLE INCOME FUND SHARES VALUE SHARES VALUE - -------------------- -------------- --------------- -------------- --------------- SHARES SOLD: Retail Class 83,802 $ 774,020 1,670,545 $ 16,393,393 Retirement Class 1,034,017 12,958,840 3,611,419 46,311,965 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: Retail Class 46 422 107,505 980,449 Retirement Class -- -- 987,456 12,264,206 SHARES REDEEMED: Retail Class (9,346) (85,707) (30,529) (292,173) Retirement Class (1,458,458) (18,248,872) (5,132,185) (66,166,610) -------------- --------------- -------------- --------------- Net increase (349,939) $ (4,601,297) 1,214,211 $ 9,491,230 ============== =============== ============== ===============
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02 --------------------------------- --------------------------------- GROWTH & INCOME FUND SHARES VALUE SHARES VALUE - -------------------- -------------- --------------- -------------- --------------- SHARES SOLD: Retail Class 111,610 $ 959,755 1,804,916 $ 17,382,391 Retirement Class 2,921,730 35,414,057 10,191,589 126,341,627 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: Retail Class 55 459 165,812 1,385,998 Retirement Class -- -- 5,235,297 62,038,270 SHARES REDEEMED: Retail Class (40,790) (338,880) (69,225) (640,608) Retirement Class (5,921,897) (70,523,817) (15,192,703) (189,399,981) -------------- --------------- -------------- --------------- Net increase (2,929,292) $ (34,488,426) 2,135,686 $ 17,107,697 ============== =============== ============== ===============
128
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02 --------------------------------- --------------------------------- CAPITAL OPPORTUNITIES FUND SHARES VALUE SHARES VALUE - -------------------------- -------------- --------------- -------------- --------------- SHARES SOLD: Retail Class 56,356 $ 462,168 1,164,775 $ 11,131,515 Retirement Class 1,975,998 22,886,128 6,015,900 72,058,224 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: Retail Class 17 136 58,034 467,756 Retirement Class 4 49 2,467,745 27,712,780 SHARES REDEEMED: Retail Class (30,192) (243,706) (26,707) (232,493) Retirement Class (2,112,639) (23,657,688) (7,786,137) (92,920,831) -------------- --------------- -------------- --------------- Net increase (110,456) $ (552,913) 1,893,610 $ 18,216,951 ============== =============== ============== ===============
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02 --------------------------------- --------------------------------- GLOBAL EQUITY FUND SHARES VALUE SHARES VALUE - ------------------ -------------- --------------- -------------- --------------- SHARES SOLD: Retail Class 59,973 $ 481,714 1,668,192 $ 15,788,091 Retirement Class 1,903,691 20,432,735 4,934,351 56,608,076 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: Retail Class -- -- 18,489 142,735 Retirement Class 1 12 601,538 6,310,135 SHARES REDEEMED: Retail Class (19,700) (155,694) (33,843) (271,873) Retirement Class (2,274,195) (23,570,849) (7,942,881) (91,353,777) -------------- --------------- -------------- --------------- Net increase (decrease) (330,230) $ (2,812,082) (754,154) $ (12,776,613) ============== =============== ============== ===============
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02 --------------------------------- --------------------------------- MONEY MARKET FUND SHARES VALUE SHARES VALUE - ----------------- -------------- --------------- -------------- --------------- SHARES SOLD: Retail Class 2,028,107 $ 2,028,107 18,106,642 $ 18,106,642 Retirement Class 2,218,241,356 2,218,241,356 2,391,998,542 2,391,998,542 Institutional Class 254,408 254,408 6,411,127 6,411,127 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: Retail Class 45,602 45,602 213,286 213,286 Retirement Class 2,921,224 2,921,224 9,311,070 9,311,070 Institutional Class 32,079 32,079 98,177 98,177 SHARES REDEEMED: Retail Class (10,325,740) (10,325,740) (2,568,089) (2,568,089) Retirement Class (2,211,037,370) (2,211,037,370) (2,491,264,245) (2,491,264,245) Institutional Class -- -- (1,041,113) (1,041,113) -------------- --------------- -------------- --------------- Net increase (decrease) 2,159,666 $ 2,159,666 (68,734,603) $ (68,734,603) ============== =============== ============== ===============
