N-CSRS 1 w10864nvcsrs.txt AB FUNDS TRUST FORM N-CSRS 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. GuideStone Financial Resources 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: 214-720-2142 ------------- Date of fiscal year end: December 31 ------------ Date of reporting period: June 30, 2005 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. The Report to Shareholders is attached herewith. [AB FUNDS LOGO] [AB FUNDS TRUST LOGO] Semi-Annual Report JUNE 30, 2005 (UNAUDITED) BLENDED FUNDS: - FLEXIBLE INCOME FUND - GROWTH & INCOME FUND - CAPITAL OPPORTUNITIES FUND - GLOBAL EQUITY FUND - FLEXIBLE INCOME FUND I - GROWTH & INCOME FUND I - CAPITAL OPPORTUNITIES FUND I - GLOBAL EQUITY FUND I 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 GuideStone Financial Resources of the Southern Baptist Convention ("GuideStone Financial Resources") (formerly known as Annuity Board of the Southern Baptist Convention) 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, GuideStone Financial Resources, SBC Financial and SBC Trust are affiliates of one another. AB Funds Trust, GuideStone Financial Resources, 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 About Your Expenses 5 Blended Funds: Flexible Income 9 Growth & Income 11 Capital Opportunities 13 Global Equity 15 Financial Statements 18 Flexible Income I 24 Growth & Income I 26 Capital Opportunities I 28 Global Equity I 30 Financial Statements 32 Select Funds: Money Market 37 Low-Duration Bond 41 Medium-Duration Bond 50 Extended-Duration Bond 65 Equity Index 70 Value Equity 77 Growth Equity 86 Small Cap Equity 89 International Equity 98 Financial Statements 108 Notes to Financial Statements 121 Fund Management 141 Proxy Voting 150
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 [JOHN JONES PHOTO] We are pleased to provide you with the AB Funds Trust semi-annual report for the six month period ending June 30, 2005. At AB Funds Trust, we endeavor to practice our profession in accordance with the highest standards of integrity, keeping our Fund shareholders' interest at the forefront at all times and in every situation. The industry has undergone radical changes over the past three years resulting in new regulations and policies and procedures designed to help safeguard investors' interest in mutual funds. The changes that have confronted the industry have impacted in some regard how investors relate to mutual fund companies. For example, we have recently implemented exchange limits to address the impact of excessive trading in our Funds. We continue an uncompromising commitment to our investors to provide the highest quality investment management services and products in the industry. These are lofty objectives that require consistent attention to detail within the multiple disciplines of investment management and fund operations, including portfolio management, compliance and proper governance. Our approach to portfolio management is very strategic and disciplined at its roots, but it continually calls on us to seek investment strategies that we believe will be beneficial to our investors. We identify among the entire global investment industry those investment management sub-adviser firms that we feel are best qualified to invest on behalf of our investors. These sub-advisers have continually positioned the Funds to take advantage of the investment opportunities that lie within each Fund's defined investment set and have consistently positioned the performance of AB Funds Trust favorably relative to other fund companies. We appreciate your continued confidence in AB Funds Trust and will always work to improve all aspects of the products and services delivered to you -- our shareholders. Please watch for exciting news in the coming weeks regarding the new name of our mutual fund family, GuideStone Funds. Best Regards, /s/ John Jones John Jones Past performance is no guarantee of future results. Share prices will fluctuate and there may be a gain or loss when shares are redeemed. 2 FROM THE CHIEF INVESTMENT OFFICER [RODRIC E. CUMMINS PHOTO] Rodric E. Cummins, CFA The financial markets held firm during a relatively quiet second quarter as the U.S. economy remained on a healthy, albeit modest, growth pattern. During the quarter, mixed economic data indicated that the rate of economic growth is stable and inflation, despite rising oil prices, is under control. This led to a surprisingly strong rally in the bond market during the quarter and began to sway investor sentiment such that the Federal Reserve's tighter monetary policy may be in its later phase. However, the presence and continual threat of major economic and political undercurrents (i.e. high oil prices, huge fiscal and trade deficits, geopolitical tensions) is confining the stock market within a relatively narrow range, as it has over the past 18 months. [BAR CHART] (1)The S&P 500(R) Index includes 500 of the largest stocks (in terms of market value) in the United States. (2)The Russell 2000(R) Index is a small-cap index consisting of the smallest 2000 companies in the Russell 3000(R) index, representing approximately 8% of the Russell 3000(R) Index total market capitalization. (3)The MSCI ACWI(R) (All Country World Index) Ex-U.S. is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets excluding the U.S. (4)The Lehman Brothers Aggregate Bond Index includes fixed rate debt issues rated investment grade or higher by Moody's Investor's Service, Standard and Poor's(R) Corporation, or Fitch Investor's Service, in that order. Both stocks and bonds generally posted positive returns for investors in the quarter. The S&P 500(R) Index posted a return of 1.37% during the period, led by small capitalization stocks as evidenced by the Russell 2000(R) Index's quarterly return of 4.32%. While emerging markets were up strong, a rally in the U.S. dollar hindered otherwise strong international stock performance. Bond investors benefited as interest rates moved sharply lower in the intermediate and long maturity segments of the market. During the quarter, the bond market, as represented by the Lehman Brothers Aggregate Bond 3 Index returned 3.01%. Long-maturity bonds, which were propelled by the prospects of moderate economic growth and lower inflation, led all major market segments during the quarter. Investors are living in a world of low investment returns that is in sharp contrast to the robust era of the 1980's and '90's. Despite exceptional returns in 2003 and 2004, stock investments have provided returns far below historical averages and only marginally above zero (1.01%, annualized) since the stock market peak in 2000. The macroeconomic and political backdrop within which the global economy is operating, along with persistently low interest rates and the prospects for continued moderate economic growth, both in the U.S. and globally, may point to continued market conditions that are consistent with a low return environment for financial assets. For investors seeking wealth accumulation objectives, a low return environment heightens the important role of savings in obtaining their financial goals. 4 ABOUT YOUR EXPENSES (UNAUDITED) As a shareholder of the Funds, you incur ongoing costs, including management fees; to the extent applicable, distribution (12b-1) fees and/or shareholder services fees; and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2005 to June 30, 2005. ACTUAL EXPENSES The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled "Expenses Paid During Period" to estimate the expenses attributable to your investment during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
ACTUAL --------------------------------------------------------------------------------------------------------- BEGINNING ENDING ANNUALIZED EXPENSES ACCOUNT VALUE ACCOUNT VALUE EXPENSE PAID DURING FUND CLASS 1/1/2005 6/30/2005 RATIO(1) PERIOD(2) ---- ----- ------------- ------------- ---------- ----------- Flexible Income.................... GS4 Class $1,000.00 $1,004.56 0.13% $0.65 GS6 Class 1,000.00 1,003.18 0.50% 2.48 GS8 Class 1,000.00 1,002.12 0.80% 3.97 Growth & Income.................... GS4 Class 1,000.00 1,013.31 0.13% 0.65 GS6 Class 1,000.00 1,011.33 0.60% 2.99 GS8 Class 1,000.00 1,009.26 0.90% 4.48 Capital Opportunities.............. GS4 Class 1,000.00 1,007.32 0.13% 0.65 GS6 Class 1,000.00 1,003.78 0.70% 3.48 GS8 Class 1,000.00 1,001.89 1.00% 4.96 Global Equity...................... GS4 Class 1,000.00 1,000.65 0.13% 0.64 GS6 Class 1,000.00 998.24 0.57% 2.82 GS8 Class 1,000.00 997.36 0.87% 4.31 Flexible Income I.................. GS2 Class 1,000.00 1,005.82 0.17% 0.85 Growth & Income I.................. GS2 Class 1,000.00 1,014.25 0.17% 0.85 Capital Opportunities I............ GS2 Class 1,000.00 1,008.21 0.17% 0.85 Global Equity I.................... GS2 Class 1,000.00 1,002.28 0.17% 0.84 Money Market....................... GS2 Class 1,000.00 1,012.46 0.27% 1.35 GS4 Class 1,000.00 1,011.54 0.45% 2.24 GS6 Class 1,000.00 1,009.90 0.78% 3.89 GS8 Class 1,000.00 1,007.97 1.17% 5.83
5 ABOUT YOUR EXPENSES (UNAUDITED) CONTINUED
ACTUAL --------------------------------------------------------------------------------------------------------- BEGINNING ENDING ANNUALIZED EXPENSES ACCOUNT VALUE ACCOUNT VALUE EXPENSE PAID DURING FUND CLASS 1/1/2005 6/30/2005 RATIO(1) PERIOD(2) ---- ----- ------------- ------------- ---------- ----------- Low-Duration Bond.................. GS2 Class $1,000.00 $1,008.02 0.45% $2.24 GS4 Class 1,000.00 1,006.62 0.61% 3.03 GS6 Class 1,000.00 1,005.72 0.90% 4.48 GS8 Class 1,000.00 1,004.08 1.30% 6.46 Medium-Duration Bond............... GS2 Class 1,000.00 1,025.91 0.50% 2.51 GS4 Class 1,000.00 1,025.43 0.62% 3.11 GS6 Class 1,000.00 1,023.47 0.95% 4.77 GS8 Class 1,000.00 1,021.74 1.35% 6.77 Extended-Duration Bond............. GS2 Class 1,000.00 1,063.35 0.56% 2.86 GS4 Class 1,000.00 1,062.29 0.73% 3.73 GS6 Class 1,000.00 1,060.54 1.08% 5.52 GS8 Class 1,000.00 1,058.90 1.50% 7.66 Equity Index....................... GS2 Class 1,000.00 992.20 0.23% 1.14 GS4 Class 1,000.00 991.51 0.40% 1.98 GS6 Class 1,000.00 991.97 0.51% 2.52 GS8 Class 1,000.00 989.14 0.90% 4.44 Value Equity....................... GS2 Class 1,000.00 1,019.47 0.72% 3.61 GS4 Class 1,000.00 1,017.92 0.89% 4.45 GS6 Class 1,000.00 1,016.90 1.19% 5.95 GS8 Class 1,000.00 1,014.56 1.59% 7.94 Growth Equity...................... GS2 Class 1,000.00 989.31 0.86% 4.24 GS4 Class 1,000.00 987.75 0.98% 4.83 GS6 Class 1,000.00 986.23 1.28% 6.30 GS8 Class 1,000.00 985.23 1.68% 8.27 Small Cap Equity................... GS2 Class 1,000.00 1,001.60 1.10% 5.46 GS4 Class 1,000.00 1,001.22 1.23% 6.10 GS6 Class 1,000.00 1,000.00 1.53% 7.59 GS8 Class 1,000.00 997.57 1.93% 9.56 International Equity............... GS2 Class 1,000.00 999.23 0.96% 4.76 GS4 Class 1,000.00 998.02 1.14% 5.65 GS6 Class 1,000.00 996.88 1.39% 6.88 GS8 Class 1,000.00 994.53 1.79% 8.85
HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE EXPENSES) --------------------------------------------------------------------------------------------------------- BEGINNING ENDING ANNUALIZED EXPENSES ACCOUNT VALUE ACCOUNT VALUE EXPENSE PAID DURING FUND CLASS 1/1/2005 6/30/2005 RATIO(1) PERIOD(2) ---- ----- ------------- ------------- ---------- ----------- Flexible Income.................... GS4 Class $1,000.00 $1,024.15 0.13% $0.65 GS6 Class 1,000.00 1,022.32 0.50% 2.51 GS8 Class 1,000.00 1,020.83 0.80% 4.01 Growth & Income.................... GS4 Class 1,000.00 1,024.15 0.13% 0.65 GS6 Class 1,000.00 1,021.82 0.60% 3.01 GS8 Class 1,000.00 1,020.33 0.90% 4.51 Capital Opportunities.............. GS4 Class 1,000.00 1,024.15 0.13% 0.65 GS6 Class 1,000.00 1,021.32 0.70% 3.51 GS8 Class 1,000.00 1,019.84 1.00% 5.01
6
HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE EXPENSES) --------------------------------------------------------------------------------------------------------- BEGINNING ENDING ANNUALIZED EXPENSES ACCOUNT VALUE ACCOUNT VALUE EXPENSE PAID DURING FUND CLASS 1/1/2005 6/30/2005 RATIO(1) PERIOD(2) ---- ----- ------------- ------------- ---------- ----------- Global Equity...................... GS4 Class $1,000.00 $1,024.15 0.13% $0.65 GS6 Class 1,000.00 1,021.97 0.57% 2.86 GS8 Class 1,000.00 1,020.48 0.87% 4.36 Flexible Income I.................. GS2 Class 1,000.00 1,023.95 0.17% 0.85 Growth & Income I.................. GS2 Class 1,000.00 1,023.95 0.17% 0.85 Capital Opportunities I............ GS2 Class 1,000.00 1,023.95 0.17% 0.85 Global Equity I.................... GS2 Class 1,000.00 1,023.95 0.17% 0.85 Money Market....................... GS2 Class 1,000.00 1,023.46 0.27% 1.35 GS4 Class 1,000.00 1,022.56 0.45% 2.26 GS6 Class 1,000.00 1,020.93 0.78% 3.91 GS8 Class 1,000.00 1,018.99 1.17% 5.86 Low-Duration Bond.................. GS2 Class 1,000.00 1,022.56 0.45% 2.26 GS4 Class 1,000.00 1,021.77 0.61% 3.06 GS6 Class 1,000.00 1,020.33 0.90% 4.51 GS8 Class 1,000.00 1,018.35 1.30% 6.51 Medium-Duration Bond............... GS2 Class 1,000.00 1,022.32 0.50% 2.51 GS4 Class 1,000.00 1,021.72 0.62% 3.11 GS6 Class 1,000.00 1,020.08 0.95% 4.76 GS8 Class 1,000.00 1,018.10 1.35% 6.76 Extended-Duration Bond............. GS2 Class 1,000.00 1,022.02 0.56% 2.81 GS4 Class 1,000.00 1,021.17 0.73% 3.66 GS6 Class 1,000.00 1,019.44 1.08% 5.41 GS8 Class 1,000.00 1,017.36 1.50% 7.50 Equity Index....................... GS2 Class 1,000.00 1,023.65 0.23% 1.15 GS4 Class 1,000.00 1,022.81 0.40% 2.01 GS6 Class 1,000.00 1,022.27 0.51% 2.56 GS8 Class 1,000.00 1,020.33 0.90% 4.51 Value Equity....................... GS2 Class 1,000.00 1,021.22 0.72% 3.61 GS4 Class 1,000.00 1,020.38 0.89% 4.46 GS6 Class 1,000.00 1,018.89 1.19% 5.96 GS8 Class 1,000.00 1,016.91 1.59% 7.95 Growth Equity...................... GS2 Class 1,000.00 1,020.53 0.86% 4.31 GS4 Class 1,000.00 1,019.93 0.98% 4.91 GS6 Class 1,000.00 1,018.45 1.28% 6.41 GS8 Class 1,000.00 1,016.46 1.68% 8.40 Small Cap Equity................... GS2 Class 1,000.00 1,019.34 1.10% 5.51 GS4 Class 1,000.00 1,018.70 1.23% 6.16 GS6 Class 1,000.00 1,017.21 1.53% 7.65 GS8 Class 1,000.00 1,015.22 1.93% 9.64 International Equity............... GS2 Class 1,000.00 1,020.03 0.96% 4.81 GS4 Class 1,000.00 1,019.14 1.14% 5.71 GS6 Class 1,000.00 1,017.90 1.39% 6.95 GS8 Class 1,000.00 1,015.92 1.79% 8.95
7 ABOUT YOUR EXPENSES (UNAUDITED) CONTINUED Because the expense caps for each Class of the Small Cap Equity Fund and the GS6 Class of each of the Select Funds were changed during the six-month period ended June 30, 2005 (see Note 3c in the Notes to Financial Statements), the following table reflects the expenses that would have been incurred assuming the new expense cap was in effect for the entire period.
ACTUAL --------------------------------------------------------------------------------------------------------- BEGINNING ENDING ANNUALIZED EXPENSES ACCOUNT VALUE ACCOUNT VALUE EXPENSE PAID DURING FUND CLASS 1/1/2005 6/30/2005 RATIO(1) PERIOD(2) ---- ----- ------------- ------------- ---------- ----------- Money Market....................... GS6 Class $1,000.00 $1,009.00 0.87% $4.33 Low-Duration Bond.................. GS6 Class 1,000.00 1,004.80 1.00% 4.97 Medium-Duration Bond............... GS6 Class 1,000.00 1,022.60 1.05% 5.27 Extended-Duration Bond............. GS6 Class 1,000.00 1,059.60 1.20% 6.13 Equity Index....................... GS6 Class 1,000.00 991.10 0.60% 2.96 Value Equity....................... GS6 Class 1,000.00 1,016.00 1.30% 6.50 Growth Equity...................... GS6 Class 1,000.00 985.30 1.39% 6.84 Small Cap Equity................... GS4 Class 1,000.00 1,001.47 1.21% 6.00 GS6 Class 1,000.00 999.37 1.61% 7.98 GS8 Class 1,000.00 997.87 1.91% 9.46 International Equity............... GS6 Class 1,000.00 996.00 1.50% 7.42
HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE EXPENSES) --------------------------------------------------------------------------------------------------------- BEGINNING ENDING ANNUALIZED EXPENSES ACCOUNT VALUE ACCOUNT VALUE EXPENSE PAID DURING FUND CLASS 1/1/2005 6/30/2005 RATIO(1) PERIOD(2) ---- ----- ------------- ------------- ---------- ----------- Money Market....................... GS6 Class $1,000.00 $1,020.48 0.87% $4.36 Low-Duration Bond.................. GS6 Class 1,000.00 1,019.84 1.00% 5.01 Medium-Duration Bond............... GS6 Class 1,000.00 1,019.59 1.05% 5.26 Extended-Duration Bond............. GS6 Class 1,000.00 1,018.84 1.20% 6.01 Equity Index....................... GS6 Class 1,000.00 1,021.82 0.60% 3.01 Value Equity....................... GS6 Class 1,000.00 1,018.35 1.30% 6.51 Growth Equity...................... GS6 Class 1,000.00 1,017.90 1.39% 6.95 Small Cap Equity(3)................ GS4 Class 1,000.00 1,018.79 1.21% 6.06 GS6 Class 1,000.00 1,016.81 1.61% 8.05 GS8 Class 1,000.00 1,015.32 1.91% 9.54 International Equity............... GS6 Class 1,000.00 1,017.36 1.50% 7.50
(1) Expenses include the effect of contractual waivers by SBC Financial Services, Inc. The Blended Funds' proportionate share of the operating expenses of the Select Funds is not reflected in the tables above. (2) Expenses are equal to the Fund's annualized expense ratios for the period January 1, 2005 through June 30, 2005, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). (3) The GS2 Class was operating below both the old and new expense cap during the six-month period ended June 30, 2005. Therefore, the expense cap change had no impact to that Class' ongoing costs. 8 FLEXIBLE INCOME FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK** ---------- ---------- ----------- ---------- --------------------- One Year 3.80% 3.53% 3.95% N/A N/A Since Inception 3.63% 3.40% 3.71% 1.78%(1) 2.16%(1) Inception Date 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. [LINE GRAPH]
GS4 CLASS BENCHMARK INDEX** --------- ----------------- Aug 27 2001 10000 10000 9940 9926 Sep 2001 9789 9818 9947 9948 10068 10105 Dec 2001 10079 10142 10072 10107 10079 10109 Mar 2002 10133 10175 10133 10162 10156 10177 Jun 2002 10033 10075 9842 9956 9911 9990 Sep 2002 9719 9789 9880 9986 10018 10107 Dec 2002 9968 10050 9920 9981 9920 9968 Mar 2003 9944 9990 10153 10216 10362 10401 Jun 2003 10419 10456 10410 10476 10491 10544 Sep 2003 10563 10611 10692 10745 10724 10783 Dec 2003 10898 10973 10973 11044 11066 11128 Mar 2004 11082 11133 10957 10988 10982 11012 Jun 2004 11049 11067 10973 10998 11032 11069 Sep 2004 11099 11115 11166 11198 11297 11302 Dec 2004 11416 11425 11321 11352 11373 11414 Mar 2005 11321 11359 11312 11342 11433 11460 Jun 2005 11468 11504
The graph compares the results of a $10,000 investment in the GS4 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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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. --------------- (1) Non-annualized. 9 FLEXIBLE INCOME FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 SHARES VALUE ------------- ---------- ------------ AFFILIATED MUTUAL FUNDS -- 99.0% AB Funds Trust -- Equity Index Fund (GS4 Class)(inf) 211,855 $ 3,438,411 AB Funds Trust -- Growth Equity Fund (GS4 Class)(inf) 1,254,238 20,230,867 AB Funds Trust -- International Equity Fund (GS4 Class)(inf) 1,037,120 15,733,110 AB Funds Trust -- Low-Duration Bond Fund (GS4 Class)(inf) 15,186,795 194,542,837 AB Funds Trust -- Money Market Fund (GS4 Class)(inf) 2,361,438 2,361,438 AB Funds Trust -- Small Cap Equity Fund (GS4 Class)(inf) 304,086 5,017,418 AB Funds Trust -- Value Equity Fund (GS4 Class)(inf) 1,184,160 21,243,830 ------------ TOTAL AFFILIATED MUTUAL FUNDS (Cost $219,169,019) 262,567,911 ------------
PAR ---------- U.S. TREASURY OBLIGATIONS -- 1.0% U.S. Treasury Bill 2.81%, 07/14/05++++ $ 90,000 89,919 U.S. Treasury Note 3.13%, 05/15/07 2,550,000 2,526,693 ------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $2,623,359) 2,616,612 ------------ TOTAL INVESTMENTS -- 100.0% (Cost $221,792,378) 265,184,523 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.0% 25,973 ------------ NET ASSETS -- 100.0% $265,210,496 ============
--------------- ++++ All or a portion of the security was held as collateral for open futures contracts. PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Bond Funds 73.4 Domestic Equity Funds 18.8 Futures Contracts 0.3 International Equity Funds 5.9 Money Market Funds 0.9 U.S. Treasury Obligations 1.0 ------ 100.3 ======
--------------- + Based on net assets. See Notes to Financial Statements. 10 GROWTH & INCOME FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK** ---------- ---------- ----------- ---------- --------------------- One Year 8.92% 8.45% 8.65% N/A N/A Since Inception 5.65% 5.34% 5.62% 4.46%(1) 4.55%(1) Inception Date 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. [LINE GRAPH]
GS4 CLASS BENCHMARK INDEX** --------- ----------------- Aug 27 2001 10000 10000 9854 9843 Sep 2001 9410 9443 9643 9657 9920 9923 Dec 2001 9953 9960 9901 9899 9901 9881 Mar 2002 10049 10028 9953 9938 9960 9951 Jun 2002 9664 9673 9234 9324 9345 9419 Sep 2002 8916 8999 9160 9306 9442 9571 Dec 2002 9319 9430 9216 9305 9201 9288 Mar 2003 9216 9296 9642 9731 10044 10118 Jun 2003 10131 10195 10092 10145 10265 10301 Sep 2003 10375 10433 10651 10706 10738 10803 Dec 2003 11070 11148 11218 11302 11359 11457 Mar 2004 11384 11458 11136 11174 11185 11215 Jun 2004 11342 11360 11194 11214 11318 11350 Sep 2004 11474 11477 11615 11646 11913 11905 Dec 2004 12192 12183 12055 12074 12175 12213 Mar 2005 12029 12062 11995 12006 12260 12248 Jun 2005 12354 12342
The graph compares the results of a $10,000 investment in the GS4 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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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 U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. --------------- (1) Non-annualized. 11 GROWTH & INCOME FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 SHARES VALUE ------------- ----------- -------------- AFFILIATED MUTUAL FUNDS -- 98.9% AB Funds Trust -- Equity Index Fund (GS4 Class)(inf) 1,785,375 $ 28,976,633 AB Funds Trust -- Extended- Duration Bond Fund (GS4 Class)(inf) 7,799,386 121,436,448 AB Funds Trust -- Growth Equity Fund (GS4 Class)(inf) 10,935,597 176,391,176 AB Funds Trust -- International Equity Fund (GS4 Class)(inf) 10,332,486 156,743,816 AB Funds Trust -- Low- Duration Bond Fund (GS4 Class)(inf) 13,701,277 175,513,354 AB Funds Trust -- Medium- Duration Bond Fund (GS4 Class)(inf) 20,877,766 288,321,954 AB Funds Trust -- Money Market Fund (GS4 Class)(inf) 17,519,184 17,519,184 AB Funds Trust -- Small Cap Equity Fund (GS4 Class)(inf) 2,803,418 46,256,398 AB Funds Trust -- Value Equity Fund (GS4 Class)(inf) 9,979,006 179,023,369 -------------- TOTAL AFFILIATED MUTUAL FUNDS (Cost $987,963,221) 1,190,182,332 -------------- PAR ----------- U.S. TREASURY OBLIGATIONS -- 1.1% U.S. Treasury Bill 2.81%, 07/14/05++++ $ 805,000 804,275 U.S. Treasury Note 5.75%, 08/15/10 11,875,000 12,982,261 -------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $13,591,408) 13,786,536 -------------- TOTAL INVESTMENTS -- 100.0% (Cost $1,001,554,629) 1,203,968,868 LIABILITIES IN EXCESS OF OTHER ASSETS -- 0.0% (356,792) -------------- NET ASSETS -- 100.0% $1,203,612,076 ==============
--------------- ++++ All or a portion of the security was held as collateral for open futures contracts. PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Bond Funds 48.6 Domestic Equity Funds 35.8 Futures Contracts 1.0 International Equity Funds 13.0 Money Market Funds 1.5 U.S. Treasury Obligations 1.1 ------ 101.0 ======
--------------- + Based on net assets. See Notes to Financial Statements. 12 CAPITAL OPPORTUNITIES FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK** ---------- ---------- ----------- ---------- --------------------- One Year 9.60% 9.09% 9.42% N/A N/A Since Inception 5.17% 4.79% 5.15% 4.93%(1) 5.21%(1) Inception Date 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. [LINE GRAPH]
GS4 CLASS BENCHMARK INDEX** --------- ----------------- Aug 27 2001 10000 10000 9759 9736 Sep 2001 9081 9087 9314 9301 9759 9751 Dec 2001 9832 9836 9714 9707 9663 9632 Mar 2002 9972 9927 9751 9695 9722 9671 Jun 2002 9288 9222 8655 8668 8722 8728 Sep 2002 8067 8073 8435 8506 8802 8871 Dec 2002 8530 8582 8362 8409 8278 8328 Mar 2003 8300 8343 8820 8893 9293 9341 Jun 2003 9415 9455 9515 9545 9721 9733 Sep 2003 9736 9790 10164 10219 10255 10346 Dec 2003 10682 10787 10846 10968 11003 11133 Mar 2004 11003 11092 10783 10824 10870 10906 Jun 2004 11074 11087 10807 10818 10878 10910 Sep 2004 11082 11078 11238 11276 11693 11695 Dec 2004 12049 12051 11808 11850 12009 12089 Mar 2005 11824 11896 11704 11734 12041 12026 Jun 2005 12137 12132
The graph compares the results of a $10,000 investment in the GS4 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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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 U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. --------------- (1) Non-annualized. 13 CAPITAL OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 SHARES VALUE ------------- ---------- ------------ AFFILIATED MUTUAL FUNDS -- 99.5% AB Funds Trust -- Equity Index Fund (GS4 Class)(inf) 2,202,521 $ 35,746,910 AB Funds Trust -- Extended-Duration Bond Fund (GS4 Class)(inf) 3,314,507 51,606,881 AB Funds Trust -- Growth Equity Fund (GS4 Class)(inf) 14,072,271 226,985,726 AB Funds Trust -- International Equity Fund (GS4 Class)(inf) 12,553,460 190,435,985 AB Funds Trust -- Low-Duration Bond Fund (GS4 Class)(inf) 5,752,426 73,688,573 AB Funds Trust -- Medium-Duration Bond Fund (GS4 Class)(inf) 8,394,146 115,923,151 AB Funds Trust -- Money Market Fund (GS4 Class)(inf) 15,474,305 15,474,305 AB Funds Trust -- Small Cap Equity Fund (GS4 Class)(inf) 3,492,818 57,631,490 AB Funds Trust -- Value Equity Fund (GS4 Class)(inf) 12,391,229 222,298,650 ------------ TOTAL AFFILIATED MUTUAL FUNDS (Cost $810,121,364) 989,791,671 ------------ PAR ---------- U.S. TREASURY OBLIGATIONS -- 0.5% U.S. Treasury Bill 2.81%, 07/14/05++++ $ 910,000 909,181 U.S. Treasury Note 5.75%, 08/15/10 3,550,000 3,881,012 ------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $4,731,021) 4,790,193 ------------ TOTAL INVESTMENTS -- 100.0% (Cost $814,852,385) 994,581,864 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.0% 23,921 ------------ NET ASSETS -- 100.0% $994,605,785 ============
--------------- ++++ All or a portion of the security was held as collateral for open futures contracts. PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Bond Funds 24.2 Domestic Equity Funds 54.6 Futures Contracts 1.1 International Equity Funds 19.1 Money Market Funds 1.6 U.S. Treasury Obligations 0.5 ------ 101.1 ======
--------------- + Based on net assets. See Notes to Financial Statements. 14 GLOBAL EQUITY FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK** ---------- ---------- ----------- ---------- --------------------- One Year 10.29% 9.80% 10.13% N/A N/A Since Inception 4.48% 4.23% 4.50% 5.66%(1) 6.14%(1) Inception Date 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. [LINE GRAPH]
GS4 CLASS BENCHMARK INDEX** --------- ----------------- Aug 27 2001 10000 10000 9654 9629 Sep 2001 8747 8736 8968 8950 9587 9569 Dec 2001 9704 9701 9527 9505 9424 9376 Mar 2002 9896 9811 9542 9440 9475 9381 Jun 2002 8899 8773 8080 8036 8109 8064 Sep 2002 7252 7214 7732 7742 8161 8186 Dec 2002 7760 7772 7543 7561 7394 7429 Mar 2003 7424 7451 8021 8085 8536 8578 Jun 2003 8685 8723 8909 8930 9140 9145 Sep 2003 9073 9134 9632 9696 9729 9849 Dec 2003 10241 10375 10422 10578 10587 10752 Mar 2004 10557 10672 10362 10421 10489 10541 Jun 2004 10730 10754 10362 10370 10392 10422 Sep 2004 10632 10626 10805 10849 11407 11415 Dec 2004 11826 11842 11492 11554 11765 11887 Mar 2005 11545 11654 11339 11389 11735 11728 Jun 2005 11834 11844
The graph compares the results of a $10,000 investment in the GS4 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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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. --------------- (1) Non-annualized. 15 GLOBAL EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 SHARES VALUE ------------- ----------- ------------ AFFILIATED MUTUAL FUNDS -- 99.7% AB Funds Trust -- Equity Index Fund (GS4 Class)(inf) 2,811,405 $ 45,629,110 AB Funds Trust -- Growth Equity Fund (GS4 Class)(inf) 16,794,945 270,902,459 AB Funds Trust -- International Equity Fund (GS4 Class)(inf) 14,490,841 219,826,063 AB Funds Trust -- Money Market Fund (GS4 Class)(inf) 12,653,344 12,653,344 AB Funds Trust -- Small Cap Equity Fund (GS4 Class)(inf) 4,115,739 67,909,687 AB Funds Trust -- Value Equity Fund (GS4 Class)(inf) 14,881,356 266,971,526 ------------ TOTAL AFFILIATED MUTUAL FUNDS (Cost $704,697,763) 883,892,189 ------------
PAR ----------- U.S. TREASURY OBLIGATION -- 0.2% U.S. Treasury Bill 2.81%, 07/14/05++++ (Cost $1,293,688) $ 1,295,000 1,293,834 ------------ TOTAL INVESTMENTS -- 99.9% (Cost $705,991,451) 885,186,023 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.1% 1,157,977 ------------ NET ASSETS -- 100.0% $886,344,000 ============
--------------- ++++ All or a portion of the security was held as collateral for open futures contracts. PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Domestic Equity Funds 73.5 Futures Contracts 1.0 International Equity Funds 24.8 Money Market Funds 1.4 U.S. Treasury Obligations 0.2 ------ 100.9 ======
--------------- + Based on net assets. See Notes to Financial Statements. 16 (This page intentionally left blank) 17 STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
FLEXIBLE GROWTH & CAPITAL GLOBAL JUNE 30, 2005 INCOME FUND INCOME FUND OPPORTUNITIES FUND EQUITY FUND ------------- ------------ -------------- ------------------ ------------ ASSETS Investments in securities of affiliated issuers at value $262,567,911 $1,190,182,332 $989,791,671 $883,892,189 Investments in securities of unaffiliated issuers at value 2,616,612 13,786,536 4,790,193 1,293,834 ------------ -------------- ------------ ------------ Total investments (1) 265,184,523 1,203,968,868 994,581,864 885,186,023 Receivables: Dividends 4,783 36,862 32,943 30,777 Interest 10,235 256,506 76,686 -- Investment securities sold -- 35,000,000 2,500,000 2,500,000 Fund shares sold 42,124 1,519,442 161,300 1,402,579 Prepaid expenses and other assets 27,367 26,080 28,912 27,660 ------------ -------------- ------------ ------------ Total Assets 265,269,032 1,240,807,758 997,381,705 889,147,039 ------------ -------------- ------------ ------------ LIABILITIES Payables: Investment securities purchased -- 2,000,000 2,500,000 2,500,000 Fund shares redeemed -- 34,951,849 72,318 122,802 Variation margin 5,550 77,700 70,300 57,350 Accrued expenses: Advisory fee payable 12,335 101,227 79,259 69,723 Distribution fee payable 2,229 2,379 1,880 2,396 Shareholder servicing fee payable 1,950 2,102 1,549 2,113 Other accrued expenses payable 36,472 60,425 50,614 48,655 ------------ -------------- ------------ ------------ Total Liabilities 58,536 37,195,682 2,775,920 2,803,039 ------------ -------------- ------------ ------------ NET ASSETS $265,210,496 $1,203,612,076 $994,605,785 $886,344,000 ============ ============== ============ ============ NET ASSETS CONSIST OF: Paid-in-capital $212,321,710 $ 944,395,569 $780,706,312 $676,214,722 Undistributed net investment income 2,195,762 8,555,588 4,202,499 1,595,030 Accumulated net realized gain on investments 7,309,972 48,373,832 30,056,311 29,404,800 Net unrealized appreciation (depreciation) on investments and futures transactions 43,383,052 202,287,087 179,640,663 179,129,448 ------------ -------------- ------------ ------------ NET ASSETS $265,210,496 $1,203,612,076 $994,605,785 $886,344,000 ============ ============== ============ ============ NET ASSET VALUE: $0.001 par value, unlimited shares authorized Net assets applicable to the GS4 Class $248,276,443 $1,185,123,486 $982,283,491 $867,877,754 ------------ -------------- ------------ ------------ GS4 shares outstanding 18,749,769 81,957,853 64,891,187 55,773,063 ------------ -------------- ------------ ------------ Net asset value, offering price and redemption price per GS4 share $ 13.24 $ 14.46 $ 15.14 $ 15.56 ============ ============== ============ ============ Net assets applicable to the GS6 Class $ 11,847,825 $ 13,260,320 $ 7,070,952 $ 13,184,743 ------------ -------------- ------------ ------------ GS6 shares outstanding 1,254,384 1,350,472 666,407 1,163,212 ------------ -------------- ------------ ------------ Net asset value, offering and redemption price per GS6 share $ 9.45 $ 9.82 $ 10.61 $ 11.33 ============ ============== ============ ============ Net assets applicable to the GS8 Class $ 5,086,228 $ 5,228,270 $ 5,251,342 $ 5,281,503 ------------ -------------- ------------ ------------ GS8 shares outstanding 539,068 533,073 495,830 466,683 ------------ -------------- ------------ ------------ Net asset value, offering and redemption price per GS8 share $ 9.44 $ 9.81 $ 10.59 $ 11.32 ============ ============== ============ ============ --------------- (1) Investments in securities of affiliated issuers at cost $219,169,019 $ 987,963,221 $810,121,364 $704,697,763 Investments in securities of unaffiliated issuers at cost 2,623,359 13,591,408 4,731,021 1,293,688 ------------ -------------- ------------ ------------ Total investments at cost $221,792,378 $1,001,554,629 $814,852,385 $705,991,451 ============ ============== ============ ============
See Notes to Financial Statements. 18 STATEMENTS OF OPERATIONS (UNAUDITED)
FLEXIBLE GROWTH & CAPITAL GLOBAL FOR THE SIX MONTHS ENDED JUNE 30, 2005 INCOME FUND INCOME FUND OPPORTUNITIES FUND EQUITY FUND -------------------------------------- ----------- ------------ ------------------ ------------ INVESTMENT INCOME Income distributions received from affiliated funds $ 2,359,178 $ 9,191,421 $ 4,896,203 $ 2,182,713 Interest 42,366 192,346 77,291 16,302 ----------- ------------ ------------ ------------ Total Investment Income 2,401,544 9,383,767 4,973,494 2,199,015 ----------- ------------ ------------ ------------ EXPENSES Investment advisory fees 131,762 606,034 488,802 436,631 Transfer agent fees GS4 shares 17,077 23,182 20,539 20,161 GS6 shares 5,977 11,891 8,374 7,820 GS8 shares 5,282 5,037 5,189 5,233 Custodian fees 5,733 13,746 12,029 10,425 Distribution fees: GS6 shares 5,828 6,463 3,447 6,426 GS8 shares 7,520 7,653 7,689 7,738 Shareholder servicing fees: GS6 shares 6,411 7,109 3,792 7,069 GS8 shares 5,258 5,349 5,377 5,410 Accounting and administration fees 40,316 99,869 88,125 82,810 Professional fees 20,099 20,099 20,099 20,099 Blue sky fees GS4 shares 4,221 5,654 4,246 4,371 GS6 shares 8,024 8,641 7,947 8,087 GS8 shares 5,908 6,566 5,959 6,113 Shareholder reporting fees GS4 shares 7,355 17,955 12,798 11,203 GS6 shares 14 14 14 19 GS8 shares 14 14 14 14 Trustee fees 703 3,086 2,482 2,226 Line of credit facility fees 703 3,086 2,482 2,695 Other expenses 7,261 8,263 7,961 7,858 ----------- ------------ ------------ ------------ Total Expenses 285,466 859,711 707,365 652,408 Expenses waived (See Footnote 3c) (77,440) (31,029) (36,674) (43,700) Fees paid indirectly (376) (352) (302) (195) ----------- ------------ ------------ ------------ Net expenses 207,650 828,330 670,389 608,513 ----------- ------------ ------------ ------------ NET INVESTMENT INCOME 2,193,894 8,555,437 4,303,105 1,590,502 ----------- ------------ ------------ ------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain on investment securities of affiliated issuers 6,054,314 30,089,143 23,085,408 25,435,213 Net realized gain (loss) on investment securities of unaffiliated issuers (17,655) 8,232,480 266,928 310,122 Net realized gain on futures transactions 24,143 86,572 43,168 42,633 ----------- ------------ ------------ ------------ Net realized gain 6,060,802 38,408,195 23,395,504 25,787,968 ----------- ------------ ------------ ------------ Change in net unrealized appreciation (depreciation) on investment securities of affiliated issuers (7,109,422) (31,250,578) (21,118,558) (26,822,834) Change in net unrealized appreciation (depreciation) on investment securities of unaffiliated issuers (6,878) 256,524 55,878 22 Change in net unrealized appreciation (depreciation) on futures transactions (28,950) (363,493) (388,434) (348,405) ----------- ------------ ------------ ------------ Net change in unrealized appreciation (depreciation) (7,145,250) (31,357,547) (21,451,114) (27,171,217) ----------- ------------ ------------ ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) (1,084,448) 7,050,648 1,944,390 (1,383,249) ----------- ------------ ------------ ------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,109,446 $ 15,606,085 $ 6,247,495 $ 207,253 =========== ============ ============ ============
See Notes to Financial Statements. 19 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 06/30/05 ENDED 12/31/04 06/30/05 ENDED 12/31/04 ------------ -------------- -------------- -------------- (UNAUDITED) (UNAUDITED) INCREASE/(DECREASE) IN NET ASSETS OPERATIONS: Net investment income $ 2,193,894 $ 4,442,425 $ 8,555,437 $ 22,567,484 Net realized gain on investment securities and futures transactions 6,060,802 2,765,368 38,408,195 20,647,833 Net change in unrealized appreciation (depreciation) on investment securities and futures transactions (7,145,250) 5,788,623 (31,357,547) 74,730,812 ------------ ------------ -------------- -------------- Net increase in net assets resulting from operations 1,109,446 12,996,416 15,606,085 117,946,129 ------------ ------------ -------------- -------------- DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME GS4 shares (1) (6,071,685) (19) (25,716,823) GS6 shares -- (501,693) -- (502,343) GS8 shares -- (67,733) -- (83,573) DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS GS4 shares -- (2,610,188) -- (17,361,990) GS6 shares -- (158,099) -- (257,791) GS8 shares -- (67,996) -- (101,694) ------------ ------------ -------------- -------------- Total dividends and distributions (1) (9,477,394) (19) (44,024,214) ------------ ------------ -------------- -------------- NET INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (23,706,548) 10,786,400 (114,267,980) 85,621,629 ------------ ------------ -------------- -------------- Total increase (decrease) in net assets (22,597,103) 14,305,422 (98,661,914) 159,543,544 ------------ ------------ -------------- -------------- NET ASSETS: Beginning of the Period 287,807,599 273,502,177 1,302,273,990 1,142,730,446 ------------ ------------ -------------- -------------- End of the Period $265,210,496 $287,807,599 $1,203,612,076 $1,302,273,990 ============ ============ ============== ==============
See Notes to Financial Statements. 20
CAPITAL OPPORTUNITIES FUND GLOBAL EQUITY FUND ------------------------------- ------------------------------- FOR THE SIX FOR THE SIX MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR 06/30/05 ENDED 12/31/04 06/30/05 ENDED 12/31/04 -------------- -------------- -------------- -------------- (UNAUDITED) (UNAUDITED) $ 4,303,105 $ 12,600,561 $ 1,590,502 $ 6,566,473 23,395,504 12,650,343 25,787,968 8,717,411 (21,451,114) 93,256,334 (27,171,217) 111,931,107 -------------- -------------- ------------ ------------ 6,247,495 118,507,238 207,253 127,214,991 -------------- -------------- ------------ ------------ (16) (13,922,864) -- (6,887,129) -- (156,894) -- (123,145) -- (50,485) -- (19,437) -- (8,449,675) -- (4,836,704) -- (80,682) -- (93,170) -- (59,990) -- (37,396) -------------- -------------- ------------ ------------ (16) (22,720,590) -- (11,996,981) -------------- -------------- ------------ ------------ (67,543,175) 46,508,323 (69,095,033) 20,633,510 -------------- -------------- ------------ ------------ (61,295,696) 142,294,971 (68,887,780) 135,851,520 -------------- -------------- ------------ ------------ 1,055,901,481 913,606,510 955,231,780 819,380,260 -------------- -------------- ------------ ------------ $ 994,605,785 $1,055,901,481 $886,344,000 $955,231,780 ============== ============== ============ ============
See Notes to Financial Statements. 21 FINANCIAL HIGHLIGHTS (UNAUDITED)
CAPITAL GAIN REALIZED DISTRIBUTIONS AND DISTRIBUTIONS NET ASSET RECEIVED UNREALIZED DIVIDENDS FROM NET NET ASSET VALUE, FROM GAIN FROM NET REALIZED VALUE, BEGINNING NET INVESTMENT AFFILIATED (LOSS) ON INVESTMENT CAPITAL END OF OF PERIOD INCOME(1) FUNDS INVESTMENTS INCOME (5) GAINS PERIOD FLEXIBLE INCOME FUND ------------------------------------------------------------------------------------------------------------------------ GS4 CLASS 2005 (8) $13.18 $0.12 $ -- $(0.06) $ -- $ -- $13.24 2004 13.00 0.21# 0.04 0.37 (0.31) (0.13) 13.18 2003 12.40 0.31 0.02 0.82 (0.22) (0.33) 13.00 2002 13.15 0.38 0.10 (0.62) (0.44) (0.17) 12.40 2001 (6) 13.29 0.17 0.06 (0.12) (0.22) (0.03) 13.15 GS6 CLASS 2005 (8) $ 9.42 $0.07 $ -- $(0.04) $ -- $ -- $ 9.45 2004 9.41 0.11# 0.04 0.27 (0.28) (0.13) 9.42 2003 9.12 0.21 0.02 0.59 (0.20) (0.33) 9.41 2002 9.83 0.23 0.10 (0.45) (0.42) (0.17) 9.12 2001 (6) 10.00 0.10 0.06 (0.08) (0.22) (0.03) 9.83 GS8 CLASS 2005 (8) $ 9.42 $0.04 $ -- $(0.02) $ -- $ -- $ 9.44 2004 (7) 9.53 0.06# 0.04 0.05 (0.13) (0.13) 9.42 GROWTH & INCOME FUND ------------------------------------------------------------------------------------------------------------------------ GS4 CLASS 2005 (8) $14.27 $0.10 $ -- $ 0.09 $ -- $ -- $14.46 2004 13.41 0.26# 0.11 0.99 (0.30) (0.20) 14.27 2003 11.82 0.29 0.15 1.78 (0.36) (0.27) 13.41 2002 13.44 0.36 0.12 (1.33) (0.42) (0.35) 11.82 2001 (6) 13.74 0.14 0.06 (0.27) (0.19) (0.04) 13.44 GS6 CLASS 2005 (8) $ 9.71 $0.05 $ -- $ 0.06 $ -- $ -- $ 9.82 2004 9.28 0.12# 0.11 0.66 (0.26) (0.20) 9.71 2003 8.34 0.16 0.15 1.23 (0.33) (0.27) 9.28 2002 9.72 0.21 0.12 (0.96) (0.40) (0.35) 8.34 2001 (6) 10.00 0.07 0.06 (0.18) (0.19) (0.04) 9.72 GS8 CLASS 2005 (8) $ 9.72 $0.03 $ -- $ 0.06 $ -- $ -- $ 9.81 2004 (7) 9.74 0.07# 0.11 0.16 (0.16) (0.20) 9.72 RATIOS TO AVERAGE NET ASSETS ------------------------------------------------------------- INVESTMENT EXPENSES, INCOME/ BEFORE (LOSS), EXPENSES, WAIVERS EXCLUDING INCLUDING AND INVESTMENT WAIVERS AND EXPENSE EXPENSE INCOME, EXPENSE PORTFOLIO TOTAL NET ASSETS, END EXPENSES, REDUCTION REDUCTION NET REDUCTION TURNOVER RETURN (2) OF PERIOD (000) NET (3)(4) (3)(4) (3)(4) (1)(3) (1)(3) RATE (2) FLEXIBLE INCOME FUND ------------------------------------------------------------------------------------------------------------------------ GS4 CLASS 2005 (8) 0.46% $ 248,276 0.13% 0.13% 0.18% 1.71% 1.66% 3.19% 2004 4.76 270,913 0.13 0.13 0.17 1.60 1.56 10.98 2003 9.33 253,828 0.13 0.13 0.20 2.01 1.94 13.44 2002 (1.10) 263,646 0.13 0.13 0.17 2.86 2.82 13.56 2001 (6) 0.79 286,628 0.13 0.13 0.18 3.67 3.62 4.02 GS6 CLASS 2005 (8) 0.32% $ 11,848 0.50% 0.50% 0.61% 1.34% 1.23% 3.19% 2004 4.52 11,815 0.36 0.36 0.45 1.14 1.05 10.98 2003 9.06 19,674 0.35 0.35 0.46 1.90 1.79 13.44 2002 (1.27) 16,234 0.32 0.32 0.43 2.82 2.71 13.56 2001 (6) 0.72 325 0.48 0.48 66.47 6.69 (59.30) 4.02 GS8 CLASS 2005 (8) 0.21% $ 5,086 0.80% 0.80% 1.12% 1.04% 0.72% 3.19% 2004 (7) 1.56 5,080 0.45 0.45 1.03 4.43 3.85 10.98 GROWTH & INCOME FUND ------------------------------------------------------------------------------------------------------------------------ GS4 CLASS 2005 (8) 1.33% $1,185,123 0.13% 0.13% 0.13% 1.44% 1.44% 4.03% 2004 10.13 1,283,982 0.13 0.13 0.13 1.90 1.90 6.12 2003 18.79 1,120,080 0.13 0.13 0.13 2.22 2.22 10.38 2002 (6.37) 1,019,700 0.13 0.13 0.13 2.68 2.68 12.04 2001 (6) (0.47) 1,156,044 0.13 0.13 0.17 2.87 2.83 4.27 GS6 CLASS 2005 (8) 1.13% $ 13,260 0.60% 0.60% 0.65% 0.96% 0.91% 4.03% 2004 9.66 13,118 0.46 0.46 0.52 1.28 1.22 6.12 2003 18.52 22,650 0.45 0.45 0.54 2.00 1.91 10.38 2002 (6.59) 17,009 0.37 0.37 0.45 2.64 2.56 12.04 2001 (6) (0.52) 1,334 0.48 0.48 6.53 4.44 (1.61) 4.27 GS8 CLASS 2005 (8) 0.93% $ 5,228 0.90% 0.90% 1.09% 0.66% 0.47% 4.03% 2004 (7) 3.50 5,174 0.61 0.61 1.13 4.84 4.32 6.12
--------------- # Calculated using the average shares outstanding method. (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. (5) Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. (6) Inception date was August 27, 2001. (7) Inception date was November 8, 2004. (8) For the six months ended June 30, 2005. See Notes to Financial Statements. 22
CAPITAL GAIN REALIZED DISTRIBUTIONS AND DISTRIBUTIONS NET ASSET RECEIVED UNREALIZED DIVIDENDS FROM NET NET ASSET VALUE, NET INVESTMENT FROM GAIN FROM NET REALIZED VALUE, BEGINNING INCOME/ AFFILIATED (LOSS) ON INVESTMENT CAPITAL END OF OF PERIOD (LOSS) (1) FUNDS INVESTMENTS INCOME (5) GAINS PERIOD CAPITAL OPPORTUNITIES FUND ------------------------------------------------------------------------------------------------------------------------ GS4 CLASS 2005 (8) $15.03 $ 0.07 $ -- $ 0.04 $ -- $ -- $15.14 2004 13.62 0.19# 0.08 1.47 (0.21) (0.12) 15.03 2003 11.17 0.19 0.07 2.56 (0.23) (0.14) 13.62 2002 13.37 0.22 0.06 (2.05) (0.24) (0.19) 11.17 2001 (6) 13.71 0.08 0.03 (0.34) (0.11) --+ 13.37 GS6 CLASS 2005 (8) $10.57 $ 0.02 $ -- $ 0.02 $ -- $ -- $10.61 2004 9.67 0.07# 0.08 1.03 (0.16) (0.12) 10.57 2003 8.01 0.11 0.07 1.82 (0.20) (0.14) 9.67 2002 9.73 0.12 0.06 (1.50) (0.21) (0.19) 8.01 2001 (6) 10.00 0.03 0.03 (0.22) (0.11) --+ 9.73 GS8 CLASS 2005 (8) $10.56 $ --+ $ -- $ 0.03 $ -- $ -- $10.59 2004 (7) 10.31 0.04# 0.08 0.35 (0.10) (0.12) 10.56 GLOBAL EQUITY FUND ------------------------------------------------------------------------------------------------------------------------ GS4 CLASS 2005 (8) $15.55 $ 0.03 $ -- $(0.02) $ -- $ -- $15.56 2004 13.64 0.11# 0.04 1.96 (0.12) (0.08) 15.55 2003 10.40 0.10 -- 3.23 (0.09) -- 13.64 2002 13.14 0.08 --+ (2.71) (0.08) (0.03) 10.40 2001 (6) 13.57 0.03 -- (0.43) (0.03) --+ 13.14 GS6 CLASS 2005 (8) $11.35 $ --+ $ -- $(0.02) $ -- $ -- $11.33 2004 10.00 0.04# 0.04 1.43 (0.08) (0.08) 11.35 2003 7.65 0.05 -- 2.36 (0.06) -- 10.00 2002 9.70 0.04 --+ (2.00) (0.06) (0.03) 7.65 2001 (6) 10.00 0.02 -- (0.29) (0.03) --+ 9.70 GS8 CLASS 2005 (8) $11.35 $(0.02) $ -- $(0.01) $ -- $ -- $11.32 2004 (7) 10.83 0.03# 0.04 0.57 (0.04) (0.08) 11.35 RATIOS TO AVERAGE NET ASSETS ------------------------------------------------------------- INVESTMENT EXPENSES, INCOME/ BEFORE (LOSS), EXPENSES, WAIVERS INVESTMENT EXCLUDING INCLUDING AND INCOME/ WAIVERS AND EXPENSE EXPENSE (LOSS), EXPENSE PORTFOLIO TOTAL NET ASSETS, END EXPENSES, REDUCTION REDUCTION NET REDUCTION TURNOVER RETURN (2) OF PERIOD (000) NET (3)(4) (3)(4) (3)(4) (1)(3) (1)(3) RATE (2) CAPITAL OPPORTUNITIES ------------------------------------------------------------------------------------------------------------------------ GS4 CLASS 2005 (8) 0.73% $ 982,283 0.13% 0.13% 0.14% 0.90% 0.89% 3.43% 2004 12.80 1,043,625 0.13 0.13 0.13 1.33 1.33 3.47 2003 25.23 900,021 0.13 0.13 0.14 1.54 1.53 7.75 2002 (13.25) 745,968 0.13 0.13 0.14 1.72 1.71 10.33 2001 (6) (1.68) 883,648 0.13 0.13 0.17 1.76 1.72 3.42 GS6 CLASS 2005 (8) 0.38% $ 7,071 0.70% 0.70% 0.81% 0.33% 0.22% 3.43% 2004 12.28 7,042 0.56 0.56 0.61 0.66 0.61 3.47 2003 24.93 13,585 0.52 0.52 0.62 1.20 1.10 7.75 2002 (13.56) 9,859 0.42 0.42 0.55 1.54 1.41 10.33 2001 (6) (1.64) 331 0.48 0.48 43.03 3.87 (38.68) 3.42 GS8 CLASS 2005 (8) 0.19% $ 5,251 1.00% 1.00% 1.07% 0.03% (0.04)% 3.43% 2004 (7) 4.63 5,234 1.00 1.00 1.06 2.93 2.87 3.47 GLOBAL EQUITY FUND ------------------------------------------------------------------------------------------------------------------------ GS4 CLASS 2005 (8) 0.07% $ 867,878 0.13% 0.13% 0.14% 0.38% 0.37% 3.06% 2004 15.47 936,734 0.13 0.13 0.13 0.77 0.77 2.37 2003 31.99 801,407 0.13 0.13 0.14 0.82 0.81 4.17 2002 (20.04) 616,043 0.13 0.13 0.14 0.68 0.67 6.33 2001 (6) (2.96) 810,507 0.13 0.13 0.17 0.61 0.57 2.70 GS6 CLASS 2005 (8) (0.18)% $ 13,185 0.57% 0.57% 0.59% (0.06)% (0.08)% 3.06% 2004 15.17 13,202 0.44 0.44 0.50 0.37 0.31 2.37 2003 31.53 17,973 0.43 0.43 0.48 0.53 0.48 4.17 2002 (20.25) 12,805 0.35 0.35 0.44 0.53 0.44 6.33 2001 (6) (2.75) 207 0.48 0.48 66.34 1.57 (64.29) 2.70 GS8 CLASS 2005 (8) (0.26)% $ 5,282 0.87% 0.87% 1.08% (0.36)% (0.57)% 3.06% 2004 (7) 5.94 5,296 0.87 0.87 1.04 1.64 1.47 2.37