129
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02 --------------------------------- --------------------------------- LOW-DURATION BOND FUND SHARES VALUE SHARES VALUE - ---------------------- -------------- --------------- -------------- --------------- SHARES SOLD: Retail Class 241,161 $ 2,365,838 1,793,207 $ 17,762,300 Retirement Class 4,640,693 61,303,019 10,218,265 134,402,258 Institutional Class 393,413 3,816,113 607,288 6,000,000 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: Retail Class 29,679 290,217 122,635 1,206,161 Retirement Class 597,003 7,868,719 2,813,339 36,945,105 Institutional Class 11,955 116,585 40,373 395,941 SHARES REDEEMED: Retail Class (79,249) (778,113) (123,568) (1,220,973) Retirement Class (5,748,833) (75,933,992) (17,206,689) (226,065,358) Institutional Class -- -- (2,556) (25,249) -------------- --------------- -------------- --------------- Net increase (decrease) 85,822 $ (951,614) (1,737,706) $ (30,599,815) ============== =============== ============== ===============
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02 --------------------------------- --------------------------------- MEDIUM-DURATION BOND FUND SHARES VALUE SHARES VALUE - ------------------------- -------------- --------------- -------------- --------------- SHARES SOLD: Retail Class 326,529 $ 3,162,962 1,906,394 $ 18,677,236 Retirement Class 6,792,174 93,309,047 16,093,582 218,282,492 Institutional Class 674,673 6,362,200 689,176 6,727,106 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: Retail Class 45,069 432,710 183,456 1,767,411 Retirement Class 871,728 11,941,023 4,320,283 58,449,894 Institutional Class 23,380 223,860 72,704 696,779 SHARES REDEEMED: Retail Class (101,198) (981,117) (78,013) (760,212) Retirement Class (10,320,869) (142,416,353) (25,611,700) (346,415,094) Institutional Class (356) (3,431) (2,609) (25,441) -------------- --------------- -------------- --------------- Net increase (decrease) (1,688,870) $ (27,969,099) (2,426,727) $ (42,599,829) ============== =============== ============== ===============
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02 --------------------------------- --------------------------------- EXTENDED-DURATION BOND FUND SHARES VALUE SHARES VALUE - --------------------------- -------------- --------------- -------------- --------------- SHARES SOLD: Retail Class 342,680 $ 3,409,204 1,780,621 $ 17,558,639 Retirement Class 5,787,958 86,960,245 9,912,940 141,473,893 Institutional Class 295,198 2,798,483 602,410 6,000,000 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: Retail Class 85,374 835,523 272,045 2,612,870 Retirement Class 566,786 8,472,040 2,110,905 30,277,376 Institutional Class 26,309 258,753 72,741 698,808 SHARES REDEEMED: Retail Class (148,448) (1,488,383) (346,633) (3,336,503) Retirement Class (7,477,349) (113,370,273) (12,725,946) (181,561,981) Institutional Class -- -- (2,630) (26,174) -------------- --------------- -------------- --------------- Net increase (521,492) $ (12,124,408) 1,676,453 $ 13,696,928 ============== =============== ============== ===============
130