--------------- + Amount represents less than $0.005 per share. # Calculated using the average shares outstanding method. (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. (5) Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. (6) Inception date was August 27, 2001. (7) Inception date was November 8, 2004. (8) For the six months ended June 30, 2005. See Notes to Financial Statements. 23 FLEXIBLE INCOME FUND I AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS2 CLASS* BENCHMARK** ---------- ----------- One Year 3.87% 3.95% Since Inception 4.89% 4.89% Inception Date 07/01/03 07/01/03
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. [LINE GRAPH]
GS2 CLASS BENCHMARK INDEX** --------- ----------------- Jul 1 2003 10000 10000 9970 10019 10050 10084 Sep 2003 10120 10148 10230 10276 10270 10312 Dec 2003 10440 10494 10511 10562 10592 10643 Mar 2004 10613 10647 10511 10508 10532 10531 Jun 2004 10592 10584 10521 10518 10572 10586 Sep 2004 10633 10630 10704 10710 10831 10809 Dec 2004 10939 10927 10864 10857 10907 10916 Mar 2005 10854 10863 10854 10847 10960 10960 Jun 2005 11002 11002
The graph compares the results of a $10,000 investment in the GS2 Class of the Fund since July 1, 2003 (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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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. 24 FLEXIBLE INCOME FUND I SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 SHARES VALUE ------------- --------- ----------- AFFILIATED MUTUAL FUNDS -- 99.0% AB Funds Trust -- Equity Index Fund (GS2 Class)(inf) 69,891 $ 670,250 AB Funds Trust -- Growth Equity Fund (GS2 Class)(inf) 388,052 3,950,372 AB Funds Trust -- International Equity Fund (GS2 Class)(inf) 237,723 3,071,376 AB Funds Trust -- Low-Duration Bond Fund (GS2 Class)(inf) 4,113,824 38,011,736 AB Funds Trust -- Money Market Fund (GS2 Class)(inf) 549,283 549,283 AB Funds Trust -- Small Cap Equity Fund (GS2 Class)(inf) 78,131 978,983 AB Funds Trust -- Value Equity Fund (GS2 Class)(inf) 359,896 4,149,604 ----------- TOTAL AFFILIATED MUTUAL FUNDS (Cost $51,272,082) 51,381,604 -----------
PAR --------- U.S. TREASURY OBLIGATIONS -- 1.0% U.S. Treasury Bill 2.81%, 07/14/05++++ $ 20,000 19,982 U.S. Treasury Note 3.13%, 05/15/07 530,000 525,156 ----------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $546,540) 545,138 ----------- TOTAL INVESTMENTS -- 100.0% (Cost $51,818,622) 51,926,742 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.0% 351 ----------- NET ASSETS -- 100.0% $51,927,093 ===========
--------------- ++++ All or a portion of the security was held as collateral for open futures contracts. PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Bond Funds 73.2 Domestic Equity Funds 18.8 Futures Contracts 0.3 International Equity Funds 5.9 Money Market Funds 1.1 U.S. Treasury Obligations 1.0 ------ 100.3 ======
--------------- + Based on net assets. See Notes to Financial Statements. 25 GROWTH & INCOME FUND I AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS2 CLASS* BENCHMARK** ---------- ----------- One Year 9.06% 8.65% Since Inception 10.37% 10.03% Inception Date 07/01/03 07/01/03
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. [LINE GRAPH]
GS2 CLASS BENCHMARK INDEX** --------- ----------------- Jul 1 2003 10000 10000 9930 9951 10100 10104 Sep 2003 10200 10234 10480 10501 10570 10597 Dec 2003 10893 10935 11037 11086 11181 11238 Mar 2004 11211 11239 10965 10961 11017 11001 Jun 2004 11170 11143 11027 11000 11140 11133 Sep 2004 11304 11258 11447 11424 11737 11678 Dec 2004 12011 11951 11872 11843 11990 11980 Mar 2005 11851 11832 11818 11777 12086 12014 Jun 2005 12182 12107
The graph compares the results of a $10,000 investment in the GS2 Class of the Fund since July 1, 2003 (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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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 U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. 26 GROWTH & INCOME FUND I SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 SHARES VALUE ------------- ---------- ------------ AFFILIATED MUTUAL FUNDS -- 98.8% AB Funds Trust -- Equity Index Fund (GS2 Class)(inf) 561,579 $ 5,385,541 AB Funds Trust -- Extended-Duration Bond Fund (GS2 Class)(inf) 2,452,765 22,467,324 AB Funds Trust -- Growth Equity Fund (GS2 Class)(inf) 3,206,730 32,644,516 AB Funds Trust -- International Equity Fund (GS2 Class)(inf) 2,231,549 28,831,614 AB Funds Trust -- Low-Duration Bond Fund (GS2 Class)(inf) 3,513,341 32,463,275 AB Funds Trust -- Medium-Duration Bond Fund (GS2 Class)(inf) 5,848,978 53,342,682 AB Funds Trust -- Money Market Fund (GS2 Class)(inf) 3,320,992 3,320,992 AB Funds Trust -- Small Cap Equity Fund (GS2 Class)(inf) 682,768 8,555,081 AB Funds Trust -- Value Equity Fund (GS2 Class)(inf) 2,887,501 33,292,885 ------------ TOTAL AFFILIATED MUTUAL FUNDS (Cost $212,536,067) 220,303,910 ------------
PAR ---------- U.S. TREASURY OBLIGATIONS -- 1.1% U.S. Treasury Bill 2.81%, 07/14/05++++ $ 155,000 154,860 U.S. Treasury Note 5.75%, 08/15/10 2,150,000 2,350,473 ------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $2,481,666) 2,505,333 ------------ TOTAL INVESTMENTS -- 99.9% (Cost $215,017,733) 222,809,243 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.1% 165,519 ------------ NET ASSETS -- 100.0% $222,974,762 ============
--------------- ++++ All or a portion of the security was held as collateral for open futures contracts. PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Bond Funds 48.6 Domestic Equity Funds 35.8 Futures Contracts 1.0 International Equity Funds 12.9 Money Market Funds 1.5 U.S. Treasury Obligations 1.1 ------ 100.9 ======
--------------- + Based on net assets. See Notes to Financial Statements. 27 CAPITAL OPPORTUNITIES FUND I AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS2 CLASS* BENCHMARK** ---------- ----------- One Year 9.76% 9.42% Since Inception 13.41% 13.27% Inception Date 07/01/03 07/01/03
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. [LINE GRAPH]
GS2 CLASS BENCHMARK INDEX** --------- ----------------- Jul 1 2003 10000 10000 10060 10095 10280 10294 Sep 2003 10290 10353 10740 10808 10850 10942 Dec 2003 11302 11409 11475 11599 11648 11774 Mar 2004 11638 11730 11404 11447 11506 11534 Jun 2004 11720 11725 11435 11441 11516 11539 Sep 2004 11730 11716 11903 11926 12381 12369 Dec 2004 12758 12745 12517 12533 12727 12786 Mar 2005 12528 12581 12402 12409 12758 12719 Jun 2005 12863 12830
The graph compares the results of a $10,000 investment in the GS2 Class of the Fund since July 1, 2003 (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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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 U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. 28 CAPITAL OPPORTUNITIES FUND I SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 SHARES VALUE ------------- --------- ------------ AFFILIATED MUTUAL FUNDS -- 99.3% AB Funds Trust -- Equity Index Fund (GS2 Class)(inf) 546,211 $ 5,238,164 AB Funds Trust -- Extended-Duration Bond Fund (GS2 Class)(inf) 827,810 7,582,739 AB Funds Trust -- Growth Equity Fund (GS2 Class)(inf) 3,265,771 33,245,549 AB Funds Trust -- International Equity Fund (GS2 Class)(inf) 2,161,161 27,922,204 AB Funds Trust -- Low-Duration Bond Fund (GS2 Class)(inf) 1,170,704 10,817,307 AB Funds Trust -- Medium-Duration Bond Fund (GS2 Class)(inf) 1,861,173 16,973,899 AB Funds Trust -- Money Market Fund (GS2 Class)(inf) 2,703,066 2,703,066 AB Funds Trust -- Small Cap Equity Fund (GS2 Class)(inf) 674,145 8,447,043 AB Funds Trust -- Value Equity Fund (GS2 Class)(inf) 2,837,950 32,721,566 ------------ TOTAL AFFILIATED MUTUAL FUNDS (Cost $135,277,577) 145,651,537 ------------
PAR --------- U.S. TREASURY OBLIGATIONS -- 0.6% U.S. Treasury Bill 2.81%, 07/14/05++++ $ 185,000 184,833 U.S. Treasury Note 5.75%, 08/15/10 640,000 699,676 ------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $878,700) 884,509 ------------ TOTAL INVESTMENTS -- 99.9% (Cost $136,156,277) 146,536,046 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.1% 82,181 ------------ NET ASSETS -- 100.0% $146,618,227 ============
--------------- ++++ All or a portion of the security was held as collateral for open futures contracts. PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Bond Funds 24.1 Domestic Equity Funds 54.3 Futures Contracts 1.4 International Equity Funds 19.1 Money Market Funds 1.8 U.S. Treasury Obligations 0.6 ------ 101.3 ======
--------------- + Based on net assets. See Notes to Financial Statements. 29 GLOBAL EQUITY FUND I AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS2 CLASS* BENCHMARK** ---------- ----------- One year 10.42% 10.13% Since Inception 16.45% 16.53% Inception Date 07/01/03 07/01/03
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. [LINE GRAPH]
GS2 CLASS BENCHMARK INDEX** --------- ----------------- Jul 1 2003 10000 10000 10200 10238 10460 10484 Sep 2003 10380 10472 11010 11116 11130 11291 Dec 2003 11716 11894 11927 12128 12109 12327 Mar 2004 12079 12235 11857 11948 12008 12085 Jun 2004 12280 12329 11857 11889 11897 11949 Sep 2004 12169 12182 12371 12438 13060 13087 Dec 2004 13529 13576 13159 13246 13468 13627 Mar 2005 13231 13361 12995 13057 13447 13446 Jun 2005 13560 13578
The graph compares the results of a $10,000 investment in the GS2 Class of the Fund since July 1, 2003 (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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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. 30 GLOBAL EQUITY FUND I SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 SHARES VALUE ------------- -------- ------------ AFFILIATED MUTUAL FUNDS -- 99.6% AB Funds Trust -- Equity Index Fund (GS2 Class)(inf) 602,417 $ 5,777,182 AB Funds Trust -- Growth Equity Fund (GS2 Class)(inf) 3,354,838 34,152,254 AB Funds Trust -- International Equity Fund (GS2 Class)(inf) 2,148,435 27,757,777 AB Funds Trust -- Money Market Fund (GS2 Class)(inf) 2,193,729 2,193,729 AB Funds Trust -- Small Cap Equity Fund (GS2 Class)(inf) 684,376 8,575,236 AB Funds Trust -- Value Equity Fund (GS2 Class)(inf) 2,929,698 33,779,423 ------------ TOTAL AFFILIATED MUTUAL FUNDS (Cost $105,703,123) 112,235,601 ------------
PAR -------- U.S. TREASURY OBLIGATION -- 0.2% U.S. Treasury Bill 2.81%, 07/14/05++++ (Cost $234,762) $235,000 234,788 ------------ TOTAL INVESTMENTS -- 99.8% (Cost $105,937,885) 112,470,389 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.2% 196,326 ------------ NET ASSETS -- 100.0% $112,666,715 ============
--------------- ++++ All or a portion of the security was held as collateral for open futures contracts. PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Domestic Equity Funds 73.0 Futures Contracts 1.6 International Equity Funds 24.6 Money Market Funds 2.0 U.S. Treasury Obligations 0.2 ------ 101.4 ======
--------------- + Based on net assets. See Notes to Financial Statements. 31 STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
FLEXIBLE GROWTH & CAPITAL GLOBAL JUNE 30, 2005 INCOME FUND I INCOME FUND I OPPORTUNITIES FUND I EQUITY FUND I ------------- ------------- ------------- -------------------- ------------- ASSETS Investments in securities of affiliated issuers at value $51,381,604 $220,303,910 $145,651,537 $112,235,601 Investments in securities of unaffiliated issuers at value 545,138 2,505,333 884,509 234,788 ----------- ------------ ------------ ------------ Total investments(1) 51,926,742 222,809,243 146,536,046 112,470,389 Receivables: Dividends 1,130 6,861 6,116 5,104 Interest 2,127 46,443 13,825 -- Investment securities sold -- 2,610,000 402,000 381,000 Fund shares sold 13,538 170,339 193,702 218,737 Receivable from advisor 485 -- -- -- Prepaid expenses and other assets 12,542 12,544 12,543 12,543 ----------- ------------ ------------ ------------ Total Assets 51,956,564 225,655,430 147,164,232 113,087,773 ----------- ------------ ------------ ------------ LIABILITIES Payables: Investment securities purchased -- 2,609,000 501,992 383,000 Fund shares redeemed 8,593 15,845 -- -- Variation margin 1,110 14,430 13,015 11,470 Accrued expenses: Advisory fee payable -- 17,692 8,964 6,445 Other accrued expenses payable 19,768 23,701 22,034 20,143 ----------- ------------ ------------ ------------ Total Liabilities 29,471 2,680,668 546,005 421,058 ----------- ------------ ------------ ------------ NET ASSETS $51,927,093 $222,974,762 $146,618,227 $112,666,715 =========== ============ ============ ============ NET ASSETS CONSIST OF: Paid-in-capital $50,755,765 $210,079,500 $133,702,937 $104,614,958 Undistributed net investment income 652,156 2,532,791 1,072,284 383,994 Accumulated net realized gain on investments 412,341 2,590,996 1,479,511 1,150,101 Net unrealized appreciation (depreciation) on investments and futures transactions 106,831 7,771,475 10,363,495 6,517,662 ----------- ------------ ------------ ------------ NET ASSETS $51,927,093 $222,974,762 $146,618,227 $112,666,715 =========== ============ ============ ============ NET ASSET VALUE: $0.001 par value, unlimited shares authorized Net assets applicable to the GS2 Class $51,927,093 $222,974,762 $146,618,227 $112,666,715 ----------- ------------ ------------ ------------ GS2 shares outstanding 5,006,565 19,581,484 11,949,489 8,539,983 ----------- ------------ ------------ ------------ Net asset value, offering price and redemption price per GS2 share $ 10.37 $ 11.39 $ 12.27 $ 13.19 =========== ============ ============ ============ --------------- (1) Investments in securities of affiliated issuers at cost $51,272,082 $212,536,067 $135,277,577 $105,703,123 Investments in securities of unaffiliated issuers at cost 546,540 2,481,666 878,700 234,762 ----------- ------------ ------------ ------------ Total investments at cost $51,818,622 $215,017,733 $136,156,277 $105,937,885 =========== ============ ============ ============
See Notes to Financial Statements. 32 STATEMENTS OF OPERATIONS (UNAUDITED)
FLEXIBLE GROWTH & CAPITAL GLOBAL FOR THE SIX MONTHS ENDED JUNE 30, 2005 INCOME FUND I INCOME FUND I OPPORTUNITIES FUND I EQUITY FUND I -------------------------------------- ------------- ------------- -------------------- ------------- INVESTMENT INCOME Income distributions received from affiliated funds $ 685,938 $2,678,447 $1,176,468 $ 471,784 Interest 8,975 34,973 13,479 2,939 --------- ---------- ---------- --------- Total Investment Income 694,913 2,713,420 1,189,947 474,723 --------- ---------- ---------- --------- EXPENSES Investment advisory fees 25,490 107,682 70,414 54,195 Transfer agent fees 3,856 7,457 7,465 3,858 Custodian fees 5,731 7,148 7,178 5,235 Accounting and administration fees 8,988 33,412 22,298 17,469 Professional fees 20,099 20,099 20,099 20,099 Shareholder reporting fees 116 129 112 112 Trustee fees 103 411 259 173 Line of credit facility fees 103 412 238 173 Other expenses 6,961 6,961 6,960 6,962 --------- ---------- ---------- --------- Total Expenses 71,447 183,711 135,023 108,276 Expenses waived and reimbursed (See Footnote 3c) (28,551) (2,832) (16,779) (17,199) Fees paid indirectly (286) (339) (329) (321) --------- ---------- ---------- --------- Net expenses 42,610 180,540 117,915 90,756 --------- ---------- ---------- --------- NET INVESTMENT INCOME 652,303 2,532,880 1,072,032 383,967 --------- ---------- ---------- --------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain on investment securities of affiliated issuers 246,671 917,191 811,201 851,948 Net realized gain (loss) on investment securities of unaffiliated issuers (3,953) 377,479 72,716 75,975 Net realized loss on futures transactions (890) (193) (1,935) (24,131) --------- ---------- ---------- --------- Net realized gain 241,828 1,294,477 881,982 903,792 --------- ---------- ---------- --------- Change in net unrealized appreciation (depreciation) on investment securities of affiliated issuers (556,636) (314,176) (298,927) (390,210) Change in net unrealized appreciation (depreciation) on investment securities of unaffiliated issuers (1,197) 31,494 5,328 18 Change in net unrealized appreciation (depreciation) on futures transactions (3,067) (45,451) (28,487) (16,377) --------- ---------- ---------- --------- Net change in unrealized appreciation (depreciation) (560,900) (328,133) (322,086) (406,569) --------- ---------- ---------- --------- NET REALIZED AND UNREALIZED GAIN (LOSS) (319,072) 966,344 559,896 497,223 --------- ---------- ---------- --------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 333,231 $3,499,224 $1,631,928 $ 881,190 ========= ========== ========== =========
See Notes to Financial Statements. 33 STATEMENTS OF CHANGES IN NET ASSETS
FLEXIBLE INCOME FUND I GROWTH & INCOME FUND I --------------------------- ----------------------------- FOR THE SIX FOR THE YEAR FOR THE SIX MONTHS ENDED ENDED MONTHS ENDED FOR THE YEAR 06/30/05 12/31/04 06/30/05 ENDED 12/31/04 ------------ ------------ ------------ -------------- (UNAUDITED) (UNAUDITED) INCREASE/(DECREASE) IN NET ASSETS OPERATIONS: Net investment income $ 652,303 $ 718,522 $ 2,532,880 $ 3,305,240 Net realized gain on investment securities and futures transactions 241,828 434,608 1,294,477 2,169,966 Net change in unrealized appreciation (depreciation) on investment securities and futures transactions (560,900) 263,876 (328,133) 4,858,804 ----------- ----------- ------------ ------------ Net increase in net assets resulting from operations 333,231 1,417,006 3,499,224 10,334,010 ----------- ----------- ------------ ------------ DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME -- (1,043,136) -- (3,800,931) DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS -- (396,033) -- (1,176,513) ----------- ----------- ------------ ------------ Total dividends and distributions -- (1,439,169) -- (4,977,444) ----------- ----------- ------------ ------------ NET INCREASE FROM CAPITAL SHARE TRANSACTIONS 20,146,387 2,834,085 97,309,634 44,826,904 ----------- ----------- ------------ ------------ Total increase in net assets 20,479,618 2,811,922 100,808,858 50,183,470 ----------- ----------- ------------ ------------ NET ASSETS: Beginning of the Period 31,447,475 28,635,553 122,165,904 71,982,434 ----------- ----------- ------------ ------------ End of the Period $51,927,093 $31,447,475 $222,974,762 $122,165,904 =========== =========== ============ ============
See Notes to Financial Statements. 34
CAPITAL OPPORTUNITIES FUND I GLOBAL EQUITY FUND I ----------------------------- --------------------------- FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR MONTHS ENDED ENDED MONTHS ENDED ENDED 06/30/05 12/31/04 06/30/05 12/31/04 ------------- ------------- ------------ ------------ (UNAUDITED) (UNAUDITED) $ 1,072,032 $ 1,329,255 $ 383,967 $ 368,233 881,982 998,467 903,792 480,384 (322,086) 5,534,236 (406,569) 3,495,260 ------------ ----------- ------------ ----------- 1,631,928 7,861,958 881,190 4,343,877 ------------ ----------- ------------ ----------- -- (1,473,261) -- (372,357) -- (589,198) -- (264,035) ------------ ----------- ------------ ----------- -- (2,062,459) -- (636,392) ------------ ----------- ------------ ----------- 74,378,658 7,319,624 78,242,384 4,157,617 ------------ ----------- ------------ ----------- 76,010,586 13,119,123 79,123,574 7,865,102 ------------ ----------- ------------ ----------- 70,607,641 57,488,518 33,543,141 25,678,039 ------------ ----------- ------------ ----------- $146,618,227 $70,607,641 $112,666,715 $33,543,141 ============ =========== ============ ===========
See Notes to Financial Statements. 35 FINANCIAL HIGHLIGHTS (UNAUDITED)
CAPITAL GAIN REALIZED DISTRIBUTIONS AND DISTRIBUTIONS NET ASSET RECEIVED UNREALIZED DIVIDENDS FROM NET NET ASSET VALUE, FROM GAIN FROM NET REALIZED VALUE, BEGINNING NET INVESTMENT AFFILIATED (LOSS) ON INVESTMENT CAPITAL END OF OF PERIOD INCOME (1) FUNDS INVESTMENTS INCOME (5) GAINS PERIOD FLEXIBLE INCOME FUND I ------------------------------------------------------------------------------------------------------------------------ GS2 CLASS 2005 (7) $10.31 $0.13 $ -- $(0.07) $ -- $ -- $10.37 2004 10.31 0.25 0.05 0.19 (0.36) (0.13) 10.31 2003 (6) 10.00 0.18 0.10 0.16 (0.12) (0.01) 10.31 GROWTH & INCOME FUND I ------------------------------------------------------------------------------------------------------------------------ GS2 CLASS 2005 (7) $11.23 $0.13 $ -- $ 0.03 $ -- $ -- $11.39 2004 10.62 0.34# 0.14 0.60 (0.36) (0.11) 11.23 2003 (6) 10.00 0.21 0.17 0.51 (0.26) (0.01) 10.62 CAPITAL OPPORTUNITIES FUND I ------------------------------------------------------------------------------------------------------------------------ GS2 CLASS 2005 (7) $12.17 $0.09 $ -- $ 0.01 $ -- $ -- $12.27 2004 11.11 0.24 0.09 1.09 (0.26) (0.10) 12.17 2003 (6) 10.00 0.15 0.09 1.07 (0.18) (0.02) 11.11 GLOBAL EQUITY FUND I ------------------------------------------------------------------------------------------------------------------------ GS2 CLASS 2005 (7) $13.16 $0.04 $ -- $(0.01) $ -- $ -- $13.19 2004 11.62 0.15 0.05 1.60 (0.15) (0.11) 13.16 2003 (6) 10.00 0.09 -- 1.63 (0.09) (0.01) 11.62 RATIOS TO AVERAGE NET ASSETS ------------------------------------------------------------ EXPENSES, INVESTMENT BEFORE INCOME, EXPENSES, WAIVERS EXCLUDING INCLUDING AND INVESTMENT WAIVERS AND NET ASSETS, EXPENSES, EXPENSE EXPENSE INCOME, EXPENSE PORTFOLIO TOTAL END OF PERIOD NET REDUCTION REDUCTION NET REDUCTION TURNOVER RETURN (2) (000) (3)(4) (3)(4) (3)(4) (1)(3) (1)(3) RATE (2) FLEXIBLE INCOME FUND ------------------------------------------------------------------------------------------------------------------------ GS2 CLASS 2005 (7) 0.58% $ 51,927 0.17% 0.17% 0.28% 2.59% 2.48% 9.02% 2004 4.77 31,447 0.17 0.17 0.39 2.42 2.20 22.67 2003 (6) 4.40 28,636 0.17 0.17 0.51 4.16 3.82 8.01 GROWTH & INCOME FUND ------------------------------------------------------------------------------------------------------------------------ GS2 CLASS 2005 (7) 1.43% $222,975 0.17% 0.17% 0.17% 2.38% 2.38% 6.09% 2004 10.26 122,166 0.17 0.17 0.22 3.07 3.02 10.47 2003 (6) 8.94 71,982 0.17 0.17 0.28 4.76 4.65 4.51 CAPITAL OPPORTUNITIE ------------------------------------------------------------------------------------------------------------------------ GS2 CLASS 2005 (7) 0.82% $146,618 0.17% 0.17% 0.19% 1.54% 1.52% 4.84% 2004 12.88 70,608 0.17 0.17 0.27 2.13 2.03 7.45 2003 (6) 13.02 57,489 0.17 0.17 0.31 3.24 3.10 2.95 GLOBAL EQUITY FUND I ------------------------------------------------------------------------------------------------------------------------ GS2 CLASS 2005 (7) 0.23% $112,667 0.17% 0.17% 0.20% 0.72% 0.69% 3.76% 2004 15.48 33,543 0.17 0.17 0.41 1.29 1.05 6.93 2003 (6) 17.16 25,678 0.17 0.17 0.50 1.69 1.36 0.89
--------------- # Calculated using the average shares outstanding method. (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. (5) Includes dividends paid from the short-term portion of capital gain distributions received from affiliated funds. (6) Inception date was July 1, 2003. (7) For the six months ended June 30, 2005. See Notes to Financial Statements. 36 MONEY MARKET FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK** ---------- ---------- ---------- ----------- ---------- --------------------- One Year 2.00% 1.80% 1.51% 2.04% N/A N/A Since Inception 1.54% 1.44% 1.16% 1.64% 0.93%(1) 1.54%(1) Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
7-DAY AVERAGE YIELD AS OF 6/30/05 --------------------------------------------------------------------------------
GS2 CLASS* GS4 CLASS* GS6 CLASS* GS8 CLASS* ---------- ---------- ---------- ---------- 2.97% 2.79% 2.37% 2.07%
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. Investment return will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The 7-day average yield more closely reflects the current earnings of the Fund than the total return. [LINE GRAPH]
GS4 CLASS CITIGROUP 3-MONTH INDEX** --------- ------------------------- Aug 27 2001 10000 10000 10008 10008 Sep 2001 10033 10036 10057 10063 10079 10084 Dec 2001 10094 10102 10108 10117 10122 10131 Mar 2002 10138 10146 10153 10161 10167 10176 Jun 2002 10180 10190 10194 10205 10207 10220 Sep 2002 10220 10234 10232 10248 10243 10261 Dec 2002 10255 10274 10265 10285 10273 10294 Mar 2003 10282 10305 10290 10315 10298 10325 Jun 2003 10306 10334 10312 10343 10318 10352 Sep 2003 10324 10359 10330 10368 10336 10376 Dec 2003 10342 10384 10348 10392 10354 10400 Mar 2004 10360 10408 10366 10416 10372 10424 Jun 2004 10378 10433 10386 10433 10395 10454 Sep 2004 10405 10467 10417 10481 10430 10496 Dec 2004 10445 10513 10461 10532 10478 10550 Mar 2005 10498 10572 10518 10595 10542 10621 Jun 2005 10565 10646
The graph compares the results of a $10,000 investment in the GS4 Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the Citigroup 3-Month Index. *These performance figures reflect expense waivers by the Fund's investment advisor. Without these waivers, performance would have been lower. Performance figures shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. **The Citigroup 3-Month 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. --------------- (1) Non-annualized. 37 MONEY MARKET FUND Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. An investment in the Fund is not insured or guaranteed by the FDIC or any other governmental agency. Although the Fund seeks to maintain a value of $1.00 per share, it is possible to lose money. 38 MONEY MARKET FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 PAR VALUE ------------- ----------- ------------ CERTIFICATES OF DEPOSIT -- 27.2% American Express Bank FSB 3.29%, 07/28/05 $15,000,000 $ 15,000,000 Banco Santander Puerto Rico 3.23%, 07/19/05 30,000,000 30,000,000 Citibank NA 3.18%, 08/11/05 25,000,000 25,000,000 Credit Suisse First Boston NY 3.33%, 08/09/05 44,000,000 44,000,000 DEPFA Bank PLC NY 2.49%, 11/01/05 8,700,000 8,700,000 Eurohypo AG NY 3.31%, 08/03/05 25,000,000 25,000,000 3.20%, 08/09/05 10,000,000 10,000,000 Washington Mutual Bank FA 3.28%, 08/08/05 40,000,000 40,000,000 Wells Fargo Bank NA 3.27%, 07/27/05 44,000,000 44,000,000 ------------ TOTAL CERTIFICATES OF DEPOSIT (Cost $241,700,000) 241,700,000 ------------ COMMERCIAL PAPER -- 63.6% Alliance & Leicester PLC 3.26%, 09/19/05 15,000,000 14,891,333 Amsterdam Funding Corporation 3.17%, 08/02/05 25,128,000 25,057,195 3.19%, 08/04/05 16,500,000 16,450,289 Barclays US Funding Corporation 3.15%, 08/11/05 18,000,000 17,935,425 BMW US Capital LLC 3.38%, 07/01/05 35,007,000 35,007,000 Brahms Funding Corporation 3.26%, 08/08/05 7,915,000 7,887,764 Citigroup Global Markets Holdings, Inc. 3.10%, 07/05/05 10,000,000 10,000,000 Countrywide Financial Corporation 3.30%, 07/27/05 44,000,000 43,895,133 Discover Card Master Trust I 3.13%, 07/06/05 19,000,000 18,991,740 Eurohypo AG 3.04%, 07/06/05 9,000,000 8,996,206 General Electric Capital Corporation 3.26%, 07/28/05 42,000,000 41,897,310 Goldman Sachs Group, Inc. 3.24%, 07/22/05 45,000,000 44,914,950 Greenwich Capital Holdings, Inc. 3.22%, 07/20/05 7,000,000 7,000,000 3.26%, 07/25/05 33,700,000 33,700,000 HBOS Treasury Services PLC 3.16%, 08/09/05 10,000,000 9,965,767
PAR VALUE ----------- ------------ ING (US) Funding LLC 3.19%, 08/08/05 $10,000,000 $ 9,966,328 Lehman Brothers Holdings, Inc. 3.50%, 07/01/05 6,000,000 6,000,000 Lexington Parker Capital 3.03%, 07/06/05 25,000,000 24,989,479 3.05%, 07/06/05 2,500,000 2,498,941 Lockhart Funding LLC 3.21%, 08/02/05 14,000,000 13,960,053 3.17%, 08/10/05 3,000,000 2,989,433 3.24%, 08/18/05 12,000,000 11,948,160 MBNA Credit Card Master Note Trust 3.12%, 07/19/05 24,000,000 23,962,560 3.38%, 08/30/05 8,000,000 7,954,933 Monument Gardens Funding LLC 3.38%, 09/21/05 27,681,000 27,467,887 National Rural Utilities Cooperative Finance Corporation 3.26%, 07/28/05 44,000,000 43,892,420 Scaldis Capital LLC 3.24%, 09/02/05 29,141,000 28,975,772 UBS Finance (Delaware) LLC 3.39%, 07/01/05 25,000,000 25,000,000 ------------ TOTAL COMMERCIAL PAPER (Cost $566,196,078) 566,196,078 ------------ MASTER NOTES -- 7.5% Merrill Lynch Mortgage Capital, Inc. 3.36%, 07/05/05++ 30,000,000 30,000,000 Morgan Stanley Mortgage Capital 3.61%, 07/01/05++ 37,000,000 37,000,000 ------------ TOTAL MASTER NOTES (Cost $67,000,000) 67,000,000 ------------ VARIABLE RATE OBLIGATIONS -- 6.8% Allstate Life Global Funding II 3.30%, 07/27/05 144A++ 20,000,000 20,000,000 Bear Stearns Cos., Inc. (The) 3.33%, 07/28/05++ 10,000,000 10,000,000 General Electric Capital Corporation 3.34%, 07/18/05++ 2,240,000 2,242,242 Metropolitan Life Global Funding I 3.39%, 07/28/05 144A++ 10,000,000 10,000,000 Racers Trust 3.28%, 07/22/05 144A++ 8,600,000 8,600,000
See Notes to Financial Statements. 39 MONEY MARKET FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ----------- ------------ Shipley Group LP 3.47%, 07/07/05++ $ 1,500,000 $ 1,500,000 Westpac Banking Corporation 3.40%, 09/12/05++ 8,250,000 8,250,000 ------------ TOTAL VARIABLE RATE OBLIGATIONS (Cost $60,592,242) 60,592,242 ------------ TOTAL INVESTMENTS -- 105.1% (Cost $935,488,320) 935,488,320 LIABILITIES IN EXCESS OF OTHER ASSETS -- (5.1%) (45,735,926) ------------ NET ASSETS -- 100.0% $889,752,394 ============
PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Certificates of Deposit 27.2 Commercial Paper 63.6 Master Notes 7.5 Variable Rate Obligations 6.8 ------ 105.1 ======
--------------- + Based on net assets. See Notes to Financial Statements. 40 LOW-DURATION BOND FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK** ---------- ---------- ---------- ----------- ---------- --------------------- One Year 1.95% 1.80% 1.59% 1.87% N/A N/A Since Inception 3.19% 3.16% 2.90% 3.14% 0.46%(1) 0.92%(1) Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. [LINE GRAPH]
MERRILL LYNCH 1-3 YEAR TREASURY GS4 CLASS INDEX** --------- ------------------------------- Aug 27 2001 10000 10000 10023 10025 Sep 2001 10150 10190 10256 10286 10217 10264 Dec 2001 10196 10268 10242 10288 10288 10338 Mar 2002 10208 10268 10334 10383 10381 10425 Jun 2002 10402 10512 10459 10641 10550 10677 Sep 2002 10633 10765 10661 10790 10663 10757 Dec 2002 10778 10859 10800 10857 10866 10902 Mar 2003 10890 10922 10918 10943 10991 10984 Jun 2003 11006 11001 10888 10941 10910 10948 Sep 2003 11034 11048 10984 11007 10995 11001 Dec 2003 11042 11065 11076 11087 11136 11140 Mar 2004 11171 11175 11080 11067 11065 11057 Jun 2004 11069 11056 11101 11096 11174 11173 Sep 2004 11172 11163 11200 11197 11174 11142 Dec 2004 11195 11165 11183 11161 11165 11136 Mar 2005 11158 11136 11213 11199 11250 11241 Jun 2005 11269 11263
The graph compares the results of a $10,000 investment in the GS4 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. --------------- (1) Non-annualized. 41 LOW-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 PAR VALUE ------------- ----------- -------------- AGENCY OBLIGATIONS -- 14.7% Federal Home Loan Bank 2.60%, 07/01/05 $ 9,500,000 $ 9,500,000 3.06%, 07/22/05 9,400,000 9,383,248 3.21%, 09/01/05++ 4,500,000 4,499,330 3.23%, 09/09/05 9,500,000 9,438,393 1.70%, 12/30/05 3,825,000 3,787,343 Federal Home Loan Mortgage Corporation 3.00%, 07/26/05 9,400,000 9,380,190 3.04%, 08/09/05 6,500,000 6,478,275 3.17%, 08/30/05 100,000 99,461 3.19%, 09/06/05 9,200,000 9,142,896 3.31%, 11/02/05 100,000 98,831 5.25%, 01/15/06+++ 9,575,000 9,648,689 Federal National Mortgage Association 2.98%, 07/01/05 12,000,000 11,999,999 3.01%, 08/01/05 2,400,000 2,393,500 3.13%, 08/24/05 9,400,000 9,356,313 3.14%, 08/24/05 10,900,000 10,849,341 3.18%, 08/31/05 100,000 99,452 2.38%, 12/15/05 2,755,000 2,739,894 2.75%, 05/10/06 3,775,000 3,743,369 2.77%, 12/29/06 1,505,000 1,482,661 2.71%, 01/30/07 7,500,000 7,377,105 6.63%, 09/15/09 4,025,000 4,439,474 Small Business Administration 6.95%, 11/10/16 1,581,924 1,669,863 -------------- TOTAL AGENCY OBLIGATIONS (Cost $127,598,194) 127,607,627 -------------- ASSET-BACKED SECURITIES -- 20.9% ACE Securities Corporation 3.42%, 04/25/34 STEP 456,701 456,693 American Express Credit Account Master Trust 3.36%, 04/15/08++ 3,200,000 3,200,926 Amresco Independence Funding, Inc. 3.75%, 06/15/26 144A++ 1,042,313 1,038,076 Bank One Issuance Trust 3.14%, 10/15/08++ 2,925,000 2,926,142 Bayview Financial Acquisition Trust 7.01%, 05/25/29 144A 322,691 322,535 Bear Stearns Asset-Backed Securities, Inc. 4.56%, 03/25/44++ 1,569,654 1,568,917 BMW Vehicle Owner Trust 4.02%, 02/25/09 2,775,000 2,779,668 Business Loan Express 4.75%, 01/01/25 144A++ 603,269 588,009
PAR VALUE ----------- -------------- Capital Auto Receivables Asset Trust 3.58%, 10/16/06++++ $ 1,120,777 $ 1,120,594 2.00%, 11/15/07+++ 2,950,000 2,908,529 3.35%, 02/15/08 3,225,000 3,204,342 1.96%, 01/15/09 4,100,000 3,991,633 4.05%, 07/15/09 2,575,000 2,575,402 Capital One Multi-Asset Execution Trust 2.95%, 08/17/09 3,500,000 3,456,683 Carrington Mortgage Loan Trust 3.24%, 06/25/35++ 1,700,000 1,699,640 Centex Home Equity 3.51%, 02/25/35++ 3,200,000 3,203,002 Chase Credit Card Master Trust 5.50%, 11/17/08 3,040,000 3,090,006 Chase Issuance Trust 3.22%, 06/15/10 6,525,000 6,415,908 Chase Manhattan Auto Owner Trust 2.08%, 05/15/08 3,950,000 3,900,168 Citibank Credit Card Issuance Trust 2.70%, 01/15/08 2,515,000 2,500,619 5.65%, 06/16/08 2,950,000 2,997,086 2.55%, 01/20/09 7,725,000 7,562,615 Citibank Credit Card Master Trust I 6.10%, 05/15/08 3,125,300 3,182,971 Conseco Finance Securitizations Corporation 3.59%, 12/15/29++ 248,291 248,277 Countrywide Asset-Backed Certificates 3.46%, 10/25/23 STEP 596,123 596,182 3.58%, 12/31/34++ 3,200,000 3,206,035 3.89%, 07/25/35++ 1,750,000 1,750,823 CS First Boston Mortgage Securities Corporation 3.64%, 05/25/43 STEP 144A 118,370 118,368 Daimler Chrysler Auto Trust 2.25%, 08/08/07 2,937,332 2,920,467 2.00%, 12/08/07 3,125,000 3,085,288 3.09%, 01/08/08 3,600,000 3,578,376 3.28%, 12/08/09 4,300,000 4,225,678 Equity One ABS, Inc. 3.47%, 07/25/34++ 2,190,866 2,191,297 Fannie Mae Grantor Trust 3.36%, 07/25/35 STEP 1,700,000 1,700,532 Green Tree Financial Corporation 6.04%, 11/01/29 50,291 51,005
See Notes to Financial Statements. 42
PAR VALUE ----------- -------------- GSAA Home Equity Trust 3.34%, 12/25/34++ $ 2,607,055 $ 2,607,627 GSAMP Trust 3.46%, 08/25/34++ 247,439 247,434 Home Equity Mortgage Trust 3.43%, 07/25/35 STEP 1,639,316 1,639,285 Honda Auto Receivables Owner Trust 2.30%, 10/18/07 3,050,000 3,021,070 3.61%, 12/18/07 2,537,757 2,534,467 3.30%, 06/15/08 2,980,000 2,958,348 2.91%, 10/20/08 2,700,000 2,657,297 3.53%, 10/21/08 2,875,000 2,856,060 2.79%, 03/16/09 4,700,000 4,616,025 Long Beach Mortgage Loan Trust 3.56%, 11/25/10++ 2,200,000 2,201,375 3.63%, 06/25/33++ 178,573 178,684 MBNA Credit Card Master Note Trust 5.75%, 10/15/08 3,225,000 3,276,355 MBNA Master Credit Card Trust USA 3.27%, 12/15/08++ 5,610,000 5,620,222 Morgan Stanley ABS Capital I 3.61%, 12/25/34++ 2,749,085 2,753,312 Morgan Stanley Home Equity Loans 3.52%, 01/25/35++ 3,200,000 3,203,748 New Century Home Equity Loan Trust 3.74%, 11/25/34++ 2,364,383 2,372,754 Nissan Auto Receivables Owner Trust 2.01%, 11/15/07 3,325,000 3,280,320 2.70%, 12/17/07 3,175,000 3,138,561 Option One Mortgage Loan Trust 3.55%, 02/25/35++ 3,200,000 3,202,000 PBG Equipment Trust 6.27%, 01/20/12 144A 562,021 562,887 Quest Trust 3.87%, 06/25/34 144A++ 748,304 750,405 Residential Asset Securities Corporation 3.54%, 09/25/31++ 338,885 340,291 3.50%, 02/25/35++ 3,200,000 3,200,000 Residential Funding Mortgage Securities II 3.44%, 07/25/18++ 228,783 228,775 3.41%, 12/25/18++ 1,333,732 1,333,794 Sears Credit Account Master Trust 6.75%, 09/16/09 1,900,000 1,911,718 SLM Student Loan Trust 3.44%, 12/17/12++ 1,065,571 1,065,654
PAR VALUE ----------- -------------- SVO Timeshare Mortgage Corporation 5.47%, 10/20/13 144A $ 1,770,909 $ 1,785,479 Terwin Mortgage Trust 3.28%, 10/25/34 STEP 144A 1,344,463 1,344,463 TMS SBA Loan Trust 3.61%, 04/15/24++ 417,466 396,551 3.25%, 01/15/25++ 459,697 454,006 3.73%, 01/25/25++ 275,819 274,511 USAA Auto Owner Trust 1.58%, 06/15/07 1,627,481 1,618,082 3.55%, 09/17/07 1,950,000 1,946,248 2.06%, 04/15/08 3,000,000 2,962,134 3.03%, 06/16/08 3,000,000 2,972,441 3.16%, 02/17/09 3,325,000 3,289,302 3.90%, 07/15/09 1,700,000 1,697,625 4.07%, 12/15/09 4,175,000 4,174,999 2.04%, 02/16/10 4,100,000 4,026,699 Whole Auto Loan Trust 3.26%, 03/15/11 4,000,000 3,932,755 -------------- TOTAL ASSET-BACKED SECURITIES (Cost $181,942,638) 180,996,255 -------------- CERTIFICATES OF DEPOSIT -- 0.4% Citibank NA 3.16%, 08/09/05 (Cost $3,300,000) 3,300,000 3,292,893 -------------- CORPORATE BONDS -- 11.7% ASIF Global Financing XXIII 3.90%, 10/22/08 144A 420,000 412,577 Bank of America Corporation 3.25%, 08/15/08 360,000 351,550 Bank One Corporation 2.63%, 06/30/08 360,000 344,597 6.00%, 08/01/08 550,000 577,609 Bayerische Landesbank NY 2.50%, 04/28/06 2,475,000 2,447,476 BellSouth Corporation 4.26%, 04/26/06 144A++ 1,075,000 1,077,844 Cadbury Schweppes US Finance LLC 3.88%, 10/01/08 144A 790,000 779,545 Citigroup, Inc. 3.50%, 02/01/08 1,600,000 1,578,405 Clorox Co. 3.53%, 12/14/07++ 1,500,000 1,503,036 Credit Suisse First Boston USA, Inc. 4.63%, 01/15/08+++ 2,160,000 2,184,635 DaimlerChrysler NA Holding Corporation 6.40%, 05/15/06 1,700,000 1,733,558 3.89%, 05/24/06++ 3,200,000 3,209,053 4.23%, 08/08/06++ 400,000 402,850 4.75%, 01/15/08+++ 850,000 853,787 4.05%, 06/04/08 1,130,000 1,113,448
See Notes to Financial Statements. 43 LOW-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ----------- -------------- Dominion Resources, Inc. 7.63%, 07/15/05 $ 1,000,000 $ 1,000,906 Federated Department Stores, Inc. 6.63%, 09/01/08 150,000 160,066 Ford Motor Credit Co. 3.59%, 07/18/05++ 100,000 99,961 6.88%, 02/01/06 2,500,000 2,525,338 Gannett Co., Inc. 4.13%, 06/15/08 2,390,000 2,389,032 General Electric Capital Corporation 8.75%, 05/21/07 610,000 661,019 3.45%, 07/16/07 1,300,000 1,283,627 3.45%, 01/15/08++ 5,275,000 5,239,155 4.25%, 01/15/08 1,940,000 1,948,652 3.39%, 03/04/08++ 2,900,000 2,902,210 9.83%, 12/15/08 350,000 410,634 General Mills, Inc. 6.45%, 10/15/06 1,985,000 2,040,327 General Motors Acceptance Corporation 4.13%, 03/20/07++ 1,467,000 1,423,446 Golden West Financial Corporation 4.13%, 08/15/07 310,000 310,843 Hewlett-Packard Co. 5.50%, 07/01/07 710,000 727,885 HSBC Bank USA NA 3.51%, 09/21/07++ 1,400,000 1,401,421 HSBC Finance Corporation 5.75%, 01/30/07 2,280,000 2,339,458 4.13%, 12/15/08+++ 700,000 696,058 John Deere Capital Corporation 3.90%, 01/15/08 1,970,000 1,958,826 Kellogg Co. 2.88%, 06/01/08 970,000 935,123 Kraft Foods, Inc. 4.63%, 11/01/06 400,000 402,739 5.25%, 06/01/07 425,000 433,463 Lehman Brothers Holdings, Inc. 4.00%, 01/22/08 2,560,000 2,552,376 Lenfest Communications, Inc. 7.63%, 02/15/08 725,000 779,144 May Department Stores Co. (The) 3.95%, 07/15/07 945,000 938,921 MCI, Inc. 6.91%, 05/01/07 237,000 240,851 7.69%, 05/01/09 237,000 247,369 8.74%, 05/01/14 203,000 228,121 Merck & Co., Inc. 5.25%, 07/01/06 300,000 303,809 4.73%, 02/22/11 144A++ 1,300,000 1,304,776
PAR VALUE ----------- -------------- Merrill Lynch & Co., Inc. 4.00%, 11/15/07 $ 830,000 $ 829,032 Morgan Stanley Warehouse Facility 3.59%, 07/01/05++@ 9,900,000 9,847,368 National Rural Utilities Cooperative Finance Corporation 6.00%, 05/15/06 2,340,000 2,382,541 New York Life Global Funding 3.36%, 02/26/07 144A++ 1,400,000 1,401,249 Northrop Grumman Corporation 4.08%, 11/16/06 450,000 448,848 Pacific Gas & Electric Co. 3.82%, 04/03/06++ 384,000 384,000 Prudential Financial, Inc. 4.10%, 11/15/06 STEP 1,600,000 1,604,965 Prudential Insurance Co. of America 6.38%, 07/23/06 144A 650,000 665,240 SLM Corporation 5.63%, 04/10/07 730,000 748,745 3.63%, 03/17/08 120,000 118,026 Southern California Edison Co. 3.47%, 12/13/07++ 3,500,000 3,500,004 Sprint Capital Corporation 7.13%, 01/30/06 3,825,000 3,889,436 6.00%, 01/15/07 2,280,000 2,337,269 Time Warner, Inc. 6.15%, 05/01/07 2,290,000 2,370,526 8.18%, 08/15/07 500,000 538,146 TXU Energy Co. LLC 3.92%, 01/17/06 144A++ 5,100,000 5,101,433 U.S. Bank National Association 6.50%, 02/01/08 580,000 612,196 U.S. Central Credit Union 2.75%, 05/30/08 610,000 592,574 Union Pacific Corporation 5.75%, 10/15/07 375,000 387,631 Verizon Global Funding Corporation 6.13%, 06/15/07+++ 875,000 907,721 4.00%, 01/15/08+++ 1,960,000 1,954,720 Verizon Wireless Capital LLC 5.38%, 12/15/06 1,070,000 1,090,835 Wachovia Corporation 4.95%, 11/01/06 2,350,000 2,375,906 3.50%, 08/15/08 540,000 530,306 -------------- TOTAL CORPORATE BONDS (Cost $102,714,289) 101,074,243 --------------
See Notes to Financial Statements. 44
PAR VALUE ----------- -------------- FOREIGN BONDS -- 5.5% BERMUDA -- 0.0% Tyco International Group SA 5.80%, 08/01/06 $ 425,000 $ 432,723 -------------- CANADA -- 0.2% British Columbia 5.38%, 10/29/08 305,000 319,837 Canadian National Railway Co. 6.45%, 07/15/06++ 750,000 766,996 Quebec Province 7.00%, 01/30/07 305,000 319,190 -------------- 1,406,023 -------------- GERMANY -- 0.3% Deutsche Bundesrepublik 4.75%, 07/04/34(E)+++ 450,000 649,996 4.00%, 01/04/37(E)+++ 1,825,000 2,349,439 -------------- 2,999,435 -------------- ITALY -- 0.3% Republic of Italy 2.75%, 12/15/06+++ 2,375,000 2,338,539 -------------- JAPAN -- 0.4% General Electric Capital Corporation 1.40%, 11/02/06(J) 405,000,000 3,718,193 -------------- NETHERLANDS -- 0.6% Dutch Treasury Certificate 1.98%, 08/31/05(E)(omg) 4,500,000 5,428,231 -------------- NEW ZEALAND -- 0.3% General Electric Capital Corporation 6.63%, 02/04/10(Z) 3,080,000 2,147,698 New Zealand 6.00%, 11/15/11(Z) 970,000 684,359 -------------- 2,832,057 -------------- NORWAY -- 0.2% Eksportfinans 3.38%, 01/15/08 1,630,000 1,607,941 -------------- SOUTH KOREA -- 0.2% Korea Development Bank 3.54%, 10/20/09++ 1,750,000 1,752,756 -------------- UNITED KINGDOM -- 3.0% Granite Master Issuer PLC 3.51%, 12/20/24++ 4,300,000 4,301,785 Holmes Financing PLC 3.29%, 01/15/08++ 2,600,000 2,600,446 Nationwide Building Society 3.50%, 07/31/07 144A 325,000 321,331 Permanent Financing PLC 3.53%, 09/10/07++ 2,800,000 2,800,159 United Kingdom Treasury Note 4.75%, 06/07/10(U) 6,800,000 12,555,868
PAR VALUE ----------- -------------- Vodafone Group PLC 3.95%, 01/30/08+++ $ 2,650,000 $ 2,643,987 -------------- 25,223,576 -------------- TOTAL FOREIGN BONDS (Cost $48,542,806) 47,739,474 -------------- MORTGAGE-BACKED SECURITIES -- 28.9% American Home Mortgage Investment Trust 4.29%, 10/25/34++ 3,349,631 3,330,916 3.61%, 12/25/45 STEP 3,281,181 3,281,181 Bank of America Mortgage Securities 6.50%, 10/01/19 1,157,816 1,193,953 Bear Stearns Adjustable Rate Mortgage Trust 3.18%, 12/01/33++ 2,972,317 2,929,219 4.72%, 01/25/34++ 1,397,947 1,375,212 4.04%, 07/25/34++ 2,933,749 2,889,731 Bear Stearns Alt-A Trust 3.68%, 06/25/34++ 3,247,584 3,253,233 Bear Stearns Commercial Mortgage Securities 3.87%, 02/11/41 2,040,000 2,005,504 Citigroup Commercial Mortgage Trust 4.15%, 09/20/49 144A 2,653,924 2,653,095 Commercial Mortgage Acceptance Corporation 6.03%, 09/15/30 2,158,049 2,238,761 Countrywide Alternative Loan Trust 6.00%, 10/25/32 658,140 654,282 5.50%, 05/31/35 2,025,493 2,082,470 Countrywide Home Loan Mortgage Pass Through Trust 3.68%, 06/19/31++ 185,883 187,062 3.58%, 01/25/35 STEP 2,605,506 2,607,627 Credit-Based Asset Servicing and Securitization LLC 3.63%, 02/25/30++ 327,684 327,911 CS First Boston Mortgage Securities Corporation 4.30%, 07/15/36 1,360,000 1,359,179 Federal Home Loan Mortgage Corporation 8.00%, 03/01/06 11 11 7.00%, 05/01/06 1,087 1,089 8.50%, 12/01/07 8,973 9,263 8.50%, 01/01/08 7,318 7,556 8.00%, 05/01/08 13,081 13,133 8.50%, 06/01/08 957 961 8.75%, 07/01/08 7,784 8,119 8.00%, 01/01/09 4,006 4,130 7.50%, 03/01/09 40,372 40,477 16.25%, 07/01/11 1,038 1,208
See Notes to Financial Statements. 45 LOW-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ----------- -------------- 15.25%, 08/01/11 $ 1,807 $ 2,069 5.00%, 11/15/16 5,105,679 5,154,178 3.50%, 12/01/18 4,206,238 3,976,891 10.75%, 02/01/19 104,967 114,455 4.25%, 06/15/24 3,046,194 3,043,303 4.75%, 07/01/27++ 110,569 114,021 2.81%, 06/01/28++ 529,437 526,425 5.76%, 04/01/32++ 916,960 938,599 3.62%, 02/15/33++ 1,676,314 1,681,133 6.00%, 04/01/33 2,424,709 2,490,376 4.42%, 10/01/34++ 1,499,377 1,498,177 5.50%, 05/31/35 2,560,000 2,644,813 Federal Housing Authority 7.43%, 09/01/22 7,765 8,105 Federal National Mortgage Association 6.00%, 08/01/08 273,181 280,896 6.50%, 11/01/08 355,401 367,229 3.44%, 12/01/09 1,322,445 1,322,445 4.00%, 07/19/20 TBA 11,000,000 10,773,125 5.08%, 03/01/24++ 122,569 120,852 4.09%, 12/01/24++ 249,144 252,021 9.00%, 05/01/25 138,962 152,299 9.00%, 07/01/25 257,489 281,720 3.56%, 09/25/30++ 432,693 431,980 5.02%, 12/01/30++ 73,602 74,879 4.66%, 09/01/31++ 240,419 247,853 3.31%, 03/25/32 671,456 661,557 4.28%, 04/01/33++ 1,681,249 1,689,163 4.22%, 06/01/33++ 470,977 473,382 5.50%, 06/01/33 35,610 36,130 5.50%, 07/01/33 35,539 36,057 5.50%, 07/14/33 TBA 24,500,000 24,829,232 4.28%, 10/01/33++ 2,650,148 2,653,599 5.50%, 10/01/33 200,009 202,929 4.30%, 12/01/33++ 869,090 870,060 5.50%, 08/01/34 99,990 101,417 5.75%, 08/25/34 3,531,740 3,575,411 5.10%, 09/01/34++ 2,522,697 2,560,210 5.13%, 09/01/34++ 1,972,870 2,002,214 5.50%, 09/01/34 6,478,137 6,570,545 4.85%, 10/01/34++ 2,598,452 2,630,550 5.22%, 10/01/34++ 3,251,810 3,312,173 5.50%, 11/01/34 20,658,727 20,953,417 5.50%, 02/01/35 10,396,571 10,544,875 4.88%, 06/01/35++ 3,025,000 3,072,266 5.50%, 06/01/35 1,521,366 1,543,098 6.17%, 04/01/40++ 736,231 756,978 First Republic Mortgage Loan Trust 4.13%, 06/25/30++ 504,805 505,585 General Electric Capital Commercial Mortgage Corporation 4.35%, 06/10/48 2,790,000 2,793,196
PAR VALUE ----------- -------------- GMAC Commercial Mortgage Securities, Inc. 7.18%, 08/15/36 $ 1,566,075 $ 1,710,758 Government National Mortgage Association 8.25%, 03/15/06 1,143 1,167 8.25%, 05/15/06 2,958 3,020 6.00%, 12/15/08 303,434 310,778 6.00%, 02/15/11 499,165 512,238 3.38%, 06/20/17++ 41,639 42,093 3.38%, 06/20/21++ 20,251 20,538 4.13%, 10/20/27++ 156,649 159,252 8.50%, 10/15/29 148,143 161,506 8.50%, 01/15/30 59,876 65,266 3.84%, 02/16/30++ 537,428 542,628 8.50%, 03/15/30 30,858 33,636 8.50%, 04/15/30 17,130 18,672 8.50%, 05/15/30 240,875 262,559 8.50%, 06/15/30 69,432 75,682 8.50%, 07/15/30 280,525 305,783 8.50%, 08/15/30 48,715 53,101 8.50%, 09/15/30 20,024 21,827 8.50%, 10/15/30 47,269 51,524 8.50%, 11/15/30 136,954 149,283 8.50%, 12/15/30 116,042 126,488 8.50%, 01/15/31 48,507 52,870 3.44%, 01/16/31++ 1,025,530 1,025,973 8.50%, 02/15/31 106,147 115,695 3.75%, 05/20/34++ 2,561,626 2,520,533 3.75%, 06/20/34++ 3,494,810 3,452,255 GS Mortgage Securities Corporation II 6.04%, 08/15/18 144A 490,938 517,716 6.14%, 10/18/30 2,522,090 2,642,308 3.41%, 01/10/40 IO 144A(omg) 40,737,064 1,207,255 GSR Mortgage Loan Trust 3.69%, 06/01/34++ 3,309,721 3,269,147 4.82%, 09/25/34++ 3,577,110 3,600,962 IFC SBA Loan-Backed Adjustable Rate Certificate 3.25%, 01/15/24 144A++ 643,129 643,129 LB-UBS Commercial Mortgage Trust 3.62%, 01/15/29 3,400,000 3,323,029 2.59%, 08/15/33 IO 144A(omg) 38,255,000 1,089,040 MLCC Mortgage Investors, Inc. 3.60%, 03/15/25 STEP 1,264,430 1,270,146 4.76%, 12/25/34++ 2,974,706 2,985,510 Morgan Stanley Capital I 6.53%, 03/15/31 2,960,000 3,163,843 Mortgage IT Trust 3.68%, 12/25/34 STEP 4,096,409 4,102,616 NationsLink Funding Corporation 6.32%, 01/20/31 2,102,325 2,220,620
See Notes to Financial Statements. 46
PAR VALUE ----------- -------------- Nomura Asset Securities Corporation 6.59%, 03/15/30 $ 3,300,000 $ 3,502,549 Residential Accredit Loans, Inc. 6.00%, 12/25/16 263,693 265,038 3.71%, 01/25/33++ 1,414,228 1,415,441 Residential Asset Securitization Trust 3.71%, 05/25/33++ 2,783,816 2,787,441 Residential Funding Mortgage Securities I 6.50%, 03/25/32 250,694 253,745 5.50%, 09/25/33 2,173,176 2,209,923 Sequoia Mortgage Trust 3.66%, 10/20/27++ 1,160,904 1,161,907 3.71%, 10/20/33++ 813,953 817,891 Structured Adjustable Rate Mortgage Loan Trust 4.92%, 03/25/34++ 2,291,320 2,275,700 3.32%, 09/25/34++ 1,880,587 1,882,051 Structured Asset Mortgage Investments, Inc. 4.95%, 10/19/34++ 2,408,533 2,490,131 Structured Asset Securities Corporation 7.50%, 06/28/31 71,070 70,911 4.94%, 12/25/33++ 2,184,107 2,212,783 Washington Mutual Mortgage Securities Corporation 4.51%, 03/25/32++ 592,766 594,537 Washington Mutual, Inc. 3.58%, 12/25/27 STEP 5,389,272 5,384,011 3.75%, 06/25/42++ 401,629 405,650 3.44%, 01/25/45 STEP 4,972,520 4,973,199 3.47%, 01/25/45 STEP 2,906,675 2,915,510 Wells Fargo Mortgage-Backed Securities Trust 3.39%, 07/25/34++ 2,707,012 2,716,735 3.99%, 01/25/35++ 3,337,244 3,307,874 4.57%, 02/25/35++ 5,633,069 5,624,017 -------------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $251,021,522) 250,424,661 -------------- MUNICIPAL BONDS -- 0.7% Honolulu, Hawaii City & County, Series B General Obligation Bond (MBIA Insured) 5.00%, 07/01/12 1,200,000 1,325,568 New York City, New York Municipal Water Finance Authority Water & Sewer System, Series C Revenue Bond 5.00%, 06/15/35 3,200,000 3,389,120
PAR VALUE ----------- -------------- Sales Tax Asset Receivable Corporation, New York, Series B Revenue Bond (FSA Insured) 3.60%, 10/15/08 $ 425,000 $ 418,659 Texas State Public Finance Authority, Series B Revenue Bond 2.63%, 06/15/06 1,365,000 1,351,022 -------------- TOTAL MUNICIPAL BONDS (Cost $6,406,869) 6,484,369 -------------- NUMBER OF CONTRACTS ----------- OPTIONS -- 0.0% PUT OPTIONS -- 0.0% 90-Day Eurodollar Futures, Strike Price $94.75, Expires 09/19/05 143 1,787 90-Day Eurodollar Futures, Strike Price $95.38, Expires 09/19/05 66 413 -------------- TOTAL OPTIONS (Cost $1,983) 2,200 -------------- SHARES ----------- PREFERRED STOCKS -- 0.0% Fannie Mae 7.00%+ (Cost $82,500) 1,650 91,524 -------------- PAR ----------- REPURCHASE AGREEMENT -- 6.5% Credit Suisse First Boston 2.70% (dated 06/30/05, matures 07/01/05, repurchase price $56,204,215, collateralized by U.S. Treasury Notes, 3.50% due 11/15/09: total market value $57,477,854) (Cost $56,200,000) $56,200,000 56,200,000 -------------- SHARES ----------- SHORT-TERM INVESTMENTS -- 13.3% AB Funds Trust -- Money Market Fund (GS4 Class)(inf) 28,585,204 $ 28,585,204 Northern Institutional Liquid Assets Portfoliosec. 86,615,681 86,615,681 -------------- TOTAL SHORT-TERM INVESTMENTS (Cost $115,200,885) 115,200,885 --------------
See Notes to Financial Statements. 47 LOW-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ----------- -------------- U.S. TREASURY OBLIGATIONS -- 20.4% U.S. Treasury Bills 2.93%, 09/01/05++++ $ 15,000 $ 14,923 2.90%, 09/15/05++++ 30,000 29,811 2.95%, 09/15/05++++ 1,215,000 1,207,335 2.98%, 09/15/05++++ 30,000 29,811 3.03%, 09/15/05 10,000 9,937 -------------- 1,291,817 -------------- U.S. Treasury Bonds 12.75%, 11/15/10+++ 12,315,000 12,743,143 10.38%, 11/15/12+++ 2,535,000 2,916,538 7.13%, 02/15/23+++ 800,000 1,081,375 -------------- 16,741,056 -------------- U.S. Treasury Inflationary Index Bonds 3.63%, 01/15/08+++ 6,000,000 7,648,216 2.00%, 07/15/14+++ 5,000,000 5,319,407 -------------- 12,967,623 -------------- U.S. Treasury Notes 5.75%, 11/15/05+++ 1,350,000 1,362,393 1.88%, 11/30/05+++ 5,250,000 5,221,088 2.25%, 04/30/06+++ 10,680,000 10,573,627 2.50%, 05/31/06+++ 3,680,000 3,647,082 2.75%, 06/30/06+++ 9,655,000 9,583,727 2.75%, 07/31/06+++ 18,670,000 18,517,578 2.38%, 08/31/06+++ 12,960,000 12,787,878 2.50%, 09/30/06+++ 2,075,000 2,048,091 2.50%, 10/31/06+++ 13,895,000 13,701,776 2.88%, 11/30/06+++ 695,000 688,132 3.50%, 05/31/07 28,000,000 27,923,449 3.63%, 06/30/07 10,575,000 10,571,701 3.75%, 05/15/08 20,000,000 20,050,020 6.50%, 02/15/10+++ 7,000,000 7,814,030 4.00%, 02/15/14+++ 1,600,000 1,610,126 -------------- 146,100,698 -------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $178,597,243) 177,101,194 -------------- TOTAL INVESTMENTS -- 123.0% (Cost $1,071,608,929) 1,066,215,325 -------------- NUMBER OF CONTRACTS ----------- WRITTEN OPTIONS -- 0.0% CALL SWAPTIONS -- 0.0% 3-Month LIBOR, Strike Price $4.00, Expires 10/31/05 (640) $ (32,378) -------------- PUT OPTIONS -- 0.0% British Pounds 90-Day LIBOR Futures, Strike Price $94.25, Expires 12/21/05 (25) 0 --------------
NUMBER OF CONTRACTS VALUE ----------- -------------- PUT SWAPTIONS -- 0.0% 3-Month LIBOR, Strike Price $7.00, Expires 10/31/05 (640) $ 0 -------------- TOTAL WRITTEN OPTIONS (Premiums received $(184,960)) (32,378) -------------- LIABILITIES IN EXCESS OF OTHER ASSETS -- (23.0%) (199,006,535) -------------- NET ASSETS -- 100.0% $ 867,176,412 ==============
Swap agreements outstanding at June 30, 2005:
UNREALIZED EXPIRATION APPRECIATION/ DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION) ----------- ---------- -------------- -------------- BRITISH POUNDS Receive fixed rate payments of 5.00% and pay variable rate payments on the six month LIBOR floating rate(f) 09/15/10 $ 6,600,000 $ 313,708 Receive fixed rate payments of 5.00% and pay variable rate payments on the six month LIBOR floating rate(d) 09/15/10 4,000,000 190,126 Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 5.00%(f) 12/16/19 (6,600,000) (172,757) Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 5.00%(d) 06/18/34 (1,900,000) (189,891) ----------- 141,186 ----------- EUROS Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 4.00%(d) 12/15/14 (7,300,000) (524,458) -----------
See Notes to Financial Statements. 48
UNREALIZED EXPIRATION APPRECIATION/ DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION) ----------- ---------- -------------- -------------- U.S. DOLLARS Receive fixed rate payments of 0.48% and pay floating rate par in event of default on Russian Federation, 5.00% due 03/31/30(e) 08/20/05 $ 600,000 $ 130 Receive fixed rate payments of 0.55% and pay floating rate par in event of default on Russian Federation, 5.00% due 03/31/30(i) 09/07/05 400,000 135 Receive fixed rate payments of 0.61% and pay floating rate par in event of default on Russian Federation, 5.00% due 03/31/30(h) 03/20/07 1,300,000 127 Receive fixed rate payments of 0.70% and pay floating rate par in event of default on Russian Federation, 5.00% due 03/31/30(a) 03/20/07 3,700,000 5,276 Receive fixed rate payments of 0.77% and pay floating rate par in event of default on Russian Federation, 5.00% due 03/31/30(g) 05/20/07 200,000 543 Receive fixed rate payments of 4.00% and pay variable rate payments on the three month LIBOR floating rate(d) 12/15/07 57,700,000 (111,280) Receive variable rate payments on the three month LIBOR floating rate and pay fixed rate payments of 4.00%(a) 12/15/07 (6,000,000) 11,572
UNREALIZED EXPIRATION APPRECIATION/ DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION) ----------- ---------- -------------- -------------- Receive variable rate payments on the three month LIBOR floating rate and pay fixed rate payments of 4.00%(a) 12/15/10 $(13,100,000) $ 126,442 Receive variable rate payments on the three month LIBOR floating rate and pay fixed rate payments of 5.00%(a) 12/15/15 (18,100,000) (840,828) ----------- (807,883) ----------- $(1,191,155) ===========
PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Agency Obligations 14.7 Asset-Backed Securities 20.9 Certificates of Deposit 0.4 Corporate Bonds 11.7 Foreign Bonds 5.5 Forward Foreign Currency Contracts (2.5) Futures Contracts 38.5 Mortgage-Backed Securities 28.9 Municipal Bonds 0.7 Options --* Preferred Stocks --* Repurchase Agreements 6.5 Short Term Investments 13.3 Swap Contracts (0.1) U.S. Treasury Obligations 20.4 Written Options --* ------ 158.9 ======
--------------- + Based on net assets. * Rounds to less than 0.005%. See Notes to Financial Statements. 49 MEDIUM-DURATION BOND FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK** ---------- ---------- ---------- ----------- ---------- --------------------- One Year 7.48% 7.30% 6.95% 6.80% N/A N/A Since Inception 6.46% 6.51% 6.18% 5.96% 3.07%(1) 3.13%(1) Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. [LINE GRAPH]
LEHMAN BROTHERS AGGREGATE BOND GS4 CLASS INDEX** --------- ------------------------------ Aug 27 2001 10000 10000 10051 10056 Sep 2001 10123 10173 10364 10386 10223 10243 Dec 2001 10149 10177 10253 10260 10387 10359 Mar 2002 10223 10187 10422 10384 10479 10473 Jun 2002 10453 10563 10466 10691 10685 10871 Sep 2002 10774 11047 10752 10997 10833 10994 Dec 2002 11079 11221 11165 11231 11315 11386 Mar 2003 11312 11377 11461 11471 11671 11685 Jun 2003 11674 11662 11295 11270 11403 11345 Sep 2003 11721 11645 11638 11536 11704 11564 Dec 2003 11811 11682 11898 11776 12014 11903 Mar 2004 12105 11992 11831 11680 11802 11634 Jun 2004 11875 11700 11978 11816 12202 12041 Sep 2004 12251 12074 12353 12175 12306 12078 Dec 2004 12425 12189 12472 12266 12430 12193 Mar 2005 12379 12131 12532 12295 12663 12428 Jun 2005 12741 12496
The graph compares the results of a $10,000 investment in the GS4 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 U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Unlike a mutual fund, the performance of an index assumes no taxes, transaction costs, management fees or other expenses. --------------- (1) Non-annualized. 50 MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 PAR VALUE ------------- ------------ -------------- AGENCY OBLIGATIONS -- 4.9% Federal Home Loan Bank 2.50%, 04/11/06 $ 5,000,000 $ 4,953,570 2.88%, 05/22/06 3,000,000 2,977,587 3.26%, 12/13/06++ 4,900,000 4,900,319 3.50%, 02/13/09 1,000,000 986,019 4.08%, 04/26/10 1,500,000 1,505,400 Federal Home Loan Mortgage Corporation 3.00%, 07/09/08 $ 2,000,000 $ 1,949,970 6.88%, 09/15/10 2,000,000 2,266,088 Federal National Mortgage Association 2.65%, 07/01/05 4,700,000 4,700,000 3.39%, 12/05/05++++ 445,000 438,276 3.25%, 07/12/06 5,000,000 4,974,569 3.05%, 10/13/06 2,000,000 1,981,784 7.25%, 01/15/10 9,000,000 10,215,459 7.13%, 06/15/10 8,500,000 9,690,672 -------------- TOTAL AGENCY OBLIGATIONS (Cost $51,370,411) 51,539,713 -------------- ASSET-BACKED SECURITIES -- 3.6% ACE Securities Corporation 3.42%, 04/25/34 STEP 415,183 415,176 American Express Credit Account Master Trust 3.36%, 04/15/08++ 3,000,000 3,000,867 Amortizing Residential Collateral Trust 3.59%, 04/25/32++ 149,725 149,983 AQ Finance NIM Trust 3.53%, 01/25/09 144A++ 82,247 82,240 Bayview Financial Acquisition Trust 3.77%, 02/28/44++ 2,237,638 2,245,330 Centex Home Equity 3.61%, 09/26/33++ 448,729 449,206 Chesapeake Funding LLC 3.41%, 08/07/08++ 2,016,703 2,017,472 Citibank Credit Card Issuance Trust 4.22%, 02/09/09++ 670,000 677,488 CitiFinancial Mortgage Securities, Inc. 3.60%, 08/25/33 STEP 212,441 212,543 Conseco Finance Securitizations Corporation 6.77%, 09/01/32 892,113 902,369 8.96%, 02/01/33 IO(omg)@ 11,970,000 445,164 5.16%, 05/01/33 9,835 9,836 Countrywide Asset-Backed Certificates 3.46%, 10/25/23 STEP 529,887 529,940
PAR VALUE ------------ -------------- Countrywide Home Equity Loan Trust 3.48%, 04/15/28++ 232,445 232,330 3.57%, 03/15/29++ 2,858,202 2,866,478 3.51%, 05/15/29++ 2,698,407 2,706,918 CS First Boston Mortgage Securities Corporation 3.45%, 05/25/35 STEP 2,472,184 2,472,360 EMC Mortgage Loan Trust 3.86%, 11/25/41 144A++ 1,140,806 1,145,975 EQCC Trust 3.61%, 10/25/31++ 282,711 283,183 Fannie Mae Grantor Trust 3.36%, 07/25/35 STEP 100,000 100,031 First Horizon Asset Back Trust 3.60%, 10/25/34++ 1,553,516 1,558,742 Fleet Home Equity Loan Trust 3.47%, 05/30/31++ 962,630 962,584 GSAMP Trust 3.46%, 08/25/34++ 222,695 222,691 HFC Home Equity Loan Asset-Backed Certificates 3.61%, 10/20/32++ 479,369 479,685 3.81%, 10/20/32++ 801,510 802,552 Home Equity Mortgage Trust 3.46%, 12/25/34++ 348,871 348,899 Household Mortgage Loan Trust 3.59%, 06/20/33++ 488,252 489,004 Madison Avenue Manufactured Housing Contract 3.66%, 09/25/08++ 1,758,815 1,761,208 Master Asset-Backed Securities Trust 3.50%, 03/25/35 STEP 2,000,000 2,000,483 Metropolitan Asset Funding, Inc. 3.77%, 04/25/29 STEP 144A 13,359 13,357 Morgan Stanley Dean Witter Credit Corporation HELOC Trust 3.50%, 07/25/17 STEP 520,611 520,641 NextCard Credit Card Master Note Trust 10.09%, 12/15/06 144A++ 910,000 92,443 Provident Bank Home Equity Loan Trust 3.58%, 08/25/31++ 388,177 388,791 Quest Trust 3.87%, 06/25/34 144A++ 654,766 656,604 Residential Asset Mortgage Products, Inc. 3.55%, 03/25/34 STEP 2,162,721 2,162,677
See Notes to Financial Statements. 51 MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ------------ -------------- Salomon Brothers Mortgage Securities VII 3.79%, 03/30/28 STEP $ 180,084 $ 180,097 Saxon Asset Securities Trust 3.63%, 06/25/33 STEP 17,818 17,828 Structured Asset Securities Corporation 3.76%, 02/25/33++ 363,232 363,794 SVO Timeshare Mortgage Corporation 5.47%, 10/20/13 144A 308,482 311,021 Washington Mutual, Inc. 3.34%, 07/15/20 3,000,000 3,000,000 -------------- TOTAL ASSET-BACKED SECURITIES (Cost $38,385,011) 37,277,990 -------------- CORPORATE BONDS -- 11.6% ACE Capital Trust II 9.70%, 04/01/30+++ 60,000 83,040 ACE INA Holdings, Inc. 8.30%, 08/15/06 550,000 574,377 5.88%, 06/15/14 150,000 157,467 AES Corporation (The) 9.50%, 06/01/09+++ 42,000 47,040 9.38%, 09/15/10+++ 30,000 34,125 8.75%, 05/15/13 144A 520,000 583,700 9.00%, 05/15/15 144A 760,000 856,899 Alltel Corporation 4.66%, 05/17/07+++ 350,000 352,904
PAR VALUE ------------ -------------- Amerada Hess Corporation 7.30%, 08/15/31 $ 1,320,000 $ 1,597,786 7.13%, 03/15/33+++ 400,000 476,015 American Achievement Corporation 8.25%, 04/01/12 30,000 30,300 AmeriGas Partners LP 7.25%, 05/20/15 144A 80,000 83,600 AmerisourceBergen Corporation 8.13%, 09/01/08 80,000 87,200 Ameritech Capital Funding 6.25%, 05/18/09 100,000 106,394 AMFM, Inc. 8.00%, 11/01/08 1,075,000 1,156,648 ANZ Capital Trust I 4.48%, 01/29/49 144A 125,000 124,581 5.36%, 12/29/49 144A 800,000 824,665 Apache Corporation 6.25%, 04/15/12+++ 300,000 335,452 ASIF Global Financing XIX 4.90%, 01/17/13 144A 380,000 386,206 Astoria Financial Corporation 5.75%, 10/15/12 450,000 472,154 Bank One Corporation 4.13%, 09/01/07+++ 1,100,000 1,105,051 Bank United Corporation 8.88%, 05/01/07 125,000 134,488 Beazer Homes USA 8.63%, 05/15/11+++ 10,000 10,650 BellSouth Capital Funding 7.88%, 02/15/30 460,000 595,568 BellSouth Corporation 4.75%, 11/15/12 170,000 171,156 6.88%, 10/15/31+++ 10,000 11,876 Boeing Co. (The) 6.63%, 02/15/38 210,000 260,036 Case New Holland, Inc. 9.25%, 08/01/11 144A 39,000 41,145 Cendant Corporation 6.25%, 01/15/08 150,000 156,559 CenterPoint Energy Resources Corporation 7.88%, 04/01/13 50,000 59,480 5.95%, 01/15/14 1,025,000 1,097,113 CenterPoint Energy, Inc. 7.25%, 09/01/10 75,000 83,305 Charter Communications Operating LLC 8.00%, 04/30/12 144A+++@ 250,000 250,000 Chesapeake Energy Corporation 7.50%, 09/15/13 50,000 54,375 Cincinnati Bell, Inc. 7.25%, 07/15/13+++ 60,000 63,300 7.00%, 02/15/15 144A 101,000 99,233 Citigroup, Inc. 5.00%, 03/06/07+++ 2,200,000 2,238,267 5.00%, 09/15/14 144A 325,000 333,068 Clear Channel Communications, Inc. 4.25%, 05/15/09 250,000 241,128 Cleveland Electric Illuminating Co. (The) 5.65%, 12/15/13 60,000 63,210 7.88%, 11/01/17 2,050,000 2,573,013 Clorox Co. 3.53%, 12/14/07++ 1,500,000 1,503,035 CNA Financial Corporation 6.75%, 11/15/06 180,000 185,607 Comcast Cable Communications Holdings, Inc. 8.38%, 03/15/13 225,000 274,758 9.46%, 11/15/22 600,000 850,883 Comcast Cable Communications, Inc. 6.75%, 01/30/11 740,000 817,363 Comcast Corporation 10.50%, 06/15/06 650,000 684,540 Computer Associates International, Inc. 4.75%, 12/01/09 144A@ 425,000 424,064 ConocoPhillips 8.75%, 05/25/10 230,000 274,265
See Notes to Financial Statements. 52
PAR VALUE ------------ -------------- ConocoPhillips Holding Co. 6.95%, 04/15/29+++ $ 565,000 $ 712,108 Cox Communications, Inc. 4.63%, 01/15/10 144A 800,000 798,694 Cox Enterprises, Inc. 4.38%, 05/01/08 144A 600,000 595,006 CSC Holdings, Inc. 7.63%, 04/01/11+++ 560,000 555,800 6.75%, 04/15/12 144A 60,000 56,700 7.63%, 07/15/18 50,000 48,500 D.R. Horton, Inc. 8.50%, 04/15/12 10,000 10,950 DaimlerChrysler NA Holding Corporation 3.89%, 05/24/06++ 1,200,000 1,203,395 4.23%, 08/08/06++ 2,200,000 2,215,677 7.30%, 01/15/12 550,000 615,396 6.50%, 11/15/13 210,000 227,633 Dana Corporation 5.85%, 01/15/15 144A+++ 200,000 177,000 DaVita, Inc. 6.63%, 03/15/13 144A 10,000 10,375 7.25%, 03/15/15 144A+++ 30,000 30,975 Delta Air Lines, Inc. 6.42%, 07/02/12 400,000 421,070 6.72%, 01/02/23+++ 697,837 732,502 Devon Energy Corporation 7.95%, 04/15/32+++ 745,000 983,105 Dominion Resources, Inc. 4.13%, 02/15/08 70,000 69,744 5.13%, 12/15/09+++ 230,000 236,309 4.75%, 12/15/10 70,000 70,509 5.70%, 09/17/12 270,000 285,141 Dryden Investor Trust 7.16%, 07/23/08 144A@ 1,352,896 1,408,108 Dynegy Holdings, Inc. 8.75%, 02/15/12+++ 910,000 996,450 Eastman Kodak Co. 7.25%, 11/15/13+++ 330,000 348,595 Echostar DBS Corporation 5.75%, 10/01/08+++ 500,000 499,375 6.35%, 10/01/08++ 103,000 105,833 6.63%, 10/01/14 30,000 29,775 El Paso Corporation 3.35%, 02/28/21 CONV(omg) 70,000 37,800 8.05%, 10/15/30+++ 600,000 597,000 7.80%, 08/01/31+++ 1,150,000 1,124,125 7.75%, 01/15/32+++ 530,000 519,400 El Paso Natural Gas Co. 8.38%, 06/15/32 210,000 245,280 Enterprise Products Operating LP 4.95%, 06/01/10 225,000 226,302 EOP Operating LP 7.75%, 11/15/07 100,000 107,434 Firstar Bank NA 7.13%, 12/01/09 170,000 190,149
PAR VALUE ------------ -------------- FirstEnergy Corporation 5.50%, 11/15/06 $ 600,000 $ 610,478 6.45%, 11/15/11 70,000 76,584 7.38%, 11/15/31+++ 1,700,000 2,084,749 Ford Motor Co. 6.63%, 10/01/28 150,000 117,973 7.45%, 07/16/31+++ 1,090,000 912,277 Ford Motor Credit Co. 3.59%, 07/18/05++ 3,200,000 3,198,745 6.88%, 02/01/06 450,000 454,561 4.95%, 01/15/08 760,000 725,400 6.63%, 06/16/08 350,000 345,904 7.38%, 10/28/09 2,960,000 2,895,094 5.70%, 01/15/10+++ 250,000 230,809 7.88%, 06/15/10 590,000 583,626 7.38%, 02/01/11+++ 3,980,000 3,881,275 7.00%, 10/01/13+++ 50,000 48,047 Forest City Enterprises, Inc. 7.63%, 06/01/15 20,000 21,500 6.50%, 02/01/17+++ 49,000 49,123 Fresenius Medical Care Capital Trust II 7.88%, 02/01/08 169,000 177,028 General Electric Capital Corporation 5.45%, 01/15/13 460,000 488,711 General Electric Co. 5.00%, 02/01/13 1,170,000 1,209,934 General Motors Acceptance Corporation 4.39%, 10/20/05++ 800,000 800,751 6.75%, 01/15/06 475,000 478,809 4.00%, 02/09/06(E) 350,000 423,524 5.75%, 02/14/06(E) 325,000 395,363 6.13%, 09/15/06 210,000 210,210 6.13%, 02/01/07+++ 170,000 168,897 4.13%, 03/20/07++ 900,000 873,280 6.15%, 04/05/07 270,000 268,705 6.13%, 08/28/07 1,460,000 1,445,702 5.63%, 05/15/09 840,000 787,320 7.75%, 01/19/10 500,000 489,230 General Motors Corporation 8.38%, 07/05/33(E)+++ 170,000 170,000 8.38%, 07/15/33+++ 3,410,000 2,864,399 Georgia-Pacific Corporation 8.13%, 05/15/11+++ 4,000 4,530 9.50%, 12/01/11+++ 15,000 18,188 9.38%, 02/01/13 4,000 4,545 Greenpoint Financial Corporation 3.20%, 06/06/08 300,000 291,393 HCA, Inc. 6.95%, 05/01/12 125,000 133,127 7.69%, 06/15/25 150,000 161,456 Heinz (H.J.) Co. 6.19%, 12/01/20 144A++@ 1,500,000 1,514,267
See Notes to Financial Statements. 53 MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ------------ -------------- Host Marriott LP 9.50%, 01/15/07 $ 550,000 $ 585,750 9.25%, 10/01/07 32,000 34,720 HSBC Bank USA NA 3.51%, 09/21/07++ 1,300,000 1,301,320 HSBC Finance Corporation 8.00%, 07/15/10 440,000 508,234 7.00%, 05/15/12 390,000 443,019 6.38%, 11/27/12+++ 70,000 77,534 IMC Global, Inc. 10.88%, 06/01/08+++ 49,000 55,370 10.88%, 08/01/13 50,000 58,875 International Paper Co. 5.50%, 01/15/14 265,000 271,055 iStar Financial, Inc. 8.75%, 08/15/08+++ 200,000 223,735 6.50%, 12/15/13 125,000 131,470 5.70%, 03/01/14+++ 400,000 405,822 JPM Capital Trust II 7.95%, 02/01/27 700,000 760,752 JPMorgan Chase & Co. 5.75%, 01/02/13 320,000 343,375 Kansas City Southern Railway 9.50%, 10/01/08 119,000 130,305 Kerr-McGee Corporation 7.88%, 09/15/31+++ 260,000 297,364 L-3 Communications Corporation 7.63%, 06/15/12+++ 250,000 267,500 La Quinta Properties, Inc. 7.00%, 08/15/12 20,000 20,775 Lamar Media Corporation 7.25%, 01/01/13+++ 100,000 106,000 Lehman Brothers Holdings, Inc. 4.00%, 01/22/08+++ 570,000 568,303 Liberty Media Corporation 5.70%, 05/15/13 315,000 293,435 3.75%, 02/15/30 CONV 40,000 23,850 Liberty Media Group 7.88%, 07/15/09 10,000 10,681 Liberty Mutual Group 5.75%, 03/15/14 144A+++ 250,000 252,102 7.00%, 03/15/34 144A 75,000 79,181 Lockheed Martin Corporation 8.50%, 12/01/29 190,000 275,249 Lubrizol Corporation 4.63%, 10/01/09+++ 475,000 475,512 5.50%, 10/01/14 150,000 154,977 Lyondell Chemical Co. 9.63%, 05/01/07 48,000 51,480 9.88%, 05/01/07+++ 106,000 109,180 MacDermid, Inc. 9.13%, 07/15/11 111,000 120,158 Manor Care, Inc. 8.00%, 03/01/08 87,000 94,402 Mediacom LLC 9.50%, 01/15/13+++ 500,000 501,250
PAR VALUE ------------ -------------- Merrill Lynch & Co., Inc. 3.38%, 09/14/07 $ 420,000 $ 416,013 Millennium America, Inc. 9.25%, 06/15/08+++ 4,000 4,350 Nabisco, Inc. 7.55%, 06/15/15 1,530,000 1,865,598 New Cingular Wireless Services, Inc. 7.88%, 03/01/11 100,000 116,352 8.13%, 05/01/12+++ 135,000 161,968 Nextel Communications, Inc. 5.95%, 03/15/14 294,000 306,863 7.38%, 08/01/15 130,000 141,050 Niagara Mohawk Power Corporation 7.75%, 10/01/08 1,340,000 1,473,341 Nortek, Inc. 8.50%, 09/01/14 125,000 116,875 Northrop Grumman Corporation 4.08%, 11/16/06 280,000 279,283 Omnicare, Inc. 8.13%, 03/15/11 239,000 253,340 Oncor Electric Delivery Co. 6.38%, 01/15/15+++ 140,000 155,464 Oxford Industries, Inc. 8.88%, 06/01/11 60,000 64,500 Pacific Energy Partners LP 7.13%, 06/15/14 60,000 62,775 Pacific Gas & Electric Co. 3.82%, 04/03/06+++++ 324,000 324,000 6.05%, 03/01/34 710,000 785,274 Patrons' Legacy 5.65%, 01/17/17 144A 640,000 651,949 Peabody Energy Corporation 6.88%, 03/15/13+++ 145,000 154,425 Pemex Project Funding Master Trust 9.13%, 10/13/10 1,075,000 1,261,513 PHH Corporation 6.00%, 03/01/08 475,000 489,924 Plains Exploration & Production Co. 7.13%, 06/15/14+++ 100,000 107,500 Pliant Corporation 11.63%, 06/15/09 144A 212,746 228,702 Popular North America, Inc. 6.13%, 10/15/06 200,000 203,931 4.25%, 04/01/08 300,000 300,217 3.88%, 10/01/08 250,000 247,495 PPL Capital Funding Trust I 7.29%, 05/18/06 1,400,000 1,433,985 Pride International, Inc. 7.38%, 07/15/14 130,000 143,325 Prudential Funding LLC 6.60%, 05/15/08 144A 600,000 640,119
See Notes to Financial Statements. 54
PAR VALUE ------------ -------------- PVNGS II Funding Corporation, Inc. 8.00%, 12/30/15 $ 1,800,000 $ 2,000,426 Qwest Capital Funding, Inc. 7.25%, 02/15/11+++ 200,000 192,500 Qwest Corporation 5.63%, 11/15/08+++ 600,000 592,500 9.13%, 03/15/12 144A 250,000 273,125 7.50%, 06/15/23 500,000 463,750 Rabobank Capital Funding II 5.26%, 12/29/13 144A+++++ 50,000 51,525 Rabobank Capital Funding Trust III 5.25%, 10/31/49 144A++ 350,000 359,772 Raytheon Co. 6.00%, 12/15/10 5,000 5,352 5.50%, 11/15/12+++ 10,000 10,537 5.38%, 04/01/13+++ 115,000 119,954 Reader's Digest Association, Inc. 6.50%, 03/01/11+++ 40,000 40,800 Russell Corporation 9.25%, 05/01/10 10,000 10,600 Ryland Group, Inc. 9.75%, 09/01/10 136,000 146,254 Safeco Corporation 4.20%, 02/01/08 450,000 448,374 SBC Communications, Inc. 4.13%, 09/15/09 425,000 421,880 5.10%, 09/15/14 420,000 430,219 Schuler Homes, Inc. 9.38%, 07/15/09 38,000 39,846 Simon Property Group LP 7.38%, 01/20/06 900,000 915,528 Sithe/Independence Funding Corporation 9.00%, 12/30/13 30,000 32,320 SLM Corporation 4.27%, 04/01/09++ 1,100,000 1,081,575 Solo Cup Co. 8.50%, 02/15/14+++ 30,000 28,200 Sonat, Inc. 7.63%, 07/15/11 460,000 465,750 Southern California Edison Co. 6.38%, 01/15/06 500,000 506,258 Southern Natural Gas Co. 8.88%, 03/15/10+++ 130,000 143,251 8.00%, 03/01/32 400,000 456,917 Sovereign Bancorp, Inc. 3.62%, 08/25/06++ 300,000 300,664 Sovereign Bank 5.13%, 03/15/13 50,000 51,067 4.38%, 08/01/13++ 525,000 522,955 Sprint Capital Corporation 4.78%, 08/17/06 STEP 710,000 715,375 6.00%, 01/15/07 290,000 297,284 6.13%, 11/15/08+++ 560,000 590,407
PAR VALUE ------------ -------------- 8.38%, 03/15/12 $ 300,000 $ 361,323 6.88%, 11/15/28 775,000 892,358 Suburban Propane Partners LP 6.88%, 12/15/13 144A 90,000 85,950 6.88%, 12/15/13 30,000 28,650 TCI Communications Financing III 9.65%, 03/31/27 2,610,000 2,964,719 Tenet Healthcare Corporation 7.38%, 02/01/13+++ 170,000 168,725 9.25%, 02/01/15 144A 1,655,000 1,725,338 Terex Corporation 7.38%, 01/15/14+++ 20,000 20,800 Time Warner Entertainment Co. LP 8.38%, 07/15/33 320,000 426,060 Time Warner, Inc. 6.88%, 05/01/12 110,000 124,298 7.70%, 05/01/32+++ 1,310,000 1,662,521 Toys "R" Us, Inc. 7.38%, 10/15/18 170,000 138,550 TXU Corporation 4.80%, 11/15/09 144A 575,000 567,393 6.50%, 11/15/24 144A 475,000 467,657 6.55%, 11/15/34 144A+++ 1,080,000 1,066,092 TXU Energy Co. LLC 3.92%, 01/17/06++ 155,000 154,980 3.92%, 01/17/06 144A++ 700,000 700,197 7.00%, 03/15/13 150,000 167,537 Tyco International Group SA Participation Certificate Trust 4.44%, 06/15/07 144A@ 400,000 400,982 Tyson Foods, Inc. 7.25%, 10/01/06 100,000 103,685 8.25%, 10/01/11+++ 100,000 118,745 Unilever Capital Corporation 7.13%, 11/01/10 285,000 322,550 Union Pacific Corporation 6.65%, 01/15/11+++ 260,000 289,584 United Air Lines, Inc. 9.21%, 01/21/17#@ 200,000 106,391 9.56%, 10/19/18#@ 262,152 100,508 United Telephone Co. of Kansas 6.89%, 07/01/08@ 500,000 522,973 Ventas Realty LP 8.75%, 05/01/09+++ 70,000 77,700 9.00%, 05/01/12+++ 30,000 34,650 Verizon Global Funding Corporation 6.88%, 06/15/12+++ 40,000 45,458 4.38%, 06/01/13+++ 140,000 138,667 Vintage Petroleum, Inc. 8.25%, 05/01/12 250,000 272,500 Washington Mutual, Inc. 8.25%, 04/01/10 250,000 287,406
See Notes to Financial Statements. 55 MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ------------ -------------- Waste Management, Inc. 7.75%, 05/15/32 $ 980,000 $ 1,247,200 Westlake Chemical Corporation 8.75%, 07/15/11 32,000 34,960 Weyerhaeuser Co. 6.00%, 08/01/06 200,000 203,615 6.75%, 03/15/12+++ 705,000 776,721 Williams Cos., Inc. 7.50%, 01/15/31 270,000 293,625 7.75%, 06/15/31+++ 200,000 221,500 8.75%, 03/15/32+++ 1,130,000 1,363,062 Xerox Corporation 7.13%, 06/15/10 250,000 267,188 XTO Energy, Inc. 7.50%, 04/15/12 43,000 49,523 6.25%, 04/15/13+++ 255,000 276,398 -------------- TOTAL CORPORATE BONDS (Cost $116,598,744) 121,551,388 -------------- FOREIGN BONDS -- 12.7% AUSTRALIA -- 0.2% Australian Government 5.25%, 08/15/10(A) 2,460,000 1,885,349 QBE Insurance Group, Ltd. 5.65%, 07/01/23 144A++ 525,000 537,796 -------------- 2,423,145 -------------- BAHAMAS -- 0.0% Teekay Shipping Corporation 8.88%, 07/15/11 176,000 201,740 -------------- BERMUDA -- 0.5% Arch Capital Group, Ltd. 7.35%, 05/01/34 550,000 622,725 Intelsat, Ltd. 6.50%, 11/01/13+++ 110,000 89,650 Tyco International Group SA 6.38%, 02/15/06 100,000 101,353 5.80%, 08/01/06 800,000 814,538 6.13%, 11/01/08+++ 90,000 95,369 6.00%, 11/15/13 2,920,000 3,180,742 -------------- 4,904,377 -------------- BRAZIL -- 0.8% Federal Republic of Brazil 8.00%, 10/15/05 717,735 739,802 4.25%, 04/15/06++ 352,000 352,369 14.50%, 10/15/09+++ 900,000 1,170,000 12.00%, 04/15/10+++ 410,000 500,200 4.31%, 04/15/12+++++ 362,358 348,883 4.31%, 04/15/12++ 123,531 119,517 8.00%, 04/15/14 211,098 217,588 10.13%, 05/15/27+++ 800,000 930,800 11.00%, 08/17/40+++ 3,625,000 4,365,407 -------------- 8,744,566 -------------- BULGARIA -- 0.1% Republic of Bulgaria 8.25%, 01/15/15 480,000 605,568 8.25%, 01/15/15 144A 260,000 326,625 -------------- 932,193 --------------
PAR VALUE ------------ -------------- CANADA -- 0.4% Bombardier Capital Funding LP 6.13%, 05/14/07(E) $ 250,000 $ 310,207 Canadian Government Inflationary Index 4.00%, 12/01/31(C) 770,000 1,055,243 Cascades, Inc. 7.25%, 02/15/13 16,000 15,720 Conoco Funding Co. 7.25%, 10/15/31+++ 315,000 414,902 General Motors Nova Scotia Finance Co. 6.85%, 10/15/08 1,670,000 1,575,284 Hydro Quebec 6.30%, 05/11/11 305,000 337,433 Rogers Cable, Inc. 5.50%, 03/15/14 250,000 236,875 Rogers Wireless Communications, Inc. 6.54%, 12/15/10++ 250,000 261,875 6.38%, 03/01/14 144A 100,000 102,250 7.50%, 03/15/15 10,000 10,925 Sun Media Corporation 7.63%, 02/15/13 50,000 53,188 Western Oil Sands, Inc. 8.38%, 05/01/12+++ 95,000 108,656 -------------- 4,482,558 -------------- CAYMAN ISLANDS -- 0.2% ACE, Ltd. 6.00%, 04/01/07 350,000 359,823 Mizuho Financial Group (Cayman), Ltd. 5.79%, 04/15/14 144A 500,000 526,830 Systems 2001 Asset Trust LLC 6.66%, 09/15/13 144A 874,183 953,965 -------------- 1,840,618 -------------- CHILE -- 0.0% Codelco, Inc. 4.75%, 10/15/14 144A 210,000 208,060 Empresa Nacional de Electricidad SA 8.35%, 08/01/13 130,000 151,260 -------------- 359,320 -------------- COLOMBIA -- 0.1% Republic of Colombia 10.50%, 07/09/10+++ 60,000 71,700 11.75%, 02/25/20+++ 605,000 798,600 -------------- 870,300 --------------
See Notes to Financial Statements. 56
PAR VALUE ------------ -------------- EL SALVADOR -- 0.0% Republic of El Salvador 8.25%, 04/10/32 $ 100,000 $ 107,700 7.65%, 06/15/35 144A@ 140,000 140,000 -------------- 247,700 -------------- FRANCE -- 2.2% France Government Inflationary Index 3.00%, 07/25/09(E) 4,810,000 7,107,469 French Treasury Bill 1.80%, 09/01/05(E)(omg) 13,000,000 15,678,062 Legrand SA 8.50%, 02/15/25 250,000 303,750 -------------- 23,089,281 -------------- GERMANY -- 2.7% Deutsche Bundesrepublik 5.00%, 01/04/12(E) 1,150,000 1,577,149 3.75%, 01/04/15(E)+++ 4,000,000 5,101,585 6.50%, 07/04/27(E) 12,300,000 21,381,598 Morgan Stanley (Gazprom) 9.63%, 03/01/13 144A 110,000 135,438 9.63%, 03/01/13 40,000 49,160 -------------- 28,244,930 -------------- GUATEMALA -- 0.0% Republic of Guatemala 8.13%, 10/06/34 144A 170,000 182,750 -------------- IRELAND -- 0.0% Eircom Funding 8.25%, 08/15/13+++ 130,000 141,700 -------------- ISRAEL -- 0.1% Israel Government 10.00%, 05/31/12(I) 1,000,000 268,254 7.50%, 03/31/14(I) 3,320,000 796,757 -------------- 1,065,011 -------------- ITALY -- 0.3% Republic of Italy 3.80%, 03/27/08(J)+++ 156,000,000 1,551,491 Telecom Italia Capital SA 4.00%, 01/15/10 144A+++ 225,000 218,850 5.25%, 11/15/13 165,000 167,790 4.95%, 09/30/14 144A 835,000 828,287 Telecom Italia Finance NV 7.75%, 01/24/33(E) 100,000 168,649 -------------- 2,935,067 -------------- JAPAN -- 0.0% Chuo Mitsui Trust & Banking Co., Ltd. 5.51%, 12/31/49 144A+++++ 250,000 246,065 -------------- MALAYSIA -- 0.1% Petronas Capital, Ltd. 7.88%, 05/22/22 144A+++ 430,000 550,834 -------------- MEXICO -- 1.1% America Movil SA de CV 4.13%, 03/01/09+++ 850,000 834,457 6.38%, 03/01/35 250,000 245,212
PAR VALUE ------------ -------------- United Mexican States 7.50%, 01/14/12 $ 750,000 $ 852,375 8.00%, 12/19/13(M) 35,900,000 3,033,634 11.50%, 05/15/26+++ 1,070,000 1,720,025 8.30%, 08/15/31 660,000 823,350 7.50%, 04/08/33 3,172,000 3,647,800 -------------- 11,156,853 -------------- NETHERLANDS -- 1.6% Deutsche Telekom International Finance BV 8.75%, 06/15/30 600,000 814,910 Dutch Treasury Certificate 2.01%, 09/30/05(E)(omg) 11,400,000 13,728,464 Netherlands Government 4.25%, 07/15/13(E) 1,580,000 2,086,692 TPSA Finance BV 7.75%, 12/10/08 144A 375,000 414,191 -------------- 17,044,257 -------------- PANAMA -- 0.2% Republic of Panama 8.25%, 04/22/08 520,000 569,400 9.63%, 08/08/11 80,000 96,000 10.75%, 05/15/20+++ 417,000 567,120 9.38%, 01/16/23 560,000 694,400 -------------- 1,926,920 -------------- PERU -- 0.1% Republic of Peru 5.00%, 03/07/17++ 221,000 212,315 5.00%, 03/07/17 144A++ 510,000 487,050 8.75%, 11/21/33 130,000 147,225 -------------- 846,590 -------------- POLAND -- 0.3% Poland Government 6.00%, 05/24/09(P) 11,440,000 3,586,753 -------------- QATAR -- 0.1% State of Qatar 9.75%, 06/15/30 500,000 780,100 -------------- RUSSIA -- 1.2% Ministry Finance of Russia 3.00%, 05/14/08 1,400,000 1,324,400 Russian Federation 8.25%, 03/31/10+++ 2,970,000 3,247,397 5.00%, 03/31/30 STEP+++ 6,920,000 7,742,580 -------------- 12,314,377 -------------- SINGAPORE -- 0.1% DBS Bank, Ltd. 5.00%, 11/15/19 144A+++++ 750,000 760,367 -------------- SOUTH KOREA -- 0.0% Export-Import Bank of Korea 5.25%, 02/10/14 144A 235,000 243,806 --------------
See Notes to Financial Statements. 57 MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ------------ -------------- UNITED KINGDOM -- 0.3% BP Capital Markets PLC 2.75%, 12/29/06 $ 740,000 $ 728,429 HBOS Capital Funding LP 6.07%, 12/31/49 144A+++++ 1,100,000 1,189,453 HSBC Capital Funding LP 4.61%, 12/29/49 144A+++++ 960,000 939,243 Royal & Sun Alliance Insurance Group 8.50%, 12/08/14(U)++ 150,000 310,170 -------------- 3,167,295 -------------- VENEZUELA -- 0.0% Petrozuata Finance, Inc. 8.22%, 04/01/17 144A 140,000 131,250 -------------- TOTAL FOREIGN BONDS (Cost $129,904,140) 133,420,723 -------------- MORTGAGE-BACKED SECURITIES -- 39.1% ABN Amro Mortgage Corporation 19.72%, 06/25/33 IO(omg)@ 941,328 106,334
PAR VALUE ------------ -------------- Bear Stearns Adjustable Rate Mortgage Trust 5.63%, 02/25/33++ $ 537,325 $ 543,077 3.52%, 06/25/34++ 1,300,000 1,262,753 Bear Stearns Alt-A Trust 3.63%, 02/25/34 STEP 518,284 518,481 5.45%, 05/25/35++ 1,647,322 1,668,690 Chevy Chase Funding LLC 3.37%, 07/25/34 144A++ 1,786,015 1,792,499 Commercial Mortgage Asset Trust 7.55%, 01/17/10++ 440,000 489,460 Credit-Based Asset Servicing and Securitization 3.60%, 08/25/33++ 448,268 448,785 CS First Boston Mortgage Securities Corporation (15.25%), 04/25/33 IO(omg)@ 134,296 10,004 (27.72%), 05/25/33 IO(omg)@ 142,393 10,140 (4.52%), 06/25/33 IO(omg)@ 94,603 6,945 5.53%, 07/25/33 IO(omg)@ 1,019,497 141,290 25.36%, 07/25/33 IO++(omg)@ 878,512 10,798 24.25%, 08/25/33 IO++(omg)@ 906,006 8,866 3.64%, 03/25/34++ 407,208 407,535 Federal Home Loan Mortgage Corporation 8.00%, 10/01/07 925 949 5.50%, 08/15/14 611,926 614,376 7.00%, 11/01/14 189,220 198,068 7.00%, 04/01/15 159,715 167,184 8.00%, 06/01/15 8,399 8,658 7.00%, 12/01/15 112,492 117,754 6.00%, 04/15/16 397,275 400,439 8.50%, 06/01/16 27,776 30,063 8.50%, 06/01/18 18,516 20,040 6.50%, 01/01/20 5,020,033 5,203,266 10.94%, 04/15/22 PO(omg)@ 69,541 69,234 8.00%, 08/01/24 13,819 14,924 7.50%, 11/01/29 41,582 44,550 7.50%, 12/01/29 62,404 66,858 7.50%, 02/01/31 92,290 98,821 3.91%, 07/01/31++ 198,657 204,097 5.62%, 08/01/31++ 121,482 124,800 7.50%, 11/01/31 61,403 65,747 5.35%, 04/01/32++ 70,296 71,066 4.30%, 03/01/34++ 31,295 31,134 6.50%, 07/01/34 2,195,238 2,273,048 6.50%, 10/01/34 778,139 808,480 5.50%, 05/01/35 2,996,398 3,040,135 Federal Housing Administration 7.43%, 10/01/18++ 411,963 407,761 Federal National Mortgage Association 6.50%, 04/26/06 340,354 348,365 31.90%, 10/25/08 IO++(omg)@ 568,550 61,234 6.50%, 03/25/11 116,761 116,495 8.00%, 06/01/15 96,000 102,676 8.00%, 06/15/15 74,719 79,915 8.00%, 07/01/15 150,696 161,176 8.00%, 09/01/15 140,457 150,225 6.00%, 10/25/15 425,177 427,262 6.00%, 05/01/16 366,788 379,355 6.00%, 07/01/16 47,929 49,571 6.00%, 02/01/17 745,558 771,258 5.00%, 12/01/17 218,701 221,290 5.50%, 02/01/18 321,387 330,113 4.50%, 01/01/19 279,960 278,888 4.50%, 04/01/19 562,322 560,202 5.50%, 08/01/20 TBA 42,000,000 43,050,001 3.61%, 08/25/21 IO(omg)@ 454 9,578 1.00%, 10/25/21 IO(omg)@ 1,057 19,775 20.07%, 01/25/22++ 392,295 474,324 3.65%, 03/25/22++ 485,130 480,497 9.50%, 05/01/22 12,990 14,300 3.43%, 07/01/22++ 67,267 67,831 6.00%, 01/01/23 275,298 283,670 9.50%, 07/01/24 24,995 27,436 3.65%, 07/01/27++ 75,699 77,257 4.45%, 08/01/27++ 281,749 290,170 3.65%, 11/01/27++ 141,365 144,276 6.50%, 08/01/28 TBA 2,000,000 2,068,124 6.50%, 12/25/28 161,907 162,628 6.50%, 12/01/29 470,857 488,988 7.39%, 02/01/30++ 203,648 206,192 5.94%, 06/01/30++ 181,852 188,215 8.00%, 10/01/30 150,071 161,402 3.71%, 10/18/30++ 128,363 129,287 5.00%, 12/01/30++ 51,463 52,972 3.65%, 01/01/31++ 37,097 37,557 6.06%, 04/01/31++ 82,438 84,841 6.21%, 05/01/31++ 99,589 102,192 4.46%, 06/01/31++ 59,413 61,082 5.38%, 06/01/31++ 107,446 110,458
See Notes to Financial Statements. 58
PAR VALUE ------------ -------------- 5.52%, 06/01/31++ $ 76,906 $ 78,923 6.50%, 12/01/31 1,186,927 1,231,847 6.00%, 01/01/32 173,983 178,516 6.00%, 03/01/32 604,684 620,567 6.50%, 03/01/32 729,479 760,440 8.00%, 03/01/32 8,219 8,839 6.00%, 04/01/32 1,237,294 1,269,314 3.65%, 06/01/32++ 47,546 48,224 6.50%, 07/01/32 TBA 4,700,000 4,863,034 3.43%, 08/01/32++ 67,015 67,502 5.50%, 01/01/33 11,449,749 11,620,162 3.57%, 02/01/33++ 73,812 75,356 3.43%, 05/01/33++ 154,711 156,271 5.50%, 05/01/33 11,502,059 11,669,956 5.50%, 06/01/33 9,768,299 9,910,888 4.50%, 08/01/33 3,371,680 3,303,231 5.50%, 08/01/33 4,911,463 4,983,156 5.50%, 04/01/34 22,997,708 23,333,410 6.00%, 07/01/34 TBA 9,600,000 9,840,000 5.50%, 09/01/34 21,600,941 21,909,072 4.50%, 10/01/34 371,972 364,342 4.50%, 11/01/34 1,527,831 1,495,728 5.50%, 11/01/34 27,542,251 27,935,134 6.50%, 11/01/34 410,606 425,083 4.50%, 12/01/34 535,803 524,298 5.50%, 12/01/34 4,435,131 4,498,397 4.50%, 02/01/35 557,202 545,238 5.50%, 02/01/35 38,616,590 39,167,445 4.50%, 03/01/35 2,150,314 2,104,127 6.50%, 03/01/35 5,270,348 5,463,463 4.50%, 04/01/35 1,079,143 1,055,961 5.50%, 04/01/35 4,868,480 4,938,023 4.50%, 05/01/35 877,031 858,190 5.50%, 06/01/35 454,265 460,754 5.00%, 07/01/35 TBA 12,400,000 12,400,000 5.50%, 07/01/35 TBA 3,800,000 3,851,064 5.50%, 07/14/35 TBA 21,100,000 21,383,542 6.00%, 07/14/35 TBA 15,000,000 15,375,000 6.00%, 08/01/35 TBA 2,000,000 2,048,124 3.65%, 11/01/35++ 64,079 65,080 4.29%, 05/01/36++ 850,392 865,438 3.65%, 12/01/37++ 295,904 300,576 3.65%, 01/01/38++ 141,842 144,091 3.75%, 06/01/40++ 357,715 361,460 3.75%, 10/01/40++ 918,839 941,522 3.65%, 11/01/40++ 117,867 119,753 FFCA Secured Lending Corporation 1.00%, 07/18/20 IO 144A++(omg)@ 2,796,133 163,658 Financial Asset Securitization, Inc. 7.25%, 07/25/27 2,826 2,826 First Nationwide Trust 8.50%, 09/25/31 33,964 33,879
PAR VALUE ------------ -------------- First Union Commercial Mortgage Securities, Inc. 7.38%, 04/18/07 $ 3,585,917 $ 3,719,103 First Union National Bank Commercial Mortgage Trust 7.20%, 09/15/10 1,500,000 1,690,711 GMAC Commercial Mortgage Securities, Inc. 6.87%, 08/15/07 429,123 448,098 Government National Mortgage Association 7.00%, 10/15/25 76,331 81,143 7.00%, 01/15/26 54,118 57,469 7.00%, 07/15/27 367,122 389,494 7.00%, 12/15/27 6,600 7,003 7.00%, 01/15/28 34,384 36,456 7.00%, 03/15/28 472,786 501,636 12.26%, 06/20/28 IO(omg)@ 35,351 503 7.00%, 07/15/28 51,531 54,636 7.50%, 07/15/28 16,174 17,349 6.50%, 08/15/28 65,170 68,224 7.00%, 08/15/28 74,890 79,402 7.50%, 08/15/28 53,056 56,914 6.50%, 09/15/28 255,237 267,197 7.00%, 10/15/28 83,050 88,054 7.50%, 12/15/28 9,545 10,239 7.50%, 03/15/29 117,337 125,955 7.50%, 11/15/29 127,238 136,411 4.13%, 11/20/29++ 322,880 327,479 8.50%, 08/15/30 10,552 11,502 8.50%, 11/20/30 72,773 79,033 7.50%, 02/15/31 11,523 12,348 6.50%, 08/15/31 438,566 458,399 7.50%, 08/15/31 216,555 232,067 6.50%, 10/15/31 753,783 787,981 6.00%, 11/15/31 1,403,218 1,448,257 6.50%, 11/15/31 472,547 493,917 6.00%, 12/15/31 540,051 557,385 6.00%, 01/15/32 927,132 957,361 6.00%, 02/15/32 1,138,380 1,174,919 6.50%, 02/15/32 925,638 967,645 7.50%, 02/15/32 47,398 50,793 22.46%, 02/16/32++ 394,002 535,450 6.00%, 04/15/32 964,447 995,891 6.50%, 04/15/32 829,289 866,792 7.50%, 04/15/32 259,822 278,433 6.50%, 06/15/32 2,680,559 2,802,287 6.50%, 07/15/32 403,140 421,370 6.50%, 08/15/32 1,485,095 1,552,254 6.50%, 09/15/32 1,261,148 1,318,179 6.00%, 10/15/32 1,050,801 1,084,529 6.00%, 11/15/32 1,092,291 1,127,488 6.00%, 12/15/32 515,457 532,002
See Notes to Financial Statements. 59 MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ------------ -------------- 6.50%, 12/15/32 $ 63,116 $ 65,970 6.00%, 01/15/33 524,020 540,839 6.00%, 02/15/33 410,596 423,775 6.50%, 03/15/33 373,029 389,898 6.50%, 04/15/33 3,174,402 3,317,955 6.00%, 05/15/33 4,382,046 4,522,697 6.50%, 05/15/33 323,484 338,112 6.00%, 06/15/33 436,929 450,953 5.00%, 08/15/33 1,544,489 1,558,362 5.00%, 09/15/33 1,674,817 1,689,860 5.00%, 10/15/33 584,544 589,794 6.00%, 10/15/33 1,692,274 1,746,591 6.50%, 10/15/33 677,541 708,180 6.00%, 12/15/33 1,902,183 1,963,237 5.00%, 07/01/34 TBA 8,500,000 8,563,750 GS Mortgage Securities Corporation II 4.68%, 07/01/05 1,300,000 1,315,751 Impac CMB Trust 3.77%, 03/25/33++ 359,370 359,932 3.67%, 10/25/34++ 1,250,940 1,251,582 Indymac ARM Trust 3.93%, 09/28/31++ 95,894 95,654 LB-UBS Commercial Mortgage Trust 4.66%, 07/15/30 1,000,000 1,011,560 4.74%, 07/15/30 830,000 840,898 10.07%, 06/15/36 IO 144A++(omg)@ 5,267,422 239,993 Master Reperforming Loan Trust 7.00%, 08/25/34 144A 1,819,371 1,920,674 MLCC Mortgage Investors, Inc. 3.73%, 09/25/27 STEP 2,907,417 2,902,175 3.52%, 03/25/28++ 292,223 292,758 Nomura Asset Securities Corporation 7.07%, 04/13/36 217,247 219,978 7.12%, 04/13/36 2,000,000 2,043,875 Residential Asset Mortgage Products, Inc. 1.57%, 07/25/41 144A++ 1,225,884 1,228,949 Residential Asset Securitization Trust 3.76%, 04/25/33++ 294,698 294,921 Sequoia Mortgage Trust 3.23%, 07/20/33++ 1,486,341 1,490,365 3.66%, 11/20/34 STEP 1,643,856 1,645,772 3.51%, 02/20/35 STEP 932,096 931,017 3.36%, 03/20/35 STEP 1,757,267 1,754,479 Structured Asset Securities Corporation 7.50%, 07/25/16 71,070 70,911 Washington Mutual, Inc. 24.46%, 01/25/08 IO++(omg)@ 1,092,931 21,153 22.40%, 05/25/08 IO(omg)@ 2,330,005 15,473 22.58%, 06/25/08 IO++(omg)@ 3,623,687 58,060 3.58%, 12/25/27 STEP 4,915,490 4,910,691 4.68%, 02/25/33++ 234,130 234,743 3.90%, 06/25/42++ 351,425 354,943 25.51%, 01/01/49 IO++(omg)@ 2,828,861 18,443 Wells Fargo Mortgage- Backed Securities Trust 3.54%, 09/25/34++ 2,440,000 2,376,601 -------------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $408,405,653) 409,840,173 -------------- MUNICIPAL BONDS -- 1.1% Las Vegas Valley, Nevada Water District, Series A General Obligation Bond (FGIC Insured) 5.00%, 06/01/32 1,000,000 1,049,760 Massachusetts State Special Obligation, Series A Revenue Bond, Pre-refunded 06/01/12 @ 100 (FGIC Insured) 5.00%, 06/01/12 2,945,000 3,238,351 Massachusetts State Water Resources Authority, Series J Revenue Bond (FSA Insured) 5.00%, 08/01/32 1,250,000 1,311,363
PAR VALUE ------------ -------------- Minnesota State General Obligation Bond 5.00%, 10/01/20 $ 200,000 $ 215,274 New York State Urban Development Corporation, Series A Revenue Bond, Pre-refunded 03/15/12 @ 100 5.13%, 03/15/12 1,500,000 1,670,715 South Carolina Transportation Infrastructure Bank, Series A Revenue Bond (AMBAC Insured) 5.00%, 10/01/23 2,700,000 2,865,915 Virginia State Housing Development Authority, Commonwealth Mortgage, Series H Revenue Bond (MBIA Insured) 5.38%, 07/01/36 1,000,000 1,034,330 -------------- TOTAL MUNICIPAL BONDS (Cost $10,476,884) 11,385,708 --------------
See Notes to Financial Statements. 60
NUMBER OF CONTRACTS VALUE ------------ -------------- OPTIONS -- 0.1% CALL OPTIONS -- 0.0% British Pounds 90-Day LIBOR Futures, Strike Price $93.25, Expires 09/21/05 133 0 -------------- U.S. Dollars 10-Year U.S. Treasury Note Futures, Strike Price $115.00, Expires 08/26/05 75 24,609 10-Year U.S. Treasury Note Futures, Strike Price $121.00, Expires 08/26/05 916 14,313 30-Year Federal National Mortgage Association, Strike Price $102.50, Expires 08/04/05 5,000 42,155 5-Year U.S. Treasury Note Futures, Strike Price $113.00, Expires 08/26/05 845 13,203 -------------- 94,280 -------------- CALL SWAPTIONS -- 0.1% 3-Month LIBOR, Strike Price $5.75, Expires 04/27/09 280 466,765 -------------- PUT OPTIONS -- 0.0% 10-Year U.S. Treasury Note Futures, Strike Price $103.00, Expires 08/26/05 859 13,422 10-Year U.S. Treasury Note Futures, Strike Price $104.00, Expires 08/26/05 916 14,312 30-Year Federal National Mortgage Association, Strike Price $95.03, Expires 08/04/05 570 6,544 30-Year Federal National Mortgage Association, Strike Price $96.81, Expires 09/07/05 1,500 4,052 5-Year U.S. Treasury Note Futures, Strike Price $103.00, Expires 08/26/05 379 5,922 5-Year U.S. Treasury Note Futures, Strike Price $103.50, Expires 08/26/05 414 6,469 90-Day Eurodollar Futures, Strike Price $93.75, Expires 12/19/05 199 1,244 90-Day Eurodollar Futures, Strike Price $94.00, Expires 12/19/05 45 281 90-Day Eurodollar Futures, Strike Price $94.50, Expires 09/19/05 115 719 90-Day Eurodollar Futures, Strike Price $94.75, Expires 09/19/05 404 5,050 -------------- 58,015 -------------- PUT SWAPTIONS -- 0.0% 3-Month LIBOR, Strike Price $6.25, Expires 04/27/09 280 67,804 30-Year Federal National Mortgage Association, Strike Price $98.03, Expires 07/07/05 1,580 1,272 -------------- 69,076 -------------- TOTAL OPTIONS (Cost $482,261) 688,136 -------------- SHARES VALUE ------------ -------------- PREFERRED STOCKS -- 0.2% Fannie Mae 7.00%++ 15,850 879,180 General Motors Corporation 5.25% CONV 62,550 1,160,928 -------------- TOTAL PREFERRED STOCKS (Cost $1,923,686) 2,040,108 -------------- RIGHTS -- 0.0% United Mexican States Recovery Rights Series D, 06/30/06* 1,100,000 $ 28,325 United Mexican States Recovery Rights Series E, 06/30/07* 1,100,000 26,400 -------------- TOTAL RIGHTS (Cost $0) 54,725 -------------- SHORT-TERM INVESTMENTS -- 34.9% AB Funds Trust -- Money Market Fund (GS4 Class)(inf) 121,387,179 121,387,179 Northern Institutional Liquid Assets Portfolio sec. 243,699,977 243,699,977 -------------- TOTAL SHORT-TERM INVESTMENTS (Cost $365,087,155) 365,087,156 -------------- PAR ------------ U.S. TREASURY OBLIGATIONS -- 26.0% U.S. Treasury Bills 2.92%, 09/01/05 $ 60,000 59,693 2.93%, 09/01/05++++ 180,000 179,078