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02 --------------------------------- --------------------------------- EQUITY INDEX FUND SHARES VALUE SHARES VALUE - ----------------- -------------- --------------- -------------- --------------- SHARES SOLD: Retail Class 74,107 $ 551,807 1,723,247 $ 16,231,143 Retirement Class 3,606,221 45,187,221 4,534,401 59,262,983 Institutional Class 103,277 763,223 638,298 6,000,000 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: Retail Class 13,587 109,505 43,629 335,885 Retirement Class 116,274 1,544,125 359,710 4,534,816 Institutional Class 6,425 51,463 17,473 133,846 SHARES REDEEMED: Retail Class (43,950) (329,753) (30,424) (244,278) Retirement Class (1,823,535) (22,097,342) (5,822,653) (79,608,284) Institutional Class -- -- (2,887) (26,469) -------------- --------------- -------------- --------------- Net increase 2,052,406 $ 25,780,249 1,460,794 $ 6,619,642 ============== =============== ============== ===============
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02 --------------------------------- --------------------------------- VALUE EQUITY FUND SHARES VALUE SHARES VALUE - ----------------- -------------- --------------- -------------- --------------- SHARES SOLD: Retail Class 106,424 $ 863,727 1,792,054 $ 16,791,746 Retirement Class 3,586,132 44,295,716 5,902,283 76,944,949 Institutional Class 508,423 3,911,113 682,607 6,440,400 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: Retail Class 21,397 183,158 40,519 338,252 Retirement Class 616,449 8,112,462 1,234,129 15,730,370 Institutional Class 15,168 130,295 17,310 145,231 SHARES REDEEMED: Retail Class (46,137) (369,594) (44,669) (369,131) Retirement Class (4,529,679) (55,670,993) (7,492,522) (100,715,917) Institutional Class -- -- (30,628) (236,697) -------------- --------------- -------------- --------------- Net increase 278,177 $ 1,455,884 2,101,083 $ 15,069,203 ============== =============== ============== ===============
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02 --------------------------------- --------------------------------- GROWTH EQUITY FUND SHARES VALUE SHARES VALUE - ------------------ -------------- --------------- -------------- --------------- SHARES SOLD: Retail Class 153,646 $ 1,141,424 1,802,792 $ 17,029,868 Retirement Class 5,752,084 67,201,478 17,230,594 217,156,015 Institutional Class 527,084 3,911,113 644,374 6,165,400 SHARES REDEEMED: Retail Class (65,573) (481,004) (55,258) (429,932) Retirement Class (6,893,872) (79,785,165) (10,369,145) (134,588,500) Institutional Class -- -- (2,935) (27,620) -------------- --------------- -------------- --------------- Net increase (526,631) $ (8,012,154) 9,250,422 $ 105,305,231 ============== =============== ============== ===============
131
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02 --------------------------------- --------------------------------- SMALL CAP EQUITY FUND SHARES VALUE SHARES VALUE - --------------------- -------------- --------------- -------------- --------------- SHARES SOLD: Retail Class 76,064 $ 653,791 1,677,766 $ 16,348,685 Retirement Class 2,924,384 31,948,930 8,191,337 98,180,698 Institutional Class 122,335 953,223 639,470 6,285,000 SHARES REDEEMED: Retail Class (25,219) (216,797) (43,559) (364,433) Retirement Class (2,774,654) (29,915,993) (9,860,076) (120,314,748) Institutional Class -- -- (29,239) (229,684) -------------- --------------- -------------- --------------- Net increase (decrease) 322,910 $ 3,423,154 575,699 $ (94,482) ============== =============== ============== ===============