See Notes to Financial Statements. 61 MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE ------------ -------------- 2.95%, 09/15/05++++ $ 170,000 $ 168,927 2.99%, 09/15/05++++ 75,000 74,527 -------------- 482,225 -------------- U.S. Treasury Bonds 8.13%, 08/15/19+++ 2,200,000 3,118,157 8.50%, 02/15/20+++ 2,000,000 2,934,064 7.88%, 02/15/21+++ 6,700,000 9,486,001 6.25%, 08/15/23+++ 12,500,000 15,581,551 6.00%, 02/15/26+++ 2,500,000 3,081,055 6.25%, 05/15/30+++ 4,490,000 5,849,805 5.38%, 02/15/31+++ 7,680,000 9,064,804 -------------- 49,115,437 -------------- U.S. Treasury Inflationary Index Bonds 3.38%, 01/15/07+++++++ 1,020,000 1,292,720 4.25%, 01/15/10+++ 1,120,000 1,457,862 0.88%, 04/15/10+++ 10,110,000 10,129,698 1.88%, 07/15/13+++ 1,150,000 1,244,605 2.00%, 07/15/14+++ 1,800,000 1,914,986 2.38%, 01/15/25+++ 1,790,000 2,022,994 3.88%, 04/15/29+++ 4,408,000 7,333,655 3.38%, 04/15/32+++ 60,000 73,433 -------------- 25,469,953 -------------- U.S. Treasury Notes 3.00%, 12/31/06+++ 20,800,000 20,615,566 3.75%, 03/31/07+++ 1,200,000 1,202,203 3.00%, 02/15/08+++ 5,370,000 5,284,628 3.38%, 02/15/08+++ 13,470,000 13,376,343 3.75%, 05/15/08 1,600,000 1,604,002 2.63%, 03/15/09+++ 480,000 462,657 4.00%, 06/15/09+++ 6,740,000 6,814,774 3.63%, 07/15/09+++ 200,000 199,399 3.38%, 09/15/09 24,500,000 24,179,418 3.38%, 10/15/09+++ 1,400,000 1,380,751 3.63%, 01/15/10+++ 1,000,000 995,586 3.63%, 02/15/10+++ 8,170,000 8,090,539 4.00%, 04/15/10+++ 23,930,000 24,199,236 3.88%, 05/15/10+++ 2,200,000 2,213,235 3.88%, 02/15/13+++ 7,600,000 7,611,582 4.25%, 08/15/13+++ 7,100,000 7,279,722 4.00%, 02/15/14+++ 3,900,000 3,924,683 4.25%, 08/15/14+++ 1,700,000 1,741,172 4.00%, 02/15/15+++ 34,340,000 34,472,827 4.13%, 05/15/15+++ 3,460,000 3,511,630 -------------- 169,159,953 -------------- U.S. Treasury STRIPS 4.32%, 11/15/16(omg) 900,000 562,244 4.35%, 05/15/21(omg) 500,000 252,932 4.37%, 11/15/21(omg)+++ 22,530,000 11,119,366 4.39%, 11/15/22(omg) 4,500,000 2,116,337 4.39%, 02/15/23(omg) 90,000 41,942 4.55%, 08/15/24(omg)+++ 23,700,000 10,272,575 4.53%, 05/15/26(omg)+++ 1,500,000 604,740 4.52%, 11/15/26(omg) 3,600,000 1,420,135 4.36%, 08/15/27(omg) 4,500,000 1,729,350 -------------- 28,119,621 -------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $267,173,329) 272,347,189 -------------- TOTAL INVESTMENTS -- 134.2% (Cost $1,389,807,274) 1,405,233,009 -------------- SECURITIES SOLD SHORT -- (4.8)% Federal National Mortgage Association 5.50%, 07/14/35 TBA (Cost $(50,460,937)) (50,000,000) (50,671,900) -------------- NUMBER OF CONTRACTS VALUE ------------ -------------- WRITTEN OPTIONS -- 0.0% CALL SWAPTIONS -- 0.0% 3-Month LIBOR, Strike Price $4.00, Expires 07/03/06 (1,380) (171,424) 3-Month LIBOR, Strike Price $4.00, Expires 09/23/05 (1,700) (58,615) -------------- (230,039) -------------- PUT SWAPTIONS -- 0.0% 3-Month LIBOR, Strike Price $6.00, Expires 07/03/06 (1,380) (28,221) 3-Month LIBOR, Strike Price $7.00, Expires 09/23/05 (330) (1) -------------- (28,222) -------------- TOTAL WRITTEN OPTIONS (Premiums received $(1,065,532)) (258,261) -------------- LIABILITIES IN EXCESS OF OTHER ASSETS -- (29.4%) (307,355,681) -------------- NET ASSETS -- 100.0% $1,046,947,167 ==============
See Notes to Financial Statements. 62 Swap agreements outstanding at June 30, 2005:
UNREALIZED EXPIRATION APPRECIATION/ DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION) ----------- ---------- -------------- --------------- BRITISH POUNDS Receive fixed rate payments of 5.00% and pay variable rate payments on the six month LIBOR floating rate(f) 09/15/10 4,100,000 $ 194,879 Receive fixed rate payments of 5.00% and pay variable rate payments on the six month LIBOR floating rate(d) 09/15/10 2,500,000 118,829 Receive fixed rate payments of 5.00% and pay variable rate payments on the six month LIBOR floating rate(f) 09/15/15 8,000,000 596,221 Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 5.00%(f) 12/16/19 (9,100,000) (238,195) Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 5.00%(d) 06/18/34 (1,200,000) (119,931) --------------- 551,803 --------------- EUROS 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) (1,737,597) Receive variable rate payments on the six month LIBOR floating rate and pay fixed rate payments of 5.00%(g) 06/17/12 (19,700,000) (3,140,428) 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) (2,482,995) Receive fixed rate payments of 6.00% and pay variable rate payments on the six month EBOR floating rate(g) 03/15/32 3,000,000 441,732 Receive fixed rate payments of 6.00% and pay variable rate payments on the six month LIBOR floating rate(g) 06/18/34 2,300,000 472,758 --------------- (6,446,530) --------------- U.S. DOLLARS Receive fixed rate payments of 0.55% and pay floating par in event of default on Russian Federation, 5.00% due 03/31/30(i) 09/07/05 $ 400,000 135
UNREALIZED EXPIRATION APPRECIATION/ DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION) ----------- ---------- -------------- --------------- Receive fixed rate payments of 0.58% and pay floating par in event of default on Russian Federation, 5.00% due 03/31/30(c) 06/20/06 $ 100,000 $ 107 Receive fixed rate payments of 0.61% and pay floating par in event of default on Russian Federation, 5.00% due 03/31/30(h) 03/20/07 1,300,000 127 Receive fixed rate payments of 0.77% and pay floating par in event of default on Russian Federation, 5.00% due 03/31/30(g) 05/20/07 100,000 271 Receive floating par in event of default on Radioshack Corporation, 7.38% due 05/15/11 and pay fixed rate payments of 0.37%(b) 12/20/08 (300,000) 3,636 Receive floating par in event of default on Emerson Electric Co., 4.63% due 10/15/12 and pay fixed rate payments of 0.22%(c) 12/20/08 (300,000) 148 Receive floating par in event of default on Devon Financing Corporation, 6.88% due 09/30/11 and pay fixed rate payments of 0.35%(h) 12/20/08 (500,000) (486) Receive floating par in event of default on Anadarko Petroleum Corporation, 5.00% due 10/01/12 and pay fixed rate payments of 0.27%(h) 12/20/08 (300,000) (253) Receive floating par in event of default on Carnival Corporation, 6.15% due 04/15/08 and pay fixed rate payments of 0.44%(b) 12/20/08 (300,000) (2,707) Receive floating par in event of default on Countrywide Home Loan, 6.25% due 04/15/09 and pay fixed rate payments of 0.42%(c) 12/20/08 (300,000) (898)
See Notes to Financial Statements. 63 MEDIUM-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
UNREALIZED EXPIRATION APPRECIATION/ DESCRIPTION DATE NOTIONAL VALUE (DEPRECIATION) ----------- ---------- -------------- --------------- Receive floating par in event of default on Occidental Petroleum, 6.75% due 01/15/12 and pay fixed rate payments of 0.28%(h) 12/20/08 $ (300,000) $ (1,324) Receive floating par in event of default on Kroger Co., 6.75% due 04/15/12 and pay fixed rate payments of 0.53%(c) 12/20/08 (300,000) (417) Receive fixed rate payments of 4.00% and pay variable rate payments on the three month LIBOR floating rate(j) 12/15/10 13,800,000 (133,199) Receive fixed rate payments of 4.00% and pay variable rate payments on the three month LIBOR floating rate(c) 12/15/10 26,200,000 (252,885) Receive fixed rate payments of 5.00% and pay variable rate payments on the three month LIBOR floating rate(e) 12/15/15 1,900,000 88,264 Receive variable rate payments on the three month LIBOR floating rate and pay fixed rate payments of 5.00%(e) 12/15/25 (1,300,000) (59,165) Receive variable rate payments on the three month LIBOR floating rate and pay fixed rate payments of 5.00%(d) 12/15/25 (19,300,000) (870,777) --------------- (1,229,423) --------------- $ (7,124,150) ===============
PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Agency Obligations 4.9 Asset-Backed Securities 3.6 Corporate Bonds 11.6 Foreign Bonds 12.7 Forward Foreign Currency Contracts (7.7) Futures Contracts 25.5 Mortgage-Backed Securities 39.1 Municipal Bonds 1.1 Options 0.1 Preferred Stocks 0.2 Rights --* Securities Sold Short (4.8) Short-Term Investments 34.9 Swap Contracts (0.7) U.S. Treasury Obligations 26.0 Written Options --* ------ 146.5 ======
--------------- + Based on net assets. * Rounds to less than 0.005%. See Notes to Financial Statements. 64 EXTENDED-DURATION BOND FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK** ---------- ---------- ---------- ----------- ---------- --------------------- One Year 16.72% 16.43% 16.00% 16.88% N/A N/A Since Inception 10.07% 10.02% 9.64% 9.67% 7.91%(1) 9.18%(1) Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. [LINE GRAPH]
GS4 CLASS BENCHMARK INDEX** --------- ----------------- Aug 27 2001 10000.00 10000.00 10097.00 10111.00 Sep 2001 9943.00 10027.00 10364.00 10516.00 10281.00 10202.00 Dec 2001 10248.00 10063.00 10349.00 10202.00 10439.00 10300.00 Mar 2002 10143.00 9948.00 10251.00 10208.00 10390.00 10286.00 Jun 2002 10290.00 10350.00 10295.00 10443.00 10680.00 10927.00 Sep 2002 10896.00 11259.00 10574.00 10965.00 10777.00 11066.00 Dec 2002 11275.00 11521.00 11332.00 11530.00 11646.00 11868.00 Mar 2003 11597.00 11774.00 11995.00 12039.00 12579.00 12691.00 Jun 2003 12503.00 12515.00 11590.00 11432.00 11768.00 11671.00 Sep 2003 12394.00 12285.00 12193.00 12013.00 12393.00 12099.00 Dec 2003 12537.00 12266.00 12712.00 12477.00 12948.00 12711.00 Mar 2004 13087.00 12885.00 12390.00 12198.00 12289.00 12108.00 Jun 2004 12395.00 12203.00 12608.00 12431.00 13077.00 12902.00 Sep 2004 13248.00 13033.00 13468.00 13239.00 13276.00 13001.00 Dec 2004 13586.00 13328.00 13846.00 13668.00 13744.00 13527.00 Mar 2005 13562.00 13323.00 13905.00 13694.00 14210.00 14050.00 Jun 2005 14433.00 14263.00
The graph compares the results of a $10,000 investment in the GS4 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. --------------- (1) Non-annualized. 65 EXTENDED-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 PAR VALUE ------------- -------------- ------------- AGENCY OBLIGATIONS -- 2.3% Federal National Mortgage Association 6.54%, 10/29/07(Z)(omg) $ 4,815,000 $ 2,885,389 5.25%, 01/15/09+++ 250,000 261,078 2.29%, 02/19/09(G) 2,500,000 1,487,443 5.50%, 03/15/11+++ 6,000,000 6,443,796 ------------- TOTAL AGENCY OBLIGATIONS (Cost $10,848,472) 11,077,706 ------------- ASSET-BACKED SECURITIES -- 0.4% Community Program Loan Trust 4.50%, 04/01/29 (Cost $1,661,325) 1,950,000 1,868,883 ------------- CORPORATE BONDS -- 15.3% Agilysys, Inc. 9.50%, 08/01/06 500,000 520,049 AK Steel Corporation 7.75%, 06/15/12+++ 250,000 212,500 American Airlines, Inc. 6.98%, 04/01/11+++ 59,889 61,909 8.61%, 10/01/11+++ 850,000 797,512 Arrow Electronics, Inc. 6.88%, 07/01/13+++ 250,000 275,281 ASIF Global Financing XXVII 2.38%, 02/26/09 144A(G) 6,700,000 3,981,962 Atlas Air, Inc. 7.20%, 01/02/19+++ 424,482 425,440 Barclays Financial LLC 4.16%, 02/22/10(T)@ 25,000,000 604,658 4.10%, 03/22/10(T)@ 30,000,000 723,339 Bausch & Lomb, Inc. 7.13%, 08/01/28+++ 1,500,000 1,689,942 Borden, Inc. 7.88%, 02/15/23 1,200,000 966,000 Chesapeake Energy Corporation 6.88%, 01/15/16 975,000 1,021,313 CIT Group, Inc. 5.50%, 12/01/14(U)+++ 600,000 1,104,566 Comcast Corporation 5.50%, 03/15/11+++ 500,000 522,299 Commonwealth Edison Co. 4.75%, 12/01/11 470,000 463,803 Constellation Energy Group, Inc. 4.55%, 06/15/15 750,000 725,559 Continental Airlines, Inc. 6.65%, 09/15/19 2,279,227 2,250,509 6.70%, 06/15/21 403,287 393,976 Corning, Inc. 6.20%, 03/15/16 230,000 241,288 Cox Communications, Inc. 6.75%, 03/15/11 250,000 272,536
PAR VALUE -------------- ------------- Cummins, Inc. 7.13%, 03/01/28 $ 425,000 $ 430,313 Dana Corporation 6.50%, 03/01/09+++ 250,000 246,593 Delphi Corporation 7.13%, 05/01/29+++ 2,500,000 1,737,500 Devon Energy Corporation 4.95%, 08/15/08 CONV 963,000 1,086,986 Dillard's, Inc. 7.75%, 07/15/26 890,000 878,875 7.00%, 12/01/28 500,000 465,000 El Paso Corporation 7.00%, 05/15/11+++ 400,000 401,000 EOP Operating LP 7.25%, 06/15/28 500,000 584,592 First Industrial LP 7.60%, 07/15/28 1,000,000 1,173,678 Foot Locker, Inc. 8.50%, 01/15/22 1,000,000 1,102,500 Ford Motor Co. 6.63%, 10/01/28 1,500,000 1,179,726 6.38%, 02/01/29 1,500,000 1,159,593 General Motors Acceptance Corporation 6.88%, 08/28/12 250,000 229,167 Georgia-Pacific Corporation 7.75%, 11/15/29+++ 2,950,000 3,329,812 HCA, Inc. 6.30%, 10/01/12 1,500,000 1,543,476 7.58%, 09/15/25 1,000,000 1,059,354 7.05%, 12/01/27 500,000 504,190 Health Care Property Investors, Inc. 6.00%, 03/01/15+++ 1,500,000 1,593,347 Highwoods Properties, Inc. 7.50%, 04/15/18 1,500,000 1,683,332 HSBC Bank USA NA 3.31%, 08/25/10 144A@ 700,000 703,920 IMC Global, Inc. 7.38%, 08/01/18 500,000 502,500 7.30%, 01/15/28 690,000 669,300 International Paper Co. 6.88%, 11/01/23 300,000 338,435 iStar Financial, Inc. 5.70%, 03/01/14+++ 1,171,000 1,188,045 Kinder Morgan, Inc. 7.25%, 03/01/28+++ 500,000 594,694 MidAmerican Energy Holdings Co. 5.88%, 10/01/12 1,000,000 1,063,785 Motorola, Inc. 5.80%, 10/15/08 500,000 522,383 7.63%, 11/15/10 500,000 572,752 6.50%, 11/15/28+++ 500,000 555,122 NiSource Finance Corporation 6.15%, 03/01/13 1,000,000 1,082,303
See Notes to Financial Statements. 66
PAR VALUE -------------- ------------- Northern Telecom Capital 7.88%, 06/15/26 $ 450,000 $ 452,250 Pemex Project Funding Master Trust 8.63%, 02/01/22+++ 1,000,000 1,235,000 8.63%, 12/01/23 144A 1,000,000 1,220,000 Pioneer Natural Resources Co. 7.20%, 01/15/28 2,500,000 2,694,564 Preston Corporation 7.00%, 05/01/11 CONV 250,000 236,250 Pulte Homes, Inc. 7.30%, 10/24/05 1,000,000 1,008,385 7.88%, 06/15/32 1,500,000 1,810,351 6.38%, 05/15/33+++ 1,000,000 1,031,082 Qwest Corporation 7.25%, 09/15/25 1,000,000 940,000 6.88%, 09/15/33+++ 2,250,000 1,960,312 Raytheon Co. 6.40%, 12/15/18 2,600,000 2,960,362 7.20%, 08/15/27 250,000 313,118 7.00%, 11/01/28 750,000 921,774 Southern Natural Gas Co. 7.35%, 02/15/31 1,750,000 1,870,369 Sprint Capital Corporation 6.88%, 11/15/28 3,450,000 3,972,433 Swift Energy Co. 7.63%, 07/15/11 150,000 156,750 Tennessee Gas Pipeline Co. 7.00%, 10/15/28+++ 750,000 769,368 Union Pacific Resources Group 7.15%, 05/15/28 250,000 303,835 Weyerhaeuser Co. 7.13%, 07/15/23 500,000 561,119 7.38%, 03/15/32 250,000 295,733 Williams Cos., Inc. 7.50%, 01/15/31+++ 1,250,000 1,359,375 Xerox Capital Trust I 8.00%, 02/01/27+++ 1,500,000 1,560,000 ------------- TOTAL CORPORATE BONDS (Cost $66,093,331) 73,069,144 ------------- FOREIGN BONDS -- 9.3% BRAZIL -- 1.0% Federal Republic of Brazil 8.25%, 01/20/34+++ 4,750,000 4,657,375 ------------- CANADA -- 4.4% British Columbia Generic Residual 4.21%, 06/09/14 STRIP(C)(omg) 11,500,000 6,500,899 Canada Generic Residual 4.44%, 06/01/25 STRIP(C)(omg) 4,110,000 1,395,360
PAR VALUE -------------- ------------- Canadian Government 4.50%, 09/01/07(C) $ 5,075,000 $ 4,283,595 Macmillan Bloedel, Ltd. 7.70%, 02/15/26 500,000 600,126 Ontario Generic Residual 4.92%, 07/13/22 STRIP(C)(omg) 3,900,000 1,411,251 4.94%, 03/08/29 STRIP(C)(omg) 7,000,000 1,818,559 Saskatchewan Residual 4.28%, 04/10/14 STRIP(C)(omg) 7,500,000 4,180,951 4.89%, 02/04/22 STRIP(C)(omg) 3,000,000 1,121,694 ------------- 21,312,435 ------------- CAYMAN ISLANDS -- 0.2% Enersis SA 7.40%, 12/01/16+++ 625,000 681,125 Vale Overseas, Ltd. 8.25%, 01/17/34 100,000 110,500 ------------- 791,625 ------------- MALAYSIA -- 0.1% Telekom Malaysia BHD 7.88%, 08/01/25 144A 225,000 290,779 ------------- MEXICO -- 0.6% Mexican Bonos 9.00%, 12/20/12(M) 30,000,000 2,749,268 ------------- PHILIPPINES -- 0.2% Philippine Long Distance Telephone Co. 8.35%, 03/06/17 500,000 507,500 Quezon Power (Philippines), Ltd. 8.86%, 06/15/17 450,000 435,825 ------------- 943,325 ------------- SUPRANATIONAL -- 2.0% Inter-American Development Bank 15.17%, 05/11/09(B)(omg)@ 7,500,000 1,822,805 International Bank for Reconstruction & Development 6.50%, 08/20/07(Z)(omg) 13,625,000 8,295,704 ------------- 10,118,509 ------------- SWEDEN -- 0.6% Swedish Government 6.50%, 05/05/08(K) 19,640,000 2,825,630 ------------- VENEZUELA -- 0.2% Cerro Negro Finance, Ltd. 7.90%, 12/01/20 144A 500,000 460,000
See Notes to Financial Statements. 67 EXTENDED-DURATION BOND FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
PAR VALUE -------------- ------------- Petrozuata Finance, Inc. 8.37%, 10/01/22 144A $ 450,000 $ 357,750 ------------- 817,750 ------------- TOTAL FOREIGN BONDS (Cost $36,414,980) 44,506,696 ------------- MORTGAGE-BACKED SECURITIES -- 0.4% Federal Home Loan Mortgage Corporation 5.00%, 12/01/31 262,724 263,337 Federal National Mortgage Association 5.00%, 07/25/23 1,657,564 1,665,643 ------------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $1,718,380) 1,928,980 ------------- MUNICIPAL BONDS -- 12.3% Chicago, Illinois Board of Education, General Obligation Bond (FGIC Insured) 4.68%, 12/01/22(omg) 10,700,000 4,932,271 4.69%, 12/01/23(omg) 5,130,000 2,237,501 Chicago, Illinois Wastewater Transmission, Series A Revenue Bond (MBIA Insured) 4.57%, 01/01/22(omg) 5,000,000 2,381,500 Clark County, Washington School District, Series C General Obligation Bond (FGIC SCH BD GTY Insured) 4.45%, 12/01/19(omg) 3,600,000 1,917,972 Clovis, California Unified School District, Series A General Obligation Bond (FGIC Insured) 4.76%, 08/01/25(omg) 9,775,000 3,878,036 Cook County, Illinois Community Consolidated School District, General Obligation Bond (FGIC Insured) 4.45%, 12/01/19(omg) 1,890,000 1,014,042 Coppell, Texas Independent School District, General Obligation Bond (PSF-GTD Insured) 4.67%, 08/15/23(omg) 2,195,000 963,320 De Soto, Texas Independent School District, General Obligation Bond (PSF-GTD Insured) 4.37%, 08/15/18(omg) 2,275,000 1,294,179 4.43%, 08/15/19(omg) 2,590,000 1,399,688
PAR VALUE -------------- ------------- Galveston County, Texas, General Obligation Bond (FGIC Insured) 4.78%, 02/01/26(omg) $ 2,500,000 $ 955,700 Granbury, Texas Independent School District, General Obligation Bond (PSF-GTD Insured) 4.49%, 08/01/20(omg) 1,000,000 513,660 Houston, Texas Water & Sewer System, Series JR-A Revenue Bond (FSA Insured) 4.73%, 12/01/24(omg) 2,810,000 1,162,722 4.57%, 12/01/24(omg) 7,190,000 3,078,470 Indianapolis, Indiana Local Public Improvement Bond Bank, Series E Revenue Bond (AMBAC Insured) 4.63%, 02/01/22(omg) 2,550,000 1,229,789 Massachusetts Bay Transportation Authority, Massachusetts, Series A Revenue Bond 4.04%, 07/01/25(omg) 6,000,000 6,749,340 McKeesport, Pennsylvania Area School District, Series C General Obligation Bond (AMBAC Insured) 4.80%, 10/01/26(omg) 2,090,000 776,059 Metropolitan Pier & Exposition Authority, Illinois Dedicated State Tax, Series A Revenue Bond (MBIA Insured) 4.66%, 12/15/22(omg) 16,225,000 7,555,820 Rocklin, California Unified School District, General Obligation Bond (FGIC Insured) 4.72%, 08/01/24(omg) 2,375,000 994,033 San Jose, California Unified School District, Santa Clara County, Series A General Obligation Bond (FGIC Insured) 4.37%, 08/01/18(omg) 2,055,000 1,181,522 San Mateo, California Unified High School District, Series C General Obligation Bond (FGIC Insured) 4.87%, 09/01/28(omg) 4,000,000 1,339,920
See Notes to Financial Statements. 68
PAR VALUE -------------- ------------- Union Elementary School District, California, Series A General Obligation Bond (FGIC Insured) 4.43%, 09/01/19(omg) $ 1,750,000 $ 953,085 Washington State, Motor Vehicle Fuel Tax, Series 03-C General Obligation Bond (MBIA Insured) 4.66%, 06/01/23(omg) 10,000,000 4,383,700 Will County, Illinois Community United School District No. 365, General Obligation Bond (FSA Insured) 4.68%, 11/01/23(omg) 17,825,000 7,734,267 ------------- TOTAL MUNICIPAL BONDS (Cost $52,147,737) 58,626,596 ------------- SHARES -------------- PREFERRED STOCKS -- 0.1% Travelers Property Casualty Corporation 4.50%, 04/15/32 CONV (Cost $535,738) 24,400 546,072 ------------- SHORT-TERM INVESTMENTS -- 33.1% AB Funds Trust -- Money Market Fund (GS4 Class)(inf) 12,387,237 12,387,237 Northern Institutional Liquid Assets Portfolio sec. 144,808,211 144,808,211 ------------- TOTAL SHORT-TERM INVESTMENTS (Cost $157,195,448) 157,195,448 -------------
PAR VALUE -------------- ------------- U.S. TREASURY OBLIGATIONS -- 59.8% U.S. Treasury Bonds 7.25%, 05/15/16+++ $ 35,165,000 $ 45,040,070 8.00%, 11/15/21+++ 110,262,000 158,910,807 6.38%, 08/15/27+++ 21,500,000 27,881,974 5.50%, 08/15/28+++ 43,775,000 51,563,886 ------------- 283,396,737 ------------- U.S. Treasury Notes 3.00%, 02/15/08+++ 505,000 496,972 2.63%, 05/15/08+++ 495,000 481,175 ------------- 978,147 ------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $265,787,450) 284,374,884 ------------- TOTAL INVESTMENTS -- 133.0% (Cost $592,402,861) 633,194,409 LIABILITIES IN EXCESS OF OTHER ASSETS -- (33.0%) (157,120,415) ------------- NET ASSETS -- 100.0% $ 476,073,994 =============
PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Agency Obligations 2.3 Asset-Backed Securities 0.4 Corporate Bonds 15.3 Foreign Bonds 9.3 Mortgage-Backed Securities 0.4 Municipal Bonds 12.3 Preferred Stocks 0.1 Short-Term Investments 33.1 U.S. Treasury Obligations 59.8 ------ 133.0 ======
--------------- + Based on net assets. See Notes to Financial Statements. 69 EQUITY INDEX FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK** ---------- ---------- ---------- ----------- ---------- --------------------- One Year 6.13% 6.01% 5.96% 6.31% N/A N/A Since Inception 1.44% 1.50% 1.41% 1.86% 2.98%(1) 3.35%(1) Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. [LINE GRAPH]
GS4 CLASS S&P 500(R) INDEX** --------- ------------------ Aug 27 2001 10000 10000 9585 9570 Sep 2001 8817 8796 8985 8964 9666 9652 Dec 2001 9745 9736 9589 9594 9378 9409 Mar 2002 9726 9764 9116 9171 9041 9104 Jun 2002 8428 8456 7757 7796 7801 7847 Sep 2002 6955 6994 7569 7610 8046 8057 Dec 2002 7543 7585 7347 7386 7240 7275 Mar 2003 7322 7347 7916 7952 8321 8372 Jun 2003 8415 8478 8574 8628 8739 8796 Sep 2003 8643 8703 9126 9195 9190 9276 Dec 2003 9658 9762 9843 9942 9971 10080 Mar 2004 9817 9928 9664 9771 9811 9906 Jun 2004 9990 10098 9670 9764 9708 9803 Sep 2004 9817 9909 9952 10061 10339 10468 Dec 2004 10681 10823 10409 10559 10629 10781 Mar 2005 10441 10590 10246 10390 10564 10720 Jun 2005 10590 10735
The graph compares the results of a $10,000 investment in the GS4 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. --------------- (1) Non-annualized. 70 EQUITY INDEX FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 SHARES VALUE ------------- ---------- ------------ COMMON STOCKS -- 97.3% AUTO & TRANSPORTATION -- 2.3% Burlington Northern Santa Fe Corporation 16,400 $ 772,112 Cooper Tire & Rubber Co.+++ 3,100 57,567 CSX Corporation 9,000 383,940 Dana Corporation 6,200 93,062 Delphi Corporation+++ 23,400 108,810 Delta Air Lines, Inc.*+++ 6,600 24,816 FedEx Corporation 12,500 1,012,625 Ford Motor Co.+++ 76,527 783,636 General Motors Corporation+++ 24,100 819,400 Genuine Parts Co. 7,300 299,957 Goodyear Tire & Rubber Co. (The)*+++ 7,500 111,750 Harley-Davidson, Inc.+++ 12,800 634,880 Navistar International Corporation* 2,900 92,800 Norfolk Southern Corporation 16,400 507,744 PACCAR, Inc. 7,275 494,700 Southwest Airlines Co. 31,200 434,616 Union Pacific Corporation 11,100 719,280 United Parcel Service, Inc. Class B 47,900 3,312,764 Visteon Corporation 5,418 32,671 ------------ 10,697,130 ------------ CONSUMER DISCRETIONARY -- 12.0% Alberto-Culver Co. 3,750 162,488 Allied Waste Industries, Inc.*+++ 12,600 99,918 Apollo Group, Inc. Class A* 7,021 549,183 AutoNation, Inc.*+++ 10,900 223,668 AutoZone, Inc.*+++ 3,100 286,626 Avon Products, Inc. 19,700 745,645 Bed Bath & Beyond, Inc.* 12,600 526,428 Best Buy Co., Inc. 12,950 887,723 Big Lots, Inc.*+++ 4,800 63,552 Black & Decker Corporation 3,300 296,505 Carnival Corporation 22,800 1,243,740 Cendant Corporation 43,900 982,043 Cintas Corporation+++ 6,900 266,340 Circuit City Stores, Inc.+++ 8,300 143,507 Clear Channel Communications, Inc. 22,400 692,832 Coach, Inc.* 15,800 530,406 Convergys Corporation* 6,000 85,320 Costco Wholesale Corporation 19,600 878,472 Darden Restaurants, Inc. 6,250 206,125 Dillard's, Inc. Class A 3,500 81,970 Dollar General Corporation+++ 13,600 276,896 Donnelley (R.R.) & Sons Co. 9,100 314,041 Eastman Kodak Co.+++ 12,000 322,200 eBay, Inc.* 51,600 1,703,316 Electronic Arts, Inc.* 13,300 752,913 Family Dollar Stores, Inc.+++ 7,000 182,700 Federated Department Stores, Inc.+++ 7,100 520,288
SHARES VALUE ---------- ------------ Fisher Scientific International, Inc.* 4,800 $ 311,520 Gannett Co., Inc. 10,700 761,091 Gap, Inc. (The) 34,000 671,500 Gillette Co. (The) 42,400 2,146,712 Hasbro, Inc. 7,400 153,846 Hilton Hotels Corporation 16,100 383,985 Home Depot, Inc. (The) 92,950 3,615,755 International Flavors & Fragrances, Inc. 3,900 141,258 Interpublic Group Cos., Inc.*+++ 17,500 213,150 Jones Apparel Group, Inc.+++ 5,100 158,304 Kimberly-Clark Corporation 20,700 1,295,613 Knight-Ridder, Inc.+++ 3,200 196,288 Kohl's Corporation* 13,800 771,558 Leggett & Platt, Inc. 8,000 212,640 Limited Brands 16,300 349,146 Liz Claiborne, Inc. 4,608 183,214 Lowe's Cos., Inc. 32,500 1,892,150 Marriott International, Inc. Class A 8,600 586,692 Mattel, Inc. 17,400 318,420 May Department Stores Co. (The) 12,700 510,032 Maytag Corporation+++ 3,300 51,678 McDonald's Corporation 54,200 1,504,050 McGraw-Hill Co., Inc. (The) 15,800 699,150 Meredith Corporation 2,100 103,026 Monster Worldwide, Inc.*+++ 5,200 149,136 New York Times Co. Class A+++ 6,000 186,900 Newell Rubbermaid, Inc.+++ 11,500 274,160 Nike, Inc. Class B 9,800 848,680 Nordstrom, Inc. 5,400 367,038 Office Depot, Inc.* 13,100 299,204 OfficeMax, Inc. 3,700 110,149 Omnicom Group, Inc. 8,100 646,866 Penney (JC) Co., Inc. 11,900 625,702 RadioShack Corporation+++ 6,700 155,239 Reebok International, Ltd. 2,400 100,392 Robert Half International, Inc. 7,200 179,784 Sabre Holdings Corporation+++ 5,800 115,710 Sears Holdings Corporation* 4,189 627,805 Snap-On, Inc.+++ 2,400 82,320 Stanley Works (The) 3,400 154,836 Staples, Inc. 31,200 665,184 Starbucks Corporation* 16,700 862,722 Starwood Hotels & Resorts Worldwide, Inc. 8,800 515,416 Target Corporation 37,700 2,051,257 Tiffany & Co.+++ 6,100 199,836 Time Warner, Inc.* 194,400 3,248,424 TJX Cos., Inc.+++ 20,300 494,305 Toys "R" Us, Inc.* 9,100 240,968 Tribune Co. 12,600 443,268 Univision Communications, Inc. Class A*+++ 12,400 341,620
See Notes to Financial Statements. 71 EQUITY INDEX FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- ------------ VF Corporation 4,200 $ 240,324 Wal-Mart Stores, Inc. 144,000 6,940,799 Waste Management, Inc. 23,900 677,326 Wendy's International, Inc. 4,800 228,720 Whirlpool Corporation 3,000 210,330 Yahoo!, Inc.* 55,200 1,912,680 Yum! Brands, Inc. 12,100 630,168 ------------ 55,082,891 ------------ CONSUMER STAPLES -- 5.6% Albertson's, Inc.+++ 16,400 339,152 Campbell Soup Co.+++ 14,600 449,242 Clorox Co. 6,400 356,608 Coca-Cola Co. (The) 95,900 4,003,825 Coca-Cola Enterprises, Inc. 15,100 332,351 Colgate-Palmolive Co. 22,100 1,103,011 ConAgra Foods, Inc. 21,500 497,940 CVS Corporation 33,200 965,124 General Mills, Inc. 15,200 711,208 Heinz (H.J.) Co. 14,700 520,674 Hershey Co. (The) 9,300 577,530 Kellogg Co. 14,900 662,156 Kroger Co.* 31,000 589,930 McCormick & Co., Inc. 5,700 186,276 Pepsi Bottling Group, Inc. 9,400 268,934 PepsiCo, Inc. 70,840 3,820,401 Procter & Gamble Co. 107,100 5,649,525 Safeway, Inc. 18,700 422,433 Sara Lee Corporation 33,000 653,730 SUPERVALU, Inc. 5,600 182,616 SYSCO Corporation 26,700 966,273 Walgreen Co. 43,000 1,977,570 Wrigley (W.M.), Jr. Co. 8,500 585,140 ------------ 25,821,649 ------------ FINANCIAL SERVICES -- 21.7% ACE, Ltd. 11,800 529,230 AFLAC, Inc. 21,100 913,208 Allstate Corporation (The) 28,952 1,729,882 AMBAC Financial Group, Inc. 4,500 313,920 American Express Co. 49,600 2,640,208 American International Group, Inc. 110,192 6,402,155 AmSouth Bancorporation 14,700 382,200 AON Corporation+++ 13,200 330,528 Apartment Investment & Management Co. Class A REIT 3,900 159,588 Archstone-Smith Trust REIT 7,700 297,374 Automatic Data Processing, Inc. 24,300 1,019,871 Bank of America Corporation 172,640 7,874,111 Bank of New York Co., Inc. (The) 32,500 935,350 BB&T Corporation+++ 23,500 939,295 Bear Stearns Cos., Inc. (The) 4,710 489,557 Block (H&R), Inc. 6,900 402,615
SHARES VALUE ---------- ------------ Capital One Financial Corporation 10,300 $ 824,103 Chubb Corporation 8,000 684,880 CIGNA Corporation 5,600 599,368 Cincinnati Financial Corporation 7,386 292,190 CIT Group, Inc. 8,800 378,136 Citigroup, Inc. 221,130 10,222,841 Comerica, Inc. 7,200 416,160 Compass Bancshares, Inc. 4,700 211,500 Countrywide Financial Corporation 24,208 934,671 Dow Jones & Co., Inc.+++ 3,254 115,354 E*TRADE Financial Corporation* 15,300 214,047 Equifax, Inc.+++ 5,700 203,547 Equity Office Properties Trust REIT+++ 18,200 602,420 Equity Residential Properties Trust REIT 11,900 438,158 Fannie Mae 41,200 2,406,080 Federated Investors, Inc. Class B 4,500 135,045 Fifth Third Bancorp+++ 21,994 906,373 First Data Corporation 34,617 1,389,526 First Horizon National Corporation+++ 5,200 219,440 Fiserv, Inc.* 8,200 352,190 Franklin Resources, Inc. 8,500 654,330 Freddie Mac 29,500 1,924,285 Golden West Financial Corporation 12,300 791,874 Goldman Sachs Group, Inc. 18,900 1,928,178 Hartford Financial Services Group, Inc.+++ 12,600 942,228 Huntington Bancshares, Inc. 9,600 231,744 Janus Capital Group, Inc.+++ 10,000 150,400 Jefferson-Pilot Corporation 5,700 287,394 JPMorgan Chase & Co. 150,530 5,316,720 KeyCorp 17,200 570,180 Lehman Brothers Holdings, Inc. 11,500 1,141,720 Lincoln National Corporation 7,300 342,516 Loews Corporation 7,100 550,250 M & T Bank Corporation 4,500 473,220 Marsh & McLennan Cos., Inc. 22,800 631,560 Marshall & Ilsley Corporation+++ 9,300 413,385 MBIA, Inc.+++ 5,900 349,929 MBNA Corporation 53,550 1,400,868 Mellon Financial Corporation 17,800 510,682 Merrill Lynch & Co., Inc. 39,180 2,155,292 MetLife, Inc. 31,100 1,397,634 MGIC Investment Corporation 4,100 267,402 Moody's Corporation 11,800 530,528 Morgan Stanley 47,100 2,471,337 National City Corporation 26,100 890,532 North Fork Bancorporation, Inc. 19,650 551,969 Northern Trust Corporation 9,200 419,428 Paychex, Inc. 15,100 491,354
See Notes to Financial Statements. 72
SHARES VALUE ---------- ------------ Plum Creek Timber Co., Inc. REIT+++ 7,700 $ 279,510 PNC Financial Services Group, Inc. 11,800 642,628 Principal Financial Group 12,900 540,510 Progressive Corporation (The) 8,399 829,905 Prologis Trust REIT 7,600 305,824 Providian Financial Corporation*+++ 12,200 215,086 Prudential Financial, Inc. 22,500 1,477,350 Regions Financial Corporation 19,308 654,155 Ryder System, Inc.+++ 2,700 98,820 Safeco Corporation 5,300 288,002 Schwab (Charles) Corporation (The) 49,050 553,284 Simon Property Group, Inc. REIT+++ 9,800 710,402 SLM Corporation 18,400 934,720 Sovereign Bancorp, Inc. 14,900 332,866 St. Paul Travelers Cos., Inc. 28,856 1,140,678 State Street Corporation 14,000 675,500 Sungard Data Systems, Inc.* 12,100 425,557 SunTrust Banks, Inc. 14,300 1,033,032 Synovus Financial Corporation 12,700 364,109 T Rowe Price Group, Inc. 5,300 331,780 Torchmark Corporation 4,600 240,120 UnumProvident Corporation+++ 12,400 227,168 US Bancorp 78,100 2,280,520 Wachovia Corporation 66,982 3,322,307 Washington Mutual, Inc.+++ 37,200 1,513,668 Wells Fargo & Co. 71,630 4,410,975 XL Capital, Ltd. Class A 6,000 446,520 Zions Bancorporation+++ 3,700 272,061 ------------ 99,239,117 ------------ HEALTHCARE -- 13.1% Abbott Laboratories 66,600 3,264,066 Aetna, Inc. 12,500 1,035,250 Allergan, Inc. 5,500 468,820 AmerisourceBergen Corporation+++ 4,672 323,069 Amgen, Inc.* 53,028 3,206,073 Bard (C.R.), Inc. 4,400 292,644 Bausch & Lomb, Inc.+++ 2,200 182,600 Baxter International, Inc. 25,800 957,180 Becton Dickinson & Co. 10,600 556,182 Biogen Idec, Inc.* 14,430 497,114 Biomet, Inc. 10,600 367,184 Boston Scientific Corporation* 32,700 882,900 Bristol-Myers Squibb Co. 82,200 2,053,356 Cardinal Health, Inc. 18,200 1,047,956 Caremark Rx, Inc.* 19,100 850,332 Chiron Corporation*+++ 6,200 216,318 Eli Lilly & Co. 47,800 2,662,938 Express Scripts, Inc.* 6,400 319,872 Forest Laboratories, Inc.*+++ 15,300 594,405 Genzyme Corporation* 10,300 618,927 Gilead Sciences, Inc.* 18,400 809,416
SHARES VALUE ---------- ------------ Guidant Corporation 13,400 $ 901,820 HCA, Inc.+++ 17,700 1,003,059 Health Management Associates, Inc. Class A+++ 10,200 267,036 Hospira, Inc* 6,550 255,450 Humana, Inc.* 6,800 270,232 IMS Health, Inc. 9,800 242,746 Johnson & Johnson 126,290 8,208,850 King Pharmaceuticals, Inc.* 10,100 105,242 Laboratory Corporation of America Holdings* 5,900 294,410 Manor Care, Inc. 3,700 147,001 McKesson Corporation 12,200 546,438 Medco Health Solutions, Inc.*+++ 11,376 607,023 Medimmune, Inc.* 10,400 277,888 Medtronic, Inc. 51,800 2,682,722 Merck & Co., Inc. 94,100 2,898,280 Millipore Corporation* 2,100 119,133 Mylan Laboratories, Inc. 11,200 215,488 Pfizer, Inc. 315,683 8,706,537 Quest Diagnostics, Inc.+++ 8,000 426,160 Schering-Plough Corporation 61,800 1,177,908 St. Jude Medical, Inc.* 14,800 645,428 Stryker Corporation 16,300 775,228 Tenet Healthcare Corporation* 19,450 238,068 UnitedHealth Group, Inc. 54,400 2,836,416 Watson Pharmaceuticals, Inc.* 4,600 135,976 WellPoint, Inc.* 25,600 1,782,784 Wyeth 56,700 2,523,150 Zimmer Holdings, Inc.* 10,720 816,542 ------------ 60,313,617 ------------ INTEGRATED OILS -- 5.9% Amerada Hess Corporation 3,800 404,738 Chevron Corporation 88,980 4,975,762 ConocoPhillips 59,400 3,414,906 ExxonMobil Corporation 271,344 15,594,139 Marathon Oil Corporation 14,407 768,902 Occidental Petroleum Corporation 16,900 1,300,117 Unocal Corporation 11,100 722,055 ------------ 27,180,619 ------------ MATERIALS & PROCESSING -- 3.4% Air Products & Chemicals, Inc. 9,500 572,850 Alcoa, Inc. 36,400 951,132 Allegheny Technologies, Inc. 3,900 86,034 American Standard Cos., Inc. 8,200 343,744 Archer-Daniels-Midland Co. 26,327 562,871 Ashland, Inc. 2,900 208,423 Avery Dennison Corporation+++ 4,600 243,616 Ball Corporation 4,592 165,128 Bemis Co.+++ 4,500 119,430 Dow Chemical Co. (The) 40,500 1,803,465 duPont (E.I.) de Nemours & Co. 41,855 1,800,184 Eastman Chemical Co. 3,200 176,480 Ecolab, Inc. 10,000 323,600
See Notes to Financial Statements. 73 EQUITY INDEX FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- ------------ Engelhard Corporation 5,200 $ 148,460 Fluor Corporation+++ 3,500 201,565 Freeport-McMoRan Copper & Gold, Inc. Class B+++ 7,700 288,288 Georgia-Pacific Corporation 10,700 340,260 Great Lakes Chemical Corporation 2,100 66,087 Hercules, Inc.*+++ 4,600 65,090 International Paper Co. 21,200 640,452 Louisiana-Pacific Corporation 4,500 110,610 Masco Corporation 18,600 590,736 MeadWestvaco Corporation 7,545 211,562 Monsanto Co. 11,060 695,342 Newmont Mining Corporation 19,000 741,570 Nucor Corporation+++ 7,000 319,340 Pactiv Corporation* 6,400 138,112 Phelps Dodge Corporation+++ 4,000 370,000 PPG Industries, Inc. 7,200 451,872 Praxair, Inc. 13,580 632,828 Rohm & Haas Co. 8,200 379,988 Sealed Air Corporation* 3,500 174,265 Sherwin-Williams Co. (The) 6,000 282,540 Sigma-Aldrich Corporation 2,900 162,516 Temple-Inland, Inc. 5,000 185,750 United States Steel Corporation+++ 5,000 171,850 Vulcan Materials Co. 4,300 279,457 Weyerhaeuser Co. 10,700 681,055 ------------ 15,686,552 ------------ OTHER -- 4.6% 3M Co. 32,500 2,349,750 Brunswick Corporation 4,000 173,280 Eaton Corporation 6,300 377,370 General Electric Co. 448,500 15,540,525 Honeywell International, Inc. 35,900 1,315,017 ITT Industries, Inc. 3,900 380,757 Johnson Controls, Inc. 7,992 450,189 Textron, Inc. 5,800 439,930 ------------ 21,026,818 ------------ OTHER ENERGY -- 2.9% Anadarko Petroleum Corporation 10,000 821,500 Apache Corporation 14,148 913,961 Baker Hughes, Inc. 13,900 711,124 BJ Services Co. 6,800 356,864 Burlington Resources, Inc. 16,300 900,412 Calpine Corporation*+++ 26,100 88,740 Devon Energy Corporation 20,300 1,028,804 Dynegy, Inc. Class A*+++ 15,800 76,788 El Paso Corporation+++ 26,800 308,736 EOG Resources, Inc.+++ 9,800 556,640 Halliburton Co. 21,400 1,023,348 Kerr-McGee Corporation+++ 4,665 355,986 Nabors Industries, Ltd.* 6,200 375,844 National Oilwell Varco, Inc.* 7,000 332,780 Noble Corporation+++ 5,600 344,456 Rowan Cos., Inc.+++ 4,400 130,724
SHARES VALUE ---------- ------------ Schlumberger, Ltd. 25,200 $ 1,913,688 Sunoco, Inc. 3,000 341,040 Transocean, Inc.* 13,800 744,786 Valero Energy Corporation 11,100 878,121 Williams Cos., Inc. 23,600 448,400 XTO Energy, Inc. 14,666 498,497 ------------ 13,151,239 ------------ PRODUCER DURABLES -- 4.7% Agilent Technologies, Inc.* 19,100 439,682 American Power Conversion Corporation 7,800 184,002 Andrew Corporation* 6,700 85,492 Applied Materials, Inc. 70,500 1,140,690 Boeing Co. (The) 35,200 2,323,200 Caterpillar, Inc. 14,500 1,381,995 Centex Corporation+++ 5,200 367,484 Cooper Industries, Ltd. Class A 3,900 249,210 Cummins, Inc.+++ 1,800 134,298 Danaher Corporation 12,200 638,548 Deere & Co. 10,500 687,645 Dover Corporation 8,500 309,230 Emerson Electric Co. 17,500 1,096,025 Goodrich Corporation 5,500 225,280 Grainger (W.W.), Inc. 3,800 208,202 Illinois Tool Works, Inc.+++ 11,600 924,288 Ingersoll-Rand Co., Ltd. Class A 7,200 513,720 KB HOME+++ 3,800 289,674 KLA-Tencor Corporation+++ 8,700 380,190 Lexmark International, Inc.* 5,500 356,565 Lockheed Martin Corporation 17,200 1,115,764 Molex, Inc.+++ 7,950 207,018 Northrop Grumman Corporation 15,556 859,469 Novellus Systems, Inc.* 5,900 145,789 Pall Corporation 5,200 157,872 Parker Hannifin Corporation 5,000 310,050 Pitney Bowes, Inc. 9,700 422,435 Pulte Homes, Inc. 5,004 421,587 Rockwell Collins, Inc.+++ 7,900 376,672 Tektronix, Inc. 3,500 81,445 Teradyne, Inc.* 8,100 96,957 Thermo Electron Corporation* 6,710 180,298 Tyco International, Ltd.+++ 85,184 2,487,373 United Technologies Corporation 43,000 2,208,050 Waters Corporation* 5,000 185,850 Xerox Corporation* 40,100 552,979 ------------ 21,745,028 ------------ TECHNOLOGY -- 13.7% ADC Telecommunications, Inc.*+++ 4,828 105,106 Adobe Systems, Inc. 20,600 589,572 Advanced Micro Devices, Inc.*+++ 17,400 301,716 Affiliated Computer Services, Inc. Class A*+++ 5,400 275,940 Altera Corporation* 15,500 307,210 Analog Devices, Inc. 15,700 585,767
See Notes to Financial Statements. 74
SHARES VALUE ---------- ------------ Apple Computer, Inc.* 34,800 $ 1,280,988 Applera Corporation-Applied Biosystems Group 8,400 165,228 Applied Micro Circuits Corporation* 13,000 33,280 Autodesk, Inc.+++ 9,860 338,888 Avaya, Inc.*+++ 19,848 165,135 BMC Software, Inc.* 9,300 166,935 Broadcom Corporation Class A* 12,300 436,773 CIENA Corporation*+++ 23,700 49,533 Cisco Systems, Inc.* 275,000 5,255,250 Citrix Systems, Inc.* 7,100 153,786 Computer Associates International, Inc. 22,570 620,224 Computer Sciences Corporation* 8,000 349,600 Compuware Corporation*+++ 16,100 115,759 Comverse Technology, Inc.* 8,400 198,660 Corning, Inc.* 58,900 978,918 Dell, Inc.* 104,700 4,136,697 Electronic Data Systems Corporation 21,900 421,575 EMC Corporation* 101,200 1,387,452 Freescale Semiconductor, Inc. Series B* 16,311 345,467 Gateway, Inc.*+++ 15,600 51,480 General Dynamics Corporation 8,400 920,136 Hewlett-Packard Co. 123,602 2,905,883 Intel Corporation 264,900 6,903,294 International Business Machines Corporation 69,500 5,156,900 Intuit, Inc.* 7,800 351,858 Jabil Circuit, Inc.*+++ 8,400 258,132 JDS Uniphase Corporation*+++ 60,300 91,656 L-3 Communications Holdings, Inc. 4,600 352,268 Linear Technology Corporation 12,800 469,632 LSI Logic Corporation*+++ 16,000 135,840 Lucent Technologies, Inc.*+++ 188,376 548,174 Maxim Integrated Products, Inc. 13,800 527,298 Mercury Interactive Corporation*+++ 3,500 134,260 Micron Technology, Inc.* 27,400 279,754 Microsoft Corporation 429,100 10,658,843 Motorola, Inc. 103,500 1,889,910 National Semiconductor Corporation+++ 15,000 330,450 NCR Corporation* 7,800 273,936 Network Appliance, Inc.* 15,500 438,185 Novell, Inc.*+++ 15,900 98,580 Nvidia Corporation*+++ 7,500 200,400 Oracle Corporation* 191,100 2,522,520 Parametric Technology Corporation*+++ 11,200 71,456 PerkinElmer, Inc. 5,300 100,170 PMC-Sierra, Inc.*+++ 7,500 69,975 QLogic Corporation* 3,800 117,306
SHARES VALUE ---------- ------------ Qualcomm, Inc. 69,800 $ 2,304,098 Raytheon Co. 18,700 731,544 Rockwell Automation, Inc. 7,400 360,454 Sanmina-SCI Corporation*+++ 21,800 119,246 Scientific-Atlanta, Inc. 6,400 212,928 Siebel Systems, Inc.+++ 21,000 186,900 Solectron Corporation*+++ 40,200 152,358 Sun Microsystems, Inc.*+++ 140,400 523,692 Symantec Corporation* 30,200 656,548 Symbol Technologies, Inc. 9,850 97,220 Tellabs, Inc.* 19,600 170,520 Texas Instruments, Inc. 72,600 2,037,882 Unisys Corporation* 13,900 87,987 Veritas Software Corporation* 17,675 431,270 Xilinx, Inc. 14,500 369,750 ------------ 63,066,152 ------------ UTILITIES -- 7.4% AES Corporation (The)* 27,000 442,260 Allegheny Energy, Inc.*+++ 6,300 158,886 Alltel Corporation 13,800 859,464 Ameren Corporation+++ 8,100 447,930 American Electric Power Co., Inc. 16,500 608,355 AT&T Corporation 34,985 666,114 BellSouth Corporation 77,500 2,059,175 Centerpoint Energy, Inc.+++ 12,800 169,088 CenturyTel, Inc.+++ 5,800 200,854 Cinergy Corporation 7,500 336,150 Citizens Communications Co. 13,400 180,096 CMS Energy Corporation*+++ 8,200 123,492 Comcast Corporation Class A* 93,415 2,867,841 Consolidated Edison, Inc.+++ 10,100 473,084 Constellation Energy Group, Inc. 7,100 409,599 Dominion Resources, Inc. 14,700 1,078,833 DTE Energy Co.+++ 7,300 341,421 Duke Energy Corporation+++ 40,600 1,207,038 Edison International 13,600 551,480 Entergy Corporation 9,352 706,544 Exelon Corporation 28,824 1,479,536 FirstEnergy Corporation 13,784 663,148 FPL Group, Inc. 16,000 672,960 KeySpan Corporation+++ 7,900 321,530 Kinder Morgan, Inc.+++ 4,700 391,040 Nextel Communications, Inc. Class A* 47,700 1,541,187 Nicor, Inc.+++ 1,800 74,106 NiSource, Inc.+++ 11,000 272,030 Peoples Energy Corporation+++ 1,600 69,536 PG&E Corporation+++ 15,800 593,132 Pinnacle West Capital Corporation 3,800 168,910 PPL Corporation+++ 7,600 451,288 Progress Energy, Inc. 11,200 506,688 Public Service Enterprise Group, Inc.+++ 10,600 644,692]
See Notes to Financial Statements. 75 EQUITY INDEX FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ---------- ------------ Qwest Communications International, Inc.* 70,700 $ 262,297 SBC Communications, Inc. 139,234 3,306,808 Sempra Energy 9,600 396,576 Southern Co. (The)+++ 32,300 1,119,841 Sprint Corporation 62,100 1,558,089 TECO Energy, Inc. 7,900 149,389 TXU Corporation 10,500 872,445 Verizon Communications, Inc. 118,134 4,081,529 Xcel Energy, Inc.+++ 16,700 325,984 ------------ 33,810,445 ------------ TOTAL COMMON STOCKS (Cost $385,061,646) 446,821,257 ------------ SHORT-TERM INVESTMENTS -- 9.8% AB Funds Trust -- Money Market Fund (GS4 Class)(inf) 7,470,911 7,470,911 Northern Institutional Liquid Assets Portfolio sec. 37,369,376 37,369,376 ------------ TOTAL SHORT-TERM INVESTMENTS (Cost $44,840,287) 44,840,287 ------------
PAR ---------- U.S. TREASURY OBLIGATION -- 0.3% U.S. Treasury Bill 2.81%, 07/14/05++++ (Cost $1,163,820) $1,165,000 1,163,951 ------------ TOTAL INVESTMENTS -- 107.4% (Cost $431,065,753) 492,825,495 LIABILITIES IN EXCESS OF OTHER ASSETS -- (7.4%) (34,008,761) ------------ NET ASSETS -- 100.0% $458,816,734 ============
PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Auto & Transportation 2.3 Consumer Discretionary 12.0 Consumer Staples 5.6 Financial Services 21.7 Futures Contracts 1.5 Healthcare 13.1 Integrated Oils 5.9 Materials & Processing 3.4 Other 4.6 Other Energy 2.9 Producer Durables 4.7 Short-Term Investments 9.8 Technology 13.7 U.S. Treasury Obligations 0.3 Utilities 7.4 ------ 108.9 ======
--------------- + Based on net assets. See Notes to Financial Statements. 76 VALUE EQUITY FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK** ---------- ---------- ---------- ----------- ---------- --------------------- One Year 13.65% 13.39% 13.09% 14.06% N/A N/A Since Inception 6.33% 5.90% 5.83% 6.22% 6.81%(1) 7.13%(1) Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. [LINE GRAPH]
GS4 CLASS RUSSELL 1000(R) VALUE INDEX** --------- ----------------------------- Aug 27 2001 10000 10000 9711 9702 Sep 2001 9027 9019 8948 8942 9408 9462 Dec 2001 9621 9684 9529 9610 9535 9625 Mar 2002 10031 10081 9747 9735 9734 9784 Jun 2002 9157 9222 8273 8365 8366 8428 Sep 2002 7382 7491 7807 8046 8306 8553 Dec 2002 7950 8181 7783 7983 7514 7770 Mar 2003 7528 7783 8138 8468 8755 9015 Jun 2003 8885 9128 9041 9264 9196 9408 Sep 2003 9088 9316 9643 9886 9791 10020 Dec 2003 10402 10638 10627 10825 10838 11057 Mar 2004 10736 10960 10545 10692 10688 10801 Jun 2004 10991 11057 10806 10901 10916 11056 Sep 2004 11121 11227 11264 11414 11862 11991 Dec 2004 12243 12393 11974 12173 12368 12576 Mar 2005 12202 12403 12030 12181 12319 12475 Jun 2005 12463 12611
The graph compares the results of a $10,000 investment in the GS4 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. --------------- (1) Non-annualized. 77 VALUE EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 SHARES VALUE ------------- ----------- -------------- COMMON STOCKS -- 95.3% AUTO & TRANSPORTATION -- 2.5% Alexander & Baldwin, Inc. 2,300 $ 106,605 Autoliv, Inc. 5,400 236,520 BorgWarner, Inc.+++ 2,500 134,175 Burlington Northern Santa Fe Corporation 278,300 13,102,363 CSX Corporation 80,000 3,412,800 Dana Corporation 8,800 132,088 Delphi Corporation+++ 852,950 3,966,218 Ford Motor Co.+++ 111,695 1,143,757 General Motors Corporation+++ 28,600 972,400 Genuine Parts Co. 10,300 423,227 Goodyear Tire & Rubber Co. (The)*+++ 6,000 89,400 Laidlaw International, Inc.* 22,700 547,070 Lear Corporation 4,700 170,986 Norfolk Southern Corporation 22,400 693,504 Overseas Shipholding Group, Inc.+++ 1,900 113,335 PACCAR, Inc. 1,850 125,800 Southwest Airlines Co. 24,550 341,982 Swift Transportation Co., Inc.* 2,300 53,567 Tidewater, Inc. 3,100 118,172 TRW Automotive Holdings Corporation*+++ 1,900 46,569 Union Pacific Corporation 129,300 8,378,640 Yellow Roadway Corporation*+++ 3,300 167,640 -------------- 34,476,818 -------------- CONSUMER DISCRETIONARY -- 10.2% Adesa, Inc. 5,200 113,204 Alberto-Culver Co. 2,850 123,491 Allied Waste Industries, Inc.*+++ 9,500 75,335 American Greetings Corporation Class A 3,900 103,350 AnnTaylor Stores Corporation* 2,200 53,416 AutoNation, Inc.*+++ 10,500 215,460 Barnes & Noble, Inc.* 2,900 112,520 Belo Corporation Class A 4,700 112,659 Best Buy Co., Inc. 21,000 1,439,550 BJ's Wholesale Club, Inc.*+++ 4,100 133,209 Black & Decker Corporation+++ 21,100 1,895,835 Borders Group, Inc. 4,600 116,426 Brink's Co. (The)+++ 1,400 50,400 Carnival Corporation+++ 136,000 7,418,800 CBRL Group, Inc.+++ 2,200 85,492 Cendant Corporation 688,730 15,406,890 Circuit City Stores, Inc.+++ 241,800 4,180,722 Claire's Stores, Inc. 400 9,620 Clear Channel Communications, Inc. 23,925 740,000 Columbia Sportswear Co.*+++ 1,200 59,268 Convergys Corporation* 8,500 120,870 Costco Wholesale Corporation 19,300 865,026 Dillard's, Inc. Class A 5,000 117,100
SHARES VALUE ----------- -------------- DIRECTV Group, Inc. (The)* 4,232 $ 65,596 Dollar Tree Stores, Inc.* 2,500 60,000 Donnelley (R.R.) & Sons Co. 13,500 465,885 Eastman Kodak Co.+++ 344,500 9,249,825 Family Dollar Stores, Inc. 2,600 67,860 Federated Department Stores, Inc.+++ 10,500 769,440 Fisher Scientific International, Inc.* 3,200 207,680 Foot Locker, Inc. 5,000 136,100 Gannett Co., Inc. 108,800 7,738,944 Hasbro, Inc.+++ 9,325 193,867 Hearst-Argyle Television, Inc. 1,800 44,100 Hewitt Associates, Inc. Class A*+++ 1,700 45,067 Hilton Hotels Corporation 135,100 3,222,135 Home Depot, Inc. (The) 119,400 4,644,660 IAC/InterActiveCorp*+++ 11,161 268,422 International Speedway Corporation Class A 1,500 84,390 Interpublic Group Cos., Inc.*+++ 5,000 60,900 Jones Apparel Group, Inc. 7,500 232,800 Kimberly-Clark Corporation 17,100 1,070,289 Knight-Ridder, Inc.+++ 4,000 245,360 Lamar Advertising Co.* 1,300 55,601 Laureate Education, Inc.*+++ 700 33,502 Lee Enterprises, Inc. 2,700 108,243 Leggett & Platt, Inc. 7,700 204,666 Liberty Global, Inc. Class A* 8,957 418,023 Liberty Media Corporation Class A* 115,100 1,172,869 Liz Claiborne, Inc. 6,600 262,416 Manpower, Inc. 3,800 151,164 Mattel, Inc.+++ 337,700 6,179,910 May Department Stores Co. (The) 18,000 722,880 McClatchy Co. Class A 1,100 71,984 McDonald's Corporation 601,800 16,699,951 McGraw-Hill Co., Inc. (The) 30,200 1,336,350 Mohawk Industries, Inc.*+++ 2,200 181,500 Neiman-Marcus Group, Inc. Class A 2,300 222,916 New York Times Co. Class A+++ 9,900 308,385 Newell Rubbermaid, Inc.+++ 326,400 7,781,376 Office Depot, Inc.* 213,600 4,878,624 OfficeMax, Inc. 5,300 157,781 Outback Steakhouse, Inc. 400 18,096 Penney (JC) Co., Inc. 9,900 520,542 Pixar, Inc.*+++ 31,000 1,551,550 Polo Ralph Lauren Corporation+++ 2,500 107,775 Reebok International, Ltd. 2,700 112,941 Rent-A-Center, Inc.* 5,400 125,766 Republic Services, Inc. 8,500 306,085 Sabre Holdings Corporation 7,900 157,605
See Notes to Financial Statements. 78
SHARES VALUE ----------- -------------- Saks, Inc.* 7,500 $ 142,275 Sears Holdings Corporation* 3,297 494,121 Service Corporation International 18,100 145,162 ServiceMaster Co. 7,100 95,140 Snap-On, Inc. 3,400 116,620 Stanley Works (The)+++ 199,300 9,076,122 Staples, Inc. 9,500 202,540 Starwood Hotels & Resorts Worldwide, Inc. 5,200 304,564 Take-Two Interactive Software, Inc.* 1,200 30,540 Tech Data Corporation* 3,200 117,152 Telewest Global, Inc.*+++ 16,300 371,314 Tiffany & Co.+++ 4,800 157,248 Time Warner, Inc.* 272,600 4,555,146 Toys "R" Us, Inc.* 13,100 346,888 Tribune Co. 15,800 555,844 Univision Communications, Inc. Class A*+++ 6,195 170,672 VF Corporation 48,100 2,752,282 Warner Music Group Corporation*+++ 3,300 53,460 Waste Management, Inc.+++ 290,357 8,228,717 Wendy's International, Inc.+++ 169,400 8,071,910 Westwood One, Inc.+++ 3,000 61,290 Whirlpool Corporation+++ 4,200 294,462 -------------- 142,613,933 -------------- CONSUMER STAPLES -- 3.1% Albertson's, Inc.+++ 252,300 5,217,564 Campbell Soup Co.+++ 6,800 209,236 Clorox Co. 9,241 514,909 Coca-Cola Co. (The) 48,600 2,029,050 Coca-Cola Enterprises, Inc. 17,800 391,778 Colgate-Palmolive Co. 9,500 474,145 ConAgra Foods, Inc. 480,000 11,116,799 Dean Foods Co.* 124,950 4,403,238 Del Monte Foods Co.* 11,200 120,624 General Mills, Inc. 17,200 804,788 Heinz (H.J.) Co.+++ 186,700 6,612,914 Hershey Co. (The) 1,400 86,940 Hormel Foods Corporation+++ 4,400 129,052 J.M. Smucker Co. (The) 3,400 159,596 Kellogg Co. 6,100 271,084 Kraft Foods, Inc. Class A+++ 17,100 543,951 Kroger Co.* 45,800 871,574 McCormick & Co., Inc. 2,000 65,360 Pepsi Bottling Group, Inc.+++ 5,600 160,216 PepsiAmericas, Inc. 4,200 107,772 Pilgrim's Pride Corporation+++ 1,200 40,956 Rite Aid Corporation*+++ 29,500 123,310 Safeway, Inc.+++ 128,900 2,911,851 Sara Lee Corporation 189,715 3,758,254 Smithfield Foods, Inc.* 6,100 166,347 SUPERVALU, Inc. 56,900 1,855,509 TreeHouse Foods, Inc.* 25,990 740,975
SHARES VALUE ----------- -------------- Tyson Foods, Inc. Class A 13,781 $ 245,302 -------------- 44,133,094 -------------- FINANCIAL SERVICES -- 32.0% A.G. Edwards, Inc. 4,700 212,205 ACE, Ltd.+++ 174,300 7,817,355 AFLAC, Inc. 5,700 246,696 Alleghany Corporation* 312 92,664 Allied Capital Corporation+++ 7,600 221,236 Allmerica Financial Corporation* 3,200 118,688 Allstate Corporation (The)+++ 238,500 14,250,375 AMB Property Corporation REIT 4,900 212,807 AMBAC Financial Group, Inc. 5,250 366,240 American Capital Strategies, Ltd.+++ 6,600 238,326 American Financial Group, Inc.+++ 2,200 73,744 American Financial Realty Trust REIT+++ 6,000 92,280 American International Group, Inc. 101,233 5,881,637 American National Insurance Co. 500 57,345 AmeriCredit Corporation*+++ 6,000 153,000 Ameritrade Holding Corporation*+++ 10,100 187,759 AmerUs Group Co.+++ 3,100 148,955 AmSouth Bancorporation 20,900 543,400 Annaly Mortgage Management, Inc. REIT+++ 9,300 166,749 AON Corporation 19,200 480,768 Apartment Investment & Management Co. Class A REIT 5,600 229,152 Archstone-Smith Trust REIT 13,500 521,370 Arden Realty, Inc. REIT 5,200 187,096 Arthur J. Gallagher & Co.+++ 500 13,565 Associated Banc-Corp+++ 19,100 642,906 Assurant, Inc.+++ 6,500 234,650 Astoria Financial Corporation 6,900 196,443 AvalonBay Communities, Inc. REIT 4,200 339,360 Bank of America Corporation 906,284 41,335,613 Bank of Hawaii Corporation 3,200 162,400 Bank of New York Co., Inc. (The) 49,900 1,436,122 BB&T Corporation+++ 34,729 1,388,118 Bear Stearns Cos., Inc. (The) 6,900 717,186 BISYS Group, Inc. (The)* 3,000 44,820 BOK Financial Corporation 1,057 48,749 Boston Properties, Inc. REIT 6,400 448,000 BRE Properties, Inc. Class A REIT 3,900 163,215 Camden Property Trust REIT 3,800 204,250
See Notes to Financial Statements. 79 VALUE EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ----------- -------------- Capital One Financial Corporation 11,100 $ 888,111 CapitalSource, Inc.*+++ 1,900 37,297 Capitol Federal Financial+++ 1,300 44,824 CarrAmerica Realty Corporation REIT 4,500 162,810 Catellus Development Corporation REIT 5,100 167,280 CBL & Associates Properties, Inc. REIT 27,800 1,197,346 Centerpoint Properties Corporation REIT 2,800 118,440 Checkfree Corporation*+++ 800 27,248 Chubb Corporation 131,800 11,283,398 CIGNA Corporation 108,600 11,623,458 Cincinnati Financial Corporation 10,255 405,688 CIT Group, Inc. 99,100 4,258,327 Citigroup, Inc. 978,100 45,217,562 City National Corporation 2,400 172,104 CNA Financial Corporation* 1,500 42,630 Colonial BancGroup, Inc. 7,700 169,862 Comerica, Inc.+++ 209,900 12,132,220 Commerce Bancorp, Inc. 400 12,124 Commerce Bancshares, Inc.+++ 3,607 181,829 Commerce Group, Inc. 1,200 74,532 Compass Bancshares, Inc. 8,600 387,000 Conseco, Inc.*+++ 10,600 231,292 Countrywide Financial Corporation 33,500 1,293,435 Crescent Real Estate Equities Co. REIT 254,800 4,777,500 Cullen/Frost Bankers, Inc. 3,000 142,950 Deluxe Corporation+++ 3,700 150,220 Developers Diversified Realty Corporation REIT 6,100 280,356 Downey Financial Corporation 1,000 73,200 Duke Realty Corporation REIT 8,400 265,944 E*TRADE Financial Corporation* 24,200 338,558 Equifax, Inc. 2,600 92,846 Equity Office Properties Trust REIT 25,285 836,934 Equity Residential Properties Trust REIT 18,100 666,442 Erie Indemnity Co. Class A+++ 1,700 92,225 Essex Property Trust, Inc. REIT 1,800 149,508 Fair Isaac & Co., Inc.+++ 600 21,900 Fannie Mae 151,100 8,824,240 Federal Realty Investors Trust REIT 2,800 165,200 Federated Investors, Inc. Class B+++ 500 15,005 Fidelity National Financial, Inc. 9,879 352,582
SHARES VALUE ----------- -------------- Fifth Third Bancorp+++ 28,800 $ 1,186,848 First American Corporation+++ 5,700 228,798 First Horizon National Corporation 7,800 329,160 FirstMerit Corporation+++ 5,000 130,550 Freddie Mac 164,000 10,697,720 Friedman, Billings, Ramsey Group, Inc. Class A REIT+++ 9,900 141,570 Fulton Financial Corporation+++ 9,050 162,900 General Growth Properties, Inc. REIT 90,800 3,730,972 Genworth Financial, Inc. Class A 13,200 399,036 Golden West Financial Corporation 9,300 598,734 Goldman Sachs Group, Inc. 22,100 2,254,642 Hartford Financial Services Group, Inc.+++ 272,600 20,385,027 HCC Insurance Holdings, Inc. 2,800 106,036 Health Care Property Investors, Inc. REIT+++ 7,800 210,912 Health Care REIT, Inc. 3,000 113,070 Healthcare Realty Trust, Inc. REIT 2,000 77,220 Hibernia Corporation Class A 9,200 305,256 Hospitality Properties Trust REIT 4,000 176,280 Host Marriott Corporation REIT 20,900 365,750 HRPT Properties Trust REIT 10,500 130,515 Huntington Bancshares, Inc. 14,200 342,788 Independence Community Bank Corporation 4,900 180,957 IndyMac Bancorp, Inc. 2,400 97,752 Instinet Group, Inc.* 7,000 36,680 International Bancshares Corporation 2,625 74,261 iStar Financial, Inc. REIT 6,500 270,335 Janus Capital Group, Inc.+++ 15,400 231,616 Jefferies Group, Inc.+++ 3,400 128,826 Jefferson-Pilot Corporation 8,300 418,486 JPMorgan Chase & Co. 705,038 24,901,941 KeyCorp 255,150 8,458,223 Kimco Realty Corporation REIT 5,800 341,678 Lehman Brothers Holdings, Inc. 21,142 2,098,978 Leucadia National Corporation+++ 4,750 183,493 Liberty Property Trust REIT 5,000 221,550 Lincoln National Corporation 11,600 544,272 Loews Corporation 9,000 697,500 M & T Bank Corporation 4,500 473,220 Macerich Co. (The) REIT 3,200 214,560 Mack-Cali Realty Corporation REIT 3,600 163,080 Markel Corporation* 300 101,700
See Notes to Financial Statements. 80
SHARES VALUE ----------- -------------- Marsh & McLennan Cos., Inc. 34,100 $ 944,570 Marshall & Ilsley Corporation+++ 14,800 657,860 MBIA, Inc.+++ 8,450 501,170 MBNA Corporation 676,000 17,684,160 Mellon Financial Corporation 24,400 700,036 Mercantile Bankshares Corporation 4,700 242,191 Mercury General Corporation 1,500 81,780 Merrill Lynch & Co., Inc. 153,367 8,436,719 MetLife, Inc. 27,000 1,213,380 MGIC Investment Corporation+++ 109,900 7,167,678 Mills Corporation (The) REIT+++ 25,000 1,519,750 Morgan Stanley 228,500 11,989,395 National City Corporation 113,337 3,867,058 Nationwide Financial Services Class A+++ 48,800 1,851,472 New Century Financial Corporation REIT+++ 1,900 97,755 New Plan Excel Realty Trust REIT+++ 5,900 160,303 New York Community Bancorp, Inc.+++ 17,954 325,327 North Fork Bancorporation, Inc. 155,308 4,362,602 Northern Trust Corporation 5,300 241,627 Old Republic International Corporation 62,450 1,579,361 Pan Pacific Retail Properties, Inc. REIT 2,400 159,312 Philadelphia Consolidated Holding Corporation*+++ 400 33,904 Plum Creek Timber Co., Inc. REIT 10,862 394,291 PMI Group, Inc. (The) 6,500 253,370 PNC Financial Services Group, Inc. 18,600 1,012,956 Popular, Inc. 16,400 413,116 Principal Financial Group 18,800 787,720 Progressive Corporation (The) 1,500 148,215 Prologis Trust REIT 12,789 514,629 Protective Life Corporation 4,100 173,102 Providian Financial Corporation*+++ 16,500 290,895 Prudential Financial, Inc. 30,100 1,976,366 Public Storage, Inc. REIT 1,900 120,175 Radian Group, Inc. 4,900 231,378 Raymond James Financial, Inc. 3,600 101,700 Rayonier, Inc. REIT+++ 14,940 792,268 Realty Income Corporation REIT+++ 3,300 82,632 Reckson Associates Realty Corporation REIT+++ 4,000 134,200
SHARES VALUE ----------- -------------- Regency Centers Corporation REIT 3,300 $ 188,760 Regions Financial Corporation 30,249 1,024,836 Reinsurance Group of America, Inc.+++ 1,700 79,067 Ryder System, Inc. 3,100 113,460 Safeco Corporation 8,500 461,890 Shurgard Storage Centers, Inc. Class A REIT+++ 2,700 124,092 Simon Property Group, Inc. REIT+++ 7,457 540,558 Sky Financial Group, Inc. 6,100 171,898 SL Green Realty Corporation REIT+++ 2,300 148,350 SLM Corporation 156,200 7,934,960 South Financial Group, Inc. 3,500 99,470 Sovereign Bancorp, Inc. 21,600 482,544 St. Paul Travelers Cos., Inc. 145,691 5,759,165 Stancorp Financial Group, Inc. 2,100 160,818 State Street Corporation 14,000 675,500 Sungard Data Systems, Inc.* 1,800 63,306 SunTrust Banks, Inc. 96,174 6,947,610 TCF Financial Corporation+++ 1,000 25,880 TD Banknorth, Inc. 4,998 148,940 Thornburg Mortgage, Inc. REIT+++ 6,200 180,606 Torchmark Corporation 7,100 370,620 Transatlantic Holdings, Inc. 1,375 76,753 Trizec Properties, Inc. REIT 7,000 143,990 UnionBanCal Corporation 51,400 3,439,688 United Dominion Realty Trust, Inc. REIT 6,900 165,945 Unitrin, Inc. 1,600 78,560 UnumProvident Corporation+++ 395,400 7,243,728 US Bancorp 139,625 4,077,050 Valley National Bancorp 5,812 135,885 Vornado Realty Trust REIT 7,400 594,960 W.R. Berkley Corporation 5,812 207,372 Wachovia Corporation 360,328 17,872,269 Washington Federal, Inc. 5,097 119,881 Washington Mutual, Inc. 555,914 22,620,140 Webster Financial Corporation 3,100 144,739 Weingarten Realty Investors REIT 4,100 160,802 WellChoice, Inc.* 700 48,629 Wells Fargo & Co. 191,572 11,797,004 Westcorp+++ 1,100 57,662 WFS Financial, Inc.* 200 10,142 Whitney Holding Corporation 3,600 117,468 Wilmington Trust Corporation 3,900 140,439 XL Capital, Ltd. Class A+++ 165,100 12,286,742 Zions Bancorporation 6,200 455,886 -------------- 448,105,050 -------------- HEALTHCARE -- 9.3% Abbott Laboratories 11,800 578,318 Aetna, Inc. 3,600 298,152
See Notes to Financial Statements. 81 VALUE EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ----------- -------------- AmerisourceBergen Corporation 35,646 $ 2,464,921 Bausch & Lomb, Inc.+++ 700 58,100 Baxter International, Inc. 290,800 10,788,680 Becton Dickinson & Co. 5,900 309,573 Biogen Idec, Inc.* 11,700 403,065 Bristol-Myers Squibb Co. 370,400 9,252,592 Cardinal Health, Inc.+++ 158,300 9,114,914 Caremark Rx, Inc.* 3,000 133,560 Charles River Laboratories International, Inc.*+++ 1,800 86,850 Chiron Corporation* 1,100 38,379 Community Health Systems, Inc.* 1,500 56,685 Cooper Cos., Inc. 800 48,688 Eli Lilly & Co. 4,600 256,266 Gilead Sciences, Inc.* 12,700 558,673 Health Management Associates, Inc. Class A+++ 1,600 41,888 Health Net, Inc.* 171,700 6,552,072 Hospira, Inc* 5,700 222,300 Humana, Inc.* 2,800 111,272 Invitrogen Corporation*+++ 1,800 149,922 IVAX Corporation*+++ 222,950 4,793,425 King Pharmaceuticals, Inc.* 14,300 149,006 McKesson Corporation 11,000 492,690 Medco Health Solutions, Inc.* 133,817 7,140,475 Merck & Co., Inc. 302,600 9,320,080 Millennium Pharmeceuticals, Inc.*+++ 10,900 101,043 Mylan Laboratories, Inc. 12,900 248,196 Omnicare, Inc.+++ 4,100 173,963 PacifiCare Health Systems, Inc.* 2,400 171,480 Pfizer, Inc. 1,218,200 33,597,956 Schering-Plough Corporation 418,400 7,974,704 Sierra Health Services, Inc.* 200 14,292 Tenet Healthcare Corporation* 26,600 325,584 Triad Hospitals, Inc.*+++ 22,400 1,223,936 Universal Health Services, Inc. Class B+++ 900 55,962 Watson Pharmaceuticals, Inc.* 142,600 4,215,256 WebMD Corporation* 6,100 62,647 WellPoint, Inc.* 120,962 8,423,794 Wyeth+++ 238,400 10,608,800 -------------- 130,618,159 -------------- INTEGRATED OILS -- 9.9% Amerada Hess Corporation 5,200 553,852 BP PLC ADR+++ 191,068 11,918,822 Chevron Corporation 552,596 30,901,168 ConocoPhillips 530,664 30,507,873 ExxonMobil Corporation 694,300 39,901,422 Marathon Oil Corporation 136,800 7,301,016 Occidental Petroleum Corporation 215,600 16,586,108
SHARES VALUE ----------- -------------- Unocal Corporation 16,800 $ 1,092,840 -------------- 138,763,101 -------------- MATERIALS & PROCESSING --4.4% Air Products & Chemicals, Inc. 13,500 814,050 Airgas, Inc.+++ 2,800 69,076 Albemarle Corporation 1,600 58,352 Alcoa, Inc. 333,700 8,719,581 AptarGroup, Inc. 1,700 86,360 Archer-Daniels-Midland Co. 42,389 906,277 Ashland, Inc. 4,200 301,854 Avery Dennison Corporation 1,700 90,032 Ball Corporation+++ 5,200 186,992 Bemis Co. 6,300 167,202 Cabot Corporation+++ 4,100 135,300 Celanese Corporation Series A*+++ 4,400 69,916 Crompton Corporation* 2,200 31,130 Cytec Industries, Inc. 3,000 119,400 Dow Chemical Co. (The) 114,044 5,078,379 Du Pont (E.I.) de Nemours & Co. 52,100 2,240,821 Eastman Chemical Co.+++ 30,800 1,698,620 Energizer Holdings, Inc.* 1,200 74,604 Engelhard Corporation 7,400 211,270 FMC Corporation*+++ 2,000 112,280 Georgia-Pacific Corporation+++ 85,671 2,724,338 Harsco Corporation 800 43,640 Huntsman Corporation* 4,700 95,269 International Paper Co. 30,100 909,321 Jacobs Engineering Group, Inc.* 700 39,382 Lafarge North America, Inc. 11,200 699,328 Louisiana-Pacific Corporation+++ 7,700 189,266 Lubrizol Corporation 4,500 189,045 Lyondell Chemical Co. 153,500 4,055,470 Martin Marietta Materials, Inc. 1,000 69,120 Masco Corporation 5,500 174,680 MeadWestvaco Corporation 319,752 8,965,846 Monsanto Co. 3,600 226,332 Mosaic Co. (The)*+++ 6,800 105,808 Newmont Mining Corporation 26,100 1,018,683 Nucor Corporation+++ 9,700 442,514 Owens-Illinois, Inc.* 9,200 230,460 Packaging Corporation of America 4,400 92,620 Pactiv Corporation* 339,500 7,326,410 Phelps Dodge Corporation 2,800 259,000 PPG Industries, Inc. 10,300 646,428 Praxair, Inc. 3,300 153,780 Precision Castparts Corporation 21,300 1,659,270 Rohm & Haas Co. 9,500 440,230 RPM International, Inc.+++ 6,900 125,994 Scotts Miracle-Gro Co. (The) Class A*+++ 1,000 71,210
See Notes to Financial Statements. 82
SHARES VALUE ----------- -------------- Sealed Air Corporation*+++ 3,000 $ 149,370 Sherwin-Williams Co. (The) 48,500 2,283,865 Sigma-Aldrich Corporation 4,500 252,180 Smurfit-Stone Container Corporation* 17,500 177,975 Sonoco Products Co.+++ 5,800 153,700 Temple-Inland, Inc. 6,600 245,190 Timken Co. 3,300 76,230 United States Steel Corporation+++ 7,500 257,775 USG Corporation* 2,100 89,250 Valspar Corporation+++ 3,700 178,673 Vulcan Materials Co. 2,800 181,972 Weyerhaeuser Co. 77,600 4,939,240 -------------- 61,110,360 -------------- OTHER -- 1.1% Brunswick Corporation 2,200 95,304 Carlisle Cos., Inc.+++ 1,400 96,082 Eaton Corporation 6,700 401,330 General Electric Co. 240,000 8,316,000 Hillenbrand Industries, Inc. 2,500 126,375 Honeywell International, Inc. 54,300 1,989,009 ITT Industries, Inc. 800 78,104 Johnson Controls, Inc. 71,000 3,999,430 SPX Corporation 4,300 197,714 Teleflex, Inc.+++ 2,100 124,677 Textron, Inc. 6,000 455,100 Wesco Financial Corporation 100 36,000 -------------- 15,915,125 -------------- OTHER ENERGY -- 2.9% Anadarko Petroleum Corporation 94,400 7,754,960 Apache Corporation 20,182 1,303,757 Arch Coal, Inc.+++ 2,700 147,069 Burlington Resources, Inc. 122,300 6,755,852 Chesapeake Energy Corporation 13,200 300,960 Consol Energy, Inc. 2,000 107,160 Cooper Cameron Corporation*+++ 1,200 74,460 Devon Energy Corporation 42,338 2,145,690 Dynegy, Inc. Class A*+++ 19,800 96,228 El Paso Corporation+++ 39,172 451,261 ENSCO International, Inc. 2,700 96,525 Equitable Resources, Inc.+++ 1,000 68,000 Forest Oil Corporation*+++ 3,800 159,600 Helmerich & Payne, Inc. 500 23,460 Kerr-McGee Corporation 7,091 541,114 National Oilwell Varco, Inc.* 4,481 213,027 Newfield Exploration Co.* 2,900 115,681 Noble Energy, Inc. 4,400 332,860 NRG Energy, Inc.*+++ 54,800 2,060,480 Pioneer Natural Resources Co. 8,000 336,640 Pogo Producing Co. 4,300 223,256 Premcor, Inc. 4,900 363,482
SHARES VALUE ----------- -------------- Pride International, Inc.* 70,100 $ 1,801,570 Reliant Energy, Inc.*+++ 152,673 1,890,092 Rowan Cos., Inc.+++ 3,100 92,101 Sunoco, Inc. 1,000 113,680 Tesoro Corporation 32,600 1,516,552 Unit Corporation* 700 30,807 Valero Energy Corporation+++ 16,000 1,265,760 Vintage Petroleum, Inc. 4,000 121,880 Williams Cos., Inc. 539,600 10,252,400 -------------- 40,756,364 -------------- PRODUCER DURABLES -- 5.3% Agilent Technologies, Inc.* 4,000 92,080 Alliant Techsystems, Inc.* 1,000 70,600 American Power Conversion Corporation 212,600 5,015,234 American Tower Corporation Class A*+++ 2,500 52,550 Andrew Corporation*+++ 8,600 109,736 Beazer Homes USA, Inc.+++ 1,400 80,010 Centex Corporation+++ 3,700 261,479 Crown Castle International Corporation* 5,900 119,888 Cummins, Inc.+++ 1,600 119,376 Deere & Co. 13,700 897,213 Diebold, Inc.+++ 1,100 49,621 Dover Corporation 3,300 120,054 DR Horton, Inc. 4,633 174,247 Emerson Electric Co. 152,100 9,526,023 Grainger (W.W.), Inc. 4,200 230,118 Hubbell, Inc. Class B+++ 3,600 158,760 Illinois Tool Works, Inc. 1,100 87,648 Ingersoll-Rand Co., Ltd. Class A 3,400 242,590 KB HOME+++ 800 60,984 Lam Research Corporation* 28,200 816,108 Lennar Corporation Class A 3,500 222,075 MDC Holdings, Inc. 810 66,623 Meritage Homes Corporation*+++ 1,300 103,350 Mettler Toledo International, Inc.*+++ 1,100 51,238 Molex, Inc.+++ 3,500 91,140 Nokia Corporation ADR 607,700 10,112,128 Northrop Grumman Corporation 281,670 15,562,267 Novellus Systems, Inc.* 4,700 116,137 NVR, Inc.*+++ 4,200 3,402,000 Pall Corporation 7,200 218,592 Parker Hannifin Corporation 4,700 291,447 Pentair, Inc. 1,600 68,496 Pitney Bowes, Inc. 81,900 3,566,745 Pulte Homes, Inc.+++ 6,500 547,625 Roper Industries, Inc. 300 21,411 Ryland Group, Inc. 600 45,522 Standard-Pacific Corporation+++ 1,900 167,105 Steelcase, Inc. Class A 2,900 40,165 Tektronix, Inc. 4,300 100,061
See Notes to Financial Statements. 83 VALUE EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ----------- -------------- Terex Corporation* 3,500 $ 137,900 Thermo Electron Corporation* 5,700 153,159 Thomas & Betts Corporation* 1,800 50,832 Tyco International, Ltd.+++ 286,300 8,359,960 United Technologies Corporation 232,700 11,949,145 Xerox Corporation* 60,200 830,158 -------------- 74,559,600 -------------- TECHNOLOGY -- 4.0% ADC Telecommunications, Inc.*+++ 7,842 170,720 Advanced Micro Devices, Inc.*+++ 11,000 190,740 Affiliated Computer Services, Inc. Class A*+++ 2,300 117,530 Applera Corporation-Applied Biosystems Group 12,000 236,040 Arrow Electronics, Inc.* 6,800 184,688 Avaya, Inc.* 7,300 60,736 Avnet, Inc.* 6,200 139,686 AVX Corporation+++ 1,900 23,028 BEA Systems, Inc.* 20,400 179,112 BMC Software, Inc.* 8,700 156,165 Cadence Design Systems, Inc.* 8,000 109,280 Ceridian Corporation* 3,800 74,024 Computer Associates International, Inc. 7,300 200,604 Computer Sciences Corporation* 97,800 4,273,860 Compuware Corporation*+++ 15,500 111,445 Comverse Technology, Inc.* 2,100 49,665 Electronic Data Systems Corporation+++ 460,000 8,855,000 EMC Corporation* 155,700 2,134,647 Freescale Semiconductor, Inc. Series B* 21,300 451,134 General Dynamics Corporation 16,000 1,752,640 Harris Corporation 2,100 65,541 Hewlett-Packard Co. 435,650 10,242,132 Ingram Micro, Inc. Class A* 5,300 82,998 Intel Corporation 121,300 3,161,078 International Business Machines Corporation 15,300 1,135,260 International Rectifier Corporation*+++ 900 42,948 Intersil Corporation Class A 5,900 110,743 JDS Uniphase Corporation*+++ 49,200 74,784 Juniper Networks, Inc.* 8,800 221,584 L-3 Communications Holdings, Inc. 3,100 237,398 LSI Logic Corporation*+++ 16,700 141,783 Lucent Technologies, Inc.*+++ 275,300 801,123 McAfee, Inc.* 61,200 1,602,216 Micron Technology, Inc.* 18,200 185,822 Microsoft Corporation 179,100 4,448,844 Motorola, Inc. 402,600 7,351,476 NCR Corporation* 8,300 291,496
SHARES VALUE ----------- -------------- Novell, Inc.*+++ 25,400 $ 157,480 PerkinElmer, Inc. 3,700 69,930 Raytheon Co. 22,900 895,848 Reynolds & Reynolds Co. (The) Class A+++ 2,600 70,278 Sandisk Corporation*+++ 2,400 56,952 Sanmina-SCI Corporation* 18,276 99,970 Scientific-Atlanta, Inc. 20,000 665,400 Seagate Technology 115,600 2,028,780 Seagate Technology, Inc.+ 4,600 0 Siebel Systems, Inc.+++ 27,200 242,080 Solectron Corporation* 32,700 123,933 Storage Technology Corporation* 7,100 257,659 Sun Microsystems, Inc.* 91,600 341,668 Sybase, Inc.*+++ 6,400 117,440 Synopsys, Inc.*+++ 40,800 680,136 Tellabs, Inc.* 29,466 256,354 Unisys Corporation* 19,400 122,802 Veritas Software Corporation* 21,600 527,040 Vishay Intertechnology, Inc.* 10,900 129,383 -------------- 56,511,103 -------------- UTILITIES -- 10.6% AES Corporation (The)* 97,200 1,592,136 AGL Resources, Inc. 3,800 146,870 Allegheny Energy, Inc.*+++ 9,600 242,112 Alliant Energy Corporation 6,600 185,790 Alltel Corporation+++ 18,500 1,152,180 Ameren Corporation+++ 12,800 707,840 American Electric Power Co., Inc.+++ 266,500 9,825,855 Aqua America, Inc.+++ 5,525 164,314 AT&T Corporation 345,060 6,569,942 Atmos Energy Corporation+++ 3,600 103,680 BellSouth Corporation 136,200 3,618,834 Centerpoint Energy, Inc.+++ 21,500 284,015 CenturyTel, Inc. 8,900 308,207 Cinergy Corporation 13,200 591,624 Citizens Communications Co. 19,400 260,736 CMS Energy Corporation* 14,800 222,888 Comcast Corporation Class A* 357,063 10,961,834 Consolidated Edison, Inc.+++ 16,200 758,808 Constellation Energy Group, Inc.+++ 10,700 617,283 Dominion Resources, Inc.+++ 22,019 1,615,974 DPL, Inc. 9,100 249,795 DTE Energy Co. 30,200 1,412,454 Duke Energy Corporation+++ 237,700 7,066,821 Edison International 19,900 806,945 Energen Corporation+++ 25,800 904,290 Energy East Corporation+++ 8,700 252,126 Entergy Corporation 183,300 13,848,315 Exelon Corporation+++ 150,374 7,718,697 FirstEnergy Corporation 21,612 1,039,753 FPL Group, Inc. 24,500 1,030,470 Great Plains Energy, Inc.+++ 4,100 130,749
See Notes to Financial Statements. 84
SHARES VALUE ----------- -------------- Hawaiian Electric Industries, Inc.+++ 4,800 $ 128,688 KeySpan Corporation 97,300 3,960,110 Kinder Morgan, Inc. 900 74,880 MCI, Inc.* 17,000 437,070 MDU Resources Group, Inc. 47,750 1,345,118 National Fuel Gas Co.+++ 4,300 124,313 Nextel Communications, Inc. Class A* 44,800 1,447,488 NiSource, Inc. 15,700 388,261 Nortel Networks Corporation*+++ 1,288,500 3,362,985 Northeast Utilities 29,800 621,628 NSTAR 6,200 191,146 NTL, Inc.* 4,900 335,258 OGE Energy Corporation+++ 5,200 150,488 Oneok, Inc. 6,100 199,165 Pepco Holdings, Inc.+++ 58,898 1,410,018 PG&E Corporation 23,800 893,452 Piedmont Natural Gas Co., Inc.+++ 3,100 74,462 Pinnacle West Capital Corporation 5,400 240,030 PNM Resources, Inc. 4,900 141,169 PPL Corporation+++ 135,200 8,028,176 Progress Energy, Inc.+++ 16,300 737,412 Progress Energy, Inc. Contingent Value Obligation*+ 3,100 1,209 Public Service Enterprise Group, Inc.+++ 14,600 887,972 Puget Energy, Inc. 5,900 137,942 Questar Corporation 4,500 296,550 Qwest Communications International, Inc.* 91,700 340,207 SBC Communications, Inc. 210,000 4,987,500 SCANA Corporation 6,600 281,886 Sempra Energy 80,400 3,321,324 Southern Co. (The)+++ 48,200 1,671,094 Southern Union Co.* 4,700 115,385 Sprint Corporation 87,100 2,185,339 TECO Energy, Inc. 11,600 219,356 Telephone & Data Systems, Inc. 5,600 228,536 TXU Corporation 61,300 5,093,417 UGI Corporation 7,600 212,040 US Cellular Corporation* 500 24,970 Vectren Corporation+++ 4,500 129,285 Verizon Communications, Inc. 850,324 29,378,695 Westar Energy, Inc. 5,100 122,553 Western Gas Resources, Inc.+++ 900 31,410 Wisconsin Energy Corporation 7,000 273,000 WPS Resources Corporation+++ 2,200 123,750
SHARES VALUE ----------- -------------- Xcel Energy, Inc.+++ 26,540 $ 518,061 -------------- 149,264,135 -------------- TOTAL COMMON STOCKS (Cost $1,126,055,812) 1,336,826,842 -------------- SHORT-TERM INVESTMENTS -- 15.1% AB Funds Trust -- Money Market Fund (GS4 Class)(inf) 48,669,178 48,669,178 Northern Institutional Liquid Assets Portfoliosec. 163,275,774 163,275,774 -------------- TOTAL SHORT-TERM INVESTMENTS (Cost $211,944,952) 211,944,952 --------------
PAR ---------- U.S. TREASURY OBLIGATION -- 0.3% U.S. Treasury Bill 2.81%, 07/14/05++++ (Cost $4,845,087) $4,850,000 4,845,634 -------------- SHARES ---------- PREFERRED STOCK -- 0.0% FINANCIAL SERVICES Simon Property Group, L.P. REIT 6.00% (Cost $30,524) 570 35,340 -------------- TOTAL INVESTMENTS -- 110.7% (Cost $1,342,876,375) 1,553,652,768 LIABILITIES IN EXCESS OF OTHER ASSETS -- (10.7%) (150,452,161) -------------- NET ASSETS -- 100.0% $1,403,200,607 ==============
PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Auto & Transportation 2.5 Consumer Discretionary 10.2 Consumer Staples 3.1 Financial Services 32.0 Futures Contracts 3.2 Healthcare 9.3 Integrated Oils 9.9 Materials & Processing 4.4 Other 1.1 Other Energy 2.9 Producer Durables 5.3 Short-Term Investments 15.1 Technology 4.0 U.S. Treasury Obligations 0.3 Utilities 10.6 ----- 113.9 =====
--------------- + Based on net assets. See Notes to Financial Statements. 85 GROWTH EQUITY FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK** ---------- ---------- ---------- ----------- ---------- --------------------- One Year 5.38% 5.15% 4.92% 1.68% N/A N/A Since Inception 0.47% 0.33% 0.08% (1.04)% 4.38%(1) 2.64%(1) Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. [LINE GRAPH]
GS4 CLASS RUSSELL 1000(R) GROWTH INDEX** --------- ------------------------------ Aug 27 2001 10000 10000 9492 9481 Sep 2001 8506 8535 8945 8982 9837 9845 Dec 2001 9812 9827 9642 9653 9266 9253 Mar 2002 9642 9573 8858 8791 8619 8579 Jun 2002 7954 7785 7345 7357 7351 7379 Sep 2002 6566 6614 7207 7220 7646 7612 Dec 2002 7050 7087 6874 6915 6861 6883 Mar 2003 7043 7011 7577 7529 7966 7905 Jun 2003 8060 8014 8286 8214 8506 8418 Sep 2003 8336 8328 8864 8795 8845 8888 Dec 2003 9134 9195 9272 9383 9353 9442 Mar 2004 9309 9267 9247 9159 9460 9330 Jun 2004 9630 9447 9065 8913 9052 8869 Sep 2004 9278 8953 9341 9093 9843 9405 Dec 2004 10251 9774 9799 9448 9755 9549 Mar 2005 9648 9375 9548 9196 10169 9641 Jun 2005 10126 9606
The graph compares the results of a $10,000 investment in the GS4 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. --------------- (1) Non-annualized. 86 GROWTH EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 SHARES VALUE ------------- ------------ -------------- COMMON STOCKS -- 97.2% AUTO & TRANSPORTATION -- 0.9% FedEx Corporation 160,058 $ 12,966,299 -------------- CONSUMER DISCRETIONARY -- 28.1% Amazon.com, Inc.* 511,700 16,927,036 Apollo Group, Inc. Class A* 451,300 35,300,686 Bed Bath & Beyond, Inc.* 175,800 7,344,924 Carnival Corporation 85,000 4,636,750 Coach, Inc.* 146,000 4,901,220 eBay, Inc.* 1,047,200 34,568,072 Electronic Arts, Inc.* 225,100 12,742,911 Gillette Co. (The) 111,600 5,650,308 Google, Inc.* 183,629 54,014,469 Harman International Industries, Inc. 26,685 2,171,092 Iron Mountain, Inc.* 94,500 2,931,390 Kohl's Corporation* 143,400 8,017,494 Lowe's Cos., Inc. 558,474 32,514,356 Marriott International, Inc. Class A 170,000 11,597,400 Nike, Inc. Class B 218,761 18,944,703 Penney (JC) Co., Inc. 253,700 13,339,546 Pixar, Inc.* 285,600 14,294,280 Scripps Co. (E.W.) Class A 125,000 6,100,000 Starbucks Corporation* 648,789 33,516,440 Target Corporation 326,896 17,786,411 Univision Communications, Inc. Class A* 160,000 4,408,000 Wal-Mart Stores, Inc. 131,900 6,357,580 XM Satellite Radio Holdings, Inc. Class A* 415,305 13,979,166 Yahoo!, Inc.* 1,058,000 36,659,700 Yum! Brands, Inc. 200,321 10,432,718 -------------- 409,136,652 -------------- CONSUMER STAPLES -- 5.8% CVS Corporation 166,527 4,840,940 PepsiCo, Inc. 301,613 16,265,989 Procter & Gamble Co. 455,446 24,024,777 Walgreen Co. 697,252 32,066,619 Wrigley (W.M.), Jr. Co. 109,000 7,503,560 -------------- 84,701,885 -------------- FINANCIAL SERVICES -- 12.0% AFLAC, Inc. 231,400 10,014,992 American International Group, Inc. 77,400 4,496,940 Capital One Financial Corporation 201,600 16,130,016 Chicago Mercantile Exchange Holdings, Inc. 23,246 6,869,193 Citigroup, Inc. 385,516 17,822,405 Commerce Bancorp, Inc. 294,680 8,931,751 Countrywide Financial Corporation 279,687 10,798,715 Franklin Resources, Inc. 126,200 9,714,876 Goldman Sachs Group, Inc. 15,207 1,551,418
SHARES VALUE ------------ -------------- Lazard, Ltd. Class A* 71,800 $ 1,669,350 Lehman Brothers Holdings, Inc. 1,000 99,280 Merrill Lynch & Co., Inc. 146,700 8,069,967 Moody's Corporation 182,100 8,187,216 Progressive Corporation (The) 334,595 33,061,331 SLM Corporation 323,571 16,437,407 UBS AG 113,673 8,849,443 UCBH Holdings, Inc. 81,794 1,328,335 Wells Fargo & Co. 3,834 236,098 Zions Bancorporation 136,600 10,044,198 -------------- 174,312,931 -------------- HEALTHCARE -- 24.9% Abbott Laboratories 324,800 15,918,448 Aetna, Inc. 123,940 10,264,711 Allergan, Inc. 116,000 9,887,840 Amgen, Inc.* 334,600 20,229,916 Biogen Idec, Inc.* 119,400 4,113,330 Eli Lilly & Co. 101,400 5,648,994 Genentech, Inc.* 1,120,601 89,961,847 Genzyme Corporation* 185,500 11,146,695 Gilead Sciences, Inc.* 148,000 6,510,520 IVAX Corporation* 285,000 6,127,500 Johnson & Johnson 322,164 20,940,660 Medtronic, Inc. 535,808 27,749,496 Novartis AG ADR 134,500 6,380,680 PacifiCare Health Systems, Inc.* 92,265 6,592,334 Patterson Cos., Inc.* 114,000 5,139,120 Pfizer, Inc. 550,075 15,171,069 Quest Diagnostics, Inc. 121,370 6,465,380 Sanofi-Aventis ADR 198,110 8,120,529 Stryker Corporation 164,300 7,814,108 Teva Pharmaceutical Industries, Ltd. ADR 388,500 12,097,890 UnitedHealth Group, Inc. 849,380 44,286,673 Wyeth 119,000 5,295,500 Zimmer Holdings, Inc.* 221,130 16,843,472 -------------- 362,706,712 -------------- INTEGRATED OILS -- 0.3% ConocoPhillips 80,000 4,599,200 -------------- MATERIALS & PROCESSING -- 0.3% St. Joe Co. (The) 49,943 4,072,352 -------------- OTHER -- 2.7% General Electric Co. 1,117,538 38,722,692 -------------- OTHER ENERGY -- 1.1% Canadian Natural Resources, Ltd. 36,833 1,339,985 Noble Corporation 80,000 4,920,800 Schlumberger, Ltd. 61,200 4,647,528 Smith International, Inc. 71,200 4,535,440 -------------- 15,443,753 --------------
See Notes to Financial Statements. 87 GROWTH EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ------------ -------------- PRODUCER DURABLES -- 4.1% Boeing Co. (The) 125,000 $ 8,250,000 Caterpillar, Inc. 98,368 9,375,454 KB HOME 65,212 4,971,111 Lennar Corporation Class A 124,406 7,893,561 Lockheed Martin Corporation 88,708 5,754,488 MDC Holdings, Inc. 60,538 4,979,251 Toll Brothers, Inc.* 27,195 2,761,652 United Technologies Corporation 316,202 16,236,972 -------------- 60,222,489 -------------- TECHNOLOGY -- 16.6% Adobe Systems, Inc. 287,703 8,234,060 Apple Computer, Inc.* 143,000 5,263,830 Cisco Systems, Inc.* 1,234,201 23,585,581 Corning, Inc.* 265,000 4,404,300 Dell, Inc.* 1,008,000 39,826,081 General Dynamics Corporation 59,517 6,519,492 Intel Corporation 597,791 15,578,433 Juniper Networks, Inc.* 386,500 9,732,070 Marvell Technology Group, Ltd.* 275,800 10,491,432 Maxim Integrated Products, Inc. 355,900 13,598,939 NCR Corporation* 165,000 5,794,800 Network Appliance, Inc.* 768,200 21,717,014 Oracle Corporation* 882,900 11,654,280 Qualcomm, Inc. 976,709 32,241,164 Red Hat, Inc.* 305,200 3,998,120 Seagate Technology, Inc.+ 5,600 0 Symantec Corporation* 379,300 8,245,982 Texas Instruments, Inc. 360,000 10,105,200 Xilinx, Inc. 434,600 11,082,300 -------------- 242,073,078 -------------- UTILITIES -- 0.4% TXU Corporation 65,960 5,480,616 -------------- TOTAL COMMON STOCKS (Cost $1,155,995,855) 1,414,438,659 --------------
SHARES VALUE ------------ -------------- SHORT-TERM INVESTMENTS -- 12.5% AB Funds Trust -- Money Market Fund (GS4 Class)(inf) 55,589,310 $ 55,589,310 Northern Institutional Liquid Assets Portfolio sec. 127,001,898 127,001,898 -------------- TOTAL SHORT-TERM INVESTMENTS (Cost $182,591,208) 182,591,208 -------------- PAR ------------ U.S. TREASURY OBLIGATION -- 0.3% U.S. Treasury Bill 2.81%, 07/14/05++++ (Cost $4,810,123) $ 4,815,000 4,810,666 -------------- TOTAL INVESTMENTS -- 110.0% (Cost $1,343,397,186) 1,601,840,533 LIABILITIES IN EXCESS OF OTHER ASSETS -- (10.0%) (145,703,652) -------------- NET ASSETS -- 100.0% $1,456,136,881 ==============
PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Auto & Transportation 0.9 Consumer Discretionary 28.1 Consumer Staples 5.8 Financial Services 12.0 Futures Contracts 3.8 Healthcare 24.9 Integrated Oils 0.3 Materials & Processing 0.3 Other 2.7 Other Energy 1.1 Producer Durables 4.1 Short-Term Investments 12.5 Technology 16.6 U.S. Treasury Obligations 0.3 Utilities 0.4 ------ 113.8 ======
--------------- + Based on net assets. See Notes to Financial Statements. 88 SMALL CAP EQUITY FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK** ---------- ---------- ---------- ----------- ---------- --------------------- One Year 9.88% 9.76% 9.48% 9.45% N/A N/A Since Inception 7.65% 7.48% 7.24% 9.09% 7.50%(1) 7.07%(1) Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. [LINE GRAPH]
GS4 CLASS RUSSELL 2000(R) INDEX** --------- ----------------------- Aug 27 2001 10000 10000 9770 9748 Sep 2001 8317 8436 8845 8929 9541 9621 Dec 2001 10084 10214 10000 10108 9656 9831 Mar 2002 10543 10621 10497 10718 10122 10242 Jun 2002 9587 9734 8125 8264 8148 8243 Sep 2002 7445 7651 7682 7896 8363 8601 Dec 2002 7842 8122 7636 7897 7429 7659 Mar 2003 7506 7757 8233 8493 9021 9404 Jun 2003 9220 9574 9663 10173 10168 10640 Sep 2003 9923 10443 10773 11320 11125 11722 Dec 2003 11469 11960 11867 12480 11951 12591 Mar 2004 11974 12709 11484 12061 11630 12253 Jun 2004 12020 12769 11316 11909 11209 11848 Sep 2004 11660 12404 11867 12648 12762 13745 Dec 2004 13177 14152 12801 13562 13073 13791 Mar 2005 12657 13397 12082 12629 12785 13456 Jun 2005 13193 13975
The graph compares the results of a $10,000 investment in the GS4 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. Small company stocks are generally riskier than large company stocks due to greater volatility and less liquidity. --------------- (1) Non-annualized. 89 SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 SHARES VALUE ------------- ----------- ------------- COMMON STOCKS -- 95.5% AUTO & TRANSPORTATION -- 4.1% Aftermarket Technology 13,100 $ 228,333 Corporation* Airtran Holdings, Inc.*+++ 36,441 336,350 Arkansas Best Corporation+++ 24,100 766,621 Autoliv, Inc. 37,400 1,638,120 Dana Corporation 23,700 355,737 Excel Maritime Carriers, 27,620 412,919 Ltd.*+++ ExpressJet Holdings, 77,600 660,376 Inc.*+++ Genesee & Wyoming, Inc. 15,200 413,592 Class A*+++ Old Dominion Freight Line, 31,675 849,840 Inc.*+++ OMI Corporation+++ 93,700 1,781,238 Overnite Corporation 18,700 803,726 P.A.M. Transportation 17,000 285,770 Services, Inc.*+++ Pacer International, Inc.* 32,400 705,996 Pinnacle Airlines 47,582 408,729 Corporation*+++ Republic Airways Holdings, 65,748 950,059 Inc.*+++ Sea Containers, Ltd. Class 54,100 863,977 A+++ Teekay Shipping 32,400 1,422,360 Corporation+++ Tenneco Automotive, Inc.* 23,900 397,696 Thor Industries, Inc.+++ 18,000 565,740 Titan International, Inc.+++ 80,700 1,128,186 TRW Automotive Holdings 56,100 1,375,011 Corporation* Tsakos Energy Navigation, 18,500 717,245 Ltd. UTI Worldwide, Inc.+++ 24,650 1,716,133 Vitran Corporation, Inc.* 61,661 974,244 Wabash National 64,692 1,567,487 Corporation+++ Winnebago Industries, 27,800 910,450 Inc.+++ ------------- 22,235,935 -------------
SHARES VALUE ----------- ------------- CONSUMER DISCRETIONARY -- 17.6% A.C. Moore Arts & Crafts, 15,800 $ 499,438 Inc.*+++ Aaron Rents, Inc.+++ 36,050 897,285 Activision, Inc.* 44,000 726,880 Advance Auto Parts, Inc.* 14,000 903,700 Advisory Board Co. (The)*+++ 17,500 852,950 Aeropostale, Inc.* 16,350 549,360 American Eagle Outfitters, 29,100 891,915 Inc. American Woodmark 7,100 213,071 Corporation Arbitron, Inc. 10,900 467,610 Ashworth, Inc.*+++ 8,700 78,387 Blyth, Inc. 23,000 645,150 Brightpoint, Inc.*+++ 38,600 856,534 Brinker International, Inc.* 15,100 604,755 Carmike Cinemas, Inc. 8,500 260,780 CEC Entertainment, Inc.* 28,400 1,195,356 Central Garden & Pet Co.* 20,000 982,400 Children's Place Retail 18,800 877,396 Stores, Inc.* Circuit City Stores, Inc.+++ 38,900 672,581 CKE Restaurants, Inc.+++ 41,800 581,856 Coinstar, Inc.*+++ 30,100 682,969 Computer Learning Centers* 24,439 2 Consolidated Graphics, Inc.* 15,900 648,243 Corinthian Colleges, 61,100 780,247 Inc.*+++ Corporate Executive Board 26,700 2,091,411 Co.+++ CoStar Group, Inc.*+++ 29,750 1,297,100 CRA International, Inc.* 11,000 592,350 Ctrip.com International, 11,900 605,472 Ltd. ADR+++ Darden Restaurants, Inc. 40,300 1,329,094 Dave & Buster's, Inc.*+++ 100,073 1,845,346 Deckers Outdoor 11,700 287,820 Corporation*+++ Dollar Thrifty Automotive 30,849 1,171,645 Group, Inc.* Dress Barn, Inc.*+++ 8,400 190,092 DTS, Inc.*+++ 6,550 116,787 EarthLink, Inc.*+++ 103,100 892,846 Educate, Inc.*+++ 38,900 550,435 Education Management 92,700 3,126,770 Corporation* Electronics Boutique 8,200 520,618 Holdings Corporation* Entercom Communications 25,400 845,566 Corporation*+++ Entravision Communications 211,658 1,648,816 Corporation Class A* Gaylord Entertainment Co.* 19,200 892,608 Getty Images, Inc.*+++ 16,500 1,225,290 Gildan Activewear, Inc.* 3,200 84,320 Global Imaging Systems, 56,159 1,789,226 Inc.*+++ Greenfield Online, Inc.*+++ 51,900 630,585 GSI Commerce, Inc.*+++ 12,850 215,238 Guitar Center, Inc.* 8,300 484,471 Handleman Co.+++ 70,600 1,165,606 Harris Interactive, Inc.* 218,144 1,062,361 Helen of Troy, Ltd.*+++ 36,300 924,198 Herbalife, Ltd.* 34,500 745,545 Hibbett Sporting Goods, 15,200 575,168 Inc.* Hot Topic, Inc.*+++ 21,600 412,992 Image Entertainment, Inc.* 25,200 70,812 Insight Enterprises, Inc.* 59,600 1,202,728 Inter Parfums, Inc.+++ 8,100 157,059 Jack in the Box, Inc.* 29,100 1,103,472 Jackson Hewitt Tax Service, 26,400 624,096 Inc. Jakks Pacific, Inc.*+++ 6,100 117,181 Jos. A. Bank Clothiers, 8,200 355,060 Inc.*+++ K-Swiss, Inc. Class A+++ 26,700 863,478
See Notes to Financial Statements. 90
SHARES VALUE ----------- ------------- Kenneth Cole Productions, 5,300 $ 164,936 Inc. Class A+++ Korn/Ferry International*+++ 28,100 498,775 Life Time Fitness, Inc.*+++ 15,600 511,836 Lions Gate Entertainment 35,100 360,126 Corporation*+++ LKQ Corporation* 6,280 170,502 Lodgenet Entertainment 29,900 496,041 Corporation*+++ Marchex, Inc. Class B*+++ 33,800 508,352 MarineMax, Inc.*+++ 12,200 381,250 Marvel Enterprises, Inc.*+++ 41,000 808,520 Monro Muffler Brake, Inc.* 18,000 531,180 MSC Industrial Direct Co., 7,400 249,750 Inc. Class A Nautilus, Inc.+++ 22,600 644,100 Navigant Consulting, Inc.* 33,100 584,546 Netflix, Inc.*+++ 30,000 492,300 Nu Skin Enterprises, Inc. 4,600 107,180 Class A+++ Oxford Industries, Inc.+++ 10,800 464,940 Pantry, Inc.*+++ 32,400 1,254,852 Payless ShoeSource, Inc.*+++ 50,400 967,680 Perry Ellis International, 17,000 397,630 Inc.*+++ PetMed Express, Inc.*+++ 18,500 142,635 PF Chang's China Bistro, 8,100 477,738 Inc.*+++ Phillips-Van Heusen 22,800 745,332 Corporation Prestige Brands Holdings, 32,500 633,750 Inc.* Primedia, Inc.*+++ 64,700 262,035 ProQuest Co.* 5,200 170,508 Quicksilver, Inc.*+++ 28,000 447,440 Radio One, Inc. Class D*+++ 43,400 554,218 Rare Hospitality 20,350 620,065 International, Inc.*+++ Red Robin Gourmet Burgers, 10,200 632,196 Inc.*+++ Regent Communications, 254,822 1,495,805 Inc.*+++ Republic Services, Inc. 21,600 777,816 Resources Connection, 85,100 1,976,873 Inc.*+++ Ruby Tuesday, Inc.+++ 19,966 517,119 Rush Enterprises, Inc. Class 54,981 733,447 A*+++ Russell Corporation 19,000 388,550 SCP Pool Corporation+++ 81,525 2,860,711 Select Comfort 208,257 4,462,947 Corporation*+++ SM&A*+++ 215,083 1,929,295 Source Interlink Cos., Inc.* 51,200 633,344 Spanish Broadcasting 18,600 185,814 Systems, Inc. Class A* Sportsman's Guide, Inc.* 10,400 195,000 Stage Stores, Inc.* 26,200 1,142,320 Stanley Furniture Co., 28,700 704,872 Inc.+++ Steiner Leisure, Ltd.*+++ 18,000 667,260
SHARES VALUE ----------- ------------- Strayer Education, Inc.+++ 4,600 396,796 Tech Data Corporation* 23,900 874,979 Tempur-Pedic International, 34,300 760,774 Inc.*+++ Texas Roadhouse, Inc. Class 10,400 361,400 A*+++ THQ, Inc.*+++ 22,200 649,794 Timberland Co. Class A* 19,800 766,656 Tommy Hilfiger Corporation* 17,100 235,296 Toro Co. 23,000 888,030 Tractor Supply Co.* 11,400 559,740 Tuesday Morning 27,800 876,256 Corporation+++ UniFirst Corporation+++ 11,400 462,156 United Natural Foods, 55,300 1,679,461 Inc.*+++ United Online, Inc.+++ 71,700 778,662 United Stationers, Inc.* 6,100 299,510 Universal Electronics, Inc.* 76,885 1,275,522 Universal Technical 7,500 249,000 Institute, Inc.*+++ Warnaco Group, Inc. (The)* 69,620 1,618,665 WESCO International, 20,500 643,290 Inc.*+++ West Corporation* 37,700 1,447,680 Whirlpool Corporation 9,400 659,034 ------------- 95,116,814 ------------- CONSUMER STAPLES -- 1.8% Casey's General Stores, 5,900 $ 116,938 Inc.+++ Chiquita Brands 64,600 1,773,916 International, Inc.+++ Flowers Foods, Inc. 18,700 661,232 J & J Snack Foods 37,476 1,961,869 Corporation John B. Sanfillippo & 30,800 710,248 Son*+++ Long's Drug Stores 14,500 624,225 Corporation+++ NBTY, Inc.* 23,700 614,778 Ruddick Corporation 43,100 1,100,343 Sanderson Farms, Inc. 23,600 1,072,384 Smart & Final, Inc.* 21,800 267,050 Smithfield Foods, Inc.* 21,800 594,486 ------------- 9,497,469 ------------- FINANCIAL SERVICES -- 21.5% A.G. Edwards, Inc.+++ 36,800 1,661,520 Accredited Home Lenders 47,400 2,085,600 Holding Co.*+++ Affiliated Managers Group, 21,500 1,469,095 Inc.*+++ Alliance Data Systems 97,300 3,946,487 Corporation*+++ Amegy Bancorp, Inc. 16,400 367,032 American Home Mortgage 29,500 1,031,320 Investment Corporation REIT+++ American Safety Insurance 7,200 109,584 Holdings, Ltd.* AmeriCredit Corporation*+++ 35,600 907,800 Argonaut Group, Inc.*+++ 33,000 761,970
See Notes to Financial Statements. 91 SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ----------- ------------- Asset Acceptance Capital 15,000 $ 388,650 Corporation* Assurant, Inc.+++ 21,400 $ 772,540 Assured Guaranty, Ltd. 42,200 985,792 Asta Funding, Inc.+++ 37,700 1,047,306 Astoria Financial 31,200 888,264 Corporation Axis Capital Holdings, Ltd. 46,300 1,310,290 Banco Latinoamericano de 53,400 958,530 Exportaciones SA Bank of Hawaii Corporation 27,800 1,410,850 BankUnited Financial 11,500 310,960 Corporation Class A Bristol West Holdings, 5,100 93,330 Inc.+++ Brookline Bancorp, Inc.+++ 109,823 1,785,722 Cardinal Financial 27,500 258,225 Corporation*+++ CB Richard Ellis Group, Inc. 25,600 1,122,816 Class A* CCC Information Services 34,900 835,855 Group*+++ Ceres Group, Inc.* 31,000 188,480 City National Corporation 15,700 1,125,847 Cohen & Steers, Inc.+++ 36,000 741,960 Colonial BancGroup, Inc. 73,200 1,614,792 Columbia Bancorp+++ 5,800 110,200 Commerce Bancshares, Inc.+++ 15,225 767,492 Commerce Group, Inc. 24,000 1,490,640 Commercial Capital Bancorp, 15,600 260,676 Inc. CompuCredit Corporation*+++ 39,300 1,347,204 Corus Bankshares, Inc. 6,100 338,489 CVB Financial Corporation+++ 35,746 703,481 Digital Insight Corporation* 8,000 191,360 Donegal Group, Inc. Class A 6,133 122,415 Doral Financial 75,100 1,242,154 Corporation+++ Downey Financial Corporation 20,500 1,500,600 Dun & Bradstreet 18,700 1,152,855 Corporation* Eaton Vance Corporation 48,200 1,152,462 Endurance Specialty 29,000 1,096,780 Holdings, Ltd. EuroBancshares, Inc.*+++ 3,600 57,780 Euronet Worldwide, Inc.*+++ 21,900 636,633 Fair Isaac & Co., Inc.+++ 35,800 1,306,700 Fieldstone Investment 15,300 220,320 Corporation REIT+++ First Acceptance 27,811 263,092 Corporation*+++ First American Corporation 38,700 1,553,418 First Bancorp Puerto Rico+++ 28,600 1,148,290 First Cash Financial 23,500 502,195 Services, Inc.* FirstFed Financial 37,000 2,205,570 Corporation* Flagstar Bancorp, Inc.+++ 31,000 586,830 Fremont General 57,800 1,406,274 Corporation+++ GATX Corporation 40,100 1,383,450 Global Payments, Inc.+++ 26,600 1,803,480 Hanmi Financial 30,359 506,995 Corporation+++
SHARES VALUE ----------- ------------- HCC Insurance Holdings, Inc. 85,157 3,224,896 HealthExtras, Inc.*+++ 27,000 541,890 Henry (Jack) & Associates, 65,200 1,193,812 Inc. Hilb, Rogal & Hobbs Co.+++ 80,482 2,768,581 Huron Consulting Group, 8,400 197,820 Inc.* Independence Community Bank 23,200 856,776 Corporation IndyMac Bancorp, Inc.+++ 36,900 1,502,937 Infinity Property & Casualty 30,300 1,056,864 Corporation Investment Technology Group, 66,600 1,399,932 Inc.* Investors Financial Services 49,200 1,860,744 Corporation+++ iPayment, Inc.* 14,300 522,236 IPC Holdings, Ltd. 2,700 106,974 ITLA Capital Corporation* 2,000 107,800 Jefferies Group, Inc.+++ 21,100 799,479 John H. Harland Co.+++ 32,000 1,216,000 Jones Lang LaSalle, Inc.* 26,900 1,189,787 Kingsway Financial Services, 6,700 114,034 Inc. LandAmerica Financial Group, 32,900 1,953,273 Inc.+++ Markel Corporation* 4,700 1,593,300 Max Re Capital, Ltd. 8,800 201,520 Meadowbrook Insurance Group, 25,600 134,144 Inc.* Metris Cos., Inc.*+++ 47,100 681,066 Municipal Mortgage & Equity 29,300 761,507 LLC+++ National Financial Partners 9,100 356,174 Corporation National Interstate 12,700 254,889 Corporation* Navigators Group, Inc.* 6,100 210,877 NDCHealth Corporation+++ 25,000 449,250 Nelnet, Inc. Class A*+++ 22,700 755,229 New Century Financial 19,300 992,985 Corporation REIT+++ Nuveen Investments, Inc. 17,700 665,874 Class A+++ Ohio Casualty Corporation 113,771 2,750,983 optionsXpress Holdings, 39,900 606,480 Inc.+++ Philadelphia Consolidated 5,100 432,276 Holding Corporation*+++ Phoenix Cos., Inc.+++ 40,500 481,950 Platinum Underwriters 57,000 1,813,740 Holdings, Ltd.+++ PMI Group, Inc. (The)+++ 44,500 1,734,610 Portfolio Recovery 19,000 798,380 Associates, Inc.*+++ Primus Guaranty, Ltd.*+++ 68,300 988,984 PrivateBancorp, Inc.+++ 31,961 1,130,780
See Notes to Financial Statements. 92