FOR THE SIX MONTHS ENDED 06/30/03 FOR THE YEAR ENDED 12/31/02 --------------------------------- --------------------------------- INTERNATIONAL EQUITY FUND SHARES VALUE SHARES VALUE - ------------------------- -------------- --------------- -------------- --------------- SHARES SOLD: Retail Class 47,326 $ 399,621 1,716,277 $ 15,791,132 Retirement Class 5,883,949 57,166,142 9,250,407 97,896,260 Institutional Class 390,395 3,052,891 645,856 6,000,000 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: Retail Class -- -- 18,906 154,094 Retirement Class -- -- 787,451 7,567,407 Institutional Class -- -- 9,920 81,443 SHARES REDEEMED: Retail Class (13,912) (118,066) (21,992) (188,156) Retirement Class (5,232,477) (50,447,917) (9,425,678) (99,683,230) Institutional Class -- -- (2,881) (26,444) -------------- --------------- -------------- --------------- Net increase 1,075,281 $ 10,052,671 2,978,266 $ 27,592,506 ============== =============== ============== ===============
7. BANK BORROWINGS The Trust, on behalf of and for the benefit of the Funds, has a credit agreement with Bank of America, N.A., dated October 23, 2002, whereby each Fund is permitted to have bank borrowings for temporary or emergency purposes to fund Shareholder redemptions. The agreement permits borrowings up to $50 million, collectively. Interest is charged to each Fund based on its borrowings at a rate equal to the Bank prime rate minus two percent or the Wall Street Journal LIBOR One Month Floating Rate plus 0.50%. Each Fund also pays a facility fee equal to its pro rata share of the amount of the credit facility at a rate of 0.16% per annum. Each Fund had no borrowings outstanding during the period ended June 30, 2003. 132 8. FEDERAL INCOME TAXES Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments for futures and options transactions, foreign currency transactions, paydowns, losses deferred due to wash sales, investments in passive foreign investment companies ("PFIC") and excise tax regulations. Distributions paid during 2002 were characterized as follows for tax purposes:
ORDINARY LONG-TERM RETURN OF TOTAL FUND INCOME CAPITAL GAIN CAPITAL DISTRIBUTION - ---- ----------- ------------ --------- ------------ Flexible Income 2002 $ 9,781,693 $ 3,462,350 -- $13,244,043 Growth & Income 2002 37,309,441 26,116,347 -- 63,425,788 Capital Opportunities 2002 18,417,652 9,766,603 -- 28,184,255 Global Equity 2002 6,452,783 -- -- 6,452,783 Money Market 2002 14,515,587 -- -- 14,515,587 Low-Duration Bond 2002 36,617,084 1,930,128 -- 38,547,212 Medium-Duration Bond 2002 55,633,960 5,292,354 -- 60,926,314 Extended-Duration Bond 2002 30,750,822 2,838,223 -- 33,589,045 Equity Index 2002 4,604,015 400,546 -- 5,004,561 Value Equity 2002 16,185,464 -- 138,432 16,323,896 International Equity 2002 7,623,004 -- 179,894 7,802,898
At December 31, 2002, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED UNDISTRIBUTED UNREALIZED ORDINARY LONG-TERM APPRECIATION FUND INCOME CAPITAL GAIN (DEPRECIATION) - ---- ------------- ------------- -------------- Flexible Income $ 256,761 $ 1,000,540 $ 33,849,224 Growth & Income 2,403,833 1,676,036 33,673,734 Capital Opportunities 1,184,631 -- (50,529,886) Global Equity 62,062 (3,248,256) (93,922,853) Money Market 677 -- -- Low-Duration Bond 694,345 33,766 14,196,094 Medium-Duration Bond (1,007,669) 2,645,878 15,319,289 Extended-Duration Bond 280,593 794,441 22,382,383 Equity Index 47,048 (8,362,710) (52,495,574) Value Equity -- (77,865,680) (130,278,862) Growth Equity -- (220,583,639) (274,744,001) Small Cap Equity -- (42,666,278) (17,074,948) International Equity (45,034) (79,907,298) (126,884,589)
For federal income tax purposes, capital loss carryovers, and their expiration dates, were as follows as of December 31, 2002:
EXPIRING EXPIRING FUND 12/31/2009 12/31/2010 TOTAL - ---- ----------- ------------ ------------ Global Equity -- $ 1,756,387 $ 1,756,387 Equity Index -- 7,742,596 7,742,596 Value Equity $23,196,868 52,021,529 75,218,397 Growth Equity 65,899,400 125,035,753 190,935,153 Small Cap Equity 8,075,533 31,824,778 39,900,311 International Equity 11,896,098 57,870,668 69,766,766
For federal income tax purposes, post-October loss deferrals, which will reverse in 2003, were as follows as of December 31, 2002:
FUND CAPITAL FX AND PFIC TOTAL - ---- ----------- ------------ ------------ Global Equity $ 1,491,869 -- $ 1,491,869 Low-Duration Bond -- $ 234,243 234,243 Medium-Duration Bond -- 212,934 212,934 Equity Index 620,114 -- 620,114 Value Equity 2,647,283 -- 2,647,283 Growth Equity 29,648,486 -- 29,648,486 Small Cap Equity 2,765,967 -- 2,765,967 International Equity 10,140,532 45,034 10,185,566
At June 30, 2003, the net unrealized appreciation from investments for those securities having an excess of value over cost and net unrealized depreciation from investments for those securities having an excess of cost over 133 value (based on cost for federal income tax purposes) was as follows:
NET UNREALIZED APPRECIATION/ APPRECIATED DEPRECIATED FUND (DEPRECIATION) SECURITIES SECURITIES - ---- -------------- ------------ -------------- Flexible Income $ 43,213,840 $ 48,084,309 $ (4,870,469) Growth & Income 103,574,647 136,416,817 (32,842,170) Capital Opportunities 19,518,200 56,812,597 (37,294,397) Global Equity (20,953,693) 22,112,656 (43,066,350) Money Market -- -- -- Low-Duration Bond 14,586,699 18,180,989 (3,594,290) Medium-Duration Bond 31,540,353 41,646,975 (10,106,622) Extended-Duration Bond 44,064,266 48,301,703 (4,237,437) Equity Index (17,848,079) 58,241,260 (76,089,339) Value Equity (13,103,666) 97,451,685 (110,555,351) Growth Equity (60,766,459) 114,162,945 (174,929,404) Small Cap Equity 27,836,994 40,267,203 (12,430,209) International Equity (38,184,780) 80,527,795 (118,712,575)
The differences between book basis and tax-basis unrealized appreciation is attributable primarily to the tax deferral of losses on wash sales and on investments in passive foreign investment companies. At June 30, 2003, the aggregate cost for federal income tax purposes was as follows (excluding foreign currency and derivative related items):
FUND - ---- Flexible Income $ 244,663,160 Growth & Income 985,379,686 Capital Opportunities 813,422,768 Global Equity 721,113,449 Money Market 1,059,732,508 Low-Duration Bond 821,615,540 Medium-Duration Bond 1,088,851,482 Extended-Duration Bond 445,157,713 Equity Index 410,414,316 Value Equity 1,150,225,901 Growth Equity 1,339,414,148 Small Cap Equity 352,480,092 International Equity 894,965,926
At December 31, 2002, capital contributions, accumulated undistributed net investment income and accumulated net realized gain (loss) from investments have been adjusted for current period permanent book/tax differences which arose principally from differing book/tax treatments of foreign currency transactions. The following amounts were reclassified within the capital accounts:
ACCUMULATED AND REALIZED GAIN (LOSS) ON ACCUMULATED INVESTMENTS AND PAID IN UNDISTRIBUTED CURRENCY FUND CAPITAL INCOME TRANSACTIONS - ---- --------- ------------- --------------- Flexible Income -- $ (1,036) $ 1,036 Growth & Income -- (874) 874 Capital Opportunities -- 1,155 (1,155) Low-Duration Bond -- 1,002,511 (1,002,511) Medium-Duration Bond -- 1,617,834 (1,617,834) Extended-Duration Bond -- 36,744 (36,744) Equity Index $ 1 (10,901) 10,900 Value Equity (138,433) 13,021 125,412 Growth Equity (609,356) 609,038 318 Small Cap Equity (639,212) 600,195 39,017 International Equity (179,894) 957,329 (777,435)
Net investment income, net realized gain (loss) on investments and net assets were not affected by these reclassifications. 134 FUND MANAGEMENT Information pertaining to the Trustees and officers of the Trust is set forth below. The statement of additional information (SAI) includes additional information about the Trustees and is available without charge, upon request, by calling (800) 262-0511.