SHARES VALUE ----------- ------------- Provident Financial 6,400 $ 179,904 Holdings, Inc. Providian Financial 43,500 766,905 Corporation*+++ PXRE Group, Ltd. 16,300 411,086 Quanta Capital Holdings, 65,400 407,442 Ltd.* R&G Financial Corporation 68,200 1,206,458 Class B+++ Radian Group, Inc. 55,100 2,601,822 Republic First Bancorp, 12,992 175,392 Inc.* Rewards Network, Inc.*+++ 15,700 84,780 Ryder System, Inc. 25,900 947,940 Saxon Capital, Inc. REIT 18,900 322,623 Stancorp Financial Group, 8,200 627,956 Inc. Stewart Information Services 32,400 1,360,800 Corporation SVB Financial Group*+++ 12,300 589,170 Texas Capital Bancshares, 42,900 846,846 Inc.*+++ Texas United Bancshares, 15,037 273,673 Inc. TierOne Corporation+++ 39,900 1,082,487 UCBH Holdings, Inc.+++ 58,000 941,920 UICI 58,500 1,741,545 United America Indemnity, 20,200 347,238 Ltd. Class A* United Fire & Casualty 23,200 1,030,544 Co.+++ USI Holdings Corporation*+++ 207,787 2,676,297 Webster Financial 19,500 910,455 Corporation Westcorp 10,800 566,136 Wilmington Trust Corporation 16,900 608,569 Wintrust Financial 11,600 607,260 Corporation+++ World Acceptance 48,500 1,457,425 Corporation* Wright Express 42,000 775,740 Corporation*+++ Zenith National Insurance 18,900 1,282,554 Corporation+++ ------------- 116,478,252 -------------
SHARES VALUE ----------- ------------- HEALTHCARE -- 11.6% Alpharma, Inc. Class A 85,200 $ 1,232,844 Amedisys, Inc.*+++ 24,100 886,398 America Service Group, Inc.* 16,666 264,156 American Dental Partners, 25,700 627,337 Inc.*+++ American Healthways, 12,150 513,581 Inc.*+++ American Pharmaceutical 7,900 325,875 Partners, Inc.*+++ AMERIGROUP Corporation* 22,000 884,400 Analogic Corporation 16,600 835,312 Angiotech Pharmaceuticals, 22,500 311,850 Inc.*+++ Arqule, Inc.*+++ 30,600 198,288 Arthrocare Corporation*+++ 3,350 117,049 Aspreva Pharmaceuticals 20,000 309,800 Corporation*+++ Bio-Rad Laboratories, Inc. 19,400 1,148,674 Class A* Biosite, Inc.*+++ 17,400 956,826 Biovail Corporation*+++ 29,700 460,944 Cell Genesys, Inc.*+++ 24,200 129,470 Centene Corporation* 12,800 429,824 Charles River Laboratories 11,600 559,700 International, Inc.* Chattem, Inc.* 12,400 513,360 Conmed Corporation* 19,400 596,938 Connetics Corporation*+++ 4,600 81,144 Corixa Corporation*+++ 145,200 635,976 Curis, Inc.*+++ 85,000 331,500 CV Therapeutics, Inc.*+++ 37,700 845,234 Dade Behring Holdings, Inc. 19,500 1,267,695 DaVita, Inc.* 55,100 2,505,948 Discovery Partners 30,200 86,372 International, Inc.* DJ Orthopedics, Inc.* 42,400 1,163,032 Eclipsys Corporation* 33,500 471,345 Enzon Pharmaceuticals, 25,700 166,536 Inc.*+++ ev3, Inc.*+++ 12,000 166,800 Five Star Quality Care, 2,086 0 Inc.*+ Genesis HealthCare 15,900 735,852 Corporation* Genitope Corporation*+++ 19,800 254,232 Guilford Pharmaceuticals, 71,000 161,170 Inc.*+++ Haemonetics Corporation* 11,000 447,040 Humana, Inc.* 17,600 699,424 I-Flow Corporation*+++ 14,800 246,272 Icon PLC ADR* 49,675 1,723,723 ICU Medical, Inc.*+++ 59,290 1,907,359 Immucor, Inc.* 21,800 631,110 Intralase Corporation*+++ 28,700 563,094 Intuitive Surgical, Inc.*+++ 13,400 624,976 IRIS International, Inc.*+++ 17,600 313,280 Kensey Nash Corporation*+++ 12,100 365,904 Kindred Healthcare, Inc.*+++ 17,600 697,136 King Pharmaceuticals, Inc.* 14,900 155,258 Kyphon, Inc.* 6,100 212,219 LCA-Vision, Inc. 24,310 1,178,063 LHC Group, Inc.* 10,300 187,254 Ligand Pharmaceuticals, Inc. 26,500 184,175 Class B* Magellan Health Services, 28,000 988,680 Inc.* Matria Healthcare, Inc.*+++ 10,200 328,746 Medarex, Inc.*+++ 178,100 1,483,573 Medicines Co.*+++ 7,850 183,612 Mentor Corporation+++ 15,300 634,644 Nektar Therapeutics*+++ 67,400 1,135,016 Noven Pharmaceuticals, 51,090 893,053 Inc.*+++ OCA, Inc.*+++ 93,800 176,344 Odyssey HealthCare, Inc.* 22,700 327,334 Option Care, Inc.+++ 186,591 2,630,932
See Notes to Financial Statements. 93 SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ----------- ------------- Orthofix International NV* 27,600 $ 1,187,904 Owens & Minor, Inc.+++ 22,600 731,110 Par Pharmaceutical Cos., 50,622 1,610,286 Inc.*+++ Pediatrix Medical Group, 27,300 2,007,642 Inc.* Pharmacyclics, Inc.*+++ 27,000 202,770 PolyMedica Corporation+++ 24,600 877,236 Protein Design Labs, Inc.* 33,300 672,993 Psychiatric Solutions, Inc.* 8,100 394,551 QLT, Inc.*+++ 96,800 1,008,656 Radiation Therapy Services, 37,100 985,005 Inc.*+++ Regeneron Pharmaceuticals, 25,100 210,589 Inc.*+++ RehabCare Group, Inc.* 8,500 227,205 Respironics, Inc.* 33,600 1,213,296 Savient Pharmaceuticals, 96,500 425,565 Inc.*+++ Shamir Optical Industry, 20,100 324,615 Ltd.* Sierra Health Services, 13,200 943,272 Inc.* Stereotaxis, Inc.*+++ 57,500 461,725 Stericycle, Inc.*+++ 31,800 1,600,176 Steris Corporation 8,600 221,622 SuperGen, Inc.*+++ 33,000 163,020 SurModics, Inc.*+++ 20,900 906,433 Syneron Medical, Ltd.*+++ 5,000 182,950 Tanox, Inc.*+++ 23,600 276,592 Taro Pharmaceuticals 30,062 873,902 Industries, Ltd.* Techne Corporation* 14,300 656,513 TriPath Imaging, Inc.*+++ 122,289 1,046,794 United Surgical Partners 13,500 703,080 International, Inc.*+++ VCA Antech, Inc.*+++ 78,900 1,913,325 Ventana Medical Systems*+++ 20,600 828,738 WellCare Health Plans, Inc.* 18,300 649,833 Wright Medical Group, 9,600 256,320 Inc.*+++ ------------- 62,857,401 ------------- INTEGRATED OILS -- 0.3% Giant Industries, Inc.*+++ 38,100 1,371,600 Petrocorp, Inc. Escrow 500 0 Shares*+ ------------- 1,371,600 -------------
SHARES VALUE ----------- ------------- MATERIALS & PROCESSING -- 8.5% Agrium, Inc.+++ 74,600 $ 1,462,906 Aleris International, 30,000 676,500 Inc.*+++ Armor Holdings, Inc.*+++ 20,400 808,044 Beacon Roofing Supply, 71,378 1,877,241 Inc.*+++ Bluegreen Corporation* 10,000 174,100 Cabot Microelectronics 7,600 220,324 Corporation*+++ Century Aluminum Co.* 35,100 716,040 Chicago Bridge & Iron Co. NV 37,600 859,536 Cleveland-Cliffs, Inc.+++ 27,101 1,565,354 Commercial Metals Co. 68,636 1,634,910 Drew Industries, Inc.* 31,337 1,422,700 Eagle Materials, Inc.+++ 6,800 629,612 Eastman Chemical Co. 12,800 705,920 ElkCorp 98,262 2,805,380 Energizer Holdings, Inc.* 10,700 665,219 Energy Conversion Devices, 13,900 311,082 Inc.*+++ Forest City Enterprises, 13,300 944,300 Inc. Class A Gibraltar Industries, 43,472 805,971 Inc.+++ Greif, Inc. Class A 15,900 971,490 Griffon Corporation*+++ 35,200 781,440 H.B. Fuller Co. 14,500 493,870 Hexcel Corporation*+++ 125,772 2,128,062 Infrasource Services, 24,800 258,416 Inc.*+++ Lafarge North America, Inc. 2,900 181,076 Lone Star Technologies, 14,200 646,100 Inc.* Maverick Tube 20,300 604,940 Corporation*+++ Methanex Corporation 90,200 1,485,594 Michael Baker Corporation* 7,800 139,308 Minerals Technologies, Inc. 3,700 227,920 Mobile Mini, Inc.*+++ 34,700 1,196,456 Oregon Steel Mills, Inc.*+++ 48,500 834,685 Quanex Corporation 22,300 1,182,123 Reliance Steel & Aluminum 41,500 1,538,405 Co.+++ Royal Group Technologies, 16,700 182,865 Ltd.* Ryerson Tull, Inc.+++ 70,100 1,000,327 Silgan Holdings, Inc. 6,900 388,056 Southern Peru Copper 6,900 295,596 Corporation+++ St. Joe Co. (The)+++ 18,700 1,524,798 Steel Dynamics, Inc.+++ 42,400 1,113,000 Steel Technologies, Inc.+++ 17,100 288,990 Symyx Technologies*+++ 20,200 565,196 Texas Industries, Inc.+++ 19,200 1,079,616 Timken Co. 47,200 1,090,320 Trammell Crow Co.*+++ 76,200 1,847,088 Trex Co., Inc.*+++ 14,000 359,800 USG Corporation* 2,200 93,500 Watsco, Inc. 94,352 4,019,395 Wellman, Inc.+++ 82,400 839,656 ------------- 45,643,227 ------------- OTHER -- 0.3% Ritchie Bros. Auctioneers, 14,400 555,120 Inc.+++ Walter Industries, Inc.+++ 31,000 1,246,200 ------------- 1,801,320 ------------- OTHER ENERGY -- 5.6% Brigham Exploration Co.*+++ 11,700 106,821 Carrizo Oil & Gas, Inc.*+++ 14,400 245,664 Chesapeake Energy 30,300 690,840 Corporation Denbury Resources, Inc.* 39,200 1,558,984 Encore Acquisition Co.*+++ 17,500 717,500
See Notes to Financial Statements. 94
SHARES VALUE ----------- ------------- Energy Partners, Ltd.* 43,900 $ 1,150,619 Forest Oil Corporation*+++ 7,600 319,200 Foundation Coal Holdings, 14,700 381,318 Inc.+++ Frontier Oil Corporation 52,200 1,532,070 Grey Wolf, Inc.*+++ 301,692 2,235,538 Houston Exploration Co.* 6,400 339,520 Hydril Co.* 9,400 510,890 Key Energy Services, Inc.* 43,703 527,058 KFX, Inc.*+++ 35,300 504,437 Massey Energy Co.+++ 89,726 3,384,464 NRG Energy, Inc.* 39,200 1,473,920 Oil States International, 8,300 208,911 Inc.* PetroKazakhstan, Inc.+++ 35,300 1,291,274 Petroquest Energy, Inc.*+++ 35,900 235,863 Pioneer Drilling Co.* 26,900 410,494 Plains Exploration & 10,800 383,724 Production Co.* Pride International, Inc.* 131,596 3,382,017 Quicksilver Resources, Inc.* 16,000 1,022,880 Remington Oil & Gas 33,000 1,178,100 Corporation*+++ Superior Energy Services, 24,100 428,980 Inc.* Tesoro Corporation 12,400 576,848 TODCO Class A* 32,800 841,976 Toreador Resources 13,500 327,915 Corporation*+++ Unit Corporation* 27,350 1,203,674 Universal Compression 31,000 1,123,440 Holdings, Inc.* Veritas DGC, Inc.*+++ 43,400 1,203,916 W-H Energy Services, Inc.* 22,500 560,925 ------------- 30,059,780 -------------
SHARES VALUE ----------- ------------- PRODUCER DURABLES -- 8.8% Actuant Corporation Class A* 89,034 $ 4,268,290 AGCO Corporation* 56,600 1,082,192 Alamo Group, Inc. 24,700 461,149 Allied Defense Group, Inc. 4,300 98,986 (The)* Argon ST, Inc.*+++ 20,000 710,000 Arris Group, Inc.* 42,900 373,659 Astec Industries, Inc.* 23,556 546,264 ASV, Inc.*+++ 8,600 348,644 ATMI, Inc.* 8,600 249,486 Beazer Homes USA, Inc.+++ 20,700 1,183,005 Blount International, Inc. 11,400 190,266 Class A*+++ Bucyrus International, Inc. 10,000 379,800 Class A Centex Corporation 26,448 1,869,080 Cognex Corporation 21,500 563,085 Cummins, Inc.+++ 12,700 947,547 CUNO, Inc.*+++ 5,800 414,352 Cymer, Inc.*+++ 27,300 719,355 Dionex Corporation*+++ 2,500 109,025 Faro Technologies, Inc.*+++ 16,500 449,790 General Cable Corporation* 8,600 127,538 Genlyte Group, Inc.* 69,276 3,376,512 Headwaters, Inc.*+++ 24,400 838,872 HNI Corporation 20,400 1,043,460 Hovnanian Enterprises, Inc. 10,700 697,640 Class A* Itron, Inc.* 10,800 482,544 Joy Global, Inc. 25,500 856,545 KB HOME+++ 18,200 1,387,386 Lam Research Corporation* 23,100 668,514 Littelfuse, Inc.* 26,300 732,455 M/I Homes, Inc.+++ 35,000 1,893,500 Magnetek, Inc.* 33,800 86,866 MDC Holdings, Inc. 10,140 834,015 Measurement Specialties, 97,500 2,262,975 Inc.*+++ Meritage Homes 17,100 1,359,450 Corporation*+++ Metrologic Instruments, 900 11,286 Inc.*+++ MTC Technologies, Inc.* 24,000 883,920 Orbital Sciences 62,400 617,760 Corporation*+++ Orleans Homebuilders, 32,300 757,758 Inc.+++ Park-Ohio Holdings 8,400 140,028 Corporation* Photon Dynamics, Inc.*+++ 31,400 647,154 Rofin-Sinar Technologies, 7,000 229,600 Inc.*+++ Roper Industries, Inc. 6,700 478,179 Rudolph Technologies, Inc.* 24,700 353,951 Ryland Group, Inc. 53,732 4,076,647 Sonic Solutions*+++ 46,600 866,760 Spectralink Corporation+++ 50,800 534,416 Standard-Pacific Corporation 30,600 2,691,270 Teledyne Technologies, Inc.* 24,000 781,920 Toll Brothers, Inc.*+++ 8,400 853,020 Varian Semiconductor 9,800 362,600 Equipment Associates, Inc.* X-Rite, Inc.+++ 108,355 1,247,166 ------------- 47,145,682 ------------- TECHNOLOGY -- 11.0% @Road, Inc.*+++ 21,200 56,392 Alliance Semiconductor 95,900 244,545 Corporation* Alvarion, Ltd.*+++ 48,700 565,894 American Reprographics 21,000 337,890 Co.*+++ Anaren, Inc.* 39,100 514,165 Ansys, Inc.* 21,200 752,812 Anteon International 46,800 2,135,016 Corporation* Avid Technology, Inc.* 11,600 618,048 Avnet, Inc.*+++ 47,900 1,079,187 Avocent Corporation* 20,000 522,800 Benchmark Electronics, Inc.* 7,200 219,024 Bottomline Technologies, 15,000 224,550 Inc.* CACI International, Inc. 38,057 2,403,680 Class A* CallWave, Inc.*+++ 27,400 137,000
See Notes to Financial Statements. 95 SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ----------- ------------- Catapult Communications 20,900 $ 356,554 Corporation* Coherent, Inc.*+++ 9,200 331,292 CommScope, Inc.*+++ 32,700 569,307 Comtech Telecommunications* 33,300 1,086,579 CSG Systems International, 48,700 924,326 Inc.* Cypress Semiconductor 23,700 298,383 Corporation* Digital River, Inc.*+++ 23,200 736,600 Emageon, Inc.*+++ 33,400 467,934 Embarcadero Technologies, 54,100 303,501 Inc.* Epicor Software 84,600 1,116,720 Corporation*+++ Equinix, Inc.*+++ 22,450 972,983 F5 Networks, Inc.*+++ 12,900 609,332 Filenet Corporation* 22,700 570,678 FLIR Systems, Inc.*+++ 26,600 793,744 FormFactor, Inc.*+++ 27,800 734,476 Herley Industries, Inc.*+++ 38,200 696,768 Hutchinson Technology, 43,100 1,659,781 Inc.*+++ Imax Corporation*+++ 72,700 722,638 Informatica Corporation* 83,300 698,887 Ingram Micro, Inc. Class A* 91,700 1,436,022 Innovative Solutions & 6,300 211,491 Support, Inc.*+++ Integrated Circuit Systems, 25,900 534,576 Inc.* Integrated Device 52,900 568,675 Technology, Inc.* Intergraph Corporation*+++ 47,400 1,633,404 Ixia* 11,400 221,616 j2 Global Communications, 31,600 1,088,304 Inc.*+++ Komag, Inc.*+++ 31,300 887,981 Lionbridge Technologies, 94,829 642,941 Inc.*+++ Macromedia, Inc.* 41,700 1,593,774 Magma Design Automation, 45,000 376,200 Inc.*+++ Mantech International 14,500 450,080 Corporation Class A* Mentor Graphics Corporation* 36,200 371,050 Micros Systems, Inc.* 8,500 380,375 Microsemi Corporation* 50,000 940,000 Motive, Inc.*+++ 26,700 265,131 Multi-Fineline Electronix, 7,800 143,520 Inc.*+++ Netgear, Inc.* 32,300 600,780 NeuStar, Inc. Class A* 2,900 74,240 NU Horizons Electronics 7,400 47,360 Corporation* O2Micro International, Ltd.* 8,800 123,640 Omnivision Technologies, 15,900 216,081 Inc.*+++ Packeteer, Inc.* 24,600 346,860
SHARES VALUE ----------- ------------- Park Electrochemical 12,300 309,960 Corporation Pixelworks, Inc.*+++ 64,500 553,410 Portalplayer, Inc.*+++ 16,000 333,120 Power Intergrations, Inc.* 22,500 485,325 Radisys Corporation*+++ 73,577 1,188,269 RADVision, Ltd.* 24,500 325,605 SafeNet, Inc.*+++ 50,400 1,716,624 Sapient Corporation* 70,900 562,237 ScanSoft, Inc.*+++ 13,400 50,652 Semtech Corporation*+++ 37,600 626,040 Serena Software, Inc.*+++ 51,500 993,950 SI International, Inc.*+++ 20,800 623,168 Sigmatel, Inc.*+++ 21,600 370,656 Sirf Technology Holdings, 3,050 53,924 Inc.* Skyworks Solutions, Inc.* 48,700 358,919 Spectrasite, Inc.* 23,300 1,734,219 SRA International, Inc. 22,800 791,616 Class A*+++ SS&C Technologies, Inc.+++ 20,400 646,272 Standard Microsystems 6,000 140,280 Corporation*+++ Stratasys, Inc.*+++ 59,996 1,960,669 Sybase, Inc.*+++ 57,900 1,062,465 Synaptics, Inc.*+++ 38,800 828,768 TALX Corporation 2,600 75,166 Tekelec* 29,700 498,960 Tessera Technologies, Inc.* 17,200 574,652 TIBCO Software, Inc.* 24,300 158,922 Trident Microsystems, 8,700 197,403 Inc.*+++ Trimble Navigation, Ltd.* 22,700 884,619 Versata, Inc.* 17 13 Viasat, Inc.* 15,300 311,049 Websense, Inc.*+++ 45,501 2,186,323 Western Digital Corporation* 74,800 1,003,816 Wind River Systems, Inc.* 49,600 777,728 ------------- 59,000,386 ------------- UTILITIES -- 4.4% Alamosa Holdings, Inc.* 28,300 $ 393,370 Avista Corporation 38,200 710,138 Boston Communications Group, 20,900 43,054 Inc.*+++ CenturyTel, Inc. 36,200 1,253,606 CMS Energy Corporation*+++ 73,900 1,112,934 Commonwealth Telephone 22,500 942,975 Enterprises, Inc.+++ Empire District Electric 7,400 177,304 Co.+++ Energen Corporation 40,200 1,409,010 Energy East Corporation 37,900 1,098,342 Golden Telecom, Inc.+++ 21,800 668,824 IDT Corporation* 62,200 823,528 MDU Resources Group, Inc. 21,100 594,387 NII Holdings, Inc. Class B* 20,650 1,320,361 Northeast Utilities 68,600 1,430,996 NSTAR 22,800 702,924 Oneok, Inc. 19,900 649,735
See Notes to Financial Statements. 96
SHARES VALUE ----------- ------------- Pepco Holdings, Inc. 72,300 $ 1,730,862 PNM Resources, Inc. 9,100 262,171 Premiere Global Services, 53,000 598,370 Inc.* SCANA Corporation+++ 30,500 1,302,655 Sierra Pacific Resources*+++ 84,500 1,052,025 Southwestern Energy Co.* 21,000 986,580 U.S. Unwired, Inc.*+++ 61,200 356,184 UGI Corporation 56,600 1,579,140 Western Wireless Corporation 11,500 486,450 Class A* Wisconsin Energy 48,800 1,903,200 Corporation+++ ------------- 23,589,125 ------------- TOTAL COMMON STOCKS (Cost $452,035,819) 514,796,991 ------------- SHORT-TERM INVESTMENTS -- 42.4% AB Funds Trust -- Money 24,268,547 24,268,547 Market Fund (GS4 Class)(inf) Northern Institutional 204,038,112 204,038,112 Liquid Assets Portfolio sec. ------------- TOTAL SHORT-TERM INVESTMENTS 228,306,659 (Cost $228,306,659) ------------- PAR ----------- U.S. TREASURY OBLIGATION -- 0.4% U.S. Treasury Bill 2.81%, 07/14/05++++ (Cost $1,987,984) $ 1,990,000 1,988,209 ------------- SHARES ----------- MUTUAL FUNDS -- 0.3% iShares Russell 2000 (Cost $1,251,851) 21,350 1,359,995 ------------- TOTAL INVESTMENTS -- 138.6% (Cost $683,582,313) 746,451,854 LIABILITIES IN EXCESS OF OTHER ASSETS -- (38.6%) (207,743,370) ------------- NET ASSETS -- 100.0% $ 538,708,484 =============
PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Auto & Transportation 4.1 Consumer Discretionary 17.6 Consumer Staples 1.8 Financial Services 21.5 Futures Contracts 4.3 Healthcare 11.6 Integrated Oils 0.3 Materials & Processing 8.5 Mutual Funds 0.3 Other 0.3 Other Energy 5.6 Producer Durables 8.8 Short-Term Investments 42.4 Technology 11.0 U.S. Treasury Obligations 0.4 Utilities 4.4 ------ 142.9 ======
--------------- + Based on net assets. See Notes to Financial Statements. 97 INTERNATIONAL EQUITY FUND AVERAGE ANNUAL TOTAL RETURNS AS OF 6/30/05 --------------------------------------------------------------------------------
GS2 CLASS* GS4 CLASS* GS6 CLASS* BENCHMARK** GS8 CLASS* GS8 CLASS BENCHMARK** ---------- ---------- ---------- ----------- ---------- --------------------- One Year 14.79% 14.59% 14.28% 16.47% N/A N/A Since Inception 8.34% 8.18% 7.69% 8.45% 6.35%(1) 7.59%(1) Inception Date 08/27/01 08/27/01 08/27/01 08/27/01 11/08/04 11/08/04
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.guidestone.org. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. [LINE GRAPH]
MSCI ACWI(R) (ALL COUNTRY GS4 CLASS WORLD INDEX) EX-U.S. --------- ------------------------- Aug 27 2001 10000 10000 9777 9707 Sep 2001 8731 8675 9014 8918 9460 9325 Dec 2001 9539 9445 9203 9039 9375 9104 Mar 2002 9891 9594 9994 9651 10149 9748 Jun 2002 9728 9324 8773 8414 8765 8413 Sep 2002 7939 7519 8274 7922 8541 8302 Dec 2002 8400 8033 8061 7750 7887 7592 Mar 2003 7687 7439 8348 8148 8870 8661 Jun 2003 9148 8895 9426 9131 9731 9401 Sep 2003 9913 9663 10487 10288 10652 10511 Dec 2003 11408 11313 11576 11493 11822 11783 Mar 2004 11937 11851 11584 11474 11549 11500 Jun 2004 11804 11745 11549 11400 11584 11488 Sep 2004 11901 11856 12271 12268 13033 13116 Dec 2004 13553 13678 13330 13440 13946 14100 Mar 2005 13536 13712 13241 13360 13313 13431 Jun 2005 13527 13678
The graph compares the results of a $10,000 investment in the GS4 Class of the Fund since August 27, 2001 (commencement of operations), with all dividends and capital gains reinvested, with the MSCI ACWI(R) (All Country World Index) Ex-U.S. *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 MSCI ACWI(R) (All Country World Index) Ex-U.S. 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. Foreign securities may involve additional risks, social and political instability, reduced market liquidity and currency volatility. --------------- (1) Non-annualized. 98 INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2005 PAR VALUE ------------- ------------ -------------- FOREIGN CONVERTIBLE BOND -- 0.0% SWITZERLAND Credit Suisse Group Finance, Ltd. 6.00%, 12/23/05(S) (Cost $175,347) 241,000 $ 258,302 -------------- SHARES ------------ FOREIGN COMMON STOCKS -- 95.8% AUSTRALIA -- 3.8% Amcor, Ltd.+++ 754,696 3,837,876 Australia and New Zealand Banking Group, Ltd. 21,863 361,020 Brambles Industries, Ltd. 39,820 246,569 Coles Myer, Ltd.+++ 718,919 5,053,605 Insurance Australia Group, Ltd. 120,400 548,813 John Fairfax Holdings, Ltd.+++ 495,000 1,616,398 Lend Lease Corporation, Ltd. 474,509 4,675,522 National Australia Bank, Ltd.+++ 261,912 6,120,017 Promina Group, Ltd.+++ 78,500 280,283 QBE Insurance Group, Ltd.+++ 77,823 946,390 Quantas Airways, Ltd. 830,712 2,123,432 Rinker Group, Ltd.+++ 109,318 1,157,860 Telstra Corporation, Ltd. 1,415,414 5,443,983 Wesfarmers, Ltd.+++ 28,455 861,912 Woodside Petroleum, Ltd.+++ 438,000 9,728,637 Woolworths, Ltd.+++ 51,281 642,658 -------------- 43,644,975 -------------- AUSTRIA -- 0.1% Erste Bank Der Oesterreichischen Sparkassen AG 11,600 579,675 Raiffeisen International Bank Holding AG*+++ 8,800 562,393 Telekom Austria AG+++ 22,328 433,788 -------------- 1,575,856 --------------
SHARES VALUE ------------ -------------- BELGIUM -- 1.8% Colruyt SA+++ 40,100 $ 5,466,636 Electrabel SA+++ 6,959 3,038,044 Fortis 240,101 6,642,581 UCB SA+++ 120,500 5,853,037 -------------- 21,000,298 -------------- BRAZIL -- 0.5% All America Latina Logistica SA 5,000 148,801 Aracruz Celulose SA ADR+++ 6,000 208,500 Brasil Telecom Participacoes SA ADR+++ 27,200 981,920 Companhia Brasileira de Distribuicao Grupo Pao de Acucar ADR+++ 7,400 147,186 Companhia Siderurgica Nacional SA ADR+++ 2,200 35,530 Companhia Vale do Rio Doce ADR+++ 130,200 3,307,080 CPFL Energia SA ADR+++ 11,000 260,700 Gol Linhas Aereas Inteligentes SA ADR+++ 2,000 60,120 Localiza Rent A Car SA 14,700 78,064 Lojas Renner SA* 22,300 353,362 Natura Cosmeticos SA 5,800 184,780 Tim Participacoes SA ADR+++ 18,900 298,620 -------------- 6,064,663 -------------- CANADA -- 1.8% Abitibi-Consolidated, Inc. 76,300 340,024 Alcan, Inc.+++ 43,900 1,317,860 Cameco Corporation 21,600 963,467 CGI Group, Inc.* 107,400 645,171 First Quantum Minerals, Ltd. 50,900 897,771 Great-West Lifeco, Inc.+++ 18,600 422,796 Inco, Ltd.+++ 35,100 1,325,025 Manulife Financial Corporation 10,200 487,106 Methanex Corporation 28,600 468,730 National Bank of Canada+++ 12,300 546,232 Noranda, Inc.+++ 16,133 276,784 Potash Corporation of Saskatchewan 22,700 2,166,802 Suncor Energy, Inc. 142,400 6,731,806 Talisman Energy, Inc.+++ 50,700 1,899,388 TELUS Corporation 19,000 667,760 TELUS Corporation (Non-Voting)+++ 29,200 995,975 Thomson Corporation (The) 12,600 421,851 Toronto-Dominion Bank 11,600 518,364 -------------- 21,092,912 -------------- CHILE -- 0.2% AFP Provida SA ADR 17,100 435,024 Banco Santander Chile SA ADR+++ 13,200 426,360 Embotelladora Andina SA ADR Class A 30,100 375,046 Embotelladora Andina SA ADR Class B 40,000 550,000 Empresas CMPC SA 3,000 70,100 Enersis SA ADR+++ 27,100 282,924 -------------- 2,139,454 -------------- CHINA -- 0.4% BYD Co., Ltd. Series H+++ 102,000 218,655 China Petroleum & Chemical Corporation Class H+++ 1,966,000 766,328 China Shenhua Energy Co., Ltd. Class H* 1,620,500 1,563,988 China Telecom Corporation, Ltd. Class H 4,538,000 1,620,626 Jiangsu Expressway Co., Ltd. Class H 1,342,600 696,878 Sinotrans, Ltd. Class H+++ 641,800 199,436
See Notes to Financial Statements. 99 INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ------------ -------------- ZTE Corporation Class H 27,400 $ 81,706 -------------- 5,147,617 -------------- COLOMBIA -- 0.0% BanColombia SA ADR+++ 16,800 268,632 -------------- CROATIA -- 0.1% Pliva DD GDR 61,400 784,692 -------------- CZECH REPUBLIC -- 0.0% Komercni Banka AS 1,174 144,743 -------------- DENMARK -- 1.0% Danske Bank A/S+++ 60,694 1,823,074 H. Lundbeck AS+++ 78,000 1,962,315 Novo-Nordisk AS Class B+++ 127,100 6,460,029 TDC AS+++ 27,600 1,181,737 -------------- 11,427,155 -------------- ECUADOR -- 0.1% Holcim Ecuador SA GDR 26,250 840,000 -------------- EGYPT -- 0.6% Commercial International Bank, Ltd. 3,100 25,576 Commercial International Bank, Ltd. GDR 7,900 65,151 MobiNil -- Egyptian Mobile Services 74,495 2,341,768 Orascom Construction Industries 120,857 3,435,136 Orascom Construction Industries GDR 5,000 284,109 Orascom Telecom Holding 3,750 380,473 Vodafone Egypt Telecommunications SAE 37,000 548,737 -------------- 7,080,950 --------------
SHARES VALUE ------------ -------------- FINLAND -- 0.6% Nokia OYJ 179,200 $ 2,981,731 Stora Enso OYJ Class R 34,100 434,023 UPM-Kymmene OYJ+++ 164,600 3,150,361 -------------- 6,566,115 -------------- FRANCE -- 7.4% Accor SA+++ 25,900 1,211,058 Air Liquide SA+++ 6,723 1,143,317 Assurances Generales de France 27,100 2,214,325 AXA SA 111,700 2,781,033 BNP Paribas SA 64,200 4,384,858 Bouygues SA+++ 73,300 3,030,148 Carrefour SA 58,083 2,809,042 Compagnie de Saint-Gobain 110,165 6,093,604 Compagnie Generale des Etablissements Michelin Class B+++ 8,500 516,155 Dassault Systemes SA 9,500 459,204 Eiffage SA+++ 18,104 1,575,111 Essilor International SA Compagnie Generale D'Optique+++ 6,400 436,499 France Telecom SA 149,960 4,364,152 Groupe Danone 14,900 1,305,481 L'Oreal SA+++ 59,100 4,231,680 Lafarge SA 29,300 2,663,210 PPR SA+++ 6,537 672,554 Sanofi-Aventis 124,049 10,159,384 Schneider Electric SA+++ 27,100 2,037,878 Societe BIC SA 14,600 870,476 Societe Generale Class A 57,211 5,801,406 Societe Television Francaise 1+++ 166,400 4,411,348 Total SA 78,582 18,387,947 Veolia Environnement 79,440 2,973,637 Vivendi Universal SA 27,500 861,809 -------------- 85,395,316 -------------- GERMANY -- 5.8% Adidas-Salomon AG+++ 26,702 4,454,077 Allianz AG+++ 35,300 4,026,469 BASF AG 29,393 1,945,460 Bayer AG 302,296 10,047,195 Bayerische Hypo-und Vereinsbank AG 197,062 5,111,708 Bayerische Motoren Werke AG 58,600 2,657,581 Continental AG 27,000 1,935,993 DaimlerChrysler AG 29,400 1,188,949 Deutsche Bank AG 9,100 708,530 Deutsche Boerse AG+++ 11,231 875,004 Deutsche Post AG+++ 19,500 453,830 E.ON AG 51,500 4,571,834 Infineon Technologies AG*+++ 57,300 530,640 Metro AG 27,700 1,372,351 RWE AG 111,112 7,135,159 SAP AG+++ 13,600 2,352,816 SAP AG ADR+++ 4,500 194,850 Schering AG 29,378 1,805,027 Siemens AG 134,942 9,804,778 Volkswagen AG+++ 134,806 6,143,863 -------------- 67,316,114 -------------- GREECE -- 0.1% National Bank of Greece SA 26,239 889,169 -------------- HONG KONG -- 4.6% Bank of East Asia, Ltd.+++ 143,000 421,202 China Mengniu Dairy Co., Ltd. 895,000 591,900 China Mobile (Hong Kong), Ltd.+++ 963,500 3,570,312 China Resources Power Holdings Co. 1,488,900 826,538 CLP Holdings, Ltd.+++ 1,150,000 6,589,073 CNOOC, Ltd.+++ 10,182,500 6,034,639 Denway Motors, Ltd. 4,816,000 1,707,796
See Notes to Financial Statements. 100
SHARES VALUE ------------ -------------- Esprit Holdings, Ltd.+++ 83,700 $ 603,562 Hang Lung Group, Ltd.+++ 200,000 354,196 Hang Lung Properties, Ltd. 1,695,000 2,485,516 Hong Kong & China Gas Co., Ltd. 4,521,000 9,173,743 Hongkong Electric Holdings, Ltd. 552,500 2,519,286 Hutchison Whampoa, Ltd.+++ 556,000 5,004,250 Jardine Matheson Holdings, Ltd. 124,000 2,190,009 Johnson Electric Holdings, Ltd.+++ 446,500 409,058 Li & Fung, Ltd. 516,000 1,067,908 Sun Hung Kai Properties, Ltd.+++ 253,000 2,488,384 Swire Pacific, Ltd. Class A+++ 416,000 3,668,023 Wharf Holdings, Ltd.+++ 808,000 2,826,804 -------------- 52,532,199 -------------- HUNGARY -- 0.3% BorsodChem Rt. 18,856 210,152 Mol Magyar Olaj-es Gazipari Rt. 8,664 726,073 Mol Magyar Olaj-es Gazipari Rt. GDR 16,381 1,367,813 OTP Bank Rt. 18,787 635,710 -------------- 2,939,748 -------------- INDIA -- 1.5% Andhra Bank, Ltd. 883,684 1,916,767 Asian Paints (India) Ltd. 100,000 945,371 Bharat Heavy Electricals, Ltd. 17,694 351,635 Bharti Televentures, Ltd.* 108,775 606,657 Container Corporation of India, Ltd. 40,000 846,463 GAIL India, Ltd. GDR+++ 49,800 1,510,434 Grasim Industries, Ltd. 10,172 247,766 Gujarat Ambuja Cements, Ltd. 999,000 1,351,962 HDFC Bank, Ltd. 23,051 333,764 Hero Honda Motors, Ltd. 70,000 928,415 Hindalco Industries, Ltd. 10,229 282,530 ICICI Bank, Ltd. ADR+++ 1,500 32,775 Industrial Development Bank of India, Ltd. 152,768 358,596 Infosys Technologies, Ltd. 13,930 754,466 Infosys Technologies, Ltd. ADR 13,234 1,025,238 Jet Airways India, Ltd.* 9,644 280,025 Larsen & Toubro, Ltd.* 12,558 327,548 Oil & Natural Gas Corporation, Ltd.* 17,811 417,035 Ranbaxy Laboratories, Ltd. GDR 83,500 2,066,626 Satyam Computer Services, Ltd. ADR 49,000 1,274,000 Sun Pharmaceuticals Industries, Ltd. 56,000 743,903 Tata Motors, Ltd. 45,339 442,126 UTI Bank, Ltd. 56,516 319,801 -------------- 17,363,903 -------------- INDONESIA -- 0.9% Bank Rakyat Indonesia 5,466,400 1,619,684 PT Bank Central Asia TBK 621,000 228,321 PT Bank Mandiri Persero TBK 7,640,723 1,170,964 PT Bumi Resources TBK* 4,194,500 356,704 PT Panin Life TBK 28,581,000 481,153 PT Ramayana Lestari Sentosa TBK 6,813,500 626,683 PT Telekomunikasi Indonesia TBK 9,029,200 4,666,827 PT Unilever Indonesia TBK 2,652,000 1,104,726 -------------- 10,255,062 --------------
SHARES VALUE ------------ -------------- IRELAND -- 0.6% Allied Irish Banks PLC 120,500 $ 2,591,709 CRH PLC 128,462 3,386,471 Irish Life & Permanent PLC 35,300 617,383 -------------- 6,595,563 -------------- ISRAEL -- 0.4% Bank Hapoalim, Ltd. 123,800 388,891 Bank Leumi Le-Israel BM 51,500 132,526 Check Point Software Technologies, Ltd.* 53,500 1,059,300 Lipman Electronic Engineering, Ltd.+++ 8,100 249,237 Teva Pharmaceutical Industries, Ltd. ADR 78,900 2,456,945 -------------- 4,286,899 -------------- ITALY -- 2.0% Banca Intesa SpA 2,236,574 10,210,366 Enel SpA+++ 285,199 2,488,861 Ente Nazionale Idrocarburi SpA 196,949 5,060,555 Mediaset SpA+++ 500,223 5,883,251 -------------- 23,643,033 -------------- JAPAN -- 21.7% Advantest Corporation+++ 55,500 4,082,578 Aeon Co., Ltd. 106,400 1,618,235 Aiful Corporation 6,908 513,581 Astellas Pharma, Inc.+++ 148,200 5,047,594 Bank of Fukuoka, Ltd. (The)+++ 151,000 890,646 Bridgestone Corporation 171,000 3,276,909 Canon, Inc. 285,100 14,943,383 Chubu Electric Power Co., Inc.+++ 20,100 481,676 Credit Saison Co., Ltd. 26,100 863,878 Daikin Industries, Ltd. 176,000 4,383,901
See Notes to Financial Statements. 101 INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ------------ -------------- Daito Trust Construction Co., Ltd.+++ 13,000 $ 485,454 Daiwa House Industry Co., Ltd. 47,000 535,485 Denso Corporation 325,500 7,391,058 East Japan Railway Co. 389 1,994,861 Eisai Co., Ltd. 200,500 6,716,810 FamilyMart Co., Ltd. 68,000 1,946,379 Fanuc, Ltd. 136,100 8,609,449 Furukawa Electric Co., Ltd.+++ 97,000 373,004 Hirose Electric Co., Ltd.+++ 41,000 4,492,702 Hitachi, Ltd.+++ 457,000 2,763,172 Honda Motor Co., Ltd. 97,600 4,793,586 Hoya Corporation 5,500 631,879 Japan Airlines Corporation 102,000 274,318 JSR Corporation+++ 85,000 1,778,661 Kansai Electric Power Co., Inc. (The) 49,000 983,957 Kao Corporation 193,000 4,534,680 KDDI Corporation 1,222 5,639,892 Keyence Corporation 25,000 5,573,203 Kuraray Co., Ltd.+++ 206,000 1,945,115 Matsushita Electric Industrial Co., Ltd. 326,686 4,937,421 Millea Holdings, Inc. 797 10,688,696 Mitsubishi Corporation+++ 106,000 1,433,541 Mitsubishi Electric Corporation 283,700 1,497,068 Mitsubishi Estate Co., Ltd. 969,100 10,603,996 Mitsubishi Heavy Industries, Ltd. 142,000 370,557 Mitsubishi Tokyo Financial Group, Inc. 887 7,477,069 Mitsui & Co., Ltd.+++ 56,000 527,878 Mitsui Fudosan Co., Ltd. 31,000 345,725 Mitsui Sumitomo Insurance Co., Ltd. 76,000 679,971 Mizuho Financial Group, Inc. 204 917,002 Murata Manufacturing Co., Ltd. 9,700 491,431 Nidec Corporation 5,400 569,224 Nikko Cordial Corporation 470,000 2,053,566 Nikon Corporation+++ 44,000 495,214 Nintendo Co., Ltd. 7,100 740,400 Nippon Electric Glass Co., Ltd.+++ 41,000 615,289 Nippon Express Co., Ltd. 387,000 1,673,153 Nippon Steel Corporation 623,000 1,439,866 Nippon Telegraph & Telephone Corporation 1,031 4,408,520 Nissan Motor Co., Ltd.+++ 384,500 3,801,183 Nitto Denko Corporation+++ 27,900 1,589,703 Nomura Holdings, Inc. 122,100 1,450,624 NTT DoCoMo, Inc. 1,600 2,357,359 Omron Corporation 20,000 439,600 ORIX Corporation+++ 35,200 5,256,057 Pioneer Corporation+++ 110,300 1,666,437 Ricoh Co., Ltd. 48,000 747,296 Rohm Co., Ltd. 56,500 5,416,077 Sankyo Co. Ltd.+++ 62,800 1,201,512 Secom Co., Ltd. 162,000 6,950,533 Sekisui House, Ltd. 68,000 683,414 Sharp Corporation 171,000 2,660,786 Shimamura Co., Ltd.+++ 8,300 698,843 Shin-Etsu Chemical Co., Ltd. 127,600 4,827,896 SMC Corporation 14,400 1,561,151 Softbank Corporation+++ 38,600 1,504,012 Sompo Japan Insurance, Inc. 54,900 551,262 Sony Corporation 106,000 3,638,832 Sumitomo Chemical Co., Ltd. 336,000 1,538,054 Sumitomo Corporation 168,000 1,339,548 Sumitomo Mitsui Financial Group, Inc.+++ 745 5,009,831 Sumitomo Trust & Banking Co., Ltd. 224,000 1,355,560 Suzuki Motor Corporation+++ 121,300 1,899,811 T&D Holdings, Inc. 59,150 2,769,612 Takeda Pharmaceutical Co., Ltd. 299,300 14,799,731 Takefuji Corporation 28,800 1,938,381 TDK Corporation 48,000 3,262,579 THK Co., Ltd.+++ 80,500 1,654,030 Tohoku Electric Power Co., Inc. 16,100 343,024 Tokyo Electron, Ltd. 28,100 1,476,637 Tokyo Gas Co., Ltd.+++ 154,000 575,096 Tokyu Corporation+++ 230,000 1,029,008 Toyota Motor Corporation 214,300 7,647,465 Trend Micro, Inc. 9,000 319,369 UFJ Holdings, Inc. 620 3,207,528 Uni-Charm Corporation+++ 9,000 361,525 West Japan Railway Co. 483 1,651,848 Yahoo! Japan Corporation+++ 205 427,841 Yamada Denki Co., Ltd.+++ 16,900 970,475 Yamato Transport Co., Ltd.+++ 92,500 1,279,050 -------------- 251,390,213 --------------
SHARES VALUE ------------ -------------- LUXEMBOURG -- 0.1% SES Global 48,900 $ 716,037 -------------- MALAYSIA -- 0.4% Astro All Asia Networks PLC 102,600 146,957 Commerce Asset Holdings BHD 347,900 461,708 IOI Corporation BHD 274,500 757,669 Malayan Banking BHD 144,200 412,781 MK Land Holdings BHD 841,300 242,844 OYL Industries BHD 109,000 1,038,760 Telekom Malaysia BHD 120,300 315,956 Tenaga Nasional BHD 157,500 435,197
See Notes to Financial Statements. 102
SHARES VALUE ------------ -------------- Titan Chemicals Corporation BHD* 309,300 $ 146,511 Transmile Group BHD 365,000 1,017,079 -------------- 4,975,462 -------------- MEXICO -- 0.9% America Movil SA de CV ADR Series L 57,700 3,439,497 Cemex SA de CV 417,034 1,773,325 Grupo Mexico SA de CV Series B 49,500 80,832 Grupo Televisa SA ADR 28,142 1,747,337 Kimberly-Clark de Mexico SA de CV Class A 60,000 205,949 Telefonos de Mexico SA de CV ADR Class L 81,400 1,537,646 Urbi Desarrollos Urbanos SA* 53,200 292,797 Wal-Mart de Mexico SA de CV Series V 368,098 1,498,107 -------------- 10,575,490 -------------- NETHERLANDS -- 4.8% ABN AMRO Holding NV 153,366 3,767,872 Aegon NV 110,570 1,423,821 Akzo Nobel NV 41,000 1,612,276 Euronext NV+++ 14,900 503,219 ING Groep NV 356,866 10,030,558 Koninklijke Ahold NV* 54,100 443,202 Koninklijke Numico NV*+++ 13,600 543,024 Reed Elsevier NV 532,311 7,407,289 Royal Dutch Petroleum Co. 280,088 18,208,301 Royal Dutch Petroleum Co. (New York Shares) 12,100 785,290 Royal KPN NV 374,400 3,131,279 TNT NV 93,600 2,367,573 Unilever NV 28,000 1,813,411 VNU NV 131,496 3,660,153 -------------- 55,697,268 -------------- NEW ZEALAND -- 0.3% Telecom Corporation of New Zealand, Ltd. 955,696 3,998,373 -------------- NORWAY -- 0.5% DNB NOR ASA 66,000 686,402 Norsk Hydro ASA 28,000 2,545,339 Norske Skogindustrier ASA+++ 19,100 313,325 Telenor ASA+++ 152,702 1,214,282 Yara International ASA 28,000 442,546 -------------- 5,201,894 -------------- PERU -- 0.0% Compania de Minas Buenaventura SA ADR+++ 5,800 133,342 --------------
SHARES VALUE ------------ -------------- PHILIPPINES -- 0.1% Globe Telecom, Inc. 20,000 $ 285,246 SM Prime Holdings, Inc. 9,591,800 1,285,039 -------------- 1,570,285 -------------- POLAND -- 0.1% Powszechna Kasa Oszczednosci Bank Polski SA 120,441 974,131 -------------- PORTUGAL -- 0.5% Banco Comercial Portugues SA Series R+++ 1,072,558 2,746,426 Portugal Telecom SGPS SA+++ 333,861 3,175,952 -------------- 5,922,378 -------------- ROMANIA -- 0.0% SNP Petrom SA 2,900,000 392,283 -------------- RUSSIA -- 0.5% LUKOIL ADR 67,697 2,489,895 Mechel Steel Group OAO ADR+++ 8,800 223,520 Mining and Metallurgical Co. Norilsk Nickel ADR 4,103 248,642 Mobile Telesystems ADR 43,400 1,460,410 Vimpel-Communications ADR*+++ 11,200 381,136 Wimm-Bill-Dann Foods OJSC ADR*+++ 55,400 910,222 -------------- 5,713,825 -------------- SINGAPORE -- 0.6% DBS Group Holdings, Ltd. 239,000 2,022,089 Oversea-Chinese Banking Corporation, Ltd. 314,400 2,159,133 Singapore Telecommunications, Ltd.+++ 1,414,571 2,319,078 United Overseas Bank, Ltd. 47,000 395,267 United Overseas Land, Ltd. 4,700 6,346 -------------- 6,901,913 -------------- SOUTH AFRICA -- 1.7% ABSA Group, Ltd. 61,836 765,747 African Bank Investments, Ltd. 321,300 900,627 Alexander Forbes, Ltd. 400,000 774,175 Anglo American PLC+++ 147,488 3,459,147 AngloGold Ashanti, Ltd. ADR+++ 27,989 1,000,047 Dimension Data Holdings PLC* 99,411 58,418 Edgars Consolidated Stores, Ltd. 3,351 145,612 FirstRand, Ltd. 60,958 126,940 Liberty Group, Ltd. 19,340 172,493 Massmart Holdings, Ltd. 65,682 441,949 Mittal Steel South Africa, Ltd. 50,474 355,425 MTN Group, Ltd. 511,503 3,392,073 Naspers, Ltd. 32,673 406,576 Pick'n Pay Stores, Ltd. 28,000 104,998
See Notes to Financial Statements. 103 INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ------------ -------------- Sanlam, Ltd. 284,702 $ 501,295 Sasol, Ltd. 128,763 3,483,410 Standard Bank Group, Ltd. 220,657 2,138,515 Telkom SA, Ltd. 19,220 309,186 VenFin, Ltd. 171,900 740,684 -------------- 19,277,317 -------------- SOUTH KOREA -- 3.3% Amorepacific Corporation 980 257,019 GS Engineering & Construction Corporation 10,390 341,450 GS Holdings Corporation* 24,830 583,403 Hankook Tire Co., Ltd. 95,195 1,148,198 Hynix Semiconductor, Inc.* 19,270 311,961 Hyundai Mobis 18,200 1,216,253 Hyundai Motor Co. 12,850 707,869 Kookmin Bank 87,831 3,963,936 Kookmin Bank ADR+++ 60,321 2,749,431 Korea Electric Power Corporation 51,010 1,556,650 KT Corporation 36,170 1,478,404 KT Corporation ADR 7,850 168,775 KT Freetel 24,000 552,974 LG Philips LCD Co., Ltd.* 13,380 616,331 NCSoft Corporation* 12,140 894,735 POSCO 6,700 1,166,836 POSCO ADR+++ 3,700 162,689 S-Oil Corporation 1,730 137,771 S1 Corporation 39,280 1,671,536 Samsung Electronics Co., Ltd. 10,610 5,024,847 Samsung Electronics Co., Ltd. (Non-Voting Shares) GDR 144A 10,109 1,660,380 Samsung Electronics Co., Ltd. GDR 1,200 285,940 Samsung Electronics Co., Ltd. GDR 144A 15,159 3,622,906 Samsung Fire & Marine Insurance Co., Ltd. 22,530 1,809,200 Samsung Securities Co., Ltd. 35,370 933,254 Shinsegae Co., Ltd. 8,070 2,531,683 SK Corporation 5,100 267,988 SK Telecom Co., Ltd. 6,700 1,177,147 SK Telecom Co., Ltd. ADR 11,300 230,520 Tae Young Corporation 10,000 333,825 -------------- 37,563,911 -------------- SPAIN -- 4.1% Acerinox SA 61,756 839,268 Actividades de Construccion y Servicios SA 98,289 2,745,624 Banco Bilbao Vizcaya Argentaria SA+++ 178,600 2,744,163 Banco Popular Espanol SA+++ 208,305 2,513,645 Banco Santander Central Hispano SA 497,784 5,762,942 Endesa SA+++ 131,800 3,063,638 Iberdrola SA+++ 217,148 5,718,349 Inditex SA+++ 198,700 5,105,770 Repsol YPF SA 218,137 5,535,911 Telefonica SA+++ 805,701 13,143,976 -------------- 47,173,286 --------------
SHARES VALUE ------------ -------------- SWEDEN -- 1.1% Atlas Copco AB Class A+++ 40,200 $ 634,840 Hennes & Mauritz AB Class B+++ 144,200 5,058,151 Nordea Bank AB 250,000 2,257,443 Svenska Cellulosa AB Class B 10,300 329,075 Telefonaktiebolaget LM Ericsson ADR+++ 14,600 466,470 Telefonaktiebolaget LM Ericsson Class B 1,296,000 4,134,886 -------------- 12,880,865 -------------- SWITZERLAND -- 4.1% Adecco SA 8,276 375,466 Ciba Specialty Chemicals, Inc.+++ 26,600 1,546,724 Compagnie Financiere Richemont AG Class A 92,849 3,113,262 Credit Suisse Group 33,185 1,300,773 Geberit AG 680 434,890 Givaudan SA 750 435,621 Holcim, Ltd. 47,817 2,904,443 Nestle SA 49,968 12,764,964 Novartis AG 212,813 10,103,649 Roche Holding AG 52,143 6,579,250 Serono SA Class B 509 325,806 Swiss Reinsurance 31,826 1,951,540 Swisscom AG 4,101 1,336,470 Synthes, Inc. 5,420 593,978 UBS AG 15,165 1,182,190 Zurich Financial Services AG 11,900 2,041,092 -------------- 46,990,118 -------------- TAIWAN -- 1.5% Advanced Semiconductor Engineering, Inc.* 550,000 409,009 Advantech Co., Ltd. 132,000 311,705 Asustek Computer, Inc. 54,000 151,950 AU Optronics Corporation 1,658,000 2,758,980 Basso Industry Corporation 103,000 241,010 Cathay Financial Holding Co., Ltd. 771,510 1,549,297 China Steel Corporation 751,385 757,637 Chinatrust Financial Holding Co., Ltd. 243,137 264,218 Faraday Technology Corporation 268,747 513,910 Foxconn Technology Co., Ltd.* 57,000 214,618
See Notes to Financial Statements. 104
SHARES VALUE ------------ -------------- HON HAI Precision Industry Co., Ltd. 98,649 $ 511,329 MediaTek, Inc. 33,429 288,664 Phoenixtec Power Co., Ltd. 481,605 515,483 Powerchip Semiconductor Corporation 746,000 519,912 Pyaterochka Holding NV GDR* 18,475 266,040 Quanta Computer, Inc. 227,348 433,414 Taiwan Semiconductor Manufacturing Co., Ltd. 3,223,034 5,611,208 Taiwan Semiconductor Manufacturing Co., Ltd. ADR 9,183 83,753 United Microelectronics Corporation* 1,583,000 1,154,733 Vanguard International Semiconductor Corporation 670,000 638,030 -------------- 17,194,900 -------------- THAILAND -- 0.6% Advanced Info Service Public Co., Ltd.+++ 382,400 906,841 Airports of Thailand Public Co., Ltd. 714,500 778,040 Kasikornbank Public Co., Ltd.+++ 730,300 1,002,147 Kiatnakin Finance Public Co., Ltd. 397,600 264,586 PTT Exploration and Production Public Co., Ltd. 186,100 1,729,278 PTT Public Co., Ltd. 350,500 1,848,977 Siam City Cement Public Co, Ltd. 15,800 92,525 -------------- 6,622,394 -------------- TURKEY -- 0.2% Arcelik AS 28,600 168,404 Migros Turk TAS 120,225 925,535 Petkim Petrokimya Holding AS* 21,932 96,013 Turk Sise ve Cam Fabrikalari AS 41,835 121,103 Turkiye Garanti Bankasi AS* 107,607 458,088 Turkiye Is Bankasi 82,569 478,037 -------------- 2,247,180 --------------
SHARES VALUE ------------ -------------- UNITED KINGDOM -- 14.1% Antofagasta PLC 21,500 $ 468,447 ARM Holdings PLC 110,000 222,053 AstraZeneca PLC 211,104 8,715,288 Aviva PLC 376,563 4,181,286 BG Group PLC 1,750,030 14,367,769 BHP Billiton PLC+++ 67,005 855,095 BOC Group PLC 248,090 4,451,514 Boots Group PLC 437,534 4,764,703 BP PLC 850,704 8,847,060 Bradford & Bingley PLC 76,600 448,216 Brambles Industries PLC+++ 575,464 3,141,578 Capita Group PLC 185,880 1,222,171 Carnival PLC 34,053 1,930,778 Cattles PLC 115,000 633,412 Centrica PLC 518,450 2,146,891 Compass Group PLC 722,885 3,027,088 GKN PLC+++ 479,201 2,208,814 GlaxoSmithKline PLC 380,434 9,192,613 Hanson PLC 41,500 398,038 HBOS PLC 540,500 8,309,977 HSBC Holdings PLC 85,400 1,358,077 Intercontinental Hotels Group PLC 103,687 1,305,730 Johnson Matthey PLC 82,300 1,568,998 Johnston Press PLC 42,300 363,564 Kingfisher PLC 743,000 3,259,663 Lloyds TSB Group PLC 958,019 8,090,480 Man Group PLC 102,400 2,645,657 Misys PLC 564,300 2,395,059 Northern Rock PLC 31,400 445,766 Pearson PLC 382,930 4,498,050 Reckitt Benckiser PLC 167,120 4,909,150 Reed Elsevier PLC 168,100 1,605,549 Rio Tinto PLC 296,364 9,024,457 Rolls-Royce Group PLC 82,300 422,233 Rolls-Royce Group PLC B Shares 27,697,900 49,874 Royal Bank of Scotland Group PLC 197,800 5,955,530 Scottish & Southern Energy PLC 35,600 644,233 Shell Transport & Trading Co. PLC 683,300 6,616,140 Smith & Nephew PLC 319,360 3,139,692 Standard Chartered PLC 84,200 1,534,005 Tesco PLC 327,100 1,863,496 Unilever PLC 689,160 6,630,053 Vodafone Group PLC 4,311,650 10,482,732 Wm Morrison Supermarkets PLC 980,000 3,254,615 Wolseley PLC 30,000 628,879 Xstrata PLC 38,900 748,242 -------------- 162,972,715 -------------- VENEZUELA -- 0.0% Compania Anonima Nacional Telefonos de Venezuela ADR 6,001 113,659 -------------- TOTAL FOREIGN COMMON STOCKS (Cost $887,372,448) 1,106,194,307 --------------
See Notes to Financial Statements. 105 INTERNATIONAL EQUITY FUND SCHEDULE OF INVESTMENTS (UNAUDITED) CONTINUED
SHARES VALUE ------------ -------------- FOREIGN PREFERRED STOCKS -- 0.4% BRAZIL -- 0.3% Caemi Mineracao e Metalurgica SA 173,700 $ 163,657 Companhia de Tecidos do Norte de Minas -- Coteminas 4,248,260 385,655 Companhia Siderurgica Belgo Mineira 447,900 202,351 Companhia Siderurgica de Tubarao 1,628,600 75,501 Investimentos Itau SA 455,766 991,559 Petroleo Brasileiro SA ADR 40,400 1,860,017 Tam SA* 3,500 25,167 -------------- 3,703,907 -------------- SOUTH KOREA -- 0.1% Samsung Electronics Co., Ltd. 2,280 744,140 -------------- TOTAL FOREIGN PREFERRED STOCKS (Cost $2,566,515) 4,448,047 -------------- SHORT-TERM INVESTMENTS -- 19.2% AB Funds Trust -- Money Market Fund (GS4 Class)(inf) 44,343,803 44,343,803 Northern Institutional Liquid Assets Portfolio (sec.) 176,782,024 176,782,024 -------------- TOTAL SHORT-TERM INVESTMENTS (Cost $221,125,827) 221,125,827 -------------- TOTAL INVESTMENTS -- 115.4% (Cost $1,111,240,137) 1,332,026,483 LIABILITIES IN EXCESS OF OTHER ASSETS -- (15.4%) (177,902,551) -------------- NET ASSETS -- 100.0% $1,154,123,932 --------------
PORTFOLIO SUMMARY (UNAUDITED)+
VALUE(%) -------- Australia 3.8 Austria 0.1 Belgium 1.8 Brazil 0.8 Canada 1.8 Chile 0.2 China 0.4 Colombia --* Croatia 0.1 Czech Republic --* Denmark 1.0 Ecuador 0.1 Egypt 0.6 Finland 0.6 Forward Foreign Currency Contracts (2.3) France 7.4 Germany 5.8 Greece 0.1 Hong Kong 4.6 Hungary 0.3 India 1.5 Indonesia 0.9 Ireland 0.6 Israel 0.4 Italy 2.0 Japan 21.7 Luxembourg 0.1 Malaysia 0.4 Mexico 0.9 Netherlands 4.8 New Zealand 0.3 Norway 0.5 Peru --* Philippines 0.1 Poland 0.1 Portugal 0.5 Romania --* Russia 0.5 Short-Term Investments 19.2 Singapore 0.6 South Africa 1.7 South Korea 3.4 Spain 4.1 Sweden 1.1 Switzerland 4.1 Taiwan 1.5 Thailand 0.6 Turkey 0.2 United Kingdom 14.1 Venezuela --* ------ 113.1 ======
--------------- + Based on net assets. * Rounds to less than 0.005%. See Notes to Financial Statements. 106 SCHEDULE OF INVESTMENTS ABBREVIATIONS AND FOOTNOTES INVESTMENT 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 TBA -- To be announced. 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. INVESTMENT FOOTNOTES: ++++ -- All or a portion of the security was held as collateral for open futures, options and/or swap contracts. @ -- Illiquid. * -- Non-income producing security. # -- Security in default. + -- Security is valued at fair value. sec. -- Security purchased with the cash proceeds from securities loaned. ++ -- Variable rate security (1). (omg) -- Interest rates shown reflect the effective yields as of June 30, 2005. (inf) -- Affiliated fund. +++ -- Security either partially or fully on loan. FOREIGN BOND FOOTNOTES: (A) -- Par is denominated in Australian Dollars. (B) -- Par is denominated in Brazilian Reals. (C) -- Par is denominated in Canadian Dollars. (E) -- Par is denominated in European Euros. (G) -- Par is denominated in Singapore Dollars. (I) -- Par is denominated in Israel Shekels. (J) -- Par is denominated in Japanese Yen. (K) -- Par is denominated in Swedish Kronas. (M) -- Par is denominated in Mexican Pesos. (P) -- Par is denominated in Polish Zloty. (S) -- Par is denominated in Swiss Francs. (T) -- Par is denominated in Thailand Bahts. (U) -- Par is denominated in British Pounds. (Z) -- Par is denominated in New Zealand Dollars. SWAP AGREEMENT FOOTNOTES: (a) -- Counterparty to contract is Goldman Sachs Capital Markets, LP. (b) -- Counterparty to contract is UBS AG. (c) -- Counterparty to contract is Morgan Stanley Capital Services. (d) -- Counterparty to contract is Barclays Capital. (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. (i) -- Counterparty to contract is Credit Suisse First Boston International. (j) -- Counterparty to contract is Greenwich Capital Derivative.