- -------------------------------------------------------------------------------------------------------------------------------- NUMBER OF PORTFOLIOS IN FUND TERM OF OFFICE COMPLEX OTHER TRUSTEESHIPS/ NAME, (DOB), ADDRESS AND AND LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN DIRECTORSHIPS POSITION(S) WITH TRUST TIME SERVED(1) DURING PAST 5 YEARS BY TRUSTEE HELD BY TRUSTEE - ------------------------ -------------- ----------------------- ---------- ------------------- - -------------------------------------------------------------------------------------------------------------------------------- DISINTERESTED TRUSTEES - -------------------------------------------------------------------------------------------------------------------------------- Mr. Michael R. Buster (11/18/57) Since 2002 Executive Pastor, Prestonwood 13 None 3656 Bridle Road Baptist Church, Prosper, TX 75078 1989 - present Trustee - -------------------------------------------------------------------------------------------------------------------------------- Mr. Earl B. Patrick (6/3/44) Since 2000 President and Chief Operating 13 Earl B. Patrick, Inc. -- Jim Stewart Realtors, Inc. Officer, Jim Stewart, President, Director JSR 500 N. Valley Mills Drive Realtors, Inc. d/b/a Coldwell Building Waco, TX 76710 Banker Jim Stewart, Realtors, Partnership -- Managing Trustee 1975 - present. Partner, JSR Land Partnership -- Managing Partner Meadowlake Center -- General Partner, Waco Assn. Of Realtors -- Director, Baylor Foundation -- Director, All Peoples -- Director, Face to Face Ministries, Inc. -- Director - -------------------------------------------------------------------------------------------------------------------------------- Mr. Joseph A. Mack (11/22/39) Since 2002 Director, Office of Public 13 None 3400 Wilmot Ave. Policy, South Carolina Columbia, SC 29205 Baptist Convention, Trustee 1999 - present - -------------------------------------------------------------------------------------------------------------------------------- Mr. James Ray Taylor (10/19/33) Since 2002 Retired 12/31/1994, 13 None 3009 Tanglewood Park West Trustee -- Annuity Board, Fort Worth, Texas 76109 1990 - 2000 Trustee - -------------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES(2) - -------------------------------------------------------------------------------------------------------------------------------- Gerald B. Jones (5/24/32) Since 2000 Owner, Jones Motorcars, Inc. 13 Annuity Board -- Trustee, Jones Motorcars, Inc. 1957 - Present. Bank of Arkansas -- Director, 3535 N. College Avenue 1996 - Present. Fayetteville, AR 72703-5108 Trustee - -------------------------------------------------------------------------------------------------------------------------------- George Tous Van Nijkerk (8/12/39) Since 2000 Administrative Services 13 Annuity Board -- Trustee 2401 Cedar Springs Road Director, Providence Baptist Dallas, Texas 75201-1498 Church, 1991 - Present. Trustee - -------------------------------------------------------------------------------------------------------------------------------- OFFICER(S) WHO ARE NOT TRUSTEES - -------------------------------------------------------------------------------------------------------------------------------- Jeffrey P. Billinger (12/5/46) Since 2000 Executive Officer and N/A N/A 2401 Cedar Springs Road Treasurer, Annuity Board of Dallas, TX 75201-1407 the Southern Baptist Vice President and Treasurer Convention, 1995 - Present. - -------------------------------------------------------------------------------------------------------------------------------- Rodric E. Cummins (6/28/57) Since 2000 Executive Officer and Chief N/A N/A 2401 Cedar Springs Road Investment Officer, Annuity Dallas, TX 75201-1407 Board of the Southern Baptist Vice President and Investment Convention, 1998 - Present; Officer Baptist Foundation of Texas 1984 - 1998. - -------------------------------------------------------------------------------------------------------------------------------- O.S. Hawkins (8/6/47) Since 2000 President and CEO, Annuity N/A N/A 2401 Cedar Springs Road Board of the Southern Baptist Dallas, TX 75201-1407 Convention, 1997 - Present; President Pastor, First Baptist Church, 1993 - 1997. - -------------------------------------------------------------------------------------------------------------------------------- John R. Jones (12/6/53) Since 2000 Executive Vice President and N/A N/A 2401 Cedar Springs Road Chief Operating Officer, Dallas, TX 75201-1407 Annuity Board of the Southern Senior Vice President Baptist Convention, 1995 - Present. - --------------------------------------------------------------------------------------------------------------------------------
135
- -------------------------------------------------------------------------------------------------------------------------------- NUMBER OF PORTFOLIOS IN FUND TERM OF OFFICE COMPLEX OTHER TRUSTEESHIPS/ NAME, (DOB), ADDRESS AND AND LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN DIRECTORSHIPS POSITION(S) WITH TRUST TIME SERVED(1) DURING PAST 5 YEARS BY TRUSTEE HELD BY TRUSTEE - ------------------------ -------------- ----------------------- ---------- ------------------- Rodney R. Miller (5/23/53) Since 2000 General Counsel, Legal and N/A N/A 2401 Cedar Springs Road Compliance, Annuity Board of Dallas, TX 75201-1407 the Southern Baptist Vice President and Secretary Convention, 1995 - Present.
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(1) Each Trustee and officer serves for an indefinite term, until his/her successor is elected. (2) Messrs. Tous Van Nijkerk and Jones serve as trustees and are to be "interested persons" of the Trust as the term is defined in the Investment Company Act of 1940, as amended. 136 [AB FUNDS LOGO] 2401 Cedar Springs Rd., Dallas, TX 75201-1498 1.800.262.0511 - www.absbc.org Funds distributed by PFPC Distributors, Inc. 760 Moore Road King of Prussia, PA 19406 Serving Those Who Serve the Lord "...with the integrity of our hearts and the skillfulness of our hands." Psalm 78:72 Rev. 8/03 2239 6098 8/03 2.2M ITEM 2. CODE OF ETHICS. Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. [RESERVED] ITEM 9. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 10. EXHIBITS. (a)(1) Not applicable. (a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (registrant) AB Funds Trust -------------------------------------------------------------------- By (Signature and Title)* /s/ O.S. Hawkins ------------------------------------------------------- O.S. Hawkins, President & Chief Executive Officer (principal executive officer) Date AUGUST 21, 2003 ---------------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ O.S. Hawkins ------------------------------------------------------- O.S. Hawkins, President & Chief Executive Officer (principal executive officer) Date AUGUST 21, 2003 ---------------------------------------------------------------------------- By (Signature and Title)* /s/ Jeffrey P. Billinger ------------------------------------------------------- Jeffrey P. Billinger, Executive Officer and Treasurer (principal financial officer) Date AUGUST 21, 2003 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 3 w88377exv99wcert.txt CERTIFICATION PURSUANT TO SECTION 302 CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT I, O.S. Hawkins, certify that: 1. I have reviewed this report on Form N-CSR of AB Funds Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) [Omitted] (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: AUGUST 21, 2003 /s/ O.S. Hawkins ---------------------- -------------------------------------------- O.S. Hawkins, President & Chief Executive Officer (principal executive officer) CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT I, Jeffrey P. Billinger, certify that: 1. I have reviewed this report on Form N-CSR of AB Funds Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) [Omitted] (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: AUGUST 21, 2003 /s/ Jeffrey P. Billinger ---------------------- ---------------------------------------------- Jeffrey P. Billinger, Executive Officer and Treasurer (principal financial officer) EX-99.906CERT 4 w88377exv99w906cert.txt CERTIFICATION PURSUANT TO SECTION 906 CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT I, O.S. Hawkins, President & Chief Executive Officer of AB Funds Trust (the "Registrant"), certify that: 1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: AUGUST 21, 2003 /s/ O.S. Hawkins ---------------------- ------------------------------------ O.S. Hawkins, President & Chief Executive Officer (principal executive officer) I, Jeffrey P. Billinger, Executive Officer and Treasurer of AB Funds Trust (the "Registrant"), certify that: 1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: AUGUST 21, 2003 /s/ Jeffrey P. Billinger ---------------------- ------------------------------------------------ Jeffrey P. Billinger, Executive Officer and Treasurer (principal financial officer) -----END PRIVACY-ENHANCED MESSAGE-----