(1) Interest rates shown reflect the rates currently in effect. Maturity date for money market instruments is the date of the next interest rate reset. 107 STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
MONEY LOW-DURATION MEDIUM-DURATION JUNE 30, 2005 MARKET FUND BOND FUND BOND FUND ------------- ------------ -------------- --------------- ASSETS Investments in securities of unaffiliated issuers at value $935,488,320 $1,037,630,121 $1,283,845,830 Investments in securities of affiliated issuers at value -- 28,585,204 121,387,179 ------------ -------------- -------------- Total investments (1)(2) 935,488,320 1,066,215,325 1,405,233,009 Cash 129 6,170,416 3,333,882 Cash collateral for futures -- -- 104,000 Foreign currency (3) -- 136,595 1,003,495 Receivables: Dividends and reclaims -- 70,650 244,112 Interest 715,801 4,968,722 9,735,632 Interest on swaps -- 10,882 2,739 Investment securities sold -- 6,563,715 116,909,514 Deposits with brokers for securities sold short -- -- 50,460,937 Maturities -- 135,769 11,254 Fund shares sold 8,215,343 7,640 49,347,813 Variation margin -- 40,496 68,610 Securities lending -- 9,108 39,005 Unrealized appreciation on foreign currency exchange contracts -- 522,141 1,667,077 Unrealized appreciation on swap agreements -- 648,059 1,917,107 Prepaid expenses and other assets 41,130 29,185 29,886 ------------ -------------- -------------- Total Assets 944,460,723 1,085,528,703 1,640,108,072 ------------ -------------- -------------- LIABILITIES Securities sold short, at value (proceeds $50,460,937) -- -- 50,671,900 Options written at value (4) -- 32,378 258,261 Unrealized depreciation on foreign currency exchange contracts -- 15,430 228,891 Unrealized depreciation on swap agreements -- 1,839,214 9,041,257 Collateral held for securities on loan at value -- 86,615,681 243,699,977 Payables: Investment securities purchased 44,000,000 117,246,653 288,263,832 Fund shares purchased 9,508,099 12,019,942 23,084 Interest on swaps -- -- 195,741 Variation margin -- 99,311 202,422 Distributions 860,582 -- -- Securities lending -- 2,726 11,653 Accrued expenses Advisory fee payable 101,263 106,807 122,312 Distribution fee payable 1,613 2,167 2,349 Shareholder servicing fee payable 124,951 123,191 142,409 Other accrued expenses 111,821 248,791 296,817 ------------ -------------- -------------- Total Liabilities 54,708,329 218,352,291 593,160,905 ------------ -------------- -------------- NET ASSETS $889,752,394 $ 867,176,412 $1,046,947,167 ============ ============== ============== NET ASSETS CONSIST OF: Paid-in-capital $889,757,359 $ 876,512,988 $1,015,820,531 Undistributed net investment income (loss) -- 2,267,636 3,494,773 Accumulated net realized gain (loss) on investments, foreign currency transactions and derivative transactions (4,965) (6,330,221) 12,800,369 Net unrealized appreciation (depreciation) on investments, foreign currency translations and derivative transactions -- (5,273,991) 14,831,494 ------------ -------------- -------------- NET ASSETS $889,752,394 $ 867,176,412 $1,046,947,167 ============ ============== ============== NET ASSET VALUE: $0.001 par value, unlimited shares authorized Net assets applicable to the GS2 Class $ 91,972,545 $ 100,840,048 $ 95,226,457 ------------ -------------- -------------- GS2 shares outstanding 91,973,048 10,911,888 10,439,161 ------------ -------------- -------------- Net asset value and redemption price per GS2 share $ 1.00 $ 9.24 $ 9.12 ============ ============== ============== Net assets applicable to the GS4 Class $788,213,467 $ 749,988,652 $ 933,342,155 ------------ -------------- -------------- GS4 shares outstanding 788,181,228 58,524,570 67,575,396 ------------ -------------- -------------- Net asset value and redemption price per GS4 share $ 1.00 $ 12.81 $ 13.81 ============ ============== ============== Net assets applicable to the GS6 class $ 4,519,747 $ 11,325,374 $ 13,226,586 ------------ -------------- -------------- GS6 shares outstanding 4,521,926 1,220,875 1,440,101 ------------ -------------- -------------- Net asset value and redemption price per GS6 share $ 1.00 $ 9.28 $ 9.18 ============ ============== ============== Net assets applicable to the GS8 class $ 5,046,635 $ 5,022,338 $ 5,151,969 ------------ -------------- -------------- GS8 shares outstanding 5,046,651 541,279 560,735 ------------ -------------- -------------- Net asset value and redemption price per GS8 share $ 1.00 $ 9.28 $ 9.19 ============ ============== ============== ------------- (1) Investments in securities of unaffiliated issuers at cost $935,488,320 $1,043,023,725 $1,268,420,095 Investments in securities of affiliated issuers at cost -- 28,585,204 121,387,179 ------------ -------------- -------------- Total investments at cost $935,488,320 $1,071,608,929 $1,389,807,274 ============ ============== ============== (2) Includes securities loaned of: $ -- $ 121,100,000 $ 267,521,649 ============ ============== ============== (3) Foreign currency at cost $ -- $ 137,826 $ 1,034,710 ============ ============== ============== (4) Premiums received on options written $ -- $ (184,960) $ (1,065,532) ============ ============== ============== (5) Net of ($147,018) accrued foreign capital gains taxes on appreciated securities
See Notes to Financial Statements. 108
EXTENDED-DURATION EQUITY VALUE GROWTH SMALL CAP INTERNATIONAL BOND FUND INDEX FUND EQUITY FUND EQUITY FUND EQUITY FUND EQUITY FUND ----------------- ------------ -------------- -------------- ------------ -------------- $620,807,172 $485,354,584 $1,504,983,590 $1,546,251,223 $722,183,307 $1,287,682,680 12,387,237 7,470,911 48,669,178 55,589,310 24,268,547 44,343,803 ------------ ------------ -------------- -------------- ------------ -------------- 633,194,409 492,825,495 1,553,652,768 1,601,840,533 746,451,854 1,332,026,483 -- -- 803 -- -- 1,167,759 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 5,713,892 32,053 498,925 1,866,113 767,377 241,557 3,453,108 4,853,281 -- -- -- -- 5,874 -- -- -- -- -- -- -- -- 9,605,564 25,405,675 4,169,298 5,190,906 -- -- -- -- -- -- 783,984 3,076,013 18,625,758 59,467 293,484 114,986 -- -- -- -- -- -- 17,385 5,621 18,110 11,972 42,088 43,688 -- -- -- -- -- 1,585,487 -- -- -- -- -- -- 29,589 28,861 30,589 32,051 26,818 30,208 ------------ ------------ -------------- -------------- ------------ -------------- 638,910,701 496,434,915 1,583,799,705 1,628,117,075 751,225,099 1,349,332,391 ------------ ------------ -------------- -------------- ------------ -------------- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 43,277 -- -- -- -- -- -- 144,808,211 37,369,376 163,275,774 127,001,898 204,038,112 176,782,024 -- -- 13,627,570 16,692,576 3,507,774 3,810,567 17,704,624 39,591 2,380,878 26,728,617 4,272,175 13,360,370 -- -- -- -- -- -- -- 26,798 253,220 312,604 79,504 -- -- -- -- -- 7 -- 5,192 1,652 5,355 3,560 12,365 13,027 100,904 42,535 469,472 494,664 81,239 283,922 2,558 2,221 2,494 2,169 2,502 2,651 69,642 64,888 195,949 211,451 76,633 161,116 145,576 71,120 388,386 532,655 446,304 751,505 ------------ ------------ -------------- -------------- ------------ -------------- 162,836,707 37,618,181 180,599,098 171,980,194 212,516,615 195,208,459 ------------ ------------ -------------- -------------- ------------ -------------- $476,073,994 $458,816,734 $1,403,200,607 $1,456,136,881 $538,708,484 $1,154,123,932 ============ ============ ============== ============== ============ ============== $426,873,655 $401,166,866 $1,122,061,949 $1,487,717,558 $437,745,176 $ 943,345,912 1,639,713 84,358 (46,348) (914,505) (124,860) 10,081,854 6,773,137 (4,153,968) 70,859,725 (288,619,365) 38,161,571 (21,586,446) 40,787,489 61,719,478 210,325,281 257,953,193 62,926,597 222,282,612(5) ------------ ------------ -------------- -------------- ------------ -------------- $476,073,994 $458,816,734 $1,403,200,607 $1,456,136,881 $538,708,484 $1,154,123,932 ============ ============ ============== ============== ============ ============== $ 56,645,424 $ 56,834,918 $ 147,277,099 $ 158,197,995 $ 59,283,242 $ 150,817,603 ------------ ------------ -------------- -------------- ------------ -------------- 6,186,200 5,924,915 12,773,338 15,544,683 4,730,763 11,675,409 ------------ ------------ -------------- -------------- ------------ -------------- $ 9.16 $ 9.59 $ 11.53 $ 10.18 $ 12.53 $ 12.92 ============ ============ ============== ============== ============ ============== $398,810,182 $385,431,310 $1,236,297,334 $1,282,308,210 $459,355,847 $ 981,708,902 ------------ ------------ -------------- -------------- ------------ -------------- 25,615,106 23,747,051 68,896,122 79,482,911 27,835,482 64,734,532 ------------ ------------ -------------- -------------- ------------ -------------- $ 15.57 $ 16.23 $ 17.94 $ 16.13 $ 16.50 $ 15.17 ============ ============ ============== ============== ============ ============== $ 15,225,234 $ 11,401,542 $ 14,285,607 $ 10,412,640 $ 14,695,091 $ 16,279,911 ------------ ------------ -------------- -------------- ------------ -------------- 1,663,682 1,181,921 1,244,549 1,037,875 1,191,030 1,275,671 ------------ ------------ -------------- -------------- ------------ -------------- $ 9.15 $ 9.65 $ 11.48 $ 10.03 $ 12.34 $ 12.76 ============ ============ ============== ============== ============ ============== $ 5,393,154 $ 5,148,964 $ 5,340,567 $ 5,218,036 $ 5,374,304 $ 5,317,516 ------------ ------------ -------------- -------------- ------------ -------------- 589,673 533,585 465,619 521,376 436,665 417,713 ------------ ------------ -------------- -------------- ------------ -------------- $ 9.15 $ 9.65 $ 11.47 $ 10.01 $ 12.31 $ 12.73 ============ ============ ============== ============== ============ ============== $580,015,624 $423,594,842 $1,294,207,197 $1,287,807,876 $659,313,766 $1,066,896,334 12,387,237 7,470,911 48,669,178 55,589,310 24,268,547 44,343,803 ------------ ------------ -------------- -------------- ------------ -------------- $592,402,861 $431,065,753 $1,342,876,375 $1,343,397,186 $683,582,313 $1,111,240,137 ============ ============ ============== ============== ============ ============== $243,828,757 $ 37,662,289 $ 168,426,256 $ 124,522,318 $199,734,379 $ 177,594,718 ============ ============ ============== ============== ============ ============== $ -- $ -- $ -- $ -- $ -- $ 5,718,561 ============ ============ ============== ============== ============ ============== $ -- $ -- $ -- $ -- $ -- $ -- ============ ============ ============== ============== ============ ==============
See Notes to Financial Statements. 109 STATEMENTS OF OPERATIONS (UNAUDITED)
MONEY LOW-DURATION MEDIUM-DURATION FOR THE SIX MONTHS ENDED JUNE 30, 2005 MARKET FUND BOND FUND BOND FUND -------------------------------------- ----------- ------------ --------------- INVESTMENT INCOME Dividends $ -- $ 3,062 $ 44,439 Income distributions received from affiliated funds -- 264,665 1,249,640 Interest 12,175,229 14,418,069 17,857,080 Securities Lending 13 70,806 220,451 Less foreign taxes withheld -- -- (533) ----------- ----------- ----------- Total Investment Income 12,175,242 14,756,602 19,371,077 ----------- ----------- ----------- EXPENSES Investment advisory fees 903,255 1,753,561 2,060,554 Transfer agent fees: GS2 shares 2,646 2,208 2,202 GS4 shares 20,334 15,415 16,236 GS6 shares 6,073 4,826 5,351 GS8 shares 5,275 5,438 5,398 Custodian fees 11,446 49,758 83,634 Distribution fees: GS6 shares 2,241 7,030 7,537 GS8 shares 7,458 7,392 7,510 Shareholder servicing fees: GS4 shares 742,855 709,578 803,344 GS6 shares 6,683 21,086 22,606 GS8 shares 9,960 9,912 10,043 Accounting and administration fees 167,647 194,825 248,751 Professional fees 25,081 26,549 29,215 Blue sky fees: GS2 shares 212 212 212 GS4 shares 4,124 5,258 4,801 GS6 shares 11,961 7,454 7,976 GS8 shares 5,629 7,297 6,726 Shareholder reporting fees: GS2 shares 207 161 170 GS4 shares 7,511 3,355 5,045 GS6 shares 49 50 50 GS8 shares 19 19 19 Trustee fees 2,278 2,173 2,302 Line of credit facility fees 2,294 2,173 2,302 Other expenses 14,663 18,152 31,991 ----------- ----------- ----------- Total expenses 1,959,901 2,853,882 3,363,975 Expenses waived net of amount recaptured (See Footnote 3c) (17,607) (260,644) (415,267) Fees paid indirectly (6,546) (67,271) (64,686) ----------- ----------- ----------- Net expenses 1,935,748 2,525,967 2,884,022 ----------- ----------- ----------- NET INVESTMENT INCOME (LOSS) 10,239,494 12,230,635 16,487,055 ----------- ----------- ----------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) from: Investment securities (2,021) (3,488,684) 11,201,110 Futures transactions -- (2,086,324) (3,211,454) Swap agreements -- (208,744) (2,789,788) Option contracts -- 98,062 237,254 Foreign currency transactions -- 499,350 2,885,644 ----------- ----------- ----------- Net realized gain (loss) (2,021) (5,186,340) 8,322,766 ----------- ----------- ----------- Net change in unrealized appreciation (depreciation) on: Investment securities (net of estimated deferred capital gains taxes of ($19,888) for International Equity) -- (802,195) (4,642,600) Futures transactions -- (254,392) (173,498) Swap agreements -- (224,496) 2,640,819 Option contracts -- 20,165 339,067 Foreign currency translations -- 545,069 1,664,127 ----------- ----------- ----------- Net change in unrealized appreciation (depreciation) -- (715,849) (172,085) ----------- ----------- ----------- NET REALIZED AND UNREALIZED GAIN (LOSS) (2,021) (5,902,189) 8,150,681 ----------- ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $10,237,473 $ 6,328,446 $24,637,736 =========== =========== ===========
See Notes to Financial Statements. 110
EXTENDED-DURATION EQUITY INDEX VALUE EQUITY GROWTH EQUITY SMALL CAP INTERNATIONAL BOND FUND FUND FUND FUND EQUITY FUND EQUITY FUND ----------------- ------------ ------------ ------------- ------------ ------------- $ 6,863 $ 4,009,055 $ 15,111,033 $ 5,500,364 $ 2,006,937 $ 21,138,764 126,635 93,968 485,540 631,248 519,366 404,807 12,864,944 14,660 61,120 60,611 271,958 23,239 81,869 20,235 93,495 68,493 128,120 211,272 -- -- (39,871) (190,597) (6,913) (1,638,439) ----------- ----------- ------------ ------------ ------------ ------------ 13,080,311 4,137,918 15,711,317 6,070,119 2,919,468 20,139,643 ----------- ----------- ------------ ------------ ------------ ------------ 1,131,558 355,121 4,591,140 5,996,262 2,319,090 5,618,423 2,149 2,131 2,220 2,197 2,194 2,246 16,663 16,889 18,486 17,128 18,759 17,748 5,263 5,562 6,246 6,441 7,834 5,327 5,383 5,313 5,325 5,316 5,252 4,499 23,076 14,777 47,341 34,374 73,402 484,611 9,988 5,603 8,149 5,951 7,968 9,213 7,642 7,609 7,759 7,538 7,710 7,865 370,166 363,426 1,139,855 1,203,823 399,408 943,918 29,955 16,811 24,445 17,852 23,906 27,574 10,288 10,133 10,388 10,084 10,304 10,550 97,734 95,929 274,214 277,107 127,279 300,582 25,839 24,151 24,225 24,151 25,501 26,852 212 212 212 212 212 212 5,141 3,604 4,227 5,122 5,584 5,237 8,611 7,704 8,072 7,891 8,349 7,703 7,087 5,038 5,955 6,884 7,788 7,234 132 170 186 170 194 220 5,022 6,285 8,178 6,981 9,337 5,963 50 24 50 50 50 52 19 19 19 19 19 20 1,182 1,164 3,460 3,679 1,188 2,862 1,182 1,164 3,460 3,679 1,188 2,862 10,911 18,353 18,507 20,056 11,766 23,952 ----------- ----------- ------------ ------------ ------------ ------------ 1,775,253 967,192 6,212,119 7,662,967 3,074,282 7,515,725 (59,504) (86,915) (157,554) (611,568) (3,355) (909,260) (1,218) (555) (69,166) (67,608) (26,550) (82,873) ----------- ----------- ------------ ------------ ------------ ------------ 1,714,531 879,722 5,985,399 6,983,791 3,044,377 6,523,592 ----------- ----------- ------------ ------------ ------------ ------------ 11,365,780 3,258,196 9,725,918 (913,672) (124,909) 13,616,051 ----------- ----------- ------------ ------------ ------------ ------------ 2,656,715 2,319,486 65,161,822 17,142,805 30,719,880 47,369,790 -- 90,489 (287,506) 855,327 (3,591,811) -- -- -- -- -- -- -- -- -- -- 9,035 -- -- 641,159 -- -- (1,123) -- (1,071,762) ----------- ----------- ------------ ------------ ------------ ------------ 3,297,874 2,409,975 64,874,316 18,006,044 27,128,069 46,298,028 ----------- ----------- ------------ ------------ ------------ ------------ 14,161,272 (9,485,739) (48,850,913) (34,527,228) (21,818,676) (64,664,008) -- (143,036) (793,065) (755,225) (3,144,653) -- -- -- -- -- -- -- -- -- -- -- -- -- (30,550) -- -- -- -- 2,600,078 ----------- ----------- ------------ ------------ ------------ ------------ 14,130,722 (9,628,775) (49,643,978) (35,282,453) (24,963,329) (62,063,930) ----------- ----------- ------------ ------------ ------------ ------------ 17,428,596 (7,218,800) 15,230,338 (17,276,409) 2,164,740 (15,765,902) ----------- ----------- ------------ ------------ ------------ ------------ $28,794,376 $(3,960,604) $ 24,956,256 $(18,190,081) $ 2,039,831 $ (2,149,851) =========== =========== ============ ============ ============ ============
See Notes to Financial Statements. 111 STATEMENTS OF CHANGES IN NET ASSETS
MONEY MARKET FUND ------------------------------ FOR THE SIX MONTHS ENDED FOR THE YEAR 06/30/05 ENDED 12/31/04 ------------ -------------- (UNAUDITED) INCREASE/(DECREASE) IN NET ASSETS OPERATIONS: Net investment income $ 10,239,494 $ 8,848,910 Net realized gain (loss) on investment securities, foreign currency transactions and futures transactions (2,021) 6,557 Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations, and futures contracts -- -- ------------ ------------ Net increase in net assets resulting from operations 10,237,473 8,855,467 ------------ ------------ DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME GS2 shares (1,121,009) (721,686) GS4 shares (9,034,859) (8,060,700) GS6 shares (44,385) (59,113) GS8 shares (39,863) (6,789) DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS GS2 shares -- -- GS4 shares -- -- GS6 shares -- -- GS8 shares -- -- ------------ ------------ Total dividends and distributions (10,240,116) (8,848,288) ------------ ------------ NET INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (19,188,213) (15,534,141) ------------ ------------ Total increase (decrease) in net assets (19,190,856) (15,526,962) ------------ ------------ NET ASSETS: Beginning of the Period 908,943,250 924,470,212 ------------ ------------ End of the Period $889,752,394 $908,943,250 ============ ============
See Notes to Financial Statements. 112
LOW-DURATION BOND FUND MEDIUM-DURATION BOND FUND EXTENDED-DURATION BOND FUND ----------------------------- ------------------------------- ----------------------------- FOR THE SIX FOR THE SIX FOR THE SIX MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR 06/30/05 ENDED 12/31/04 06/30/05 ENDED 12/31/04 06/30/05 ENDED 12/31/04 ------------ -------------- -------------- -------------- ------------ -------------- (UNAUDITED) (UNAUDITED) (UNAUDITED) $ 12,230,635 $ 16,837,497 $ 16,487,055 $ 23,809,769 $ 11,365,780 $ 22,539,211 ) 2,982,121 8,322,766 18,293,400 3,297,874 11,848,351 (5,186,340 ) (9,010,994) (172,085) 499,348 14,130,722 2,010,009 (715,849 ------------ ------------ -------------- ------------ ------------ ------------ 6,328,446 10,808,624 24,637,736 42,602,517 28,794,376 36,397,571 ------------ ------------ -------------- ------------ ------------ ------------ (1,655,704) (1,696,636) (1,716,241) (2,382,746) (1,748,792) (2,557,161) (8,477,802) (14,809,918) (10,288,828) (24,210,880) (7,286,672) (19,518,971) (189,513) (500,018) (242,790) (869,129) (553,182) (2,123,786) (63,181) (51,135) (75,706) (103,998) (147,309) (109,063) -- (306,325) -- (1,226,859) -- (1,098,229) -- (2,934,690) -- (13,258,347) -- (8,199,186) -- (81,975) -- (380,448) -- (820,490) -- (25,524) -- (116,137) -- (173,104) ------------ ------------ -------------- ------------ ------------ ------------ (10,386,200) (20,406,221) (12,323,565) (42,548,544) (9,735,955) (34,599,990) ------------ ------------ -------------- ------------ ------------ ------------ 500,193 76,888,505 106,824,634 116,850,176 (3,890,534) 17,016,596 ------------ ------------ -------------- ------------ ------------ ------------ (3,557,561) 67,290,908 119,138,805 116,904,149 15,167,887 18,814,177 ------------ ------------ -------------- ------------ ------------ ------------ 870,733,973 803,443,065 927,808,362 810,904,213 460,906,107 442,091,930 ------------ ------------ -------------- ------------ ------------ ------------ $867,176,412 $870,733,973 $1,046,947,167 $927,808,362 $476,073,994 $460,906,107 ============ ============ ============== ============ ============ ============
See Notes to Financial Statements. 113 STATEMENTS OF CHANGES IN NET ASSETS
EQUITY INDEX FUND ---------------------------- FOR THE SIX FOR THE YEAR MONTHS ENDED ENDED 06/30/05 12/31/04 ------------ ------------ (UNAUDITED) INCREASE/(DECREASE) IN NET ASSETS OPERATIONS: Net investment income (loss) $ 3,258,196 $ 7,069,327 Net realized gain on investment securities, foreign currency transactions and futures transactions 2,409,975 2,065,197 Net change in unrealized appreciation (depreciation) on investment securities, foreign currency translations, and futures contracts (9,628,775) 35,671,490 ------------ ------------ Net increase (decrease) in net assets resulting from operations (3,960,604) 44,806,014 ------------ ------------ DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME GS2 shares (659,394) (971,702) GS4 shares (2,352,229) (6,152,025) GS6 shares (118,252) (402,551) GS8 shares (43,963) (53,662) DISTRIBUTIONS TO SHAREHOLDERS FROM NET CAPITAL GAINS GS2 shares -- -- GS4 shares -- -- GS6 shares -- -- GS8 shares -- -- EXCESS DISTRIBUTION GS2 shares -- (1,484) GS4 shares -- (10,239) GS6 shares -- (470) GS8 shares -- (213) ------------ ------------ Total dividends and distributions (3,173,838) (7,592,346) ------------ ------------ NET INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (4,866,204) 1,132,428 ------------ ------------ Total increase (decrease) in net assets (12,000,646) 38,346,096 ------------ ------------ NET ASSETS: Beginning of the Period 470,817,380 432,471,284 ------------ ------------ End of the Period $458,816,734 $470,817,380 ============ ============
See Notes to Financial Statements. 114
VALUE EQUITY FUND GROWTH EQUITY FUND SMALL CAP EQUITY 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 06/30/05 12/31/04 06/30/05 12/31/04 06/30/05 12/31/04 -------------- -------------- -------------- -------------- ------------ ------------ (UNAUDITED) (UNAUDITED) (UNAUDITED) $ 9,725,918 $ 19,503,341 $ (913,672) $ (1,471,520) $ (124,909) $ (762,269) 64,874,316 89,662,443 18,006,044 20,737,950 27,128,069 46,964,658 (49,643,978) 108,014,932 (35,282,453) 147,012,085 (24,963,329) 15,042,600 -------------- -------------- -------------- -------------- ------------ ------------ 24,956,256 217,180,716 (18,190,081) 166,278,515 2,039,831 61,244,989 -------------- -------------- -------------- -------------- ------------ ------------ (1,663,997) (1,737,298) -- -- -- -- (7,942,517) (17,360,065) -- -- 49 -- (126,191) (426,787) -- -- -- -- (39,561) (34,324) -- -- -- -- -- (272) -- -- -- (1,605,087) -- (3,056) -- -- -- (18,720,278) -- (65) -- -- -- (1,012,977) -- (19) -- -- -- (305,972) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -------------- -------------- -------------- -------------- ------------ ------------ (9,772,266) (19,561,886) -- -- 49 (21,644,314) -------------- -------------- -------------- -------------- ------------ ------------ (16,006,640) (35,382,938) (34,683,177) (40,138,009) 52,005,831 39,424,877 -------------- -------------- -------------- -------------- ------------ ------------ (822,650) 162,235,892 (52,873,258) 126,140,506 54,045,711 79,025,552 -------------- -------------- -------------- -------------- ------------ ------------ 1,404,023,257 1,241,787,365 1,509,010,139 1,382,869,633 484,662,773 405,637,221 -------------- -------------- -------------- -------------- ------------ ------------ $1,403,200,607 $1,404,023,257 $1,456,136,881 $1,509,010,139 $538,708,484 $484,662,773 ============== ============== ============== ============== ============ ============ INTERNATIONAL EQUITY FUND ------------------------------- FOR THE SIX FOR THE YEAR MONTHS ENDED ENDED 06/30/05 12/31/04 -------------- -------------- (UNAUDITED) $ 13,616,051 $ 13,088,489 46,298,028 49,035,542 (62,063,930) 124,495,429 -------------- -------------- (2,149,851) 186,619,460 -------------- -------------- -- (1,448,031) -- (13,270,677) -- (295,546) 83 (35,394) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -------------- -------------- 83 (15,049,648) -------------- -------------- (28,478,774) 21,694,555 -------------- -------------- (30,628,542) 193,264,367 -------------- -------------- 1,184,752,474 991,488,107 -------------- -------------- $1,154,123,932 $1,184,752,474 ============== ==============
See Notes to Financial Statements. 115 FINANCIAL HIGHLIGHTS (UNAUDITED)
REALIZED AND DISTRIBUTIONS NET ASSET UNREALIZED DIVIDENDS FROM NET NET ASSET VALUE, GAIN FROM NET REALIZED VALUE, BEGINNING NET INVESTMENT (LOSS) ON INVESTMENT CAPITAL END OF TOTAL OF PERIOD INCOME INVESTMENTS INCOME GAINS PERIOD RETURN (1) MONEY MARKET FUND --------------------------------------------------------------------------------------------------------------------- GS2 CLASS 2005 (5) $ 1.00 $ --+ $ --+ $ --+ $ -- $ 1.00 1.25% 2004 1.00 0.01 --+ (0.01) -- 1.00 1.19 2003 1.00 0.01 --+ (0.01) --+ 1.00 1.04 2002 1.00 0.02 -- (0.02) --+ 1.00 1.80 2001 (3) 1.00 0.01 -- (0.01) -- 1.00 0.66 GS4 CLASS 2005 (5) $ 1.00 $ --+ $ --+ $ --+ $ -- $ 1.00 1.15% 2004 1.00 0.01 --+ (0.01) -- 1.00 0.99 2003 1.00 0.01 --+ (0.01) --+ 1.00 0.85 2002 1.00 0.02 -- (0.02) --+ 1.00 1.60 2001 (3) 1.00 0.01 -- (0.01) -- 1.00 0.94 GS6 CLASS 2005 (5) $ 1.00 $ --+ $ --+ $ --+ $ -- $ 1.00 0.99% 2004 1.00 0.01 --+ (0.01) -- 1.00 0.73 2003 1.00 0.01 --+ (0.01) --+ 1.00 0.57 2002 1.00 0.01 -- (0.01) --+ 1.00 1.38 2001 (3) 1.00 0.01 -- (0.01) -- 1.00 0.81 GS8 CLASS 2005 (5) $ 1.00 $ --+ $ --+ $ --+ $ -- $ 1.00 0.80% 2004 (4) 1.00 --+ --+ --+ -- 1.00 0.14 LOW-DURATION BOND FUND --------------------------------------------------------------------------------------------------------------------- GS2 CLASS 2005 (5) $ 9.32 $0.14# $(0.07) $(0.15) $ -- $ 9.24 0.80% 2004 9.51 0.21# (0.07) (0.28) (0.05) 9.32 1.47 2003 9.76 0.22# 0.03 (0.37) (0.13) 9.51 2.61 2002 9.85 0.37# 0.19 (0.50) (0.15) 9.76 5.89 2001 (3) 10.00 0.15 -- (0.22) (0.08) 9.85 1.54 GS4 CLASS 2005 (5) $12.87 $0.18# $(0.10) $(0.14) $ -- $12.81 0.66% 2004 13.00 0.27# (0.09) (0.26) (0.05) 12.87 1.38 2003 13.16 0.32# -- (0.35) (0.13) 13.00 2.45 2002 13.06 0.46# 0.27 (0.48) (0.15) 13.16 5.71 2001 (3) 13.10 0.21 0.05 (0.22) (0.08) 13.06 1.96 GS6 CLASS 2005 (5) $ 9.36 $0.12# $(0.07) $(0.13) $ -- $ 9.28 0.57% 2004 9.54 0.17# (0.06) (0.24) (0.05) 9.36 1.17 2003 9.79 0.21# -- (0.33) (0.13) 9.54 2.20 2002 9.86 0.33# 0.22 (0.47) (0.15) 9.79 5.70 2001 (3) 10.00 0.22 (0.06) (0.22) (0.08) 9.86 1.54 GS8 CLASS 2005 (5) $ 9.36 $0.10# $(0.06) $(0.12) $ -- $ 9.28 0.41% 2004 (4) 9.50 0.02# (0.01) (0.10) (0.05) 9.36 0.05 RATIOS TO AVERAGE NET ASSETS (2) ------------------------------------------------------------ INVESTMENT EXPENSES, INCOME/ BEFORE (LOSS), EXPENSES, WAIVERS EXCLUDING NET ASSETS, INCLUDING AND INVESTMENT WAIVERS AND PORTFOLIO END OF PERIOD EXPENSES, EXPENSE EXPENSE INCOME, EXPENSE TURNOVER (000) NET REDUCTION REDUCTION NET REDUCTION RATE (1) MONEY MARKET FUND --------------------------------------------------------------------------------------------------------------------- GS2 CLASS 2005 (5) $ 91,973 0.27% 0.27% 0.26% 2.50% 2.51% N/A 2004 61,374 0.27 0.27 0.27 1.17 1.17 N/A 2003 63,373 0.27 0.27 0.28 0.91 0.90 N/A 2002 5,493 0.25 0.25 0.55 1.75 1.45 N/A 2001 (3) 25 0.25 0.25 90.37 2.60 (87.52) N/A GS4 CLASS 2005 (5) $788,213 0.45% 0.45% 0.45% 2.31% 2.31% N/A 2004 838,087 0.46 0.46 0.45 0.98 0.99 N/A 2003 853,062 0.45 0.45 0.45 0.84 0.84 N/A 2002 906,302 0.45 0.44 0.50 1.58 1.52 N/A 2001 (3) 996,380 0.44 0.44 0.49 2.72 2.67 N/A GS6 CLASS 2005 (5) $ 4,520 0.78% 0.78% 1.47% 1.99% 1.30% N/A 2004 4,476 0.72 0.72 1.09 0.68 0.31 N/A 2003 8,035 0.73 0.73 0.91 0.61 0.43 N/A 2002 16,538 0.65 0.65 0.77 1.35 1.23 N/A 2001 (3) 788 0.75 0.75 16.37 1.98 (13.64) N/A GS8 CLASS 2005 (5) $ 5,047 1.17% 1.17% 1.39% 1.60% 1.38% N/A 2004 (4) 5,007 1.17 1.17 1.31 0.94 0.80 N/A LOW-DURATION BOND FU --------------------------------------------------------------------------------------------------------------------- GS2 CLASS 2005 (5) $100,840 0.45% 0.45% 0.48% 3.00% 2.97% 117.57% 2004 59,777 0.45 0.45 0.49 2.22 2.18 288.76 2003 53,726 0.45 0.45 0.50 2.30 2.25 178.67 2002 6,320 0.46 0.45 0.78 3.71 3.38 181.96 2001 (3) 25 0.45 0.45 57.60 4.73 (52.42) 79.53 GS4 CLASS 2005 (5) $749,989 0.61% 0.61% 0.67% 2.82% 2.76% 117.57% 2004 789,866 0.61 0.61 0.67 2.06 2.00 288.76 2003 727,265 0.61 0.61 0.67 2.43 2.37 178.67 2002 763,987 0.62 0.61 0.72 3.50 3.39 181.96 2001 (3) 812,387 0.61 0.61 0.72 4.47 4.36 79.53 GS6 CLASS 2005 (5) $ 11,325 0.90% 0.90% 1.05% 2.49% 2.34% 117.57% 2004 16,087 0.85 0.85 0.90 1.82 1.77 288.76 2003 22,452 0.85 0.84 0.87 2.18 2.15 178.67 2002 20,985 0.79 0.79 0.93 3.35 3.21 181.96 2001 (3) 3,458 0.85 0.85 74.57 4.18 (69.54) 79.53 GS8 CLASS 2005 (5) $ 5,022 1.30% 1.30% 1.69% 2.13% 1.74% 117.57% 2004 (4) 5,004 1.30 1.30 1.53 1.35 1.12 288.76
--------------- + Amount represents less than $0.005 per share. # Calculated using the average shares outstanding method. (1) Non-annualized. (2) Annualized. (3) Inception date was August 27, 2001. (4) Inception date was November 8, 2004. (5) For the six months ended June 30, 2005. See Notes to Financial Statements. 116
REALIZED AND DISTRIBUTIONS NET ASSET UNREALIZED DIVIDENDS FROM NET NET ASSET VALUE, GAIN FROM NET REALIZED RETURN VALUE, BEGINNING NET INVESTMENT (LOSS) ON INVESTMENT CAPITAL OF END OF TOTAL OF PERIOD INCOME INVESTMENTS INCOME GAINS CAPITAL PERIOD RETURN (1) MEDIUM-DURATION BOND FUND ------------------------------------------------------------------------------------------------------------------------------- GS2 CLASS 2005 (5) $ 9.06 $0.16# $ 0.07 $(0.17) $ -- $-- $ 9.12 2.59% 2004 9.24 0.28# 0.21 (0.45) (0.22) -- 9.06 5.34 2003 9.47 0.28# 0.36 (0.58) (0.29) -- 9.24 6.80 2002 9.65 0.46# 0.40 (0.67) (0.37) -- 9.47 9.25 2001 (3) 10.00 0.16 (0.08) (0.23) (0.20) --+ 9.65 0.89 GS4 CLASS 2005 (5) $13.63 $0.23# $ 0.11 $(0.16) $ -- $-- $13.81 2.54% 2004 13.58 0.39# 0.31 (0.43) (0.22) -- 13.63 5.20 2003 13.54 0.46# 0.43 (0.56) (0.29) -- 13.58 6.62 2002 13.37 0.62# 0.57 (0.65) (0.37) -- 13.54 9.15 2001 (3) 13.60 0.22 (0.02) (0.23) (0.20) --+ 13.37 1.49 GS6 CLASS 2005 (5) $ 9.12 $0.14# $ 0.07 $(0.15) $ -- $-- $ 9.18 2.35% 2004 9.30 0.24# 0.21 (0.41) (0.22) -- 9.12 4.88 2003 9.53 0.29# 0.31 (0.54) (0.29) -- 9.30 6.33 2002 9.70 0.42# 0.41 (0.63) (0.37) -- 9.53 8.90 2001 (3) 10.00 0.17 (0.04) (0.23) (0.20) --+ 9.70 1.30 GS8 CLASS 2005 (5) $ 9.13 $0.12# $ 0.08 $(0.14) $ -- $-- $ 9.19 2.17% 2004 (4) 9.46 0.02# 0.07 (0.20) (0.22) -- 9.13 0.87 EXTENDED-DURATION BOND FUND ------------------------------------------------------------------------------------------------------------------------------- GS2 CLASS 2005 (5) $ 8.90 $0.22# $ 0.33 $(0.29) $ -- $-- $ 9.16 6.34% 2004 9.23 0.47# 0.27 (0.76) (0.31) -- 8.90 8.49 2003 9.64 0.54# 0.51 (0.79) (0.67) -- 9.23 11.32 2002 9.84 0.65 0.29 (0.90) (0.24) -- 9.64 10.27 2001 (3) 10.00 0.24 (0.03) (0.33) (0.04) -- 9.84 2.13 GS4 CLASS 2005 (5) $14.93 $0.36# $ 0.56 $(0.28) $ -- $-- $15.57 6.23% 2004 14.78 0.75# 0.45 (0.74) (0.31) -- 14.93 8.37 2003 14.62 0.83# 0.77 (0.77) (0.67) -- 14.78 11.19 2002 14.37 0.90 0.47 (0.88) (0.24) -- 14.62 10.03 2001 (3) 14.38 0.32 0.03 (0.32) (0.04) -- 14.37 2.48 GS6 CLASS 2005 (5) $ 8.89 $0.20# $ 0.33 $(0.27) $ -- $-- $ 9.15 6.05% 2004 9.22 0.44# 0.27 (0.73) (0.31) -- 8.89 8.05 2003 9.63 0.52# 0.50 (0.76) (0.67) -- 9.22 10.95 2002 9.83 0.62 0.29 (0.87) (0.24) -- 9.63 9.93 2001 (3) 10.00 0.32 (0.13) (0.32) (0.04) -- 9.83 1.91 GS8 CLASS 2005 (5) $ 8.89 $0.18# $ 0.33 $(0.25) $ -- $-- $ 9.15 5.89% 2004 (4) 9.23 0.06# 0.11 (0.20) (0.31) -- 8.89 1.91 RATIOS TO AVERAGE NET ASSETS (2) ------------------------------------------------------------ INVESTMENT EXPENSES, INCOME/ BEFORE (LOSS), EXPENSES, WAIVERS EXCLUDING NET ASSETS, INCLUDING AND INVESTMENT WAIVERS AND PORTFOLIO END OF PERIOD EXPENSES, EXPENSE EXPENSE INCOME, EXPENSE TURNOVER (000) NET REDUCTION REDUCTION NET REDUCTION RATE (1) MEDIUM-DURATION BOND ------------------------------------------------------------------------------------------------------------------------------- GS2 CLASS 2005 (5) $ 95,226 0.50% 0.50% 0.52% 3.59% 3.57% 240.47% 2004 52,865 0.50 0.50 0.53 2.97 2.94 372.25 2003 46,521 0.50 0.50 0.55 2.96 2.91 457.74 2002 7,218 0.51 0.50 0.82 4.77 4.45 542.94 2001 (3) 25 0.52 0.50 92.28 4.99 (86.79) 247.20 GS4 CLASS 2005 (5) $933,342 0.62% 0.62% 0.71% 3.45% 3.36% 240.47% 2004 853,377 0.62 0.62 0.72 2.85 2.75 372.25 2003 741,743 0.62 0.62 0.71 3.37 3.28 457.74 2002 767,926 0.63 0.62 0.77 4.62 4.47 542.94 2001 (3) 827,774 0.64 0.62 0.77 4.62 4.47 247.20 GS6 CLASS 2005 (5) $ 13,227 0.95% 0.95% 1.09% 3.09% 2.95% 240.47% 2004 16,524 0.90 0.90 0.95 2.61 2.56 372.25 2003 22,640 0.90 0.90 0.96 3.03 2.97 457.74 2002 19,289 0.90 0.90 1.03 4.37 4.24 542.94 2001 (3) 123 0.92 0.90 58.64 4.49 (53.25) 247.20 GS8 CLASS 2005 (5) $ 5,152 1.35% 1.35% 1.70% 2.72% 2.37% 240.47% 2004 (4) 5,043 1.35 1.35 1.59 1.41 1.17 372.25 EXTENDED-DURATION BO ------------------------------------------------------------------------------------------------------------------------------- GS2 CLASS 2005 (5) $ 56,645 0.56% 0.56% 0.56% 5.05% 5.05% 13.04% 2004 32,309 0.57 0.57 0.57 5.17 5.17 65.87 2003 29,004 0.59 0.59 0.60 5.49 5.48 121.20 2002 6,506 0.64 0.64 0.88 6.47 6.23 45.17 2001 (3) 26 0.66 0.65 90.75 6.62 (83.48) 21.95 GS4 CLASS 2005 (5) $398,810 0.73% 0.73% 0.76% 4.87% 4.84% 13.04% 2004 399,459 0.73 0.73 0.75 5.01 4.99 65.87 2003 385,110 0.73 0.73 0.75 5.46 5.44 121.20 2002 401,198 0.73 0.73 0.82 6.29 6.20 45.17 2001 (3) 404,278 0.74 0.73 0.84 6.32 6.21 21.95 GS6 CLASS 2005 (5) $ 15,225 1.08% 1.08% 1.09% 4.48% 4.47% 13.04% 2004 24,043 0.98 0.98 0.96 4.76 4.78 65.87 2003 27,978 0.93 0.93 0.94 5.25 5.24 121.20 2002 24,812 0.91 0.91 1.03 6.18 6.06 45.17 2001 (3) 8,553 1.06 1.05 28.96 6.14 (21.77) 21.95 GS8 CLASS 2005 (5) $ 5,393 1.50% 1.50% 1.74% 4.10% 3.86% 13.04% 2004 (4) 5,096 1.50 1.50 1.61 4.31 4.20 65.87
--------------- + Amount represents less than $0.005 per share. # Calculated using the average shares outstanding method. (1) Non-annualized. (2) Annualized. (3) Inception date was August 27, 2001. (4) Inception date was November 8, 2004. (5) For the six months ended June 30, 2005. See Notes to Financial Statements. 117 FINANCIAL HIGHLIGHTS (UNAUDITED) CONTINUED
REALIZED AND DISTRIBUTIONS NET ASSET UNREALIZED DIVIDENDS FROM NET EXCESS NET ASSET VALUE, GAIN FROM NET REALIZED DISTRIBUTION/ VALUE, BEGINNING NET INVESTMENT (LOSS) ON INVESTMENT CAPITAL RETURN OF END OF OF PERIOD INCOME INVESTMENTS INCOME GAINS CAPITAL PERIOD EQUITY INDEX FUND ------------------------------------------------------------------------------------------------------------------------ GS2 CLASS 2005 (5) $ 9.78 $0.08# $(0.16) $(0.11) $ -- $-- $ 9.59 2004 9.08 0.16# 0.81 (0.27) -- --+ 9.78 2003 7.22 0.12# 1.91 (0.17) -- -- 9.08 2002 9.58 0.14 (2.29) (0.18) (0.03) -- 7.22 2001 (3) 10.00 0.03 (0.34) (0.06) (0.05) -- 9.58 GS4 CLASS 2005 (5) $16.47 $0.11# $(0.25) $(0.10) $ -- $-- $16.23 2004 15.12 0.25# 1.35 (0.25) -- -- 16.47 2003 11.93 0.18# 3.16 (0.15) -- -- 15.12 2002 15.64 0.17 (3.69) (0.16) (0.03) -- 11.93 2001 (3) 16.15 0.05 (0.46) (0.05) (0.05) -- 15.64 GS6 CLASS 2005 (5) $ 9.83 $0.06# $(0.14) $(0.10) $ -- $-- $ 9.65 2004 9.14 0.13# 0.81 (0.25) -- -- 9.83 2003 7.26 0.10# 1.93 (0.15) -- -- 9.14 2002 9.63 0.13 (2.31) (0.16) (0.03) -- 7.26 2001 (3) 10.00 0.02 (0.28) (0.06) (0.05) -- 9.63 GS8 CLASS 2005 (5) $ 9.84 $0.04# $(0.15) $(0.08) $ -- $-- $ 9.65 2004 (4) 9.55 0.04# 0.35 (0.10) -- -- 9.84 VALUE EQUITY FUND ------------------------------------------------------------------------------------------------------------------------ GS2 CLASS 2005 (5) $11.44 $0.09# $ 0.13 $(0.13) $ -- $-- $11.53 2004 9.94 0.17# 1.59 (0.26) --+ -- 11.44 2003 7.77 0.14# 2.26 (0.23) -- -- 9.94 2002 9.64 0.16 (1.80) (0.23) -- --+ 7.77 2001 (3) 10.00 0.06 (0.35) (0.07) -- -- 9.64 GS4 CLASS 2005 (5) $17.74 $0.12# $ 0.20 $(0.12) $ -- $-- $17.94 2004 15.28 0.24# 2.45 (0.23) -- -- 17.74 2003 11.85 0.21# 3.43 (0.21) -- -- 15.28 2002 14.57 0.21 (2.73) (0.20) -- --+ 11.85 2001 (3) 15.21 0.06 (0.64) (0.06) -- -- 14.57 GS6 CLASS 2005 (5) $11.39 $0.06# $ 0.13 $(0.10) $ -- $-- $11.48 2004 9.90 0.12# 1.59 (0.22) -- -- 11.39 2003 7.75 0.11# 2.23 (0.19) -- -- 9.90 2002 9.61 0.15 (1.82) (0.19) -- --+ 7.75 2001 (3) 10.00 0.03 (0.35) (0.07) -- -- 9.61 GS8 CLASS 2005 (5) $11.39 $0.04# $ 0.13 $(0.09) $ -- $-- $11.47 2004 (4) 10.89 0.03# 0.54 (0.07) -- -- 11.39 RATIOS TO AVERAGE NET ASSETS (2) ------------------------------------------------------------ INVESTMENT EXPENSES, INCOME/ BEFORE (LOSS), EXPENSES, WAIVERS EXCLUDING NET ASSETS, INCLUDING AND INVESTMENT WAIVERS AND PORTFOLIO TOTAL END OF PERIOD EXPENSES, EXPENSE EXPENSE INCOME, EXPENSE TURNOVER RETURN (1) (000) NET REDUCTION REDUCTION NET REDUCTION RATE (1) EQUITY INDEX FUND ------------------------------------------------------------------------------------------------------------------------ GS2 CLASS 2005 (5) (0.78)% $ 56,835 0.23% 0.23% 0.23% 1.61% 1.61% 1.99% 2004 10.77 36,148 0.25 0.25 0.23 1.75 1.77 2.48 2003 28.19 33,009 0.25 0.25 0.28 1.46 1.43 1.87 2002 (22.57) 4,737 0.25 0.25 0.60 1.40 1.05 3.17 2001 (3) (3.14) 28 0.25 0.25 86.25 1.19 (84.81) 2.81 GS4 CLASS 2005 (5) (0.85)% $ 385,431 0.40% 0.40% 0.43% 1.42% 1.39% 1.99% 2004 10.60 417,962 0.40 0.40 0.41 1.60 1.59 2.48 2003 28.03 382,067 0.40 0.40 0.44 1.33 1.29 1.87 2002 (22.59) 295,261 0.40 0.40 0.51 1.21 1.10 3.17 2001 (3) (2.55) 401,471 0.40 0.40 0.53 0.98 0.85 2.81 GS6 CLASS 2005 (5) (0.80)% $ 11,402 0.51% 0.51% 0.86% 1.31% 0.96% 1.99% 2004 10.37 11,502 0.45 0.45 0.72 1.41 1.14 2.48 2003 28.09 17,395 0.45 0.45 0.73 1.28 1.00 1.87 2002 (22.71) 12,890 0.45 0.45 0.81 1.21 0.85 3.17 2001 (3) (2.65) 367 0.45 0.45 28.52 0.95 (27.12) 2.81 GS8 CLASS 2005 (5) (1.09)% $ 5,149 0.90% 0.90% 1.33% 0.92% 0.49% 1.99% 2004 (4) 4.11 5,205 0.90 0.90 1.27 3.18 2.81 2.48 VALUE EQUITY FUND ------------------------------------------------------------------------------------------------------------------------ GS2 CLASS 2005 (5) 1.95% $ 147,277 0.73% 0.72% 0.73% 1.61% 1.60% 27.91% 2004 17.83 75,123 0.75 0.74 0.74 1.64 1.64 55.50 2003 31.09 69,991 0.76 0.75 0.78 1.62 1.59 53.74 2002 (17.22) 5,265 0.76 0.72 1.06 1.77 1.43 70.42 2001 (3) (2.88) 77 0.76 0.76 81.37 1.60 (79.01) 21.09 GS4 CLASS 2005 (5) 1.79% $1,236,297 0.90% 0.89% 0.92% 1.33% 1.30% 27.91% 2004 17.71 1,305,669 0.90 0.89 0.92 1.49 1.46 55.50 2003 30.84 1,152,116 0.90 0.88 0.94 1.59 1.53 53.74 2002 (17.37) 938,583 0.90 0.87 0.98 1.57 1.46 70.42 2001 (3) (3.79) 1,159,209 0.90 0.90 1.00 1.29 1.19 21.09 GS6 CLASS 2005 (5) 1.69% $ 14,286 1.20% 1.19% 1.30% 1.11% 1.00% 27.91% 2004 17.35 17,968 1.15 1.14 1.22 1.20 1.12 55.50 2003 30.46 19,680 1.15 1.13 1.20 1.33 1.26 53.74 2002 (17.48) 13,987 1.15 1.11 1.29 1.38 1.20 70.42 2001 (3) (3.23) 168 1.15 1.15 65.50 1.12 (63.23) 21.09 GS8 CLASS 2005 (5) 1.46% $ 5,341 1.60% 1.59% 1.86% 0.71% 0.44% 27.91% 2004 (4) 5.28 5,262 1.60 1.59 1.79 1.71 1.51 55.50
--------------- + Amount represents less than $0.005 per share. # Calculated using the average shares outstanding method. (1) Non-annualized. (2) Annualized. (3) Inception date was August 27, 2001. (4) Inception date was November 8, 2004. (5) For the six months ended June 30, 2005. See Notes to Financial Statements. 118
REALIZED AND DISTRIBUTIONS NET ASSET UNREALIZED FROM NET NET ASSET VALUE, GAIN REALIZED VALUE, NET ASSETS, BEGINNING NET INVESTMENT (LOSS) ON CAPITAL END OF TOTAL END OF PERIOD OF PERIOD INCOME/(LOSS) INVESTMENTS GAINS PERIOD RETURN (1) (000) GROWTH EQUITY FUND ---------------------------------------------------------------------------------------------------------------------------------- GS2 CLASS 2005 (5) $10.29 $ --+,# $(0.11) $ -- $10.18 (1.07)% $ 158,198 2004 9.16 -- 1.13 -- 10.29 12.34 84,177 2003 7.07 (0.01) 2.10 -- 9.16 29.56 79,547 2002 9.83 0.01 (2.77) -- 7.07 (28.08) 4,553 2001 (3) 10.00 --+ (0.17) -- 9.83 (1.70) 29 GS4 CLASS 2005 (5) $16.33 $(0.01)# $(0.19) $ -- $16.13 (1.23)% $1,282,308 2004 14.55 (0.02) 1.80 -- 16.33 12.23 1,405,754 2003 11.23 (0.01) 3.33 -- 14.55 29.56 1,285,223 2002 15.63 (0.01) (4.39) -- 11.23 (28.15) 1,049,709 2001 (3) 15.93 (0.01) (0.29) -- 15.63 (1.88) 1,354,301 GS6 CLASS 2005 (5) $10.17 $(0.02)# $(0.12) $ -- $10.03 (1.38)% $ 10,413 2004 9.08 (0.07) 1.16 -- 10.17 12.00 13,780 2003 7.03 (0.02) 2.07 -- 9.08 29.16 18,099 2002 9.81 (0.02) (2.76) -- 7.03 (28.34) 12,503 2001 (3) 10.00 --+ (0.19) -- 9.81 (1.90) 309 GS8 CLASS 2005 (5) $10.16 $(0.04)# $(0.11) $ -- $10.01 (1.48)% $ 5,218 2004 (4) 9.59 --+ 0.57 -- 10.16 5.94 5,299 SMALL CAP EQUITY FUND ---------------------------------------------------------------------------------------------------------------------------------- GS2 CLASS 2005 (5) $12.51 $ 0.01# $ 0.01 $ -- $12.53 0.16% $ 59,283 2004 11.52 (0.01) 1.74 (0.74) 12.51 15.04 28,639 2003 7.88 (0.03) 3.67 -- 11.52 46.19 25,415 2002 10.12 (0.01) (2.23) -- 7.88 (22.13) 4,869 2001 (3) 10.00 --+ 0.12 -- 10.12 1.20 81 GS4 CLASS 2005 (5) $16.48 $ --+# $ 0.02 $ -- $16.50 0.12% $ 459,356 2004 14.99 (0.02) 2.25 (0.74) 16.48 14.89 432,763 2003 10.25 (0.04) 4.78 -- 14.99 46.24 357,703 2002 13.18 (0.02) (2.91) -- 10.25 (22.23) 232,992 2001 (3) 13.07 (0.01) 0.12 -- 13.18 0.84 321,743 GS6 CLASS 2005 (5) $12.34 $(0.02)# $ 0.02 $ -- $12.34 --% $ 14,695 2004 11.41 (0.08) 1.75 (0.74) 12.34 14.66 17,875 2003 7.83 (0.04) 3.62 -- 11.41 45.72 22,520 2002 10.09 (0.04) (2.22) -- 7.83 (22.40) 12,878 2001 (3) 10.00 --+ 0.09 -- 10.09 0.90 115 GS8 CLASS 2005 (5) $12.34 $(0.04)# $ 0.01 $ -- $12.31 (0.24)% $ 5,374 2004 (4) 12.14 (0.01) 0.95 (0.74) 12.34 7.77 5,386 RATIOS TO AVERAGE NET ASSETS (2) ------------------------------------------------------------ INVESTMENT EXPENSES, INCOME/ BEFORE (LOSS), EXPENSES, WAIVERS INVESTMENT EXCLUDING INCLUDING AND INCOME/ WAIVERS AND PORTFOLIO EXPENSES, EXPENSE EXPENSE (LOSS), EXPENSE TURNOVER NET REDUCTION REDUCTION NET REDUCTION RATE (1) GROWTH EQUITY FUND ---------------------------------------------------------------------------------------------------------------------------------- GS2 CLASS 2005 (5) 0.87% 0.86% 0.89% (0.02)% (0.05)% 25.59% 2004 0.87 0.86 0.89 0.01 (0.02) 55.65 2003 0.81 0.79 0.85 (0.03) (0.09) 77.02 2002 0.78 0.75 1.14 0.09 (0.30) 41.41 2001 (3) 0.78 0.78 83.19 0.02 (82.39) 8.71 GS4 CLASS 2005 (5) 0.99% 0.98% 1.08% (0.13)% (0.23)% 25.59% 2004 0.99 0.98 1.08 (0.11) (0.21) 55.65 2003 0.92 0.90 1.01 (0.07) (0.18) 77.02 2002 0.90 0.88 1.02 (0.05) (0.19) 41.41 2001 (3) 0.90 0.90 1.05 (0.11) (0.26) 8.71 GS6 CLASS 2005 (5) 1.29% 1.28% 1.53% (0.45)% (0.70)% 25.59% 2004 1.24 1.23 1.44 (0.42) (0.63) 55.65 2003 1.17 1.15 1.33 (0.33) (0.51) 77.02 2002 1.15 1.12 1.36 (0.28) (0.52) 41.41 2001 (3) 1.15 1.15 47.77 (0.32) (46.94) 8.71 GS8 CLASS 2005 (5) 1.69% 1.68% 2.07% (0.83)% (1.22)% 25.59% 2004 (4) 1.69 1.67 1.97 0.30 -- 55.65 SMALL CAP EQUITY FUND ---------------------------------------------------------------------------------------------------------------------------------- GS2 CLASS 2005 (5) 1.11% 1.10% 1.05% 0.09% 0.14% 54.64% 2004 1.18 1.15 1.20 (0.10) (0.15) 148.32 2003 1.18 1.12 1.27 (0.26) (0.41) 130.80 2002 1.18 1.11 1.60 (0.12) (0.61) 160.46 2001 (3) 1.18 1.18 76.30 0.12 (75.00) 91.89 GS4 CLASS 2005 (5) 1.24% 1.23% 1.24% (0.05)% (0.06)% 54.64% 2004 1.25 1.22 1.37 (0.16) (0.31) 148.32 2003 1.25 1.19 1.43 (0.34) (0.58) 130.80 2002 1.25 1.19 1.51 (0.19) (0.51) 160.46 2001 (3) 1.25 1.25 1.52 (0.13) (0.40) 91.89 GS6 CLASS 2005 (5) 1.54% 1.53% 1.63% (0.35)% (0.45)% 54.64% 2004 1.50 1.47 1.69 (0.43) (0.65) 148.32 2003 1.50 1.44 1.70 (0.59) (0.85) 130.80 2002 1.50 1.43 1.82 (0.44) (0.83) 160.46 2001 (3) 1.50 1.50 123.38 (0.28) (122.16) 91.89 GS8 CLASS 2005 (5) 1.94% 1.93% 2.24% (0.75)% (1.06)% 54.64% 2004 (4) 1.95 1.91 2.19 (0.68) (0.96) 148.32
--------------- + Amount represents less than $0.005 per share. # Calculated using the average shares outstanding method. (1) Non-annualized. (2) Annualized. (3) Inception date was August 27, 2001. (4) Inception date was November 8, 2004. (5) For the six months ended June 30, 2005. See Notes to Financial Statements. 119 FINANCIAL HIGHLIGHTS (UNAUDITED) CONTINUED
REALIZED AND NET ASSET UNREALIZED DIVIDENDS NET ASSET VALUE, GAIN FROM NET RETURN VALUE, NET ASSETS, BEGINNING NET INVESTMENT (LOSS) ON INVESTMENT OF END OF TOTAL END OF PERIOD OF PERIOD INCOME/(LOSS) INVESTMENTS INCOME CAPITAL PERIOD RETURN (1) (000) INTERNATIONAL EQUITY FUND --------------------------------------------------------------------------------------------------------------------------------- GS2 CLASS 2005 (5) $12.93 $ 0.16# $ 0.05 $(0.22) $-- $12.92 (0.08)% $ 150,818 2004 11.06 0.16 1.93 (0.22) -- 12.93 18.93 87,300 2003 8.26 0.08# 2.90 (0.18) -- 11.06 36.06 50,390 2002 9.50 0.11 (1.22) (0.13) --+ 8.26 (11.72) 5,416 2001 (3) 10.00 --+ (0.47) (0.03) -- 9.50 (4.69) 27 GS4 CLASS 2005 (5) $15.20 $ 0.17# $(0.01) $(0.19) $-- $15.17 (0.20)% $ 981,709 2004 12.96 0.17 2.26 (0.19) -- 15.20 18.80 1,072,556 2003 9.66 0.15# 3.31 (0.16) -- 12.96 35.81 920,664 2002 11.09 0.11 (1.43) (0.11) --+ 9.66 (11.94) 698,704 2001 (3) 11.66 0.01 (0.55) (0.03) -- 11.09 (4.61) 795,363 GS6 CLASS 2005 (5) $12.80 $ 0.13# $ --+ $(0.17) $-- $12.76 (0.31)% $ 16,280 2004 10.95 0.12 1.90 (0.17) -- 12.80 18.52 19,551 2003 8.19 0.10# 2.80 (0.14) -- 10.95 35.47 20,434 2002 9.43 0.06 (1.21) (0.09) --+ 8.19 (12.18) 14,078 2001 (3) 10.00 (0.01)# (0.53) (0.03) -- 9.43 (5.40) 51 GS8 CLASS 2005 (5) $12.80 $ 0.11# $(0.09) $(0.09) $-- $12.73 (0.55)% $ 5,318 2004 (4) 12.05 --+ 0.84 (0.09) -- 12.80 6.93 5,346 RATIOS TO AVERAGE NET ASSETS (2) ------------------------------------------------ INVESTMENT EXPENSES, INCOME/ BEFORE (LOSS), EXPENSES, WAIVERS INVESTMENT EXCLUDING INCLUDING AND INCOME/ WAIVERS AND PORTFOLIO EXPENSES, EXPENSE EXPENSE (LOSS), EXPENSE TURNOVER NET REDUCTION REDUCTION NET REDUCTION RATE (1) INTERNATIONAL EQUITY --------------------------------------------------------------------------------------------------------------------------------- GS2 CLASS 2005 (5) 0.97% 0.96% 1.12% 2.54% 2.38% 16.05% 2004 0.97 0.95 1.13 1.32 1.14 32.65 2003 0.97 0.95 1.14 0.86 0.67 33.24 2002 0.96 0.93 1.43 1.29 0.79 30.13 2001 (3) 0.96 0.96 88.97 0.11 (87.90) 20.05 GS4 CLASS 2005 (5) 1.15% 1.14% 1.31% 2.32% 2.15% 16.05% 2004 1.15 1.13 1.31 1.22 1.04 32.65 2003 1.15 1.13 1.31 1.39 1.21 33.24 2002 1.15 1.12 1.35 1.00 0.77 30.13 2001 (3) 1.15 1.15 1.37 0.28 0.06 20.05 GS6 CLASS 2005 (5) 1.40% 1.39% 1.64% 1.98% 1.73% 16.05% 2004 1.35 1.33 1.58 1.06 0.81 32.65 2003 1.36 1.34 1.50 1.14 0.98 33.24 2002 1.37 1.34 1.64 0.88 0.58 30.13 2001 (3) 1.45 1.45 256.83 (0.32) (255.70) 20.05 GS8 CLASS 2005 (5) 1.80% 1.79% 2.25% 1.68% 1.22% 16.05% 2004 (4) 1.80 1.78 2.16 (0.37) (0.75) 32.65
--------------- + Amount represents less than $0.005 per share. # Calculated using the average shares outstanding method. (1) Non-annualized. (2) Annualized. (3) Inception date was August 27, 2001. (4) Inception date was November 8, 2004. (5) For the six months ended June 30, 2005. See Notes to Financial Statements. 120 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 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 seventeen 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 Flexible Income Fund I, Growth & Income Fund I, Capital Opportunities Fund I and Global Equity Fund I are each referred to as an "Institutional Blended Fund" and together are referred to as the "Institutional 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 four classes of shares issued by the Trust -- the GS2 Class, the GS4 Class, the GS6 Class and the GS8 Class, which began operations on November 8, 2004. The Blended Funds consist of a GS4, GS6 and GS8 Class. The Institutional Blended Funds consist of a GS2 Class only. The Select Funds consist of a GS2, GS4, GS6 and GS8 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. The Blended Funds and Institutional Blended Funds primarily invest in a different mix of the Select Funds to meet a specified investment strategy. The Blended Funds and Institutional 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 121 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 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. Certain fixed income securities are valued by the sub- adviser using various methodologies. 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. For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security's last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time the Fund calculates its net asset value if an event that could materially affect the value of those securities (a "Significant Event") has occurred between the time of the security's last close and the time that the Fund calculates its net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates its net asset value, a Valuation Committee meeting may be called. AB Funds Trust uses FT-Interactive Data ("FT") as a third party fair valuation vendor. FT provides a fair value for foreign equity securities held by AB Funds Trust based on certain factors and methodologies applied by FT in the event that there is movement in the U.S. market that exceeds a specific threshold established by the Valuation Committee in consultation with, and approved by, the Trustees. Such methodologies generally involve tracking valuation correlations between the U.S. market and each non-U.S. security. As part of the valuation procedures a "confidence interval" is used, when the threshold is exceeded, to determine the level of correlation between the value of a foreign equity security and movements in the U.S. market before a particular security will be fair valued. In the event that the threshold established by the Committee is exceeded on a specific day, AB Funds Trust will typically value non-U.S. equity securities in its portfolio that exceed the applicable confidence interval based upon the fair values provided by FT. The Money Market Fund uses the amortized cost method, which approximates market value, to determine the value of its portfolio securities. The Blended Funds and Institutional 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 122 the contract if the counterparty does not perform under the contract. The Funds, in their normal course of business, may enter into contracts that contain a variety of representations and warranties, and which provide general indemnifications. The Funds' exposure may include future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. 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 -- Certain 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. 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. Certain 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 123 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 -- Certain 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 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 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 124 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, the Blended Funds and the Institutional Blended Funds declare and pay dividends from net investment income annually. The Funds declare and pay distributions from capital gains, if available, annually. Dividends and 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. Income from Real Estate Investment Trusts ("REITS") is accounted for on ex-date using the prior year's 1099 information. Any changes from these estimates are recognized in the following year when the 1099 for the current year is received, typically in February. 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. 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, listed at the end of this report, 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, 2005, based upon average daily net assets, were as follows:
FUND ADVISORY FEES SUB-ADVISER FEES ---- ------------- ---------------- Flexible Income 0.10% -- Growth & Income 0.10% -- Capital Opportunities 0.10% -- Global Equity 0.10% -- Flexible Income I 0.10% -- Growth & Income I 0.10% -- Capital Opportunities I 0.10% -- Global Equity I 0.10% -- Money Market 0.14% 0.07% Low-Duration Bond 0.20% 0.21% Medium-Duration Bond 0.23% 0.20% Extended-Duration Bond 0.27% 0.21% Equity Index 0.14% 0.02% Value Equity 0.43% 0.24%
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FUND ADVISORY FEES SUB-ADVISER FEES ---- ------------- ---------------- Growth Equity 0.48% 0.36% Small Cap Equity 0.30% 0.64% International Equity 0.47% 0.49%
For the six months ended June 30, 2005, advisory fees and waivers for each Fund were as follows:
GROSS NET ADVISORY FEE ADVISORY FEE WAIVERS (REIMBURSEMENT) ------------ --------- ---------------- Flexible Income $ 130,528 $ (77,440) $ 53,088 Growth & Income 598,995 (31,029) 567,966 Capital Opportunities 483,666 (36,674) 446,992 Global Equity 431,823 (43,700) 388,123 Flexible Income I 25,234 (28,551) (3,317) Growth & Income I 106,400 (2,832) 103,568 Capital Opportunities I 69,555 (16,779) 52,776 Global Equity I 53,575 (17,199) 36,376 Money Market 616,674 (17,607) 599,067 Low-Duration Bond 863,616 (260,644) 602,972 Medium-Duration Bond 1,097,524 (415,267) 682,257 Extended-Duration Bond 630,768 (59,504) 571,264 Equity Index 317,808 (86,915) 230,893 Value Equity 2,930,515 (157,554) 2,772,961 Growth Equity 3,445,697 (611,568) 2,834,129 Small Cap Equity 743,469 (3,355) 740,114 International Equity 2,737,902 (909,260) 1,828,642
B. DISTRIBUTION AND SHAREHOLDER SERVICING FEES The Board of Trustees has adopted Shareholder Service Plans for the GS4, GS6 and GS8 Class of each Select Fund and the GS6 and GS8 Class of each Blended Fund ("Service Plans") and a separate Plan of Distribution for the GS6 and GS8 Class of each Select Fund and Blended Fund pursuant to Rule 12b-1 under the 1940 Act (" 12b1 Plan"). Under the Service Plans, the GS4, GS6 and GS8 Class of each Select Fund and the GS6 and GS8 Class of each Blended Fund are authorized to pay fees to parties that provide services for and maintain shareholder accounts. The GS4, GS6 and GS8 Class of each Select Fund are authorized to pay service fees of 0.19%, 0.30% and 0.40% of average daily net assets, respectively. The GS6 and GS8 Class of each Blended Fund are authorized to pay service fees of 0.11% and 0.21% 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 GuideStone Financial Resources, 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 GS6 Class of each Select Fund and Blended Fund and 0.30% by the GS8 Class of each Select Fund and Blended Fund. C. EXPENSE LIMITATION SBCFS has agreed, through April 30, 2006, to waive fees and reimburse expenses of the GS2 Class, GS4 Class, GS6 Class and the GS8 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:
GS2 GS4 GS6 GS8 FUND CLASS CLASS CLASS CLASS ---- ----- ----- ----- ----- Flexible Income -- 0.13% 0.50% 0.80% Growth & Income -- 0.13% 0.60% 0.90% Capital Opportunities -- 0.13% 0.70% 1.00% Global Equity -- 0.13% 0.57% 0.87% Flexible Income I 0.17% -- -- -- Growth & Income I 0.17% -- -- -- Capital Opportunities I 0.17% -- -- -- Global Equity I 0.17% -- -- -- Money Market 0.27% 0.46% 0.87% 1.17% Low-Duration Bond 0.45% 0.61% 1.00% 1.30% Medium-Duration Bond 0.50% 0.62% 1.05% 1.35% Extended-Duration Bond 0.65% 0.73% 1.20% 1.50% Equity Index 0.25% 0.40% 0.60% 0.90% Value Equity 0.76% 0.90% 1.30% 1.60% Growth Equity 0.87% 0.99% 1.39% 1.69% Small Cap Equity 1.14% 1.21% 1.61% 1.91% International Equity 0.97% 1.15% 1.50% 1.80%
During the period January 1, 2005 through April 18, 2005, SBCFS agreed to waive fees and reimburse expenses of the GS6 Class of the Select Funds (excluding interest, taxes, brokerage commissions and extraordinary expenses) which exceeded, in the aggregate, the annual 126 percentage rate of each class's average daily net assets for the following Funds:
GS6 FUND CLASS ---- ----- Money Market 0.72% Low-Duration Bond 0.85% Medium-Duration Bond 0.90% Extended-Duration Bond 1.05% Equity Index 0.45% Value Equity 1.15% Growth Equity 1.24% Small Cap Equity 1.50% International Equity 1.35%
During the period April 19, 2005 through April 30, 2005 the expense caps for the Small Cap Equity Fund were as follows:
GS2 GS4 GS6 GS8 CLASS CLASS CLASS CLASS ------ ------ ------ ------ Small Cap Equity 1.18% 1.25% 1.65% 1.95%
Each Fund in turn agrees to reimburse SBCFS for any operating expenses in excess of the expense limitation paid, waived or assumed by SBCFS for that Fund during the limitation period, provided SBCFS would not be entitled to reimbursement for any amount that would cause operating expenses to exceed the expense limitation during the year in which the reimbursement would be made, and provided further that no amount will be reimbursed by the Fund more than three years after the year in which it was incurred or waived by SBCFS. At June 30, 2005, the amounts subject to possible future reimbursement under the expense limitation agreement are as follows:
GS2 GS4 GS6 GS8 CLASS CLASS CLASS CLASS -------- ---------- -------- ------ Flexible Income NA $ 300,901 $ 36,343 $4,166 Growth & Income NA 23,527 31,638 3,804 Capital Opportunities NA 127,172 18,738 404 Global Equity NA 173,753 20,550 1,229 Flexible Income I $ 99,880 NA NA NA Growth & Income I 89,133 NA NA NA Capital Opportunities I 101,192 NA NA NA Global Equity I 104,319 NA NA NA Money Market 3,730 -- 52,050 1,169 Low-Duration Bond 38,076 1,216,096 18,632 1,591 Medium-Duration Bond 19,308 1,794,771 14,389 1,602 Extended-Duration Bond -- 251,926 -- 736 Equity Index -- 254,603 111,964 2,657
GS2 GS4 GS6 GS8 CLASS CLASS CLASS CLASS -------- ---------- -------- ------ Value Equity -- $ 927,477 $ 21,533 $1,378 Growth Equity $ 27,888 3,081,853 66,430 1,991 Small Cap Equity -- 1,325,994 91,046 1,606 International Equity 145,167 3,817,586 89,641 2,554
During the six months ended June 30, 2005, SBCFS received the following reimbursements:
GS2 GS4 CLASS CLASS ------- ------- Money Market $ 3,290 -- Small Cap Equity 22,666 $32,176
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, 2005 were as follows:
EXPENSES PAID THROUGH BROKERAGE FUND SERVICE ARRANGEMENTS ---- -------------------- Value Equity $68,029 Growth Equity 65,411 Small Cap Equity 21,583 International Equity 80,957
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, 2005, expenses reduced were as follows:
REDUCTION TO FUND EXPENSES ---- ------------ Flexible Income $ 376 Growth & Income 352 Capital Opportunities 302 Global Equity 195 Flexible Income I 286 Growth & Income I 339 Capital Opportunities I 329 Global Equity I 321 Money Market 6,546 Low-Duration Bond 67,271 Medium-Duration Bond 64,686 Extended-Duration Bond 1,218 Equity Index 555
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REDUCTION TO FUND EXPENSES ---- ------------ Value Equity $ 1,137 Growth Equity 2,197 Small Cap Equity 4,967 International Equity 1,916
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, 2005, PFPC received $2,613,725 in aggregate fees and expenses for services rendered under the various agreements described above. PFPC Distributors, Inc. ("PDI"), also an indirect, whollyowned 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, 2005, the market values of loaned securities and collateral received were as follows:
MARKET VALUE OF MARKET VALUE OF FUND SECURITIES LOANED COLLATERAL ---- ----------------- --------------- Low-Duration Bond $121,100,000 $123,742,618 Medium-Duration Bond 267,521,649 274,491,660 Extended-Duration Bond 243,828,757 247,854,652 Equity Index 37,662,289 38,824,887 Value Equity 168,426,256 172,875,502 Growth Equity 124,522,318 128,207,185 Small Cap Equity 199,734,379 205,368,309 International Equity 177,594,718 186,366,831
5. INVESTMENT TRANSACTIONS For the six months ended June 30, 2005, 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 PURCHASES PROCEEDS ------------ ----------------- Flexible Income $ 2,000,000 $ 25,359,000 Growth & Income 28,900,000 143,883,000 Capital Opportunities 26,100,000 89,674,000 Global Equity 26,500,000 91,005,000 Flexible Income I 22,321,000 2,595,000 Growth & Income I 102,307,000 7,798,000 Capital Opportunities I 76,508,000 4,162,000 Global Equity I 80,053,000 3,646,000 Low-Duration Bond 306,400,587 141,045,286 Medium-Duration Bond 272,048,653 213,411,997 Extended-Duration Bond 14,020,807 11,021,506 Equity Index 8,918,106 16,100,400 Value Equity 371,223,777 398,055,328 Growth Equity 358,796,980 386,470,272 Small Cap Equity 392,083,090 238,391,237 International Equity 181,868,226 204,925,612
For the six months ended June 30, 2005, 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 PURCHASES PROCEEDS -------------- ----------------- Flexible Income $ 6,406,703 $ 6,866,743 Growth & Income 19,503,096 18,173,888 Capital Opportunities 7,194,343 7,911,628 Flexible Income I 1,885,376 1,735,161 Growth & Income I 5,473,937 4,434,273 Capital Opportunities I 2,503,376 2,119,711 Low-Duration Bond 679,003,865 718,970,490 Medium-Duration Bond 2,032,153,758 1,834,864,160 Extended-Duration Bond 53,320,848 48,656,868
128 FUTURES CONTRACTS Investments in securities as of June 30, 2005 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 2005 S&P 500(R) $ 89,919 3 $ 896,625 $ (9,093) ========= GROWTH & INCOME FUND September 2005 S&P 500(R) $ 804,275 42 12,552,750 $(127,152) ========= CAPITAL OPPORTUNITIES FUND September 2005 S&P 500(R) $ 909,181 38 11,357,250 $ (88,816) ========= GLOBAL EQUITY FUND September 2005 S&P 500(R) $1,293,834 31 9,265,125 $ (65,124) ========= FLEXIBLE INCOME FUND I September 2005 S&P 500(R) E-Mini $ 19,982 3 179,325 $ (1,289) ========= GROWTH & INCOME FUND I September 2005 S&P 500(R) E-Mini $ 154,860 39 2,331,225 $ (20,035) ========= CAPITAL OPPORTUNITIES FUND I September 2005 S&P 500(R) E-Mini $ 184,833 35 2,092,125 $ (16,274) ========= GLOBAL EQUITY FUND I September 2005 S&P 500(R) E-Mini $ 234,788 31 1,853,025 $ (14,842) ========= LOW-DURATION BOND FUND December 2005 90-Day Euro $ 265,062 123 29,529,225 $ (53,613) December 2006 90-Day Euro 131,834 61 14,633,138 (12,200) March 2006 90-Day Euro 142,408 180 43,204,500 (63,000) September 2005 2-Year U.S. Treasury Note 1,785,787 805 167,188,438 (29,554) September 2005 5-Year U.S. Treasury Note 251,170 (114) 12,413,531 (38,792) September 2005 10-Year U.S. Treasury Note 255,046 (236) 26,778,625 (410,838) September 2005 90-Day Euro 115,150 74 17,787,750 (158,275) September 2005 Euro-Bobl 232,186 (82) 11,475,277 (66,309) September 2005 Euro Bund 86,174 64 9,565,070 65,465 September 2005 U.S. Long Treasury Bond 11,768 11 1,306,250 8,938 --------- $(758,178) ========= MEDIUM-DURATION BOND FUND December 2005 90-Day Euro $ 244,825 160 38,412,000 $ (83,700) June 2005 90-Day Euro 416,050 272 65,276,600 47,600 March 2006 90-Day Euro 19,086 16 3,840,400 18,920 September 2005 2-Year U.S. Treasury Note 52,642 (127) 26,376,313 (22,047) September 2005 5-Year U.S. Treasury Note 415,780 (405) 44,100,703 (118,228) September 2005 10-Year U.S. Treasury Note 78,383 (139) 15,772,156 8,399 September 2005 10-Year Swap 31,539 140 15,802,500 268,126 September 2005 90-Day LIBOR 141,372 (133) 28,446,549 (134,515)
129
MARKET VALUE OF OPEN PURCHASE NOTIONAL MARKET NET UNREALIZED GAIN COLLATERAL (SALE) CONTRACTS VALUE ON FUTURES (LOSS) ON FUTURES --------------- ---------------- ---------------- ------------------- September 2005 Euro-Bobl $ 33,383 48 $ 6,717,235 $ 40,304 September 2005 U.S. Long Treasury Bond 106,121 (163) 22,206,250 (375,424) --------- $(350,565) ========= EQUITY INDEX FUND September 2005 S&P 500(R) $1,163,951 23 6,874,125 $ (40,263) ========= VALUE EQUITY FUND September 2005 Russell 2000(R) $ 264,761 5 1,620,250 $ 2,095 September 2005 S&P 500(R) $4,580,873 145 43,336,875 (453,207) --------- $(451,112) ========= GROWTH EQUITY FUND September 2005 S&P 500(R) $4,810,666 184 54,993,000 $(490,154) ========= SMALL CAP EQUITY FUND September 2005 Russell 2000(R) $1,030,437 37 11,897,350 $ 141,253 September 2005 S&P 500(R) $ 957,772 37 11,058,375 (84,197) --------- $ 57,056 =========
FORWARD FOREIGN CURRENCY CONTRACTS As of June 30, 2005, the following Funds have forward 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:
NET UNREALIZED CURRENCY TO BE AMOUNT OF CURRENCY CURRENCY TO BE AMOUNT OF CURRENCY APPRECIATION/ FUND/EXPIRATION DATE DELIVERED TO BE DELIVERED RECEIVED TO BE RECEIVED (DEPRECIATION) -------------------- ------------------- -------------------- ------------------ -------------------- -------------- LOW-DURATION BOND FUND 7/13/2005 US Dollars 330,735 Japanese Yen 36,634,000 $ (13,257) 7/14/2005 British Pounds 56,000 European Euros 84,106 1,550 7/19/2005 British Pounds 6,254,000 US Dollars 11,196,946 172,200 7/26/2005 European Euros 170,000 US Dollars 205,910 (1,102) 7/26/2005 European Euros 4,214,000 US Dollars 5,104,149 (1,071) 7/26/2005 European Euros 2,308,339 US Dollars 2,795,943 233,336 7/27/2005 New Zealand Dollars 4,342,516 US Dollars 3,013,207 115,055 ----------- $ 506,711 =========== MEDIUM-DURATION BOND FUND 7/13/2005 US Dollars 1,549,173 Japanese Yen 171,594,800 $ (27,058) 7/14/2005 British Pounds 619,478 European Euros 930,290 17,141 7/15/2005 Mexican Pesos 4,702,558 US Dollars 436,370 (8,289) 7/15/2005 Mexican Pesos 28,439,874 US Dollars 2,639,056 (123,745) 7/19/2005 US Dollars 952,474 British Pounds 532,000 (19,154) 7/20/2005 US Dollars 61,806 South African 412,174 (5,601) Rands
130
NET UNREALIZED CURRENCY TO BE AMOUNT OF CURRENCY CURRENCY TO BE AMOUNT OF CURRENCY APPRECIATION/ FUND/EXPIRATION DATE DELIVERED TO BE DELIVERED RECEIVED TO BE RECEIVED (DEPRECIATION) -------------------- ------------------- -------------------- ------------------ -------------------- -------------- MEDIUM-DURATION BOND FUND 7/20/2005 British Pounds 115,996 US Dollars 207,829 $ 4,965 7/21/2005 Israeli Shekels 4,890,585 US Dollars 1,068,090 49,757 7/26/2005 European Euros 12,955,000 US Dollars 15,691,563 6,659 7/26/2005 European Euros 11,341,000 US Dollars 13,736,628 51,590 7/26/2005 European Euros 13,951,000 US Dollars 16,897,954 (3,544) 7/29/2005 European Euros 5,237,285 US Dollars 6,344,254 (4,699) 8/10/2005 Australian Dollars 2,406,065 US Dollars 1,827,295 32,593 8/10/2005 Canadian Dollars 1,186,818 US Dollars 969,560 (12,448) 8/10/2005 European Euros 4,964,624 US Dollars 6,016,957 391,032 8/10/2005 European Euros 12,301,622 US Dollars 14,909,153 1,113,340 9/8/2005 Polish Zloty 11,764,665 US Dollars 3,512,032 (16,781) ----------- $ 1,445,758 =========== INTERNATIONAL EQUITY 7/7/2005 Swiss Francs 669,068 US Dollars 522,318 $ 34,682 7/7/2005 European Euros 995,029 US Dollars 1,204,414 76,586 7/7/2005 Japanese Yen 144,937,200 US Dollars 1,307,756 39,244 7/20/2005 Japanese Yen 138,929,887 US Dollars 1,255,110 45,890 7/29/2005 Canadian Dollars 1,155,472 US Dollars 943,650 (19,257) 7/29/2005 British Pounds 12,027,500 US Dollars 21,525,239 1,303,557 8/18/2005 Swiss Francs 758,210 US Dollars 593,846 30,154 9/20/2005 Swiss Francs 1,334,137 US Dollars 1,047,682 53,318 9/28/2005 Swiss Francs 755,569 British Pounds 755,569 (16,098) 9/28/2005 Swiss Francs 530,250 British Pounds 530,250 (7,922) ----------- $ 1,540,154 ===========
OPTIONS WRITTEN Transactions in options written for the six months ended June 30, 2005, were as follows:
NUMBER OF PREMIUMS LOW-DURATION BOND FUND CONTRACTS RECEIVED ---------------------- --------- ---------- Options written, 12/31/04 1,280 $ 184,960 ------ ---------- Options written 375 98,063 Options expired (320) (88,800) Options closed (30) (9,263) ------ ---------- Options written, 06/30/05 1,305 $ 184,960 ====== ==========
NUMBER OF PREMIUMS MEDIUM-DURATION BOND FUND CONTRACTS RECEIVED ------------------------- --------- ---------- Options written, 12/31/04 6,892 $1,714,774 ------ ---------- Options written 460 143,491 Options expired (1,527) (508,200) Options closed (1,035) (284,533) ------ ---------- Options written, 06/30/05 4,790 $1,065,532 ====== ==========
131 6. CAPITAL SHARE TRANSACTIONS Transactions in shares of capital stock for the six months ended June 30, 2005 and the year ended December 31, 2004, are as follows:
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- FLEXIBLE INCOME FUND SHARES VALUE SHARES VALUE -------------------- --------------- ----------------- --------------- ---------------- SHARES SOLD: GS4 994,478 $ 13,048,181 3,644,007 $ 48,024,107 GS6 -- -- 1,668,753 15,945,619 GS8 -- -- 539,068 5,135,729 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: GS4 -- 1 657,290 8,677,858 GS6 -- -- 69,167 655,380 GS8 -- -- 14,409 135,729 SHARES REDEEMED: GS4 (2,798,907) (36,754,730) (3,266,256) (43,073,535) GS6 -- -- (2,574,088) (24,578,758) GS8 -- -- (14,409) (135,729) --------------- ----------------- --------------- ---------------- Net increase (decrease) (1,804,429) $ (23,706,548) 737,941 $ 10,786,400 =============== ================= =============== ================
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- GROWTH & INCOME FUND SHARES VALUE SHARES VALUE -------------------- --------------- ----------------- --------------- ---------------- SHARES SOLD: GS4 3,379,299 $ 48,025,954 11,023,584 $ 153,845,536 GS6 -- -- 1,990,264 19,362,637 GS8 646 6,313 532,427 5,185,267 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: GS4 1 19 3,025,333 43,069,121 GS6 -- -- 77,679 755,405 GS8 -- -- 19,080 185,267 SHARES REDEEMED: GS4 (11,384,508) (162,300,266) (7,586,229) (105,690,796) GS6 -- -- (3,159,144) (30,905,541) GS8 -- -- (19,080) (185,267) --------------- ----------------- --------------- ---------------- Net increase (decrease) (8,004,562) $ (114,267,980) 5,903,914 $ 85,621,629 =============== ================= =============== ================
132
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- CAPITAL OPPORTUNITIES FUND SHARES VALUE SHARES VALUE -------------------------- --------------- ----------------- --------------- ---------------- SHARES SOLD: GS4 1,734,643 $ 25,818,705 6,104,598 $ 87,587,097 GS6 -- -- 1,021,152 10,493,516 GS8 402 4,275 497,277 5,129,834 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: GS4 42 16 1,500,625 22,372,401 GS6 -- -- 22,673 237,515 GS8 -- -- 10,462 110,475 SHARES REDEEMED: GS4 (6,260,100) (93,366,171) (4,253,158) (60,847,320) GS6 -- -- (1,782,715) (18,445,454) GS8 -- -- (12,311) (129,741) --------------- ----------------- --------------- ---------------- Net increase (decrease) (4,525,013) $ (67,543,175) 3,108,603 $ 46,508,323 =============== ================= =============== ================
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- GLOBAL EQUITY FUND SHARES VALUE SHARES VALUE ------------------ --------------- ----------------- --------------- ---------------- SHARES SOLD: GS4 2,629,259 $ 40,204,492 5,337,749 $ 76,650,981 GS6 -- -- 1,360,945 14,911,322 GS8 -- -- 463,434 5,019,253 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: GS4 -- -- 765,384 11,723,725 GS6 -- -- 19,329 216,268 GS8 -- -- 5,003 56,833 SHARES REDEEMED: GS4 (7,110,759) (109,299,525) (4,618,460) (65,903,638) GS6 -- -- (2,013,639) (22,021,876) GS8 -- -- (1,753) (19,358) --------------- ----------------- --------------- ---------------- Net increase (decrease) (4,481,500) $ (69,095,033) 1,317,992 $ 20,633,510 =============== ================= =============== ================
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- FLEXIBLE INCOME FUND I SHARES VALUE SHARES VALUE ---------------------- --------------- ----------------- --------------- ---------------- SHARES SOLD 2,220,760 $ 22,846,289 607,864 $ 6,337,762 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS -- -- 138,826 1,439,169 SHARES REDEEMED (263,279) (2,699,902) (474,127) (4,942,846) --------------- ----------------- --------------- ---------------- Net increase 1,957,481 $ 20,146,387 272,563 $ 2,834,085 =============== ================= =============== ================
133
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- GROWTH & INCOME FUND I SHARES VALUE SHARES VALUE ---------------------- --------------- ----------------- --------------- ---------------- SHARES SOLD 9,187,089 $ 102,695,348 4,579,968 $ 50,049,807 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS -- -- 443,757 4,971,999 SHARES REDEEMED (483,313) (5,385,714) (921,092) (10,194,902) --------------- ----------------- --------------- ---------------- Net increase 8,703,776 $ 97,309,634 4,102,633 $ 44,826,904 =============== ================= =============== ================
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- CAPITAL OPPORTUNITIES FUND I SHARES VALUE SHARES VALUE ---------------------------- --------------- ----------------- --------------- ---------------- SHARES SOLD 6,463,211 $ 78,167,808 1,014,142 $ 11,750,036 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS -- -- 170,884 2,062,459 SHARES REDEEMED (315,036) (3,789,150) (557,933) (6,492,871) --------------- ----------------- --------------- ---------------- Net increase 6,148,175 $ 74,378,658 627,093 $ 7,319,624 =============== ================= =============== ================
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- GLOBAL EQUITY FUND I SHARES VALUE SHARES VALUE -------------------- --------------- ----------------- --------------- ---------------- SHARES SOLD 6,233,896 $ 81,367,500 648,062 $ 7,880,313 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS -- -- 49,042 636,392 SHARES REDEEMED (242,242) (3,125,116) (358,584) (4,359,088) --------------- ----------------- --------------- ---------------- Net increase 5,991,654 $ 78,242,384 338,520 $ 4,157,617 =============== ================= =============== ================
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- MONEY MARKET FUND SHARES VALUE SHARES VALUE ----------------- --------------- ----------------- --------------- ---------------- SHARES SOLD: GS2 64,737,931 $ 64,737,931 45,386,513 $ 45,386,512 GS4 1,283,958,640 1,283,958,640 2,724,683,827 2,724,683,826 GS6 43,984 43,984 11,500,548 11,500,547 GS8 23,420 23,421 5,004,597 5,004,598 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: GS2 1,026,830 1,026,830 680,196 680,196 GS4 4,647,539 4,647,539 4,564,114 4,564,114 GS6 44,387 44,387 56,965 56,965 GS8 39,863 39,863 6,789 6,789 SHARES REDEEMED: GS2 (35,165,730) (35,165,730) (48,066,537) (48,066,537) GS4 (1,338,476,977) (1,338,476,977) (2,744,229,998) (2,744,229,998) GS6 (44,371) (44,371) (15,116,865) (15,116,865) GS8 (23,730) (23,730) (4,288) (4,288) --------------- ----------------- --------------- ---------------- Net decrease (19,188,214) $ (19,188,213) (15,534,139) $ (15,534,141) =============== ================= =============== ================
134
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- LOW-DURATION BOND FUND SHARES VALUE SHARES VALUE ---------------------- --------------- ----------------- --------------- ---------------- SHARES SOLD: GS2 4,720,805 $ 43,963,597 1,522,844 $ 14,462,701 GS4 4,742,995 60,791,238 11,341,798 147,272,390 GS6 51,025 474,942 1,397,602 13,279,997 GS8 -- -- 526,316 5,000,000 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: GS2 176,569 1,632,560 212,603 2,002,962 GS4 662,375 8,477,125 1,370,322 17,743,865 GS6 20,405 189,513 61,346 580,489 GS8 6,804 63,181 8,159 76,659 SHARES REDEEMED: GS2 (398,565) (3,696,602) (972,228) (9,242,437) GS4 (8,267,267) (106,091,176) (7,254,656) (94,413,598) GS6 (569,745) (5,304,185) (2,092,389) (19,874,523) GS8 -- -- -- -- --------------- ----------------- --------------- ---------------- Net increase 1,145,401 $ 500,193 6,121,717 $ 76,888,505 =============== ================= =============== ================
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- MEDIUM-DURATION BOND FUND SHARES VALUE SHARES VALUE ------------------------- --------------- ----------------- --------------- ---------------- SHARES SOLD: GS2 4,692,749 $ 42,505,856 2,017,679 $ 18,782,002 GS4 8,854,468 121,261,600 14,384,711 198,015,923 GS6 62,271 565,914 1,738,376 16,453,300 GS8 -- -- 528,541 5,000,000 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: GS2 185,225 1,673,245 392,757 3,609,605 GS4 754,165 10,287,183 2,735,238 37,465,253 GS6 26,695 242,791 134,574 1,246,004 GS8 8,319 75,706 23,875 220,135 SHARES REDEEMED: GS2 (272,662) (2,466,844) (1,610,530) (14,975,756) GS4 (4,632,652) (63,140,683) (9,138,068) (125,341,747) GS6 (459,868) (4,180,134) (2,496,490) (23,624,543) GS8 -- -- -- -- --------------- ----------------- --------------- ---------------- Net increase 9,218,710 $ 106,824,634 8,710,663 $ 116,850,176 =============== ================= =============== ================
135
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- EXTENDED-DURATION BOND FUND SHARES VALUE SHARES VALUE --------------------------- --------------- ----------------- --------------- ---------------- SHARES SOLD: GS2 2,811,240 $ 25,043,779 1,592,764 $ 14,752,906 GS4 3,358,768 50,781,780 8,519,523 127,568,248 GS6 102,426 915,722 2,077,487 19,302,731 GS8 -- -- 541,712 5,000,000 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: GS2 192,503 1,718,661 404,013 3,655,389 GS4 523,857 7,918,030 1,861,952 27,717,147 GS6 62,029 553,182 325,052 2,941,873 GS8 16,512 147,309 31,449 282,167 SHARES REDEEMED: GS2 (449,039) (4,030,484) (1,508,800) (13,937,947) GS4 (5,026,220) (76,221,594) (9,670,332) (144,941,440) GS6 (1,204,900) (10,716,919) (2,731,351) (25,324,478) GS8 -- -- -- -- --------------- ----------------- --------------- ---------------- Net increase(decrease) 387,176 $ (3,890,534) 1,443,469 $ 17,016,596 =============== ================= =============== ================
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- EQUITY INDEX FUND SHARES VALUE SHARES VALUE ----------------- --------------- ----------------- --------------- ---------------- SHARES SOLD: GS2 2,550,749 $ 24,714,339 626,229 $ 5,857,548 GS4 1,289,218 20,826,427 3,188,876 49,660,836 GS6 -- -- 1,315,085 12,679,856 GS8 -- -- 529,030 5,053,874 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: GS2 68,004 652,159 101,674 973,186 GS4 144,998 2,351,866 383,028 6,161,862 GS6 12,267 118,252 41,965 402,479 GS8 4,561 44,015 5,469 53,874 SHARES REDEEMED: GS2 (390,672) (3,762,686) (664,944) (6,187,119) GS4 (3,069,288) (49,810,576) (3,452,012) (53,362,551) GS6 6 -- (2,091,566) (20,107,543) GS8 -- -- (5,475) (53,874) --------------- ----------------- --------------- ---------------- Net increase (decrease) 609,843 $ (4,866,204) (22,641) $ 1,132,428 =============== ================= =============== ================
136
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- VALUE EQUITY FUND SHARES VALUE SHARES VALUE ----------------- --------------- ----------------- --------------- ---------------- SHARES SOLD: GS2 6,806,530 $ 77,168,667 1,498,441 $ 15,591,871 GS4 2,842,287 50,424,348 5,785,172 93,964,007 GS6 58,317 659,974 1,704,070 18,542,472 GS8 14 189 462,149 5,034,343 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: GS2 141,200 1,625,207 158,475 1,725,924 GS4 443,195 7,942,062 1,028,686 17,362,675 GS6 11,011 126,191 39,281 425,791 GS8 3,458 39,561 3,013 34,343 SHARES REDEEMED: GS2 (739,968) (8,442,662) (2,131,621) (22,174,278) GS4 (8,006,691) (141,122,759) (8,581,255) (142,217,090) GS6 (402,264) (4,427,418) (2,153,589) (23,638,653) GS8 -- -- (3,015) (34,343) --------------- ----------------- --------------- ---------------- Net increase (decrease) 1,157,089 $ (16,006,640) (2,190,193) $ (35,382,938) =============== ================= =============== ================
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- GROWTH EQUITY FUND SHARES VALUE SHARES VALUE ------------------ --------------- ----------------- --------------- ---------------- SHARES SOLD: GS2 8,094,300 $ 82,474,448 1,613,851 $ 15,216,823 GS4 1,810,383 28,210,269 5,944,000 89,698,969 GS6 33,645 325,806 1,354,099 13,128,810 GS8 -- -- 521,376 5,000,000 SHARES REDEEMED: GS2 (728,353) (7,214,333) (2,119,626) (19,855,335) GS4 (8,432,175) (135,203,671) (8,189,207) (124,051,039) GS6 (350,859) (3,275,696) (1,991,736) (19,276,237) GS8 -- -- -- -- --------------- ----------------- --------------- ---------------- Net increase (decrease) 426,941 $ (34,683,177) (2,867,243) $ (40,138,009) =============== ================= =============== ================
137
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- SMALL CAP EQUITY FUND SHARES VALUE SHARES VALUE --------------------- --------------- ----------------- --------------- ---------------- SHARES SOLD: GS2 2,729,923 $ 33,486,274 688,611 $ 8,281,035 GS4 4,718,046 75,354,375 6,941,965 108,621,813 GS6 34,415 414,312 1,629,128 20,070,031 GS8 8 100 411,862 5,000,000 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: GS2 -- -- 128,304 1,605,087 GS4 1 15 1,135,100 18,717,781 GS6 -- -- 82,022 1,012,977 GS8 -- -- 24,795 305,972 SHARES REDEEMED: GS2 (288,922) (3,472,636) (732,845) (8,746,342) GS4 (3,139,290) (50,488,622) (5,684,710) (88,070,288) GS6 (291,638) (3,287,987) (2,235,825) (27,373,199) GS8 -- -- -- -- --------------- ----------------- --------------- ---------------- Net increase 3,762,543 $ 52,005,831 2,388,407 $ 39,424,867 =============== ================= =============== ================
FOR THE SIX MONTHS ENDED 06/30/05 FOR THE YEAR ENDED 12/31/04 ------------------------------------ ----------------------------------- INTERNATIONAL EQUITY FUND SHARES VALUE SHARES VALUE ------------------------- --------------- ----------------- --------------- ---------------- SHARES SOLD: GS2 5,498,354 $ 70,845,825 3,185,332 $ 36,872,679 GS4 3,104,384 47,206,194 5,416,943 74,761,876 GS6 123,176 1,580,532 1,543,393 18,807,962 GS8 3 40 417,709 5,035,394 SHARES ISSUED IN REINVESTMENT OF DIVIDENDS: GS2 -- -- 115,700 1,448,031 GS4 -- -- 900,425 13,270,599 GS6 -- -- 23,826 295,478 GS8 (6) (83) 2,772 35,394 SHARES REDEEMED: GS2 (573,713) (7,500,218) (1,107,875) (12,936,001) GS4 (8,946,794) (135,906,261) (6,777,507) (92,618,667) GS6 (374,367) (4,704,803) (1,906,068) (23,242,796) GS8 -- -- (2,765) (35,394) --------------- ----------------- --------------- ---------------- Net increase (decrease) (1,168,963) $ (28,478,774) 1,811,885 $ 21,694,555 =============== ================= =============== ================
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 19, 2004, 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 138 amount of the credit facility at a rate of 0.12% per annum. Each Fund had no borrowings outstanding during the six months ended June 30, 2005. 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 and excise tax regulations. Distributions during the year ending December 31, 2004 were characterized as follows for tax purposes:
ORDINARY LONG-TERM TOTAL FUND INCOME CAPITAL GAIN DISTRIBUTION ---- ----------- ------------ ------------ Flexible Income $ 6,674,001 $ 2,803,393 $ 9,477,394 Growth & Income 26,687,405 17,336,809 44,024,214 Capital Opportunities 14,526,079 8,194,511 22,720,590 Global Equity 7,152,360 4,844,621 11,996,981 Flexible Income I 1,154,594 284,575 1,439,169 Growth & Income I 3,927,779 1,049,665 4,977,444 Capital Opportunities I 1,611,896 450,563 2,062,459 Global Equity I 531,130 105,262 636,392 Money Market 8,848,288 -- 8,848,288 Low-Duration Bond 17,308,846 3,097,375 20,406,221 Medium-Duration Bond 37,814,520 4,734,024 42,548,544 Extended-Duration Bond 25,006,677 9,593,313 34,599,990 Equity Index 7,592,346 -- 7,592,346 Value Equity 19,558,474 3,412 19,561,886 Small Cap Equity -- 21,644,314 21,644,314 International Equity 15,049,648 -- 15,049,648
At December 31, 2004, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED LONG-TERM CAPITAL UNREALIZED UNDISTRIBUTED GAIN/(CAPITAL APPRECIATION/ ORDINARY LOSS (DEPRECIATION) FUND INCOME CARRYFORWARD) ON INVESTMENTS ---- ------------- ------------- -------------- Flexible Income $ 7,952 $ 1,587,438 $ 50,183,950 Growth & Income 353,113 10,895,930 232,361,397 Capital Opportunities 288,294 6,575,839 200,787,861 Global Equity 331,839 3,707,367 205,882,819 Flexible Income I 41 205,456 632,600 Growth & Income I 30,800 1,395,471 7,969,768 Capital Opportunities I 21,683 620,988 10,640,691 Global Equity I 15,167 232,704 6,922,696 Money Market 622 (2,944) -- Low-Duration Bond 363,897 (1,356,941) (4,285,778)
UNDISTRIBUTED LONG-TERM CAPITAL UNREALIZED UNDISTRIBUTED GAIN/(CAPITAL APPRECIATION/ ORDINARY LOSS (DEPRECIATION) FUND INCOME CARRYFORWARD) ON INVESTMENTS ---- ------------- ------------- -------------- Medium-Duration Bond $2,522,352 $ 1,305,314 $ 14,984,799 Extended-Duration Bond 173,498 4,831,071 25,137,349 Equity Index -- (4,712,723) 69,497,033 Value Equity -- 17,970,092 247,984,576 Growth Equity (833) (302,364,465) 288,974,701 Small Cap Equity 6,896,022 8,770,515 83,256,891 International Equity 2,376,385 (59,817,026) 270,368,429
Post-October loss deferrals have been included in undistributed ordinary income and undistributed long-term capital gains, depending upon the character of the loss deferral. For federal income tax purposes, capital loss carryovers, and their expiration dates, were as follows as of December 31, 2004:
EXPIRING EXPIRING EXPIRING 12/31/2009 12/31/2010 12/31/2011 TOTAL ----------- ------------ ------------ ------------ Money Market Fund -- -- $ 2,028 $ 2,028 Equity Index -- $ 4,712,723 -- 4,712,723 Growth Equity $54,032,205 125,035,753 123,296,507 302,364,465 International Equity -- 24,689,422 35,127,604 59,817,026
For federal income tax purposes, post-October loss deferrals, which will reverse in 2005, were as follows as of December 31, 2004:
CAPITAL FX AND PFIC TOTAL ---------- ----------- ---------- Money Market $ 916 -- $ 916 Low-Duration Bond 1,359,195 -- 1,359,195 Growth Equity -- $833 833
At June 30, 2005, 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 139 value (based on cost for federal income tax purposes) was as follows:
NET UNREALIZED APPRECIATION/ APPRECIATED DEPRECIATED FUND (DEPRECIATION) SECURITIES SECURITIES ---- -------------- ------------ ------------ Flexible Income $ 43,071,799 $ 44,938,690 $ (1,866,891) Growth & Income 201,367,344 210,010,518 (8,643,174) Capital Opportunities 179,729,479 187,292,127 (7,562,648) Global Equity 179,060,007 188,858,634 (9,798,627) Flexible Income I 74,906 1,438,350 (1,363,444) Growth & Income I 7,692,714 10,764,580 (3,071,866) Capital Opportunities I 10,349,332 11,494,174 (1,144,842) Global Equity I 6,532,504 6,694,899 (162,395) Low-Duration Bond (5,415,904) 1,639,624 (7,055,528) Medium-Duration Bond 15,166,013 20,835,455 (5,669,442) Extended-Duration Bond 39,272,131 41,808,014 (2,535,883) Equity Index 60,011,576 117,766,352 (57,754,776) Value Equity 201,566,504 260,930,837 (59,364,333) Growth Equity 255,458,101 292,940,466 (37,482,365) Small Cap Equity 62,454,513 79,279,590 (16,825,077) International Equity 212,646,727 255,758,486 (43,111,759)
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, 2005, the aggregate cost for federal income tax purposes was as follows (excluding foreign currency and derivative related items):
FUND FEDERAL TAX COST ---- ---------------- Flexible Income $ 222,112,724 Growth & Income 1,002,601,524 Capital Opportunities 814,852,385 Global Equity 706,126,016 Flexible Income I 51,851,836 Growth & Income I 215,116,529 Capital Opportunities I 136,186,714 Global Equity I 105,937,885 Low-Duration Bond 1,071,631,229 Medium-Duration Bond 1,390,066,996 Extended-Duration Bond 593,922,278 Equity Index 432,813,919 Value Equity 1,352,086,264 Growth Equity 1,346,382,432 Small Cap Equity 683,997,341 International Equity 1,119,379,756
At December 31, 2004, 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 paydown gains, net operating losses and foreign currency transactions. The following amounts were reclassified within the capital accounts:
ACCUMULATED NET REALIZED GAIN (LOSS) ON INVESTMENTS, CURRENCY ACCUMULATED TRANSLATIONS PAID IN UNDISTRIBUTED AND DERIVATIVE FUND CAPITAL INCOME TRANSACTIONS ---- ----------- ------------- -------------- Flexible Income -- $ 58,118 $ (58,118) Growth & Income -- 3,423,478 (3,423,478) Capital Opportunities -- 1,352,652 (1,352,652) Flexible Income I -- 8,725 (8,725) Growth & Income I -- 479,845 (479,845) Capital Opportunities I -- 135,550 (135,550) Low-Duration Bond -- 1,448,491 (1,448,491) Medium-Duration Bond $ (119,286) 4,202,411 (4,083,125) Extended-Duration Bond -- 969,074 (969,074) Equity Index (12,406) 12,406 -- Growth Equity (1,476,355) 1,470,687 5,668 Small Cap Equity -- 762,269 (762,269) International Equity -- (7,551) 7,551
Net investment income, net realized gain (loss) on investments and net assets were not affected by these reclassifications. 140 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 TRUSTEEE ------------------------ -------------- ----------------------- ---------- ------------------- -------------------------------------------------------------------------------------------------------------------------------- DISINTERESTED TRUSTEES -------------------------------------------------------------------------------------------------------------------------------- Michael R. Buster (11/18/57) Since 2002 Executive Pastor, Prestonwood 17 None 3656 Bridle Road Baptist Church, Prosper, TX 75078 1989 - Present. Trustee -------------------------------------------------------------------------------------------------------------------------------- William Craig George (7/8/58) Since 2004 Regional loan administrator, 17 None 617 Glen Eden Drive Central Carolina Bank, 1995 - Raleigh, NC 27612 present. Trustee -------------------------------------------------------------------------------------------------------------------------------- Joseph A. Mack (11/22/39) Since 2002 Director, Office of Public 17 None 3400 Wilmot Ave. Policy, South Carolina Columbia, SC 29205 Baptist Convention, Trustee 1999 - Present; Deputy Director, SC Retirement Systems. -------------------------------------------------------------------------------------------------------------------------------- Kevin P. Mahoney (7/26/57) Since 2004 Executive Pastor, FBC West 17 None First Baptist Church Palm Beach, FL, July 2000 - 1101 South Flagler Drive present; Administrative West Palm Beach, FL 33401 Pastor, FBC Merritt Island, Trustee FL, June 1995 - June 2000. -------------------------------------------------------------------------------------------------------------------------------- James Ray Taylor (10/19/33) Since 2002 Retired since 1994. 17 None 3009 Tanglewood Park West Fort Worth, Texas 76109 Trustee -------------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES(2) -------------------------------------------------------------------------------------------------------------------------------- Barry Hartis (10/6/45) Since 2005 Certified Public Accountant 17 12 Waxwing Cove 1976 - Present, Vice Greensboro, NC 27455-1373 President for Business and Trustee Finance, Greensboro College, January 1998 - June 30, 2005. -------------------------------------------------------------------------------------------------------------------------------- Gerald B. Jones (5/24/32) Since 2000 Owner Jones Motorcars, Inc. 17 Bank of Arkansas -- Director Jones Motorcars, Inc. 1957 - Present. 3535 N. College Avenue Fayetteville, AR 72703-5108 Trustee -------------------------------------------------------------------------------------------------------------------------------- OFFICERS WHO ARE NOT TRUSTEES -------------------------------------------------------------------------------------------------------------------------------- Jeffrey P. Billinger (12/5/46) Since 2000 Executive Officer and N/A N/A 2401 Cedar Springs Road Treasurer, GuideStone Dallas, TX 75201-1407 Financial Resources of the Vice President and Treasurer Southern Baptist 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, Dallas, TX 75201-1407 GuideStone Financial Vice President and Investment Resources of the Southern Officer Baptist Convention, 1998-Present. -------------------------------------------------------------------------------------------------------------------------------- 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 GuideStone Financial President Resources of the Southern Baptist Convention, 1995 - Present. --------------------------------------------------------------------------------------------------------------------------------
141 FUND MANAGEMENT (CONTINUED)
-------------------------------------------------------------------------------------------------------------------------------- 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 TRUSTEEE ------------------------ -------------- ----------------------- ---------- ------------------- Rodney R. Miller (5/23/53) Since 2000 General Counsel, Legal and N/A N/A 2401 Cedar Springs Road Compliance, GuideStone Dallas, TX 75201-1407 Financial Resources of the Vice President, Secretary and Southern Baptist Convention, Chief Legal Officer 1995 - Present. -------------------------------------------------------------------------------------------------------------------------------- Patricia A. Weiland (8/25/59) Since 2004 Director, Mutual Funds, N/A N/A 2401 Cedar Springs Road GuideStone Financial Dallas, TX 75201-1407 Resources of the Southern Vice President and Chief Baptist Convention, Compliance Officer 2000 - Present.
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(1) Each Trustee and officer serves for an indefinite term, until his/her successor is elected. (2) Messrs. Jones and Hartis 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. 142 BOARD REVIEW OF ADVISORY AGREEMENTS As required by the Investment Company Act of 1940, as amended (the "1940 Act"), the Board of Trustees (the "Board") of AB Funds Trust (the "Trust"), including all of the Trustees who are not "interested persons" of the Trust, as that term is defined in the 1940 Act (the "Independent Trustees"), recently considered the renewal of (i) the investment advisory agreement between SBC Financial Services, Inc. (the "Adviser" or "SBC Financial") and the Trust on behalf of the Blended and Select Funds that comprise the Trust (the "Advisory Agreement"); and (ii) the sub-advisory agreements among the Adviser, each sub-adviser and the Trust on behalf of each Select Fund (the "Sub-Advisory Agreements"). The Advisory Agreement and each Sub-Advisory Agreement (the "Agreements") were approved for an additional one-year term at a meeting of the Board held on May 7, 9-10, 2005. The Board's decision to approve the Agreements reflects the exercise of its business judgment to continue each existing arrangement. In approving the Agreements, the Board considered information provided by the Adviser, each sub-adviser and a consulting firm engaged by the Adviser with the assistance and advice of counsel to the Independent Trustees and counsel to the Trust. The Board's consideration of various factors and its conclusions with respect to such factors formed the basis for the Board's determination to continue the Advisory and Sub-Advisory Agreements. The factors considered by the Board included, but were not limited to: (i) the resources of the adviser; (ii) the experience and expertise of the adviser; (iii) the financial capability of the adviser; (iv) the compliance procedures and history of the adviser; (v) the performance of the fund in comparison to relevant benchmarks, similarly managed funds and the adviser's other clients; (vi) the amount of the contractual advisory fee in comparison to similarly managed funds and the adviser's other clients and the effect of any fee waiver and expense reimbursement arrangement; (vii) the total expenses of the fund in comparison to similarly managed funds and the use of past and anticipated expense caps; (viii) the profitability of the adviser with respect to the fund and its overall business; (ix) the extent of any economies of scale and whether the fee structure reflects such economies of scale; (x) the existence of any collateral benefits realized by the adviser; and (xi) the existence of any collateral benefits realized by the fund. In its decision to renew each Agreement, the Board was also mindful of the potential disruptions of the Trust's operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew an Agreement. No one factor was determinative in the Board's consideration of the Advisory and Sub-Advisory Agreements. The Board undertook a review of the terms of each Advisory and Sub-Advisory Agreement and the nature and quality of the services provided by the Adviser and each sub-adviser. The Board conducted its analysis on a fund-by-fund basis with respect to the Adviser and each Sub-Adviser. Management provided the Board with substantial detailed information in the form of reports about each of the nine Select Funds, eight Blended Funds, twenty-seven sub-advisory firms and the Adviser prior to and during the meeting which information addressed most, if not all, of the factors listed above. Management also provided additional information about the Adviser and each Sub-Adviser in presentations made during the meeting and responded to questions from the Trustees. In addition, the Independent Trustees met separately in executive session with counsel to the Independent Trustees to discuss and consider information presented in connection with the continuation of the Advisory and Sub-Advisory Agreements as well as the Trustees' responsibilities and duties in approving the Agreements. APPROVAL OF CONTINUATION OF INVESTMENT ADVISORY AGREEMENT In considering the renewal of the Advisory Agreement with the Adviser, the Trustees took into account all the materials provided prior to and during the meeting, the presentations made during the meeting, and the extensive discussions during the meeting, including the discussions the Independent Trustees had during their executive session with their independent legal counsel. More specifically, the Trustees examined the nature, extent and quality of the services to be provided by the Adviser to the Funds. The Trustees evaluated the Adviser's experi- 143 ence in serving as an investment adviser and noted the Adviser's experience with overseeing the sub-advisers. The Trustees considered the experience of key personnel at the Adviser in providing investment management and administrative services and the systems used by such persons and the ability of the Adviser to attract and retain capable personnel. The Trustees also considered the reputation, compliance history, compliance program, and financial condition of the Adviser. The Trustees noted the terms of the advisory and sub-advisory agreements and the responsibilities that the Adviser has as investment adviser to the Funds, including oversight of sub-adviser compliance with each Fund's policies and objectives, oversight of general Fund compliance, including compliance with social restrictions, and the implementation of Board directives as they relate to the Funds. The Trustees concluded that each Fund is likely to benefit from the extent and quality of these services as a result of the Adviser's experience, personnel, operations and resources. The Trustees also reviewed a memorandum prepared by a consulting firm engaged by the Adviser for, among other things, supplying research on investment management firms. The memorandum compared each Select Fund with other funds having the same investment style or objective, and compared the share class of each Fund with other funds in the same broad distribution channel, the GS2 class against other institutional share classes and the GS4 and GS6 classes against a broad set of retail share classes. The Board analyzed the comparative expense and performance information in the memorandum, including comparative expense information for each Fund based on a sampling of funds similar in asset size. The Trustees considered the comparative performance, fee and expense information that had been provided in their evaluation of the management fees charged to each Select Fund. The Board evaluated the annualized performance results comparing the Funds against their peers, noting that most of the Funds provided above average returns with below average net expenses. The Board also considered a report prepared by management that analyzed the performance of the Blended Funds. The Trustees examined the performance information for the Funds (GS4 Share Class) compared to Lipper peers for the one and three-year periods ended December 31, 2004. The Trustees noted that the average annual total returns for the Select Funds generally exceeded the median for their Lipper peers for both periods. They noted that the performance of the Small Cap Equity Fund for the three year period and the Money Market Fund for the one year period ended December 31, 2004 were lower than those of the Funds' peer universes for the same time periods. They also noted that the average annual total returns for the Blended Funds for the one-year and three-year periods ended December 31, 2004 were above those of unaffiliated funds in the Funds' Lipper peer groups for the same time periods, except for the Global Equity Fund for the three-year period ended December 31, 2004. The Trustees took into account the fact that the Small Cap Equity Fund underwent significant sub-adviser restructuring within the past six months in an effort to improve relative performance. The Trustees noted that twelve of seventeen sub-advisers to the equity Funds and eight out of nine sub-advisers to the fixed income Funds outperformed their respective benchmarks for the three-year period ended December 31, 2004 and that the Adviser added economic value to Funds through the selection of sub-advisers. The Trustees examined fee and expense information for the Select Funds, as compared to other funds in the Funds' asset-stratified peer groups for the GS4 class. The Trustees determined that the total management (including both the Adviser and sub-adviser) fees for each Select Fund were lower than the median management fees for other mutual funds in the Fund's asset-stratified peer group, except for the Growth Equity Fund, the Small Cap Equity Fund and the International Equity Fund. The Trustees took into account the fact that the management fee for the International Equity Fund was only slightly above the median for other mutual funds in its asset-stratified peer group. The Trustees noted that the Adviser was currently reimbursing the expenses of most Funds, including the Growth Equity Fund, the Small Cap Equity Fund and the International Equity Fund, and the total management fees of the Funds net of any fee waiver or 144 expense reimbursement were below the median fees for other similar funds at the same asset levels, except for the Growth Equity Fund, the Small Cap Equity Fund and the International Equity Fund. The Trustees also evaluated the expense ratios for other funds in the Funds' asset-stratified peer groups and determined that each Fund's expense ratio for the GS4 share class was significantly lower than the median ratio of such other funds. The Trustees further noted that the compensation to be received by the Adviser for each Fund under the Advisory Agreement remained the same. The Trustees considered the costs to the Adviser of serving as the investment adviser to the Funds, including the costs associated with the personnel, systems and equipment necessary to manage the Funds in accordance with the Advisory Agreement. The Trustees considered the anticipated revenues that the Adviser expected to receive for serving as the investment manager to the Funds, the fact that the Adviser was currently reimbursing the expenses of most Funds, the fact that the Adviser did not retain any profit from its relationship with the Trust, the fact that a significant portion of the revenues received by the Adviser were forwarded to GuideStone Financial Resources (formerly, the Annuity Board of the Southern Baptist Convention), and the fact that the expenses incurred by GuideStone Financial Resources related to the operation of the Trust approximated the related revenues received. The Trustees considered whether any direct or indirect collateral benefits inured to either the Adviser or the Trust as a result of their affiliation with one another. In light of these considerations, the Trustees concluded that any profits realized in connection with the Adviser's services appeared reasonable. The Trustees considered the extent to which the management fees to be paid to the Adviser reflected economies of scale. In this connection, the Trustees again noted that the Adviser was currently reimbursing the expenses of most Funds and the management fees of the Funds net of any fee waiver or expense reimbursement were below the median fees for other similar funds at the same asset levels, except for the Growth Equity Fund, the Small Cap Equity Fund and the International Equity Fund. Based on all of the information presented to the Board and its consideration of relevant factors, the Board concluded that the fee paid to the Adviser by each Fund was reasonable, and in the exercise of its business judgment, determined to approve the continuation of the Advisory Agreement for each Fund. APPROVAL OF CONTINUATION OF SUB-ADVISORY AGREEMENTS In considering the existing sub-advisory agreements with each sub-adviser, the Trustees took into account the materials provided prior to and during the meeting; and the extensive discussions during the meeting, including the discussions the Independent Trustees had during their executive session with their independent legal counsel. More specifically, the Trustees examined the nature, extent and quality of the services to be provided by each of the sub-advisers to the Select Funds. The Trustees evaluated each sub-adviser's experience in serving as a sub-adviser to a Select Fund and noted that each sub- adviser currently provides investment advice to various clients, including other pooled investment vehicles. The Trustees considered the experience of key personnel at each sub-adviser in providing investment management services and the systems used by such persons, and the ability of each sub-adviser to attract and retain capable personnel. The Trustees also considered the reputation, compliance history, compliance program and financial condition of each sub-adviser. The Trustees noted the terms of the existing sub-advisory agreements and the responsibilities that each has as a sub-adviser to a Select Fund, including the responsibility of the day-to-day management of the investment portfolio of the Fund, compliance with each Fund's policies and objectives, and the implementation of Board of Trustees directives as they relate to the Funds. The Trustees concluded that each Fund is likely to benefit from the extent and quality of these services as a result of each sub-adviser's experience, personnel, operations and resources. The Board considered standardized reports for each sub-adviser to each Select Fund. The standardized reports compiled by management included, among other things, a summary of investment performance of the Fund and sub-adviser, including comparisons with relevant benchmarks, 145 composite performance for the sub-adviser and the peer universe of similarly managed funds, information regarding management style, services provided, risk versus return analysis, organizational structures, investment management experience, investment philosophies, personnel, changes in personnel, compliance procedures and policies, brokerage and soft dollar practices, compliance history, financial information, including profitability analysis, and economies of scale realized. The Trustees examined performance information for each segment of a Select Fund managed by a sub-adviser. For the majority of sub-advisers, the performance record of the segment of the Select Fund managed by the sub-adviser compared favorably to the relevant Fund benchmark, the composite performance for the sub-adviser's clients (on a gross fee basis) and the peer universe of similarly managed funds for the period of time the sub-adviser performed advisory services on behalf of the Select Fund. Three sub-advisers underperformed the relevant Fund benchmark and the peer universe of similarly managed funds. The Trustees noted that market trends may have contributed to the underperformance, that each of these sub-advisers had or was in the process of taking action to address such underperformance and that each sub-adviser fulfilled a particular investment mandate for the Select Fund it advised. The Trustees concluded that, although past performance is no guarantee of future performance, the performance of each Select Fund was satisfactory and the Funds were likely to benefit from each sub-adviser continuing to serve as sub-adviser to the Fund. The Trustees examined the fee schedule for each sub-adviser, noting how the fee levels charged to the Trust compared with available information about fees charged by the sub-advisers to their other similarly situated clients, as well as how the sub-adviser fee levels compared to fees generally charged by money managers to institutional clients for providing advisory services for investment mandates comparable to each Fund. The Trustees also examined information that was provided about the profitability and the financial capability of each sub-adviser. In considering the information, the Trustees took into account the limited relevance of profitability information with respect to the sub-advisers given that each Sub-Advisory Agreement had been the subject of arms-length negotiation and that the cost of providing advisory services on a fund-specific basis would be difficult for most, if not all, sub-advisers to estimate accurately. The Trustees reviewed profitability questionnaires completed by all but four of the sub-advisers, supplemental profitability information provided by two sub-advisers and representations of the Adviser with respect to the level of assets and shareholder's equity for all the sub-advisers who made their most recent year end financial statements available to the Adviser for review. All sub-advisers that completed the questionnaire represented they were profitable either with respect to their relationship with the Fund or more generally with respect to their overall business where the sub-adviser was unable to allocate expenses among its clients. Except for one sub-adviser to the Small Cap Equity Fund, the profitability estimates for the sub-advisers that completed the questionnaire generally fell within industry norms. With regard to the sub-adviser to the Small Cap Equity Fund, it was noted that the sub-adviser consistently outperformed the relevant benchmark for the Fund and the median for the peer universe of similarly managed funds as well as other sub-advisers to the Small Cap Equity Fund. In light of these considerations, the Trustees concluded that profits realized by each sub-adviser who completed a profitability questionnaire appeared reasonable. For those two sub-advisers that did not provide profitability information, the Trustees relied upon other relevant information, particularly the independent negotiation of the fee schedules, the level of the fees, and the sub-adviser's performance history. The Trustees noted that, based on the Adviser's representations, the financial statements of the sub-advisers did not appear to raise any concerns regarding the financial capability of those sub-advisers. The Trustees considered the extent to which sub-adviser fees to be paid to each sub-adviser reflected economies of scale. The Trustees noted that each sub-adviser fee schedule either reflected economies of scale by reducing the fee on assets in excess of certain stated breakpoints, or 146 the fee level negotiated was below the standard fee level for the sub-adviser. In evaluating the benefits that are expected to accrue to each sub-adviser through its relationship as sub-adviser to a Select Fund, the Trustees noted that certain sub-advisers allocate portfolio brokerage to affiliated broker- dealers that receive commissions from the execution of Fund trades. The Trustees also noted that certain sub-advisers expect to benefit from soft dollar arrangements by which brokers will provide research and other services to the sub-adviser in exchange for commissions on trades of the portfolio securities of the Select Fund. In addition, the Trustees considered whether any direct or indirect collateral benefits inured to the Trust as a result of its affiliation with each sub-adviser. Based on all of the information presented to the Board and its consideration of relevant factors, the Board, in the exercise of its reasonable business judgment, determined to approve the continuation of each Sub-Advisory Agreement. BOARD REVIEW OF NEW SUB-ADVISORY AGREEMENTS FOR SMALL CAP EQUITY FUND As required by the 1940 Act, the Board, including all of the Trustees who are not "interested persons" of the Trust, considered the approval of (i) the sub-advisory agreement among SBC Financial, Lord, Abbett & Company ("Lord, Abbett") and the Trust on behalf of the Small Cap Equity Fund (the "Lord, Abbett Sub-Advisory Agreement"); and (ii) the sub-advisory agreement among SBC Financial, Lotsoff Capital Management ("Lotsoff") and the Trust on behalf of the Small Cap Equity Fund (the "Lotsoff Sub-Advisory Agreement"). The Lord, Abbett Sub-Advisory Agreement and the Lotsoff Sub-Advisory Agreement (together, the "Sub-Advisory Agreements") were each approved for a term expiring on June 30, 2006 at a meeting of the Board held on March 1-2, 2005. The Board's decision to approve the Sub-Advisory Agreements reflects the exercise of its business judgment to enter into each new sub-advisory arrangement. In approving the Sub-Advisory Agreements, the Board considered information provided by the Adviser, each sub-adviser and an independent consulting firm engaged by the Adviser with the assistance and advice of counsel to the Independent Trustees and counsel to the Trust. The Board's consideration of various factors and its conclusions with respect to such factors formed the basis for the Board's determination to approve the Sub-Advisory Agreements. The factors considered by the Board included, but were not limited to: (i) the resources of the sub-adviser; (ii) the experience and expertise of the sub-adviser; (iii) the financial capability of the sub- adviser; (iv) the compliance procedures and history of the sub-adviser; (v) the performance of the sub-adviser's other small cap equity client accounts and portfolios, if any, in comparison to relevant benchmarks and other similarly managed funds; (vi) the amount of the contractual sub-advisory fee in comparison to similarly managed funds and the sub-adviser's other clients; (vii) the extent of any economies of scale and whether the fee structure reflects such economies of scale; (viii) the existence of any collateral benefits realized by the sub-adviser; and (ix) the existence of any collateral benefits realized by the fund. No one factor was determinative in the Board's consideration of the Sub-Advisory Agreements. The Board undertook a review of the terms of each Sub-Advisory Agreement and the nature and quality of the services to be provided by each sub-adviser. Management provided the Board with substantial detailed information in the form of reports about each sub-adviser prior to the meeting which information addressed most, if not all, of the factors listed above. Management also provided additional information about each sub-adviser in presentations made during the meeting, discussed the comprehensive screening process used to recommend each new sub-adviser and responded to questions from the Trustees. In addition, the Independent Trustees met separately in executive session with counsel to the Independent Trustees to discuss and consider information presented in connection with the approval of the Sub-Advisory Agreements as well as the Trustees' responsibilities and duties in approving the Agreements. 147 APPROVAL OF NEW SUB-ADVISORY AGREEMENTS In considering the approval of the Sub-Advisory Agreements, the Trustees took into account the materials provided prior to and during the meeting; and the extensive discussions during the meeting, including the discussions the Independent Trustees had during their executive session with their independent legal counsel. More specifically, the Trustees examined the nature, extent and quality of the services to be provided by Lord, Abbett and Lotsoff to the Small Cap Equity Fund. The Trustees evaluated each sub-adviser's experience in serving as a sub-adviser to small cap equity client accounts and portfolios and noted that each sub-adviser currently provides investment advice to various clients, including pooled funds. The Trustees considered the experience of key personnel at each sub-adviser in providing investment management services and the systems used by such persons, and the ability of each sub-adviser to attract and retain capable personnel. The Trustees also considered the reputation, compliance history, compliance program and financial condition of each sub-adviser. The Trustees noted the terms of the Sub-Advisory Agreements and the responsibilities that each would have as a sub-adviser to the Small Cap Equity Fund, including the responsibility of the day-to-day management of the investment portfolio of the Fund, compliance with the Fund's policies and objectives, and the implementation of Board of Trustees directives as they relate to the Funds. The Trustees concluded that the Small Cap Equity Fund is likely to benefit from the extent and quality of these services as a result of each sub-adviser's experience, personnel, operations and resources. The Board considered reports for each sub-adviser. The reports compiled by management included, among other things, a summary of the composite investment performance of the sub-adviser's small cap equity client accounts and portfolios, including a comparison with the relevant benchmark for the Small Cap Equity Fund and the peer universe of similarly managed small cap equity funds, information regarding management style, risk versus return analysis, organizational structures, investment management experience, investment philosophies and personnel. Management also provided additional information regarding compliance procedures and policies, brokerage and soft dollar practices, compliance history, financial information and potential economies of scale. The Trustees examined composite performance information for small cap equity client accounts and portfolios managed by each sub-adviser. For each sub-adviser, the composite performance record of the small cap equity client accounts and portfolios managed by the sub-adviser compared favorably to the relevant benchmark for the Small Cap Equity Fund and the peer universe of similarly managed small cap equity funds for the period of time each sub-adviser performed advisory services on behalf of small cap equity client accounts and portfolios. In that regard, the composite performance of the small cap equity client accounts and portfolios managed by Lord, Abbett outperformed the benchmark for the Small Cap Equity Fund for each of the three years Lord, Abbett managed small cap equity client accounts and portfolios and outperformed the median for the peer universe of small cap equity funds for a one, two and three year period. For each period, the composite performance for the small cap equity client accounts and portfolios managed by Lord, Abbett fell within the top quartile of the universe of small cap equity funds. The composite performance of the small cap equity client accounts and portfolios managed by Lotsoff also outperformed the relevant benchmark for the Small Cap Equity Fund for each of the ten years Lotsoff managed small cap equity client accounts and portfolios, except for calendar year 2002, and outperformed the median for the peer universe of small cap equity funds for each one through ten year period. In calendar year 2002, the composite performance of the small cap equity client accounts and portfolios managed by Lotsoff slightly underperformed the benchmark for the Small Cap Equity Fund. For each one through ten-year period, the composite performance for the small cap equity client accounts and portfolios managed by Lotsoff generally fell within the top quartile of the universe of small cap equity funds and in a few instances the second quartile. 148 The Trustees examined the investment philosophy and process of each sub-adviser and noted that each sub-adviser would fulfill a particular investment mandate for the Small Cap Equity Fund. The Trustees concluded that, although past performance is no guarantee of future performance, the composite performance record for the small cap equity client accounts and portfolios managed by each sub-adviser was favorable and that the Small Cap Equity Fund was likely to benefit from the investment management expertise of each sub-adviser. The Trustees also examined the fee schedule for each sub-adviser, noting how the fee levels to be charged to the Small Cap Equity Fund compared with available information about fees charged by the sub-advisers to their other similarly situated clients, as well as how the sub-adviser fee levels compared to fees generally charged by money managers for providing advisory services for investment mandates comparable to the Small Cap Equity Fund. It was noted that the advisory fee for the Small Cap Equity Fund would be reduced as a result of the hiring of Lord, Abbett and Lotsoff and that the Adviser recommended a reduction to the Fund's expense limitation in an effort to pass the savings along to shareholders. The Trustees considered information related to the financial capability of each sub-adviser. Specifically, the Trustees considered the representations of the Adviser with respect to the level of assets and shareholder's equity for the sub-advisers who made their most recent year end financial statements available to the Adviser for review. The Trustees also relied upon other relevant information, particularly the independent negotiation of the fee schedules, the level of the fees, and the sub-adviser's performance history. The Trustees noted that, based on the Adviser's representations and the other information provided, no concerns appeared to be raised regarding the financial capability of the sub-advisers. The Trustees noted that there is no historical profitability information with regard to the sub-advisers' arrangements with the Small Cap Equity Fund. The Trustees also noted the limited relevance of profitability information with respect to the sub-advisers given that each Sub-Advisory Agreement had been the subject of arms-length negotiation and that the cost of providing advisory services on a fund-specific basis would be difficult for the sub-advisers to estimate accurately. The Trustees considered the extent to which sub-adviser fees to be paid to each sub-adviser reflected economies of scale. The Trustees noted that the fee schedule for Lord, Abbett reflected economies of scale by reducing the fee on assets in excess of certain stated breakpoints, and the fee level negotiated with Lotsoff was below the standard fee level for the sub-adviser. In evaluating the benefits that are expected to accrue to each sub-adviser through its relationship as sub-adviser to the Small Cap Equity Fund, the Trustees noted that the sub-advisers do not have any affiliated broker-dealers that could receive commissions from the execution of Fund trades. The Trustees also noted that only Lotsoff expects to benefit from soft dollar arrangements by which brokers will provide research and other services to the sub-adviser in exchange for commissions on trades of the portfolio securities of the Small Cap Equity Fund. In addition, the Trustees considered whether any direct or indirect collateral benefits inured to the Trust as a result of its affiliation with each sub-adviser. Based on all of the information presented to the Board and its consideration of relevant factors, the Board, in the exercise of its reasonable business judgment, determined to approve each Sub-Advisory Agreement. 149 PROXY VOTING The Securities and Exchange Commission ("SEC") adopted a requirement that all Funds file their complete proxy voting record with the SEC on an annual basis on Form N-PX. Such filing, for the 12-month period ended June 30, must be made no later than August 31 of each year. A description of the policies and procedures that AB Funds Trust uses to determine how to vote proxies relating to their portfolio securities as well as information regarding how AB Funds Trust voted proxies during the most recent 12-month period ended June 30 is available without charge by calling 1-800-262-0511, by visiting our website at www.guidestone.org or by visiting the SEC's website at www.sec.gov. FOR MORE INFORMATION ABOUT PORTFOLIO HOLDINGS In addition to the semi-annual and annual reports that AB Funds Trust delivers to shareholders and makes available through its website, AB Funds Trust files a complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for each Fund's first and third fiscal quarters on Form N-Q. AB Funds Trust does not deliver the schedule for the first and third fiscal quarters to shareholders, however the schedule is posted to our website, www.guidestone.org. You may also obtain the Form N-Q filings by accessing the SEC's website at www.sec.gov or copy them at the SEC's Public Reference Room in Washington, DC. Information on the operation of the SEC's Public Reference Room may be obtained by calling the SEC at (800) SEC-0330. You can also request copies of this information, upon payment of a fee for duplication, at the SEC's email address (publicinfo@sec.gov) or by writing the Public Reference section of the SEC, Washington, DC 20549-0102. 150 INVESTMENT SUB-ADVISERS (Assets under management as of 6/30/05) (Unaudited) AB Funds Trust employs a broad array of proven investment managers for the benefit of their investors. Each manager is distinctive in their investment management process and business approach.
FIRM TOTAL ASSETS FUND SUB-ADVISER ESTABLISHED MANAGED ---- --------------------------------------------------- ----------- ------------ MONEY MARKET BlackRock Institutional Management Corporation 1988 $ 414.0B LOW-DURATION BOND BlackRock Advisors, Inc. 1988 414.0B Pacific Investment Management Company 1971 493.3B LLC ("PIMCO") Payden & Rygel 1984 53.9B MEDIUM-DURATION BOND Goldman Sachs Asset Management 1984 452.6B Pacific Investment Management Company 1971 493.3B LLC ("PIMCO") Western Asset Management Company 1971 229.2B EXTENDED-DURATION BOND Loomis, Sayles & Company, L. P. 1927 68.4B STW Fixed Income Management Ltd. 1977 11.8B EQUITY INDEX Northern Trust Investments, N.A. 1889 589.8B VALUE EQUITY Barrow, Hanley Mewhinney & Straus, Inc. 1979 50.5B Equinox Capital Management, LLC 1989 6.1B Northern Trust Investments, N.A. 1889 589.8B Numeric Investors L. P. 1989 9.8B GROWTH EQUITY Marsico Capital Management, LLC 1997 51.1B RCM Capital Management, LLC 1970 109.6B Sands Capital Management, Inc. 1992 14.6B TCW Investment Management Company 1971 116.0B SMALL CAP EQUITY Aronson+Johnson+Ortiz, LP 1984 20.3B Lord Abbett & Company, LLC 1929 94.5B Lotsoff Capital Management 1981 5.1B Provident Investment Council, Inc. 1951 5.0B TimesSquare Capital Management, Inc. 2000 5.7B INTERNATIONAL EQUITY Alliance Capital Management, L.P. 1962 516B Capital Guardian Trust Company 1931 149.8B Genesis Asset Managers LLP 1981 12.0B Mondrian Investment Partners Ltd. 1990 35.3B Oechsle International Advisors, LLC 1986 15.0B Philadelphia International Advisors, L.P. 1956 5.6B Walter Scott & Partners Limited 1983 17.1B CUSTODIAN FOR AB FUNDS TRUST ASSETS The Northern Trust Company 1889 2.7Tr
You should consider the investment objectives, risks, charges and expenses of each investment fund carefully before investing. To obtain a prospectus with this and other information about AB Funds Trust call 1-800-262-0511, visit www.guidestone.org or write to AB Funds Trust, 2401 Cedar Springs, Dallas, TX 75201-1498. Read it carefully before you invest. Shares of AB Funds Trust are distributed by PFPC Distributors, Inc., 760 Moore Road, King of Prussia, PA 19406. 151 [AB FUNDS LOGO] 2401 Cedar Springs Rd., Dallas, TX 75201-1498 1.800.262.0511 - www.guidestone.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. 8/05 2239 8929 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. SCHEDULE OF INVESTMENTS Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Not applicable. ITEM 11. 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 Securities Exchange Act of 1934, as amended (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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) Not applicable. (a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (a)(3) Not applicable. (b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and 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/ John R. Jones ----------------------------------------------- John R. Jones, President (principal executive officer) Date August 18, 2005 -------------------------------------------------------------------- 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/ John R. Jones ----------------------------------------------- John R. Jones, President (principal executive officer) Date August 18, 2005 -------------------------------------------------------------------- By (Signature and Title)* /s/ Jeffrey P. Billinger ----------------------------------------------- Jeffrey P. Billinger, Vice President and Treasurer (principal financial officer) Date August 18, 2005 -------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature.