-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, WbrnbGK2MmU+NJFx7J29yduudOyTBCO9kfT4/tpsfBST57a0rGH6G6K0gyVq7qO/ 0kbOuOyJki61FvsuKAYbjw== 0001145443-04-001449.txt : 20040910 0001145443-04-001449.hdr.sgml : 20040910 20040910120057 ACCESSION NUMBER: 0001145443-04-001449 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20040630 FILED AS OF DATE: 20040910 DATE AS OF CHANGE: 20040910 EFFECTIVENESS DATE: 20040910 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CIGNA FUNDS GROUP CENTRAL INDEX KEY: 0000022828 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-01646 FILM NUMBER: 041024378 BUSINESS ADDRESS: STREET 1: 2223 WASHINGTON STREET STREET 2: 3 NEWTON EXECUTIVE PARK, SUITE 200 CITY: NEWTON STATE: MA ZIP: 02462 BUSINESS PHONE: 860.534.4700 MAIL ADDRESS: STREET 1: C/O TIMESSQUARE CAPITAL MANAGEMENT, INC. STREET 2: 280 TRUMBULL STREET, H16C CITY: HARTFORD STATE: CT ZIP: 06103 FORMER COMPANY: FORMER CONFORMED NAME: CIGNA ANNUITY FUNDS GROUP DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: COMPANION FUND INC DATE OF NAME CHANGE: 19860227 N-CSRS 1 d15173.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES 811-01646 (Investment Company Act file number) CIGNA Funds Group ----------------- (Exact name of registrant as specified in charter) 2223 Washington Street 3 Newton Executive Park Suite 200 Newton, MA 02462 (Address of principal executive offices) Mark Butler, 2223 Washington Street, 3 Newton Executive Park Suite 200, Newton, MA 02462 (Name and address of agent for service) (860) 534-5576 -------------- Registrants' telephone number, including area code Date of fiscal year end: December 31, 2004 Date of reporting period: June 30, 2004 Item 1. Reports to Stockholders. - -------------------------------------------------------------------------------- CIGNA Funds Group - -------------------------------------------------------------------------------- Balanced Fund (sub-advised by Wellington Management) Large Cap Growth/Morgan Stanley Fund Large Cap Value/John A. Levin & Co. Fund S&P 500[RegTM] Index Fund Small Cap Growth/TimesSquare Fund Small Cap Value/Perkins, Wolf, McDonnell Fund International Blend/Bank of Ireland Fund TimesSquare Core Plus Bond Fund Semiannual Report June 30, 2004 [LOGO](R) CIGNA CIGNA Funds Group Table of Contents To assist you in using this report to shareholders, listed below is a table of contents and description of the various sections.
================================================================================ Fund Schedule of Fund Summary Investments ================================================================================ Balanced Fund (sub-advised by Wellington Management) 2 11 - -------------------------------------------------------------------------------- Large Cap Growth/Morgan Stanley Fund 3 15 - -------------------------------------------------------------------------------- Large Cap Value/John A. Levin & Co. Fund 4 17 - -------------------------------------------------------------------------------- S&P 500[RegTM] Index Fund 5 19 - -------------------------------------------------------------------------------- Small Cap Growth/TimesSquare Fund 6 26 - -------------------------------------------------------------------------------- Small Cap Value/Perkins, Wolf, McDonnell Fund 8 29 - -------------------------------------------------------------------------------- International Blend/Bank of Ireland Fund 9 31 - -------------------------------------------------------------------------------- TimesSquare Core Plus Bond Fund 10 33 - --------------------------------------------------------------------------------
FUND SUMMARIES 2 A summary of each Fund's performance record and portfolio composition. SCHEDULES OF INVESTMENTS 11 A listing of securities in each Fund's portfolio as of June 30, 2004. STATEMENTS OF ASSETS AND LIABILITIES 38 A "balance sheet" of a Fund as of the last day of the fiscal period. It includes the Fund's Class-level Net Asset Values (NAVs) per share, calculated by dividing the Fund's Class-A "balance sheet" of a Fund as of the last day of the fiscal period. It includes the Fund's Class-level Net Asset Values (NAVs) per share, calculated by dividing the Fund's Class-level net assets (assets minus liabilities) by the number of Class-level shares outstanding. STATEMENTS OF OPERATIONS 39 These statements list each Fund's income, expenses, and gains and losses on securities and currency transactions, and appreciation or depreciation from portfolio holdings. STATEMENTS OF CHANGES IN NET ASSETS 40 These statements report the increase or decrease in each Fund's net assets during the reporting period. Changes in net assets may be due to a variety of factors, including investment operations, dividends, distributions and capital share transactions. FINANCIAL HIGHLIGHTS 42 For each class outstanding of each Fund, a table showing a per share breakdown of the factors that affect a class' NAV for the current and past reporting periods. In addition, total return, asset size, expense and income ratios and portfolio turnover rate are shown for each Fund class. NOTES TO FINANCIAL STATEMENTS 48 The notes to financial statements include a description of the significant accounting policies of the Funds, and more detailed information about the schedules and tables that appear in the report. 1 Balanced Fund (sub-advised by Wellington Management) JUNE 30, 2004 ================================================================================ FUND SUMMARY ================================================================================ OBJECTIVE AND STRATEGY Seeks a high total return through capital appreciation and current income by investing principally in equity and fixed income securities. FUND INCEPTION DATE 01/20/2000 TOTAL NET ASSETS $18.2 million NUMBER OF SECURITIES IN THE PORTFOLIO 198 INVESTMENT MANAGER Wellington Management LLP ================================================================================
FUND PROFILE JUNE 30, 2004 (Unaudited) ================================================================================ Ten Largest Positions % of Net Assets - -------------------------------------------------------------------------------- Fannie Mae 8.3% - -------------------------------------------------------------------------------- Ginnie Mae 4.7 - -------------------------------------------------------------------------------- U.S. Treasury Obligations 4.3 - -------------------------------------------------------------------------------- Citigroup, Inc. 3.4 - -------------------------------------------------------------------------------- Exxon Mobil Corp. 3.2 - -------------------------------------------------------------------------------- Bank of America 2.9 - -------------------------------------------------------------------------------- Shell Transport & Trading Co. 2.4 - -------------------------------------------------------------------------------- Morgan Stanley 2.3 - -------------------------------------------------------------------------------- Caterpillar, Inc. 2.1 - -------------------------------------------------------------------------------- Pfizer, Inc. 2.1 - -------------------------------------------------------------------------------- Ten Largest Sectors % of Net Assets - -------------------------------------------------------------------------------- Financial 21.7% - -------------------------------------------------------------------------------- U.S Government & Agencies 17.4 - -------------------------------------------------------------------------------- Oil & Gas 8.5 - -------------------------------------------------------------------------------- Utilities 6.0 - -------------------------------------------------------------------------------- Communications & Media 4.9 - -------------------------------------------------------------------------------- Retail 4.2 - -------------------------------------------------------------------------------- Technology 4.1 - -------------------------------------------------------------------------------- Insurance 3.4 - -------------------------------------------------------------------------------- Basic Materials 3.4 - -------------------------------------------------------------------------------- Pharmaceuticals 3.1 - -------------------------------------------------------------------------------- Fund Composition % of Net Assets - -------------------------------------------------------------------------------- Bonds 31% - -------------------------------------------------------------------------------- Common stocks 68 - -------------------------------------------------------------------------------- Cash and other assets less liabilities 1 - --------------------------------------------------------------------------------
PERFORMANCE Returns for the six months ended June 30, 2004 were: Institutional Class 1.74% Premier Class 1.64 Retail Class 1.54 Balanced Composite (60% Russell 1000 Value Index/40% Lehman Brothers Aggregate Bond Index) 2.42 Lipper Balanced Funds Average 1.79
2 Large Cap Growth/Morgan Stanley Fund JUNE 30, 2004 ================================================================================ FUND SUMMARY ================================================================================ OBJECTIVE AND STRATEGY Seeks long-term capital appreciation by investing principally in equity securities of U.S. and, to a limited extent, foreign companies that exhibit strong or accelerating earnings growth. FUND INCEPTION DATE 01/20/2000 TOTAL NET ASSETS $15.9 million NUMBER OF SECURITIES IN THE PORTFOLIO 91 INVESTMENT MANAGER Morgan Stanley Investment Management Inc. ================================================================================
FUND PROFILE JUNE 30, 2004 (Unaudited) ================================================================================ Ten Largest Positions % of Net Assets - -------------------------------------------------------------------------------- General Electric Co. 6.3% - -------------------------------------------------------------------------------- Microsoft Corp. 5.3 - -------------------------------------------------------------------------------- Pfizer, Inc. 4.1 - -------------------------------------------------------------------------------- Citigroup, Inc. 3.7 - -------------------------------------------------------------------------------- Cisco Systems, Inc. 3.2 - -------------------------------------------------------------------------------- Coca-Cola (The) Co. 2.5 - -------------------------------------------------------------------------------- InterActive Corp. 2.5 - -------------------------------------------------------------------------------- eBay, Inc. 2.1 - -------------------------------------------------------------------------------- Tyco International Ltd. 2.0 - -------------------------------------------------------------------------------- MBNA Corp. 2.0 - -------------------------------------------------------------------------------- Ten Largest Sectors % of Net Assets - -------------------------------------------------------------------------------- Financial 11.6% - -------------------------------------------------------------------------------- Manufacturing 8.8 - -------------------------------------------------------------------------------- Software 8.7 - -------------------------------------------------------------------------------- Pharmaceuticals 8.0 - -------------------------------------------------------------------------------- Internet 7.8 - -------------------------------------------------------------------------------- Health Care 7.1 - -------------------------------------------------------------------------------- Retail 7.0 - -------------------------------------------------------------------------------- Telecommunications 5.6 - -------------------------------------------------------------------------------- Semiconductors 5.5 - -------------------------------------------------------------------------------- Food & Beverages 3.6 - -------------------------------------------------------------------------------- Fund Composition % of Net Assets - -------------------------------------------------------------------------------- Common stocks 98% - -------------------------------------------------------------------------------- Short-term investments 4 - -------------------------------------------------------------------------------- Liabilities in excess of cash and other assets (2) - --------------------------------------------------------------------------------
PERFORMANCE Returns for the six months ended June 30, 2004 were: Institutional Class 2.69% Premier Class 2.40 Retail Class 2.27 Russell 1000 Growth Index 2.74 Lipper Large-Cap Growth Funds Average 2.35
3 Large Cap Value/John A. Levin & Co. Fund JUNE 30, 2004 ================================================================================ FUND SUMMARY ================================================================================ OBJECTIVE AND STRATEGY Seeks long-term capital appreciation by investing principally in common stocks of large U.S. companies with a market capitalization above $5 billion deemed, at the time of purchase, to be undervalued relative to their present and/or future prospects and after the stocks have declined from recent highs. FUND INCEPTION DATE 01/20/2000 TOTAL NET ASSETS $27.1 million NUMBER OF SECURITIES IN THE PORTFOLIO 67 INVESTMENT MANAGER John A. Levin & Co., Inc. ================================================================================
FUND PROFILE JUNE 30, 2004 (Unaudited) ================================================================================ Ten Largest Positions % of Net Assets - -------------------------------------------------------------------------------- Bank of America Corp. 4.0% - -------------------------------------------------------------------------------- General Electric Co. 3.5 - -------------------------------------------------------------------------------- Pfizer, Inc. 3.3 - -------------------------------------------------------------------------------- Lockheed Martin Corp. 2.9 - -------------------------------------------------------------------------------- Bank (The) of New York, Inc. 2.9 - -------------------------------------------------------------------------------- Microsoft Corp. 2.9 - -------------------------------------------------------------------------------- Home Depot, Inc. 2.8 - -------------------------------------------------------------------------------- Citigroup, Inc. 2.7 - -------------------------------------------------------------------------------- Exxon Mobil Corp. 2.4 - -------------------------------------------------------------------------------- US Bancorp 2.4 - -------------------------------------------------------------------------------- Ten Largest Sectors % of Net Assets - -------------------------------------------------------------------------------- Banks 11.8% - -------------------------------------------------------------------------------- Oil & Gas 9.5 - -------------------------------------------------------------------------------- Manufacturing 9.4 - -------------------------------------------------------------------------------- Financial 7.9 - -------------------------------------------------------------------------------- Media 7.2 - -------------------------------------------------------------------------------- Pharmaceuticals 6.2 - -------------------------------------------------------------------------------- Electric 4.9 - -------------------------------------------------------------------------------- Food & Beverages 4.6 - -------------------------------------------------------------------------------- Aerospace & Defense 4.5 - -------------------------------------------------------------------------------- Retail 4.0 - -------------------------------------------------------------------------------- Fund Composition % of Net Assets - -------------------------------------------------------------------------------- Common stocks 100% - -------------------------------------------------------------------------------- Short-term investments 1 - -------------------------------------------------------------------------------- Liabilities in excess of cash and other assets (1) - --------------------------------------------------------------------------------
PERFORMANCE Returns for the six months ended June 30, 2004 were: Institutional Class 3.82% Premier Class 3.72 Retail Class 3.63 S&P 500[RegTM] Index 3.44 Russell 1000 Value Index 3.94 Lipper Large-Cap Value Funds Average 3.24
4 S&P 500[RegTM] Index Fund JUNE 30, 2004 ================================================================================ FUND SUMMARY ================================================================================ OBJECTIVE AND STRATEGY Seeks long-term growth of capital by investing principally in common stocks of companies in the Standard & Poor's 500[RegTM] Composite Stock Price Index. FUND INCEPTION DATE 07/01/1997 - Institutional Class 01/21/2000 - Premier and Retail Classes TOTAL NET ASSETS $65.4 million NUMBER OF SECURITIES IN THE PORTFOLIO 503 INVESTMENT MANAGER TimesSquare Capital Management, Inc. ================================================================================
FUND PROFILE JUNE 30, 2004 (Unaudited) ================================================================================ Ten Largest Positions % of Net Assets - -------------------------------------------------------------------------------- General Electric Co. 2.5% - -------------------------------------------------------------------------------- Microsoft Corp. 2.3 - -------------------------------------------------------------------------------- Exxon Mobil Corp. 2.2 - -------------------------------------------------------------------------------- Pfizer, Inc. 2.0 - -------------------------------------------------------------------------------- Citigroup, Inc. 1.8 - -------------------------------------------------------------------------------- Wal-Mart Stores, Inc. 1.7 - -------------------------------------------------------------------------------- American International Group 1.4 - -------------------------------------------------------------------------------- Intel Corp. 1.4 - -------------------------------------------------------------------------------- Bank of America Corp. 1.3 - -------------------------------------------------------------------------------- Johnson & Johnson 1.3 - -------------------------------------------------------------------------------- Fund Composition % of Net Assets - -------------------------------------------------------------------------------- Common stocks 80% - -------------------------------------------------------------------------------- Short-term investments* 19 - -------------------------------------------------------------------------------- Cash and other assets less liabilities 1 - --------------------------------------------------------------------------------
*At June 30, 2004, the Fund was long 42 S&P 500[RegTM] futures contracts. PERFORMANCE Returns for the six months ended June 30, 2004 were: Institutional Class 3.45% Premier Class 3.29 Retail Class 3.17 S&P 500[RegTM] Index 3.44
5 Small Cap Growth/TimesSquare Fund JUNE 30, 2004 ================================================================================ FUND SUMMARY ================================================================================ OBJECTIVE AND STRATEGY Seeks long-term capital appreciation by investing principally in common and preferred stocks of U.S. companies with market capitalizations between $50 million and $2 billion, with a focus on growing companies involved in new product development and technological breakthroughs. FUND INCEPTION DATE 01/21/2000 TOTAL NET ASSETS $471.5 million NUMBER OF SECURITIES IN THE PORTFOLIO 108 INVESTMENT MANAGER TimesSquare Capital Management, Inc. ================================================================================
FUND PROFILE JUNE 30, 2004 (Unaudited) ================================================================================ Ten Largest Positions % of Net Assets - -------------------------------------------------------------------------------- Alliance Data Systems Corp. 3.0% - -------------------------------------------------------------------------------- Education Management Corp. 2.7 - -------------------------------------------------------------------------------- Getty Images, Inc. 2.5 - -------------------------------------------------------------------------------- DaVita, Inc. 2.0 - -------------------------------------------------------------------------------- Corporate Executive Board Co. 1.9 - -------------------------------------------------------------------------------- Respironics, Inc. 1.8 - -------------------------------------------------------------------------------- Pediatrix Medical Group, Inc. 1.8 - -------------------------------------------------------------------------------- iShares Russell 2000 Index Fund 1.8 - -------------------------------------------------------------------------------- VCA Antech, Inc. 1.7 - -------------------------------------------------------------------------------- Global Payments, Inc. 1.7 - -------------------------------------------------------------------------------- Ten Largest Sectors % of Net Assets - -------------------------------------------------------------------------------- Commercial Services 13.5% - -------------------------------------------------------------------------------- Health Care 9.8 - -------------------------------------------------------------------------------- Pharmaceuticals 8.3 - -------------------------------------------------------------------------------- Financial 7.7 - -------------------------------------------------------------------------------- Software 5.7 - -------------------------------------------------------------------------------- Semiconductors 5.7 - -------------------------------------------------------------------------------- Telecommunications 5.1 - -------------------------------------------------------------------------------- Oil & Gas 5.1 - -------------------------------------------------------------------------------- Electronics 3.5 - -------------------------------------------------------------------------------- Media 2.6 - -------------------------------------------------------------------------------- Fund Composition % of Net Assets - -------------------------------------------------------------------------------- Common stocks 93% - -------------------------------------------------------------------------------- Short-term investments 6 - -------------------------------------------------------------------------------- Cash and other assets less liabilities 1 - --------------------------------------------------------------------------------
PORTFOLIO MANAGER COMMENTARY The bulls charged out of the starting gate in 2004. Spurred by economic strength, solid corporate profit growth and a continued ravenous appetite for risk, stocks surged in the first three weeks of the year. A reality check came in the form of external geopolitical shocks and news of lackluster job growth, leading to the largest correction since the stock market recovery began in the spring of 2003. What followed was a series of fits and starts, with the market declining from the peak through the rest of the first quarter. Despite the decline, the result was a net gain for the quarter. In particular, the small cap growth space saw three corrections of worse than 5%, interspersed with three rallies of greater than 5% - all within a brief nine-and-a-half-week period. Leadership rotated in a sloppy fashion from last year's darlings - the smallest small caps, the low quality non-earnings companies and the riskier (higher-beta) stocks - to the high quality and the more liquid small cap stocks. In spite of the volatility, the small cap benchmarks had strong returns with a wide lead over large caps in the first quarter. The Russell 2000 Index rose 6.26%, versus 1.90% for the Russell 1000 Index. Small cap value stocks were the best-performing asset class for the quarter, as the Russell 2000 Value Index rose 6.92%, versus 5.58% for the Russell 2000 Growth Index. During the second quarter, super-sized first quarter corporate earnings far surpassed expectations. Instead, investors chose to focus on the super-sized oil prices and other signs of burgeoning inflation that would spur the Federal Reserve (Fed) to raise interest rates, and the market sold off from April through mid-May. During this corrective phase, leadership shifted away from the smallest, highest-beta and lower-quality stocks to the larger, higher-quality small caps. Having discounted the worst in terms of interest rate hikes, stocks bounced back from mid-May to the end of the quarter, with many economically cyclical issues performing especially well. In the second quarter, small caps underperformed the S&P 500[RegTM] Index for the first time in five quarters. The Russell 2000 Index eked out a gain of 0.47% versus 1.40% for the Russell 1000 Index and 1.72% for the S&P 500[RegTM] Index. Value strategies worked better in all capitalization segments; within the Russell 2000, the Growth benchmark rose 0.09% versus 0.85% for its Value counterpart. The Small Cap Growth/TimesSquare Fund Institutional Class rose 2.80% for the first quarter, versus 5.58% for the Russell 2000 Growth benchmark. It was disappointing to be behind the benchmark as the choppy, volatile and rotational nature of the market made it difficult to outperform. First quarter stock selection consisted of a good news/bad news scenario. The good news was that our largest, favorite holdings 6 contributed strongly as the market rotated back into the more established, quality growth players. The bad news was that a few holdings with disappointing fundamental developments made an outsized negative contribution to the portfolio, and a few stocks that had been ahead of themselves on a short-term basis succumbed to what we feel was overly punishing profit-taking. On a sector basis, great contributions from the Fund's health care and financial services holdings were offset by poor contributions from technology and producer durables. For the second quarter, the Small Cap Growth/TimesSquare Fund Institutional Class gained 0.70% versus 0.09% for the Russell 2000 Growth Index. Strong gains in producer durables, energy and materials & processing holdings as well as gains in our financial services and consumer discretionary holdings added value. Health care holdings took a breather, while a sizeable underweight with good relative performance in the weak technology sector added positive relative value, though the holdings contributed negatively on the whole. An underperformance in consumer staples stocks also detracted from performance. The U.S. economy continues to plug away, albeit at a more moderate pace than earlier in the year. The Fed's goal, which began its tightening process on June 30, is to remove monetary stimulus at a "measured" pace unless inflation pressures heat up. It is difficult to justify expanding P/E multiples in the current environment of rising interest rates. Thus, earnings growth remains the key to moving individual stocks higher. Despite the recent technology earnings disappointments, the news continues to be favorable on that front. Corporate sector fundamentals have strengthened as reflected in record levels of earnings, dividends, and cash flow, with significantly improved balance sheets. This should continue to boost capital spending and employment. Though small caps may be due for a respite in the relative performance game, it should only be short term in nature. Longer term, small cap stocks rarely lag over long stretches of time. In fact, looking at rolling 20-year excess returns going back to 1945, there are markedly few instances where small caps have lagged large caps. Since 1999, small caps have yet to catch up to the large caps on a rolling 20-year basis. Our focus continues to be on identifying solid companies that can grow faster with reasonable valuations. PERFORMANCE Returns for the six months ended June 30, 2004 were: Institutional Class 3.53% Premier Class 3.36 Retail Class 3.29 S&P 500[RegTM] Index 3.44 Russell 2000 Growth Index 5.68 Russell 2000 Index 6.76 Lipper Small-Cap Growth Funds Average 3.32
7 Small Cap Value/Perkins, Wolf, McDonnell Fund JUNE 30, 2004 ================================================================================ FUND SUMMARY ================================================================================ OBJECTIVE AND STRATEGY Seeks long-term capital appreciation by investing principally in common stocks of small U.S. companies with market capitalizations at the time of purchase of less than $1 billion and whose stock prices are believed to be undervalued. FUND INCEPTION DATE 01/20/2000 TOTAL NET ASSETS $131.1 million NUMBER OF SECURITIES IN THE PORTFOLIO 66 INVESTMENT MANAGER Perkins, Wolf, McDonnell & Company ================================================================================
FUND PROFILE JUNE 30, 2004 (Unaudited) ================================================================================ Ten Largest Positions % of Net Assets - -------------------------------------------------------------------------------- Brookline Bancorp, Inc. 2.4% - -------------------------------------------------------------------------------- EMCOR Group, Inc. 2.4 - -------------------------------------------------------------------------------- Alexandria Real Estate Equities, Inc. 2.3 - -------------------------------------------------------------------------------- Energy Partners Ltd. 2.2 - -------------------------------------------------------------------------------- Steris Corp 2.2 - -------------------------------------------------------------------------------- FNB Corp. 2.1 - -------------------------------------------------------------------------------- Superior Industries International, Inc. 2.1 - -------------------------------------------------------------------------------- Arch Coal, Inc. 2.0 - -------------------------------------------------------------------------------- Washington Federal, Inc. 2.0 - -------------------------------------------------------------------------------- Lubrizol Corp. 2.0 - -------------------------------------------------------------------------------- Ten Largest Sectors % of Net Assets - -------------------------------------------------------------------------------- Banks 13.4% - -------------------------------------------------------------------------------- REIT 9.9 - -------------------------------------------------------------------------------- Oil & Gas 6.4 - -------------------------------------------------------------------------------- Manufacturing 5.7 - -------------------------------------------------------------------------------- Health Care 5.6 - -------------------------------------------------------------------------------- Software 4.8 - -------------------------------------------------------------------------------- Transportation 4.1 - -------------------------------------------------------------------------------- Machinery 3.7 - -------------------------------------------------------------------------------- Engineering & Construction 3.5 - -------------------------------------------------------------------------------- Chemicals 3.0 - -------------------------------------------------------------------------------- Fund Composition % of Net Assets - -------------------------------------------------------------------------------- Common stocks 90% - -------------------------------------------------------------------------------- Short-term investments 10 - --------------------------------------------------------------------------------
PERFORMANCE Returns for the six months ended June 30, 2004 were: Institutional Class 4.53% Premier Class 4.48 Retail Class 4.29 S&P 500[RegTM] Index 3.44 Russell 2000 Value Index 7.83 Lipper Small-Cap Value Funds Average 8.15
8 International Blend/Bank of Ireland Fund JUNE 30, 2004 ================================================================================ FUND SUMMARY ================================================================================ OBJECTIVE AND STRATEGY Seeks long-term capital appreciation by investing principally in common stocks of well-established companies located outside the U.S. FUND INCEPTION DATE 01/24/2000 TOTAL NET ASSETS $13.9 million NUMBER OF SECURITIES IN THE PORTFOLIO 92 INVESTMENT MANAGER Bank of Ireland Asset Management (U.S.) Limited ================================================================================
FUND PROFILE JUNE 30, 2004 (Unaudited) ================================================================================ Ten Largest Positions % of Net Assets - -------------------------------------------------------------------------------- Nestle SA 3.6% - -------------------------------------------------------------------------------- Total Fina Elf SA 3.5 - -------------------------------------------------------------------------------- Canon, Inc. 3.1 - -------------------------------------------------------------------------------- UBS AG 2.9 - -------------------------------------------------------------------------------- ING Groep NV 2.5 - -------------------------------------------------------------------------------- E. ON AG 2.5 - -------------------------------------------------------------------------------- HSBC Holdings PLC 2.3 - -------------------------------------------------------------------------------- Samsung Electronic Co., Ltd. 2.2 - -------------------------------------------------------------------------------- Nippon Telephone & Telegraph Corp. 2.2 - -------------------------------------------------------------------------------- Novartis AG 2.2 - -------------------------------------------------------------------------------- Ten Largest Industries % of Net Assets - -------------------------------------------------------------------------------- United Kingdom 23.8% - -------------------------------------------------------------------------------- Japan 17.3 - -------------------------------------------------------------------------------- Switzerland 12.2 - -------------------------------------------------------------------------------- France 9.8 - -------------------------------------------------------------------------------- Netherlands 8.5 - -------------------------------------------------------------------------------- Germany 6.0 - -------------------------------------------------------------------------------- South Korea 4.3 - -------------------------------------------------------------------------------- Italy 3.6 - -------------------------------------------------------------------------------- Hong Kong 3.5 - -------------------------------------------------------------------------------- Spain 3.0 - -------------------------------------------------------------------------------- Fund Composition % of Net Assets - -------------------------------------------------------------------------------- Common stocks 98% - -------------------------------------------------------------------------------- Short-term investments 2 - --------------------------------------------------------------------------------
PERFORMANCE Returns for the six months ended June 30, 2004 were: Institutional Class 2.23% Premier Class 2.10 Retail Class 2.12 MSCI EAFE (net) 4.56 Lipper International Funds Average 3.63
9 TimesSquare Core Plus Bond Fund JUNE 30, 2004 ================================================================================ FUND SUMMARY ================================================================================ OBJECTIVE AND STRATEGY Seeks a high level of total return by investing principally in fixed income securities. FUND INCEPTION DATE 12/31/1999 - Institutional Class 01/21/2000 Premier and Retail Classes TOTAL NET ASSETS $21.2 million NUMBER OF SECURITIES IN THE PORTFOLIO 181 INVESTMENT MANAGER TimesSquare Capital Management, Inc. ================================================================================
FUND PROFILE JUNE 30, 2004 (Unaudited) ================================================================================ Ten Largest Positions % of Net Assets - -------------------------------------------------------------------------------- Freddie Mac 14.9% - -------------------------------------------------------------------------------- Fannie Mae 14.8 - -------------------------------------------------------------------------------- U.S. Treasury 9.8 - -------------------------------------------------------------------------------- Ginnie Mae 5.8 - -------------------------------------------------------------------------------- Time Warner, Inc. 1.8 - -------------------------------------------------------------------------------- Sovereign Bancorp. 1.3 - -------------------------------------------------------------------------------- VFB LLC 1.1 - -------------------------------------------------------------------------------- TELUS Corp. 1.0 - -------------------------------------------------------------------------------- First Energy Corp. 0.9 - -------------------------------------------------------------------------------- Union Pacific Corp. 0.9 - -------------------------------------------------------------------------------- Ten Largest Sectors % of Net Assets - -------------------------------------------------------------------------------- U.S. Government & Agencies 49.7% - -------------------------------------------------------------------------------- Financial 11.1 - -------------------------------------------------------------------------------- Communications & Media 9.9 - -------------------------------------------------------------------------------- Consumer & Retail 3.2 - -------------------------------------------------------------------------------- Utilities 3.1 - -------------------------------------------------------------------------------- Transportation 2.1 - -------------------------------------------------------------------------------- Industrial 1.9 - -------------------------------------------------------------------------------- Foreign Government 1.5 - -------------------------------------------------------------------------------- Insurance 1.2 - -------------------------------------------------------------------------------- Pharmaceuticals 0.6 - -------------------------------------------------------------------------------- Fund Composition % of Net Assets - -------------------------------------------------------------------------------- Bonds 85% - -------------------------------------------------------------------------------- Preferred stock 2 - -------------------------------------------------------------------------------- Short-term investments 8 - -------------------------------------------------------------------------------- Cash and other assets less liabilities 5 - --------------------------------------------------------------------------------
PERFORMANCE Returns for the six months ended June 30, 2004 were: Institutional Class 0.81% Premier Class 0.52 Retail Class 0.43 Lehman Brothers Aggregate Bond Index 0.16 Lipper Corporate Debt Funds - 'A' Rated Average (0.18)
10 Balanced Fund (sub-advised by Wellington Management) INVESTMENTS IN SECURITIES June 30, 2004 (Unaudited)
PRINCIPAL VALUE (000) (000) - --------------------------------------------------------------------------------------- BONDS-31.0% AEROSPACE/DEFENSE-0.1% Raytheon Co., 6.50%, 2005 $ 10 $ 10 ----- AUTO & TRUCK-0.3% DaimlerChrysler NA Holding Corp., 4.75%, 2008 15 15 Ford Motor Co., 6.50%, 2018 45 42 ----- 57 ----- BASIC MATERIALS-0.1% Alcan, Inc., 6.13%, 2033 10 10 Alcoa, Inc., 6.50%, 2011 10 11 ----- 21 ----- COMMUNICATIONS & MEDIA-1.7% Alltel Corp., 7.00%, 2012 10 11 AT&T Wireless Services, Inc., 8.75%, 2031 15 18 British Telecommunications PLC, 8.88% (coupon change based on rating), 2030 15 19 Cia de Telecom de Chile, 8.38%, 2006 20 21 Cingular Wireless LLC, 7.13%, 2031 10 10 Clear Channel Communications, Inc., 7.65%, 2010 10 11 Cox Communications, Inc., 7.50%, 2004 40 40 Deutsche Telekom International Finance BV, 8.75% (coupon change based on rating), 2030 10 12 France Telecom SA, 8.75% (coupon change based on rating), 2011 15 17 InterActiveCorp., 7.00%, 2013 5 5 Liberty Media Corp., 7.75%, 2009 15 17 News America Holdings, 7.75%, 2024 20 23 Southwestern Bell Telephone Co., 6.63%, 2007 50 54 TCI Communications, Inc., 8.75%, 2015 10 12 7.13%, 2028 10 10 Time Warner, Inc., 7.25%, 2017 25 27 Vodafone Group PLC, 7.75%, 2010 10 11 ----- 318 ----- CONSUMER PRODUCTS-0.2% Altria Group, Inc., 7.00%, 2013 5 5 Centex Corp., 7.50%, 2012 10 11 International Game Technology, 8.38%, 2009 5 6 Pulte Homes, Inc., 8.13%, 2011 10 12 ----- 34 ----- FINANCIAL-7.3% American Express Credit Corp., 7.20%, 2007 50 52 Associates Corp. of North America, 6.63%, 2005 65 69 Bank of America Corp., 5.88%, 2009 50 53 Bank One Corp., 6.50%, 2006 25 26
PRINCIPAL VALUE (000) (000) - --------------------------------------------------------------------------------------- FINANCIAL continued Boeing Capital Corp., 6.50%, 2012 $ 10 $ 11 Capital Auto Receivables Asset Trust, 2.96%, 2008 50 50 CIT Group Holdings, 7.63%, 2005 5 5 Citibank Credit Card Issuance Trust, 2.50%, 2008 50 50 Deere (John) Capital Corp., 7.00%, 2012 10 11 Fleet Credit Card Master Trust, 2.40%, 2008 50 50 Ford Motor Credit Co., 7.38%, 2011 10 11 General Electric Capital Corp., 6.13%, 2011 20 21 General Motors Acceptance Corp., 7.75%, 2010 25 27 Goldman Sachs Group, Inc., 7.63%, 2005 50 53 Greenwich Capital Commercial Funding Corp., 4.92%, 2036 50 49 Household Finance Corp., 5.88%, 2009 25 26 International Lease Financing Co., 5.75%, 2006 50 53 LB-UBS Commercial Mortgage Trust, 6.13%, 2030 100 107 MBNA Credit Card Master Note Trust, 5.75%, 2008 50 52 Mercantile Bancorporation, Inc., 7.30%, 2007 10 11 Morgan (J.P.) Chase & Co., 7.00%, 2009 10 11 Morgan Stanley, 7.75%, 2005 50 52 6.39%, 2033 100 108 6.46%, 2033 50 53 National Australia Bank Ltd., 8.60%, 2010 25 30 Nomura Asset Securities Corp., 6.59%, 2030 100 109 Popular North America, Inc., 4.25%, 2008 10 10 Wells Fargo & Co., 6.63%, 2004 75 75 WFS Financial Owner Trust, 1.58%, 2006 37 37 World Omni Auto Receivables Trust, 4.05%, 2009 50 51 ----- 1,323 ----- FOOD & BEVERAGES-0.4% ConAgra Foods, Inc., 6.75%, 2011 30 33 General Mills, Inc., 6.00%, 2012 5 5 Kraft Foods, Inc., 4.63%, 2006 5 5 PepsiCo, Inc., 5.75%, 2008 25 27 Tyson Foods, Inc., 8.25%, 2011 5 6 ----- 76 ----- FOREST PRODUCTS/PAPER-0.1% Temple-Inland, Inc., 7.88%, 2012 10 11 Weyerhaeuser Co., 6.75%, 2012 10 11 ----- 22 ----- INSURANCE-0.6% Berkley (WR) Corp., 5.88%, 2013 10 10 Jackson National Life Global Funding, 6.13%, 2012 (144A security acquired May 2003 for $11) (b) 10 10
The Notes to Financial Statements are an integral part of these statements. 11 Balanced Fund (sub-advised by Wellington Management) INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited)
PRINCIPAL VALUE (000) (000) - --------------------------------------------------------------------------------------- BONDS continued INSURANCE continued Liberty Mutual Insurance Co., 7.70%, 2097 (144A security acquired Nov. 2001 for $23) (b) $ 30 $ 30 Marsh & McLennan Cos., Inc., 5.88%, 2033 10 9 Nationwide Financial Services, Inc., 6.25%, 2011 20 21 Safeco Corp., 4.88%, 2010 10 10 Torchmark Corp., 6.25%, 2006 10 11 XL Capital Europe PLC, 6.50%, 2012 10 11 ----- 112 ----- OIL & GAS-1.0% Atlantic Richfield Co., 5.90%, 2009 25 27 Burlington Resources Finance Co., 5.70%, 2007 20 21 Conoco, Inc., 6.95%, 2029 20 22 Devon Energy Corp., 7.95%, 2032 15 17 Kinder Morgan Energy Partners LP, 7.13%, 2012 20 22 Kinder Morgan, Inc., 6.50%, 2012 10 11 Pemex Project Funding Master Trust, 8.63%, 2022 40 42 Transocean, Inc., 6.63%, 2011 10 11 Valero Energy Corp., 7.50%, 2032 10 11 ----- 184 ----- PHARMACEUTICALS-0.1% Schering-Plough Corp., 5.30%, 2013 10 10 ----- REAL ESTATE-0.0% Liberty Property LP, 8.50%, 2010 5 6 ----- REIT-0.0% Healthcare Realty Trust, 5.13%, 2014 10 9 ----- RETAIL-0.7% Lowes Companies, Inc., 6.50%, 2029 25 26 Target Corp., 7.50%, 2005 20 21 Wal-Mart Stores, Inc., 6.55%, 2004 75 75 Yum! Brands, Inc., 7.65%, 2008 10 11 ----- 133 ----- TRANSPORTATION-0.4% American Airlines, Inc., 3.86%, 2010 5 5 Continental Airlines, Inc., 6.90%, 2018 25 24 Delta Air Lines, Inc., 6.72%, 2023 44 46 ----- 75 ----- PRINCIPAL VALUE (000) (000) - --------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS (c)-13.1% Federal Home Loan Bank, 5.75%, 2012 $ 10 $ 11 Freddie Mac, 7.00%, 2005 40 42 5.25%, 2006 50 52 6.50%, 2009 50 53 5.63%, 2011 65 68 Fannie Mae, 7.13%, 2010 35 40 7.25%, 2010 150 171 5.38%, 2011 25 26 6.09%, 2011 97 103 5.52%, 2012 49 52 6.05%, 2012 49 52 6.06%, 2012 35 37 6.00%, 2016 83 86 5.50%, 2017 77 79 5.00%, 2018 168 169 5.00%, 2019 396 397 5.00%, 2033 99 97 Ginnie Mae, 8.25%, 2006 8 8 8.25%, 2008 23 25 6.50%, 2023 100 106 7.50%, 2023 42 45 7.00%, 2026 112 119 6.00%, 2028 16 17 6.50%, 2028 85 89 7.00%, 2028 82 87 7.50%, 2030 2 2 8.00%, 2031 13 15 5.00%, 2033 258 250 ----- 2,384 ----- U.S. TREASURY OBLIGATIONS-4.3% U.S. Treasury Bonds, 7.50%, 2016 40 49 8.88%, 2017 20 27 8.13%, 2019 90 118 8.88%, 2019 79 109 7.88%, 2021 160 207 6.25%, 2023 55 61 7.63%, 2025 15 19 Principal Strip, 6.88%, 2025 100 30 U.S. Treasury Note, 6.50%, 2005 150 156 ----- 776 -----
The Notes to Financial Statements are an integral part of these statements. 12 Balanced Fund (sub-advised by Wellington Management) INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited)
PRINCIPAL VALUE (000) (000) - ------------------------------------------------------------------------ BONDS continued UTILITIES-0.6% Alabama Power Co., 5.88%, 2022 $ 10 $ 10 Dominion Resources, Inc., 8.13%, 2010 20 23 Duke Energy Corp., 6.25%, 2012 10 10 Oncor Electric Delivery Co., 6.38%, 2012 15 16 Progress Energy, Inc., 7.10%, 2011 25 27 PSEG Power LLC, 6.95%, 2012 10 11 Wisconsin Electric Power Co., 5.63%, 2033 10 9 ----- 106 ----- TOTAL BONDS (Cost $5,602) 5,656 ----- NUMBER OF SHARES --------- COMMON STOCKS-67.3% AEROSPACE/DEFENSE-0.3% General Dynamics Corp. 600 60 ----- AUTO & TRUCK-1.0% General Motors Corp. 3,900 182 ----- BASIC MATERIALS-3.3% Alcoa, Inc. 10,800 357 du Pont (E.I.) de Nemours & Co. 5,500 244 ----- 601 ----- COMMUNICATIONS & MEDIA-4.9% BellSouth Corp. 5,200 136 Comcast Corp. (a) 8,800 243 Gannett Co., Inc. 1,300 110 SBC Communications, Inc. 6,300 153 Time Warner, Inc. (a) 14,000 246 ----- 888 ----- COMPUTERS-1.1% Hewlett-Packard Co. 3,800 80 International Business Machines Corp. 1,300 115 ----- 195 ----- COSMETICS/PERSONAL CARE-0.9% Kimberly-Clark Corp. 2,500 165 ----- DIVERSIFIED MANUFACTURING-2.8% Illinois Tool Works, Inc. 1,800 173 Tyco International Ltd. 10,200 338 ----- 511 ----- FINANCIAL-14.4% Bank of America Corp. 5,700 482 Bank One Corp. 3,100 158
NUMBER OF VALUE SHARES (000) - ------------------------------------------------------------------------ FINANCIAL continued Citigroup, Inc. 12,240 $ 569 Fannie Mae 2,900 207 Goldman Sachs Group, Inc. 2,000 188 Morgan Stanley 4,000 211 National City Corp. 8,300 291 PNC Financial Services Group, Inc. 2,300 122 Suntrust Banks, Inc. 1,800 117 Washington Mutual, Inc. 2,200 85 Wells Fargo & Co. 3,300 189 ------ 2,619 ------ FOOD & BEVERAGES-2.3% Coca-Cola (The) Co. 4,300 125 Kellogg Co. 3,800 159 PepsiCo, Inc. 2,400 129 ------ 413 ------ FOREST PRODUCTS/PAPER-1.3% Weyerhaeuser Co. 3,800 240 ------ HEALTH CARE-3.6% Anthem, Inc. (a) 1,800 161 Bard (C.R.), Inc. 2,600 147 Baxter International, Inc. 5,400 186 Beckman Coulter, Inc. 2,700 165 ------ 659 ------ INSURANCE-2.8% ACE Ltd. 1,200 51 Chubb Corp. 1,600 109 Marsh & McLennan Co's., Inc. 1,000 45 Principal Financial Group 3,800 132 St. Paul Companies, Inc. 4,100 166 ------ 503 ------ MACHINERY-2.9% Caterpillar, Inc. 5,000 397 Rockwell Automation, Inc. 3,300 124 ------ 521 ------ OIL & GAS-7.5% ConocoPhilips 3,100 237 ChevronTexaco Corp. 1,300 122 Exxon Mobil Corp. 13,200 586 National Fuel Gas Co. 100 3 Shell Transport & Trading Co. PLC 9,600 429 ------ 1,377 ------
The Notes to Financial Statements are an integral part of these statements. 13 Balanced Fund (sub-advised by Wellington Management) INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - ------------------------------------------------------------------------ COMMON STOCKS continued PHARMACEUTICALS-3.0% Pfizer, Inc. 11,400 $ 391 Wyeth 4,500 163 ------- 554 ------- RETAIL-3.5% CVS Corp. 5,600 235 Dollar General Corp. 7,000 137 McDonald's Corp. 4,700 122 Nike, Inc. 1,900 144 ------- 638 ------- TECHNOLOGY-4.1% Applied Materials, Inc. (a) 12,900 253 Intel Corp. 8,200 226 Teradyne, Inc. (a) 11,800 268 ------- 747 ------- TRANSPORTATION-2.2% CSX Corp. 6,300 207 Southwest Airlines Co. 12,000 201 ------- 408 ------- UTILITIES-5.4% Dominion Resources, Inc. 2,050 129 Emerson Electric Co. 2,000 127 Exelon Corp. 6,700 223 PPL Corp. 2,100 97 Progress Energy, Inc. 3,000 132 SCANA Corp. 3,500 127 TXU Corp. 3,700 150 ------- 985 ------- TOTAL COMMON STOCKS (Cost $10,705) 12,266 ------- NUMBER OF VALUE SHARES (000) - ------------------------------------------------------------------------ SHORT-TERM OBLIGATION-1.3% MONEY MARKET FUND-1.3% CIGNA Funds Group - Money Market Fund (d) (Cost $237) 237,135 $ 237 ------- TOTAL INVESTMENTS IN SECURITIES-99.6% (Total Cost $16,544) (e) 18,159 Cash and Other Assets, Less Liabilities - 0.4% 72 ------- NET ASSETS-100.0% $18,231 =======
NOTES TO INVESTMENTS IN SECURITIES (a) Non-income producing security. (b) Indicates restricted security; the aggregate value of restricted securities is $40,164 (aggregate cost $34,672), which is approximately 0.2% of net assets. Valuations have been furnished by brokers trading in the securities or a pricing service for all restricted securities. (c) Agency obligations are not guaranteed by the U.S. Government. (d) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is also the Adviser to the CIGNA Funds Group - Money Market Fund. Tax Information (e) At June 30, 2004, the net unrealized appreciation of investments, based on cost for federal income tax purposes of $16,579,965, was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $1,763,747 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (184,956) ---------- Unrealized appreciation - net $1,578,791 ==========
(f) As of December 31, 2003, the components of distributable earnings (excluding unrealized appreciation/(depreciation) disclosed above) on a tax basis consisted of the following: Undistributed ordinary income $ 13,281 Capital loss carryforward: Expiring 2009 $ 826,204 Expiring 2010 745,096 Expiring 2011 347,043 ---------- $1,918,343 ==========
The Notes to Financial Statements are an integral part of these statements. 14 Large Cap Growth/Morgan Stanley Fund INVESTMENTS IN SECURITIES June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - ------------------------------------------------------------------------ COMMON STOCKS-98.4% AEROSPACE & DEFENSE-1.3% United Technologies Corp. 2,200 $ 201 ------ APPAREL-0.5% Coach, Inc. (a) 1,800 81 ------ BANKS-1.0% Fifth Third Bancorp 2,850 153 ------ BIOTECHNOLOGY-3.3% Amgen, Inc. (a) 2,975 162 Biogen Idec, Inc. (a) 1,225 77 Celgene Corp. (a) 1,100 63 Chiron Corp. (a) 1,000 45 Genentech, Inc. (a) 2,400 135 Telik, Inc. (a) 1,800 43 ------ 525 ------ COMMERCIAL TECHNOLOGY SERVICES-1.7% Accenture Ltd., Class A (a) 6,750 185 Paychex, Inc. 2,400 81 ------ 266 ------ COMPUTERS & PERIPHERALS-2.9% Dell, Inc. (a) 6,525 234 EMC Corp. (a) 13,675 156 Network Appliance, Inc. (a) 3,500 75 ------ 465 ------ COSMETICS/PERSONAL CARE-2.4% Kimberly-Clark Corp. 1,770 117 Procter & Gamble Co. 4,800 261 ------ 378 ------ ELECTRONICS-0.5% Amphenol Corp., Class A (a) 2,345 78 ------ ENTERTAINMENT-1.5% GTECH Holdings Corp. 2,290 106 International Game Technology 3,500 135 ------ 241 ------ FINANCIAL-11.6% American Express Co. 4,750 244 Ameritrade Holding Corp. (a) 9,000 102 Citigroup, Inc. 12,766 594 Fannie Mae 2,800 200 Goldman Sachs Group, Inc. 2,875 271 Lehman Brothers Holdings, Inc. 1,600 120 MBNA Corp. 12,300 317 ------ 1,848 ------ NUMBER OF VALUE SHARES (000) - ------------------------------------------------------------------------ FOOD & BEVERAGES-3.6% Coca-Cola (The) Co. 7,875 $ 398 PepsiCo, Inc. 3,125 168 ------ 566 ------ HEALTH CARE-7.1% Anthem, Inc. (a) 1,415 127 Boston Scientific Corp. (a) 5,100 218 Dade Behring Holdings, Inc. (a) 900 43 Guidant Corp. 600 34 INAMED Corp. (a) 882 55 Johnson & Johnson 4,300 240 Medtronic, Inc. 3,200 156 St. Jude Medical, Inc. (a) 1,195 90 UnitedHealth Group, Inc. 2,650 165 ------ 1,128 ------ INSURANCE-1.4% American International Group, Inc. 3,200 228 ------ INTERNET-7.8% Amazon.com, Inc. (a) 2,200 120 eBay, Inc. (a) 3,630 334 InterActive Corp. (a) 13,030 393 Symantec Corp. (a) 1,900 83 Yahoo!, Inc. (a) 8,480 308 ------ 1,238 ------ LEISURE TIME-0.9% Carnival Corp. 3,000 141 ------ LODGING-0.5% Wynn Resorts Ltd. (a) 2,130 82 ------ MANUFACTURING-8.8% 3M Co. 850 76 General Electric Co. 30,800 998 Tyco International Ltd. 9,800 325 ------ 1,399 ------ MEDIA-2.5% News Corp. Ltd. 2,835 100 Time Warner, Inc. (a) 7,800 137 Univision Communications, Inc., Class A (a) 4,917 157 ------ 394 ------ OIL & GAS-2.5% Exxon Mobil Corp. 5,300 235 Murphy Oil Corp. 650 48 Smith International, Inc. (a) 2,140 119 ------ 402 ------
The Notes to Financial Statements are an integral part of these statements. 15 Large Cap Growth/Morgan Stanley Fund INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - ------------------------------------------------------------------------ COMMON STOCKS continued PHARMACEUTICALS-8.0% Allergan, Inc. 545 $ 49 Bristol-Myers Squibb Co. 3,100 76 Caremark Rx, Inc. (a) 3,150 104 Forest Laboratories, Inc. (a) 1,800 102 Gilead Sciences, Inc. (a) 950 64 Lilly (Eli) and Co. 900 63 Pfizer, Inc. 19,040 653 Teva Pharmaceutical Industries Ltd. ADR 2,389 161 ------- 1,272 ------- RETAIL-7.0% Bed Bath & Beyond, Inc. (a) 630 24 Chico's FAS, Inc. (a) 2,941 133 Kohl's Corp. (a) 2,200 93 Lowe's Companies, Inc. 2,975 156 Outback Steakhouse, Inc. 2,300 95 PETsMART, Inc. 2,670 87 Staples, Inc. 2,700 79 TJX (The) Companies, Inc. 2,925 71 Target Corp. 2,141 91 Wal-Mart Stores, Inc. 3,300 174 Yum! Brands, Inc. (a) 2,840 106 ------- 1,109 ------- SEMICONDUCTORS-5.5% Analog Devices, Inc. 5,050 238 Intel Corp. 10,200 282 Linear Technology Corp. 5,025 198 Marvell Technology Group Ltd. (a) 1,560 42 Texas Instruments, Inc. 4,875 118 ------- 878 ------- SOFTWARE-8.7% Adobe Systems, Inc. 1,500 70 Mercury Interactive Corp. (a) 3,475 173 Microsoft Corp. 29,400 840 Novell, Inc. (a) 3,600 30 Oracle Corp. (a) 8,575 102 Red Hat, Inc. (a) 2,400 55 Veritas Software Corp. (a) 4,062 113 ------- 1,383 ------- NUMBER OF VALUE SHARES (000) - ------------------------------------------------------------------------ TELECOMMUNICATIONS-5.6% Cisco Systems, Inc. (a) 21,150 $ 501 Juniper Networks, Inc. (a) 3,600 88 Motorola, Inc. 6,900 126 Qualcomm, Inc. 2,300 168 ------- 883 ------- TRANSPORTATION-1.8% CH Robinson Worlwide, Inc. 2,860 131 United Parcel Service, Inc. Class B 2,150 162 ------- 293 ------- TOTAL COMMON STOCKS (Cost $14,688) 15,632 ------- SHORT-TERM OBLIGATION-3.5% MONEY MARKET FUND CIGNA Funds Group - Money Market Fund (b) (Cost $555) 555,158 555 ------- TOTAL INVESTMENTS IN SECURITIES-101.9% (Total Cost $15,243) (c) 16,187 Liabilities in excess of Cash and Other Assets - (1.9%) (304) ------- NET ASSETS-100.0% $15,883 =======
NOTES TO INVESTMENTS IN SECURITIES (a) Non-income producing security. (b) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is also the Adviser to the CIGNA Funds Group - Money Market Fund. Tax Information (c) At June 30, 2004, the net unrealized appreciation of investments, based on cost for federal income tax purposes of $15,675,059, was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 853,640 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (341,680) ---------- Unrealized appreciation - net $ 511,960 ==========
(d) As of December 31, 2003, the components of distributable earnings (excluding unrealized appreciation/(depreciation) disclosed above) on a tax basis consisted of the following: Undistributed ordinary income $ 50 Capital loss carryforward: Expiring 2008 $ 387,542 Expiring 2009 1,807,002 Expiring 2010 2,322,387 Expiring 2011 266,395 ---------- $4,783,326 ==========
The Notes to Financial Statements are an integral part of these statements. 16 Large Cap Value/John A. Levin & Co. Fund INVESTMENTS IN SECURITIES June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS-99.6% ADVERTISING-0.2% Interpublic (The) Group of Companies, Inc. (a) 4,800 $ 66 ------ AEROSPACE & DEFENSE-4.5% Lockheed Martin Corp. 15,100 786 Northrop Grumman Corp. 7,900 424 ------ 1,210 ------ AUTO PARTS & EQUIPMENT-0.7% Delphi Corp. 16,600 177 ------ BANKS-11.8% Bank of America Corp. 12,720 1,076 Bank (The) of New York, Inc. 26,600 784 PNC Financial Services Group, Inc. 6,100 324 US Bancorp 23,291 642 Wells Fargo & Co. 6,400 366 ------ 3,192 ------ CHEMICALS-2.4% Dow (The) Chemical Co. 8,900 362 PPG Industries, Inc. 4,630 289 ------ 651 ------ COMMERCIAL TECHNOLOGY SERVICES-1.6% Accenture Ltd., Class A (a) 15,700 431 ------ COMPUTERS-3.1% Hewlett-Packard Co. 23,300 492 International Business Machines Corp. 4,100 361 ------ 853 ------ COSMETICS/PERSONAL CARE-1.2% Procter & Gamble Co. 6,000 327 ------ ELECTRIC-4.9% Emerson Electric Co. 4,100 261 Entergy Corp. 9,600 538 FirstEngery Corp. 1,700 64 PG&E Corp. (a) 12,200 341 Xcel Energy, Inc. 7,900 132 ------ 1,336 ------ ELECTRONICS-3.9% Applera Corp.-Applied Biosystems Group 9,600 209 Konnklijke (Royal) Philips Electronics Corp. ADR 20,196 549 Thermo Electron Corp. (a) 10,055 309 ------ 1,067 ------ NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- FINANCIAL-7.9% Citigroup, Inc. 15,800 $ 735 Freddie Mac 3,700 234 MBNA Corp. 10,645 275 Morgan (JP) Chase & Co. 14,400 558 Morgan Stanley 6,500 343 ------ 2,145 ------ FOOD & BEVERAGES-4.6% Coca-Cola (The) Co. 6,700 338 Diageo PLC 6,600 361 PepsiCo., Inc. 5,900 318 Sara Lee Corp. 9,700 223 ------ 1,240 ------ HEALTH CARE-2.3% Guidant Corp. 3,500 196 Johnson & Johnson 7,800 434 ------ 630 ------ HOUSEWARES-2.5% Clorox Co. 5,500 296 Newell Rubbermaid, Inc. 15,800 371 ------ 667 ------ INSURANCE-3.8% American International Group, Inc. 7,950 567 XL Capital Ltd., Class A 6,300 475 ------ 1,042 ------ MANUFACTURING-9.4% Coopers Industries Ltd., Class A 3,200 190 General Electric Co. 29,200 946 Honeywell International, Inc. 9,400 344 ITT Industries, Inc. 1,700 141 Textron, Inc. 7,900 469 Tyco International Ltd. 14,100 467 ------ 2,557 ------ LEISURE TIME-0.0% Life Time Fitness, Inc. (a) 330 6 ------ MEDIA-7.2% Clear Channel Communications, Inc. 4,400 163 Comcast Corp., Class A (a) 9,185 254 EchoStar Communications, Corp., Class A (a) 13,215 406 News Corp. Ltd. 18,898 621 Tribune Co. 5,500 251 Viacom, Inc., Class B 7,350 263 ------ 1,958 ------
The Notes to Financial Statements are an integral part of these statements. 17 Large Cap Value/John A. Levin & Co. Fund INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS continued MINING-1.0% Alcan, Inc. 6,600 $ 273 ------- OFFICE/BUSINESS EQUIPMENT-0.5% Pitney Bowes, Inc. 3,000 133 ------- OIL & GAS-9.5% BP PLC 10,200 546 ChevronTexaco Corp. 4,900 461 Cooper Cameron Corp. (a) 5,800 283 Exxon Mobil Corp. 14,600 648 Unocal Corp. 11,400 433 Williams (The) Companies, Inc. 17,500 208 ------- 2,579 ------- PHARMACEUTICALS-6.2% AmerisourceBergen Corp. 6,300 377 Pfizer, Inc. 25,755 883 Wyeth 11,340 410 ------- 1,670 ------- RETAIL-4.0% Home Depot, Inc. 21,300 750 Limited Brands, Inc. 18,229 341 ------- 1,091 ------- SOFTWARE-2.9% Microsoft Corp. 27,300 780 ------- TELECOMMUNICATIONS-3.5% SBC Communications, Inc. 18,600 452 Verizon Communications, Inc. 13,400 485 ------- 937 ------- TOTAL COMMON STOCKS (Cost $24,369) 27,018 ------- NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- SHORT-TERM OBLIGATION-1.3% MONEY MARKET FUND CIGNA Funds Group - Money Market Fund (b) (Cost $345) 345,184 $ 345 ------- TOTAL INVESTMENTS IN SECURITIES-100.9% (Total Cost $24,714) (c) 27,363 Liabilities in excess of Cash and Other Assets - (0.9%) (248) ------- NET ASSETS-100.0% $27,115 =======
NOTES TO INVESTMENTS IN SECURITIES (a) Non-income producing security. (b) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is also the Adviser to the CIGNA Funds Group - Money Market Fund. Tax Information (c) At June 30, 2004, the net unrealized appreciation of investments, based on cost for federal income tax purposes of $24,985,793, was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $2,522,528 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (145,314) ---------- Unrealized appreciation - net $2,377,214 ==========
(d) As of December 31, 2003, the components of distributable earnings (excluding unrealized appreciation/(depreciation) disclosed above) on a tax basis consisted of the following: Undistributed ordinary income $ 117,182 Capital loss carryforward: Expiring 2009 $ 56,200 Expiring 2010 780,787 Expiring 2011 2,610,516 ---------- $3,447,503 ==========
The Notes to Financial Statements are an integral part of these statements. 18 S&P 500[RegTM] Index Fund INVESTMENTS IN SECURITIES June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS-80.5% General Electric Co. 50,500 $ 1,636 Microsoft Corp. 53,300 1,522 Exxon Mobil Corp. 32,594 1,447 Pfizer, Inc. 37,606 1,289 Citigroup, Inc. 25,589 1,190 Wal-Mart Stores, Inc. 21,500 1,134 American International Group 12,971 924 Intel Corp. 32,400 894 Bank of America Corp. 10,078 853 Johnson & Johnson 14,734 821 Cisco Systems, Inc. (a) 34,200 810 International Business Machine Corp. 8,400 740 Procter & Gamble Co. 12,800 697 Coca-Cola (The) Co. 12,200 616 Merck & Co., Inc. 11,000 522 Altria Group, Inc. 10,100 505 ChevronTexaco Corp. 5,329 501 Verizon Communications, Inc. 13,728 497 Wells Fargo & Co. 8,400 481 PepsiCo., Inc. 8,570 462 Dell, Inc. (a) 12,700 455 United Parcel Service, Inc., Class B 5,600 421 Home Depot, Inc. 11,300 398 Morgan (J.P.) Chase & Co. 10,260 398 SBC Communications, Inc. 16,406 398 Time Warner, Inc. (a) 22,400 394 Eli Lilly & Co. 5,600 391 3M Co. 3,900 351 Amgen, Inc. (a) 6,372 348 Fannie Mae 4,800 343 Tyco International Ltd. 9,971 330 American Express Co. 6,400 329 Hewlett-Packard Co. 15,126 319 Abbott Laboratories 7,800 318 Comcast Corp., Class A (a) 11,153 313 Oracle Corp. (a) 26,000 310 Viacom, Inc., Class B 8,688 310 eBay, Inc. (a) 3,200 294 Medtronic, Inc. 6,000 292 Qualcomm, Inc. 4,000 292 Wachovia Corp. 6,570 292 Bank One Corp. 5,602 286 Morgan Stanley Dean Witter & Co. 5,400 285 US Bancorp 9,596 264 NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- Disney (Walt) Co. 10,200 $ 260 Merrill Lynch & Co., Inc. 4,800 259 ConocoPhillips 3,345 255 BellSouth Corp. 9,200 241 Yahoo, Inc. (a) 6,600 240 Wyeth 6,600 238 Bristol-Myers Squibb Co. 9,600 235 United Technologies Corp. 2,500 229 Goldman Sachs Group, Inc. 2,400 226 du Pont (E.I.) de Nemours & Co. 4,929 219 Anheuser-Busch Cos., Inc. 4,000 216 Freddie Mac 3,400 215 Boeing (The) Co. 4,150 212 Gillette (The), Co. 5,000 212 Motorola, Inc. 11,535 211 Texas Instruments, Inc. 8,600 208 Lowe's Companies, Inc. 3,900 205 First Data Corp. 4,401 196 UnitedHealth Group, Inc. 3,100 193 AT&T Wireless Services, Inc. (a) 13,436 192 Target Corp. 4,500 191 Dow (The) Chemical Co. 4,560 186 Walgreen Co. 5,100 185 Schlumberger Ltd. 2,900 184 Boston Scientific Corp. (a) 4,100 175 Washington Mutual, Inc. 4,460 172 Kimberly-Clark Corp. 2,500 165 MBNA Corp. 6,362 164 McDonald's Corp. 6,300 164 Allstate (The) Corp. 3,500 163 Applied Materials, Inc. (a) 8,200 161 Colgate-Palmolive Co. 2,700 158 Exelon Corp. 4,724 157 Honeywell International, Inc. 4,262 156 Fifth Third Bancorp 2,846 153 Cardinal Health, Inc. 2,125 149 Nextel Communications, Inc., Class A (a) 5,500 147 Carnival Corp. 3,100 146 Illinois Tool Works, Inc. 1,500 144 Alcoa, Inc. 4,344 143 Ford Motor Co. 9,088 142 EMC Corp. (a) 11,974 137 Metlife, Inc. 3,800 136 Caterpillar, Inc. 1,700 135 Schering-Plough Corp. 7,300 135
The Notes to Financial Statements are an integral part of these statements. 19 S&P 500[RegTM] Index Fund INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS continued St. Paul (The) Travelers Companies, Inc. 3,295 $ 134 Emerson Electric Co. 2,100 133 General Motors Corp. 2,800 130 Automatic Data Processing, Inc. 3,000 126 Prudential Financial, Inc. (b) 2,700 125 Sprint Corp. (FON Group) 7,050 124 FedEx Corp. 1,500 122 Cendant Corp. 4,985 122 Marsh & McLennan Cos., Inc. 2,600 118 Bank (The) of New York Co., Inc. 3,900 115 Lockheed Martin Corp. 2,200 115 Sysco Corp. 3,200 114 Avon Products, Inc. 2,400 111 Clear Channel Communications, Inc. 3,000 111 Gannett Co., Inc. 1,300 110 Stryker Corp. 2,000 110 Gap (The), Inc. 4,450 108 Zimmer Holdings, Inc. (a) 1,230 108 International Paper Co. 2,364 106 Biogen Idec, Inc. (a) 1,660 105 National City Corp. 3,000 105 Southern (The) Co. 3,600 105 Baxter International, Inc. 3,000 104 HCA, Inc. 2,500 104 Northrop Grumman Corp. 1,942 104 Aflac, Inc. 2,500 102 Forest Laboratories, Inc. (a) 1,800 102 BB&T Corp. 2,700 100 Dominion Resources, Inc. 1,568 99 General Dynamics Corp. 1,000 99 Countrywide Financial Corp. 1,399 98 Lehman Brothers Holdings, Inc. 1,300 98 Nike, Inc., Class B 1,300 98 Hartford Financial Services Group 1,400 96 Costco Wholesale Corp. 2,300 94 Progressive (The) Corp. 1,100 94 Harley-Davidson, Inc. 1,500 93 Occidental Petroleum Corp. 1,900 92 Duke Energy Corp. 4,500 91 SunTrust Banks, Inc. 1,400 91 General Mills, Inc. 1,900 90 Sara Lee Corp. 3,900 90 Guidant Corp. 1,600 89 SLM Corp. 2,200 89 NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- Waste Management, Inc. 2,895 $ 88 Corning, Inc. (a) 6,600 86 Analog Devices, Inc. 1,800 85 CVS Corp. 2,000 84 Deere & Co. 1,200 84 Kellogg Co. 2,000 84 Maxim Integrated Products 1,600 83 Danaher Corp. 1,600 83 Starbucks Corp. (a) 1,900 83 Electronic Arts, Inc. (a) 1,500 82 Alltel Corp. 1,600 81 Best Buy Co., Inc. 1,600 81 Computer Associates International, Inc. 2,900 81 Newmont Mining Corp. 2,100 81 Apollo Group, Inc., Class A (a) 900 79 Lucent Technologies, Inc. (a) 20,630 78 State Street Corp. 1,600 78 WellPoint Health Networks (a) 700 78 McGraw-Hill (The) Cos., Inc. 1,000 77 Union Pacific Corp. 1,300 77 Capital One Financial Corp. 1,100 75 Raytheon Co. 2,100 75 Golden West Financial Corp. 700 74 PNC Financial Services Group, Inc. 1,400 74 Burlington Resources, Inc. 2,020 73 ConAgra Foods, Inc. 2,700 73 Devon Energy Corp. 1,100 73 Tribune Co. 1,600 73 Anadarko Petroleum Corp. 1,229 72 Caremark RX, Inc. (a) 2,200 72 Kohl's Corp. (a) 1,700 72 Masco Corp. 2,300 72 Staples, Inc. 2,450 72 Agilent Technologies, Inc. (a) 2,413 71 Broadcom Corp., Class A (a) 1,500 70 Sun Microsystems, Inc. (a) 16,200 70 Weyerhaeuser Co. 1,100 69 Wrigley (Wm) Jr. Co. 1,100 69 Apache Corp. 1,566 68 Lexmark International, Inc., Class A (a) 700 68 Omnicom Group 900 68 St. Jude Medical, Inc. (a) 900 68 Becton Dickinson & Co. 1,300 67 Coca-Cola Enterprises, Inc. 2,300 67 Halliburton Co. 2,200 67
The Notes to Financial Statements are an integral part of these statements. 20 S&P 500[RegTM] Index Fund INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS continued Heinz (H.J) Co. 1,700 $ 67 Kroger Co. (a) 3,700 67 International Game Technology 1,700 66 Southwest Airlines Co. 3,930 66 Symantec Corp. (a) 1,500 66 Hershey Foods Corp. 1,400 65 Schwab, (The) Charles Corp. 6,775 65 TXU Corp. 1,600 65 Paychex, Inc. 1,875 64 Praxair, Inc. 1,600 64 Allergan, Inc. 700 63 Anthem, Inc. (a) 700 63 Burlington Northern Santa Fe Corp. 1,800 63 Keycorp 2,100 63 Linear Technology Corp. 1,600 63 Baker Hughes, Inc. 1,640 62 Entergy Corp. 1,100 62 Mellon Financial Corp. 2,100 62 SouthTrust Corp. 1,600 62 American Electric Power Co., Inc. 1,920 61 Chubb Corp. 900 61 Marathon Oil Corp. 1,600 61 Ingersoll-Rand Co., Class A 900 61 Aetna, Inc. 700 60 FirstEnergy Corp. 1,600 60 Franklin Resources, Inc. 1,200 60 TJX Cos., Inc. 2,500 60 Apple Computer, Inc. (a) 1,800 59 Clorox Co. 1,100 59 PG&E Corp. (a) 2,100 59 ACE Ltd. 1,400 59 AT&T Corp. 3,936 58 Air Products & Chemicals, Inc. 1,100 58 Bed Bath & Beyond, Inc. (a) 1,500 58 FPL Group, Inc. 900 58 Veritas Software Corp. (a) 2,100 58 Xilinx, Inc. 1,700 57 Xerox Corp. (a) 3,900 57 Biomet, Inc. 1,250 56 Principal Financial Group 1,600 56 Safeway, Inc. (a) 2,200 56 Archer-Daniels-Midland Co. 3,269 55 Marriott International, Inc., Class A 1,100 55 Yum! Brands, Inc. 1,480 55 NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- Campbell Soup Co. 2,000 $ 54 Equity Office Properties Trust 2,000 54 Loews Corp. 900 54 Fortune Brands, Inc. 700 53 Progress Energy, Inc. 1,200 53 XL Capital Ltd., Class A 700 53 Genzyme Corp. (General Division) (a) 1,100 52 M&T Bank Corp. 600 52 Adobe Systems, Inc. 1,100 51 McKesson Corp. 1,473 51 Monsanto Co. 1,317 51 Paccar, Inc. 875 51 Simon Property Group, Inc. 1,000 51 Univision Communications, Inc., Class A (a) 1,600 51 Charter One Financial, Inc. 1,127 50 Medco Health Solutions, Inc. (a) 1,341 50 Norfolk Southern Corp. 1,900 50 PPG Industries, Inc. 800 50 Kla-Tencor Corp. (a) 1,000 49 Limited Brands, Inc. 2,600 49 Penney (J.C.) Co., Inc. 1,300 49 Pitney Bowes, Inc. 1,100 49 Sears Roebuck and Co. 1,300 49 Unocal Corp. 1,300 49 American Standard Cos., Inc. (a) 1,200 48 CIGNA Corp. (c) 700 48 Johnson Controls, Inc. 900 48 Public Service Enterprise Group 1,200 48 Rohm & Haas Co. 1,153 48 Transocean, Inc. (a) 1,642 48 Albertson's, Inc. 1,788 47 Comerica, Inc. 850 47 Northern Trust Corp. 1,100 47 Electronic Data Systems Corp. 2,400 46 Micron Technology, Inc. (a) 3,000 46 AmSouth Bancorp 1,750 45 Eaton Corp. 700 45 Georgia-Pacific Corp. 1,210 45 Moody's Corp. 700 45 Starwood Hotels & Resorts Worldwide, Inc. 1,000 45 AON Corp. 1,550 44 Bear Stearns (The) Cos., Inc. 517 44 Consolidated Edison, Inc. 1,100 44 Federated Department Stores 900 44 Valero Energy Corp. 600 44
The Notes to Financial Statements are an integral part of these statements. 21 S&P 500[RegTM] Index Fund INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS continued Block (H&R), Inc. 900 $ 43 Lincoln National Corp. 900 43 Marshall & Ilsley Corp. 1,100 43 Altera Corp. (a) 1,900 42 Computer Sciences Corp. (a) 900 42 Dover Corp. 1,000 42 Equity Residential 1,400 42 ITT Industries, Inc. 500 42 Quest Diagnostics 500 42 Textron, Inc. 700 42 Ecolab, Inc. 1,300 41 Edison International 1,600 41 PPL Corp. 900 41 AMBAC Financial Group, Inc. 550 40 Chiron Corp. (a) 900 40 MBIA, Inc. 700 40 May (The) Department Stores Co. 1,450 40 National Semiconductor Corp. (a) 1,800 40 Pepsi Bottling Group, Inc. 1,300 40 Regions Financial Corp. 1,100 40 Sempra Energy 1,155 40 Ameren Corp. 900 39 Intuit, Inc. (a) 1,000 39 Synovus Financial Corp. 1,550 39 Avery Dennison Corp. 600 38 Cintas Corp. 800 38 Eastman Kodak Co. 1,400 38 MGIC Investment Corp. 500 38 Mattel, Inc. 2,100 38 Affiliated Computer Services Inc. (a) 700 37 BJ Services Co. (a) 800 37 Fiserv, Inc. (a) 950 37 Network Appliance, Inc. (a) 1,700 37 AmerisourceBergen Corp. 600 36 CSX Corp. 1,100 36 Cincinnati Financial Corp. 830 36 Donnelley (RR) & Sons Co. 1,100 36 EOG Resources, Inc. 600 36 Genuine Parts Co. 900 36 Kinder Morgan, Inc. 600 36 Sungard Data Systems, Inc. (a) 1,400 36 Hilton Hotels Corp. 1,900 35 Peoplesoft, Inc. (a) 1,912 35 Cinergy Corp. 900 34 NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- Jefferson-Pilot Corp. 675 $ 34 Rockwell Automation, Inc. 900 34 Freeport-McMoRan Copper & Gold, Class B 1,000 33 Newell Rubbermaid, Inc. 1,410 33 Parker Hannifin Corp. 550 33 Xcel Energy, Inc. 1,965 33 Amerada Hess Corp. 400 32 Autozone, Inc. (a) 400 32 Avaya, Inc. (a) 2,035 32 DTE Energy Co. 800 32 Dollar General Corp. 1,660 32 Express Scripts, Inc. (a) 400 32 Harrah's Entertainment, Inc. 600 32 Qwest Communications International (a) 8,809 32 Torchmark Corp. 600 32 Nabors Industries Ltd. (a) 700 32 AES (The) Corp. (a) 3,100 31 New York Times Co., Class A 700 31 Nucor Corp. 400 31 Phelps Dodge Corp. 400 31 Pulte Homes, Inc. 600 31 Safeco Corp. 700 31 Tenet Healthcare Corp. (a) 2,300 31 Constellation Energy Group, Inc. 800 30 Delphi Corp. 2,820 30 Molex, Inc. 925 30 Nordstrom, Inc. 700 30 T. Price Rowe Group, Inc. 600 30 Prologis 900 30 Rockwell Collins, Inc. 900 30 Williams Cos., Inc. 2,500 30 Cooper Industries Ltd., Class A 500 30 Brown-Forman Corp., Class B 600 29 Grainger (W.W.), Inc. 500 29 Interpublic Group Cos., Inc. (a) 2,100 29 KeySpan Corp. 800 29 Knight-Ridder, Inc. 400 29 Office Depot, Inc. (a) 1,600 29 Plum Creek Timber Co., Inc. 900 29 Sherwin-Williams (The) Co. 700 29 UST, Inc. 800 29 Waters Corp. (a) 600 29 IMS Health, Inc. 1,200 28 MeadWestvaco Corp. 955 28 Medimmune, Inc. (a) 1,200 28
The Notes to Financial Statements are an integral part of these statements. 22 S&P 500[RegTM] Index Fund INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS continued Advanced Micro Devices, Inc. (a) 1,700 $ 27 Centex Corp. 600 27 Family Dollar Stores, Inc. 900 27 First Horizon National Corp 600 27 Health Management Associates, Class A 1,200 27 JDS Uniphase Corp. (a) 7,100 27 Kerr-McGee Corp. 507 27 Leggett & Platt, Inc. 1,000 27 NiSource, Inc. 1,300 27 North Fork Bancorporation, Inc. 700 27 Reynolds (RJ) Tobacco Holdings, Inc. 400 27 Robert Half International, Inc. 900 27 Siebel Systems, Inc. (a) 2,500 27 Solectron Corp. (a) 4,100 27 Union Planters Corp. 900 27 Noble Corp.(a) 700 27 Autodesk, Inc. 600 26 Huntington Bancshares, Inc. 1,151 26 Tiffany & Co. 700 26 Black & Decker Corp. 400 25 Jabil Circuit, Inc. (a) 1,000 25 NCR Corp. (a) 500 25 Sunoco, Inc. 400 25 Thermo Electron Corp. (a) 800 25 Zions Bancorporation 400 25 Applera Corp.-Applied Biosystems Group 1,100 24 Autonation, Inc. (a) 1,400 24 EL Paso Corp. 2,990 24 Jones Apparel Group, Inc. 600 24 McCormick & Co., Inc. 700 24 Sanmina-SCI Corp. (a) 2,600 24 Scientific-Atlanta, Inc. 700 24 VF Corp. 500 24 Vulcan Materials Co. 500 24 Alberto-Culver Co., Class B 450 23 Bard (C.R.), Inc. 400 23 CenturyTel, Inc. 750 23 RadioShack Corp. 800 23 Teradyne, Inc. (a) 1,000 23 UnumProvident Corp. 1,474 23 Ball Corp. 300 22 Hospira, Inc. (a) 800 22 Novellus Systems, Inc. (a) 700 22 Unisys Corp. (a) 1,600 22 NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- Allied Waste Industries, Inc. (a) 1,600 $ 21 Providian Financial Corp. (a) 1,400 21 Sealed Air Corp. (a) 396 21 Supervalu, Inc. 700 21 Temple-Inland, Inc. 300 21 Wendy's International, Inc. 600 21 Whirlpool Corp. 300 21 American Power Conversion 1,000 20 BMC Software, Inc. (a) 1,100 20 Brunswick Corp. 500 20 E*Trade Financial Corp (a) 1,800 20 Janus Capital Group, Inc. 1,200 20 Mercury Interactive Corp. (a) 400 20 Mylan Laboratories 1,000 20 Pactiv Corp. (a) 800 20 Pinnacle West Capital Corp. 500 20 Sabre Holdings Corp., Class A 707 20 Engelhard Corp. 600 19 Fluor Corp. 400 19 Goodrich Corp. 600 19 International Flavors & Fragrances, Inc. 500 19 Centerpoint Energy, Inc. 1,522 18 Comverse Technology, Inc. (a) 900 18 Dow Jones & Co., Inc. 400 18 Eastman Chemical Co. 400 18 Liz Claiborne, Inc. 500 18 Sigma-Aldrich Corp. 300 18 Stanley (The) Works 400 18 Toys R US, Inc. (a) 1,100 18 United States Steel Corp. 500 18 Citizens Communications Co. (a) 1,400 17 Darden Restaurants, Inc. 850 17 Equifax, Inc. 700 17 Hasbro, Inc. 900 17 Symbol Technologies, Inc. 1,150 17 Tellabs, Inc. (a) 2,000 17 Andrew Corp. (a) 800 16 Apartment Investment & Mgt. Co., Class A 500 16 Ashland, Inc. 300 16 Citrix Systems, Inc. (a) 800 16 Novell, Inc. (a) 1,900 16 Nvidia Corp. (a) 800 16 Pall Corp. 600 16 Boise Cascade Corp. 400 15 Federated Investors, Inc., Class B 500 15
The Notes to Financial Statements are an integral part of these statements. 23 S&P 500[RegTM] Index Fund INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS continued Monster Worldwide, Inc. (a) 600 $ 15 Bemis Co. 500 14 Coors (Adolph) Co., Class B 200 14 Dana Corp. 701 14 Humana, Inc. (a) 800 14 KB Home 200 14 King Pharmaceuticals, Inc. (a) 1,200 14 LSI Logic Corp. (a) 1,800 14 Tektronix, Inc. 400 14 Bausch & Lomb, Inc. 200 13 Circuit City Stores, Inc. 1,000 13 Compuware Corp. (a) 1,900 13 Cummins, Inc. 200 13 Manor Care, Inc. 400 13 QLogic Corp. (a) 500 13 Watson Pharmaceuticals, Inc. (a) 500 13 Louisiana-Pacific Corp. 500 12 Navistar International Corp. (a) 300 12 PerkinElmer, Inc. 600 12 Rowan Cos., Inc. (a) 500 12 Ryder System, Inc. 300 12 ADC Telecommunications, Inc. (a) 3,900 11 Convergys Corp. (a) 700 11 Meredith Corp. 200 11 Millipore Corp. (a) 200 11 PMC-Sierra, Inc. (a) 800 11 Reebok International Ltd. 300 11 TECO Energy, Inc. 900 11 Maytag Corp. 400 10 Snap-On, Inc. 300 10 Allegheny Energy, Inc. (a) 600 9 Big Lots, Inc. (a) 600 9 Calpine Corp. (a) 2,100 9 Ciena Corp. (a) 2,400 9 Cooper Tire & Rubber Co. 400 9 Crane Co. 300 9 Deluxe Corp. 200 9 Dillard's, Inc., Class A 400 9 Applied Micro Circuits Corp. (a) 1,500 8 NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- Dynegy, Inc., Class A (a) 1,800 $ 8 Peoples Energy Corp. 200 8 Thomas & Betts Corp. 300 8 Visteon Corp. 690 8 Worthington Industries 400 8 Allegheny Technologies, Inc. 400 7 CMS Energy Corp. (a) 800 7 Gateway, Inc. (a) 1,600 7 Goodyear (The) Tire & Rubber Co. (a) 800 7 Nicor, Inc. 200 7 Parametric Technology Corp. (a) 1,300 6 Hercules, Inc. (a) 500 6 Great Lakes Chemical Corp. 200 5 Winn-Dixie Stores, Inc. (a) 700 5 Delta Air Lines, Inc. (a) 600 4 Power-One, Inc. (a) 400 4 Eagle Materials, Inc. Class B 49 3 Eagle Materials, Inc. 1 - Piper Jaffray Companies, Inc. (a) 1 - ------- TOTAL COMMON STOCKS (Cost $63,137) 52,615 ------- SHORT-TERM OBLIGATIONS-19.0% MONEY MARKET FUND-16.0% CIGNA Funds Group - Money Market Fund (d) 10,444,437 10,445 ------ PRINCIPAL (000) --------- U.S. GOVERNMENT-3.0% U.S. Treasury Bills, 0.95%, 8/05/04 (e) $ 200 200 0.98%, 9/30/04 (e) 1,575 1,571 1.07%, 9/30/04 (e) 200 199 ------- 1,970 ------- TOTAL SHORT-TERM OBLIGATIONS (Cost $12,415) 12,415 ------- TOTAL INVESTMENTS IN SECURITIES-99.5% (Total Cost $75,552) (f) 65,030 Cash and Other Assets Less Liabilities - 0.5% 338 ------- NET ASSETS-100.0% $65,368 =======
The Notes to Financial Statements are an integral part of these statements. 24 S&P 500[RegTM] Index Fund INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited) - -------------------------------------------------------------------------------- NOTES TO INVESTMENTS IN SECURITIES (a) Non-income producing securities. (b) Prudential Retirement Brokerage Services Inc., the fund's Distributor, is an affiliate of Prudential Financial, Inc. (c) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is an indirect wholly owned subsidiary of CIGNA Corp. (d) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is also the Adviser to the CIGNA Funds Group - Money Market Fund. (e) This security, or a portion thereof, was pledged as collateral for Stock Index Futures Contracts. At June 30, 2004, the Fund was long 42 S&P 500[RegTM] Futures Contracts expiring in September 2004. Unrealized gains amounted to $170,138. Underlying face value was $11,804,062 and underlying market value was $11,974,200. Tax Information (f) At June 30, 2004, the net unrealized depreciation of investments, based on cost for federal income tax purposes of $75,568,740, was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 4,904,566 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (15,443,327) ------------ Unrealized depreciation - net $(10,538,761) ============
(g) As of December 31, 2003, the components of distributable earnings (excluding unrealized appreciation/(depreciation) disclosed above) on a tax basis consisted of the following: Undistributed ordinary income $ 0 Capital loss carryforward: Expiring 2009 $ 1,753,910 Expiring 2010 9,431,252 ------------ $ 11,185,162 ============
The Notes to Financial Statements are an integral part of these statements. 25 Small Cap Growth/TimesSquare Fund INVESTMENTS IN SECURITIES June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS-92.5% ADVERTISING-2.5% Getty Images, Inc. (a) 200,000 $ 12,000 --------- AEROSPACE/DEFENSE-1.8% MTC Technologies, Inc. (a) 136,200 3,517 Orbital Sciences Corp. (a) 360,000 4,972 --------- 8,489 --------- BIOTECHNOLOGY-2.3% Bio-Rad Laboratories, Inc. Class A (a) 100,000 5,886 Protein Design Labs, Inc. (a) 160,000 3,061 XOMA Ltd. (a) 472,600 2,117 --------- 11,064 --------- COMMERCIAL SERVICES-13.5% Advisory (The) Board Co. (a) 115,000 4,094 Alliance Data Systems Corp. (a) 339,500 14,344 Arbitron, Inc. (a) 133,200 4,864 ChoicePoint, Inc. (a) 100,000 4,566 Corinthian Colleges, Inc. (a) 57,900 1,432 Corporate Executive Board Co. 155,000 8,957 Education Management Corp. (a) 385,000 12,651 Jackson Hewitt Tax Services, Inc. (a) 123,100 2,154 Magellan Health Services, Inc. (a) 72,600 2,428 Rent-A-Center, Inc. (a) 220,000 6,585 Ritchie Bros. Auctioneers, Inc. 60,000 1,747 --------- 63,822 --------- COMPUTERS-1.9% Henry (Jack) & Associates, Inc. 208,100 4,183 National Instruments Corp. 154,900 4,748 --------- 8,931 --------- DISTRIBUTION/WHOLESALE-1.6% SCP Pool Corp. 165,475 7,446 --------- ELECTRICAL COMPONENTS & EQUIPMENT-0.2% Advanced Energy Industries, Inc. (a) 53,900 847 --------- ELECTRONICS-3.5% Cymer, Inc. (a) 115,000 4,306 Gentex Corp. 70,000 2,778 Mettler-Toledo International, Inc. (a) 119,200 5,857 Photon Dynamics, Inc. (a) 100,100 3,511 --------- 16,452 --------- ENTERTAINMENT-1.7% Alliance Gaming Corp. (a) 175,000 3,003 AMC Entertainment, Inc. (a) 150,000 2,305 Macrovision Corp. (a) 108,500 2,716 --------- 8,024 --------- NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- ENVIRONMENTAL-1.4% Stericycle, Inc. (a) 125,000 $ 6,467 --------- EXCHANGE TRADED FUND-1.8% iShares Russell 2000 Index Fund 70,000 8,259 --------- FINANCIAL-7.7% Boston Private Financial Holdings, Inc. 34,700 804 CapitalSource, Inc. (a) 225,000 5,501 City National Corp. 100,000 6,570 Investors Financial Services Corp. 176,400 7,688 Jefferies Group, Inc. 115,800 3,581 Piper Jeffray Companies, Inc. (a) 60,000 2,714 UCBH Holdings, Inc. 131,300 5,189 Wintrust Financial Corp. 84,500 4,268 --------- 36,315 --------- FOOD & BEVERAGES-2.6% American Italian Pasta Co., Class A 93,000 2,835 Constellation Brands, Inc., Class A (a) 60,000 2,228 John B. Sanfilipo & Son, Inc. (a) 100,000 2,672 United Natural Foods, Inc. (a) 160,000 4,626 --------- 12,361 --------- HEALTH CARE-9.8% DaVita, Inc. (a) 303,774 9,365 Lincare Holdings, Inc. (a) 150,000 4,929 Molina Healthcare, Inc. (a) 100,000 3,818 Orthofix International NV (a) 79,300 3,388 Pediatrix Medical Group, Inc. (a) 120,000 8,382 Province Healthcare Co. (a) 315,000 5,402 Radiation Therapy Services, Inc. (a) 185,900 2,640 Respironics, Inc. (a) 145,000 8,519 --------- 46,443 --------- HOUSEHOLD PRODUCTS-0.8% Central Garden and Pet Co. (a) 100,300 3,588 --------- INSURANCE-1.3% Markel Corp. (a) 22,000 6,105 --------- INTERNET-1.0% Digital River, Inc. (a) 3,900 127 Macromedia, Inc. (a) 96,500 2,369 Sapient Corp. (a) 385,000 2,314 --------- 4,810 --------- LODGING-1.0% Kerzner International Ltd. (a) 100,000 4,756 ---------
The Notes to Financial Statements are an integral part of these statements. 26 Small Cap Growth/TimesSquare Fund INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS continued MEDIA-2.6% Entercom Communications Corp. (a) 150,000 $ 5,595 Playboy Enterprises, Inc. (a) 250,000 2,902 Radio One, Inc., Class D (a) 235,000 3,762 -------- 12,259 -------- OIL & GAS-5.1% Denbury Resources, Inc. (a) 150,000 3,143 Evergreen Resources, Inc. (a) 60,000 2,424 Hydril Co. (a) 80,000 2,520 Patina Oil & Gas Corp. 152,000 4,540 Patterson-UTI Energy, Inc. 175,000 5,847 Universal Compression Holdings, Inc. (a) 100,000 3,068 Varco International, Inc. (a) 117,900 2,581 -------- 24,123 -------- PHARMACEUTICALS-8.3% Atrix Laboratories, Inc. (a) 115,000 3,942 Bradley Pharmaceuticals, Inc. (a) 122,800 3,426 Ligand Pharmaceuticals, Inc., Class B (a) 250,000 4,345 NBTY, Inc. (a) 105,000 3,086 NeighborCare, Inc. (a) 115,900 3,631 Omnicare, Inc. 63,000 2,697 Par Pharmaceuticals Cos., Inc. (a) 120,000 4,225 QLT, Inc. (a) 155,000 3,103 Salix Pharmaceuticals Ltd. (a) 85,000 2,801 VCA Antech, Inc. (a) 179,700 8,054 -------- 39,310 -------- RETAIL-1.0% Advance Auto Parts, Inc. (a) 110,000 4,860 -------- SEMICONDUCTORS-5.7% Emulex, Corp. (a) 200,000 2,862 Formfactor, Inc. (a) 8,000 180 Integrated Circuit Systems, Inc. (a) 215,000 5,839 Photronics, Inc. (a) 250,000 4,735 Semtech Corp. (a) 156,700 3,689 Skyworks Solutions, Inc. (a) 356,000 3,108 Standard Microsystems Corp. (a) 94,300 2,199 Supertex, Inc. (a) 52,100 851 Zoran Corp. (a) 175,000 3,211 -------- 26,674 -------- NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- SOFTWARE-5.7% Aspen Technology, Inc. (a) 260,000 $ 1,888 Embarcadero Technologies, Inc. (a) 163,000 2,015 Fair Isaac & Co. 105,000 3,505 Global Payments, Inc. 175,000 7,879 IMPAC Medical Systems, Inc. (a) 145,400 2,127 Informatica Corp. (a) 386,900 2,952 Lawson Software, Inc. (a) 86,800 615 NDCHealth Corp. 140,500 3,260 SERENA Software, Inc. (a) 149,700 2,858 -------- 27,099 -------- STORAGE/WAREHOUSING-0.8% Mobile Mini, Inc. (a) 125,000 3,551 -------- TELECOMMUNICATIONS-5.1% Plantronics, Inc. (a) 70,000 2,947 Primus Telecommunications Group, Inc. (a) 343,400 1,744 PTEK Holdings, Inc. (a) 295,000 3,401 REMEC, Inc. (a) 277,800 1,756 SafeNet, Inc. (a) 125,000 3,460 Spectrasite, Inc. (a) 120,000 5,186 West Corp. (a) 205,000 5,361 -------- 23,855 -------- TOYS/GAMES-0.6% Marvel Enterprises, Inc. (a) 141,100 2,754 -------- TRANSPORTATION-1.2% Overnite Corp. 54,700 1,608 P.A.M. Transportation Services, Inc. (a) 70,000 1,337 Pacer International, Inc. (a) 133,700 2,473 -------- 5,418 -------- TOTAL COMMON STOCKS (Cost $389,141) 436,082 -------- SHORT-TERM OBLIGATION-5.7% MONEY MARKET FUND CIGNA Funds Group - Money Market Fund (b) (Cost $26,872) 26,871,575 26,872 -------- TOTAL INVESTMENTS IN SECURITIES-98.2% (Total Cost $416,013) (c) 462,954 Cash and Other Assets Less Liabilities - 1.8% 8,578 -------- NET ASSETS-100.0% $471,532 ========
The Notes to Financial Statements are an integral part of these statements. 27 Small Cap Growth/TimesSquare Fund INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited) - -------------------------------------------------------------------------------- NOTES TO INVESTMENTS IN SECURITIES (a) Non-income producing security. (b) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is also the Adviser to the CIGNA Funds Group - Money Market Fund. Tax Information (c) At June 30, 2004, the net unrealized appreciation of investments, based on cost for federal income tax purposes of $416,795,503, was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $67,314,776 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (21,172,354) ----------- Unrealized appreciation - net $46,142,422 ===========
(d) As of December 31, 2003, the components of distributable earnings (excluding unrealized appreciation/(depreciation) disclosed above) on a tax basis consisted of the following: Undistributed ordinary income $ 3,178,685 Undistributed capital gains $ 1,647,185
The Notes to Financial Statements are an integral part of these statements. 28 Small Cap Value/Perkins, Wolf, McDonnell Fund INVESTMENTS IN SECURITIES June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS-89.8% APPAREL-1.6% Wolverine WorldWide, Inc. 80,000 $ 2,100 -------- AUTO PARTS & EQUIPMENT-2.0% Superior Industries International, Inc. 80,000 2,676 -------- BANKS-13.4% Brookline Bancorp, Inc. 215,000 3,154 Community Bank System, Inc. 60,000 1,367 First Charter Corp. 30,000 654 First Niagara Financial Group, Inc. 200,000 2,400 FNB Corp. 135,000 2,754 Provident Financial Services, Inc. 135,000 2,369 Seacoast Financial Services Co. 25,000 865 Susquehanna Bancshares, Inc. 55,000 1,384 Washington Federal, Inc. 110,000 2,640 -------- 17,587 -------- CHEMICALS-3.0% Lubrizol Corp. 70,000 2,563 Schulman (a), Inc. 61,200 1,315 -------- 3,878 -------- COMMERCIAL SERVICES-0.8% Spherion Corp. (a) 100,000 1,014 -------- COMPUTERS-1.2% Advanced Digital Information Corp. (a) 160,000 1,552 -------- ELECTRONICS-1.9% Coherent, Inc. (a) 43,000 1,284 Mettler-Toledo International, Inc. (a) 25,000 1,228 -------- 2,512 -------- ENERGY-2.0% Arch Coal, Inc. 72,400 2,649 -------- ENGINEERING & CONSTRUCTION-3.5% EMCOR Group, Inc. (a) 71,300 3,136 Insituform Technologies, Inc., Class A (a) 90,000 1,464 -------- 4,600 -------- FOOD-1.3% American Italian Pasta, Co., Class A 55,000 1,676 -------- FOREST PRODUCTS & PAPER-1.9% Rayonier, Inc. 56,000 2,489 -------- NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- HEALTH CARE-5.6% Cytyc Corp. (a) 62,000 $ 1,573 LifePoint Hospitals, Inc. (a) 29,000 1,079 Province Healthcare Co. (a) 62,000 1,063 Steris Corp. (a) 125,000 2,820 Vistacare, Inc., Class A (a) 40,000 742 -------- 7,277 -------- HOME FURNISHINGS-1.5% La-Z-Boy, Inc. 112,000 2,014 -------- HOUSEWARES-1.1% Libbey, Inc. 50,000 1,388 -------- INTERNET-2.4% Internet Security Systems, Inc. (a) 126,000 1,933 Verity, Inc. (a) 85,000 1,148 -------- 3,081 -------- IRON & STEEL-0.9% Steel Dynamics, Inc. (a) 43,500 1,245 -------- MACHINERY-3.7% Global Power Equipment Group, Inc. (a) 300,000 2,406 Joy Global, Inc. 83,000 2,485 -------- 4,891 -------- MANUFACTURING-5.7% Federal Signal Corp. 105,000 1,954 Harsco Corp. 45,000 2,115 Smith (A.O.) Corp. 73,000 2,321 Trinity Industries, Inc. 35,000 1,113 -------- 7,503 -------- METAL FABRICATE/HARDWARE-1.2% Worthington Industries, Inc. 77,000 1,581 -------- OIL & GAS-6.4% Cal Dive International, Inc. (a) 54,000 1,637 Energy Partners Ltd. (a) 190,000 2,907 Forest Oil Corp. (a) 85,000 2,322 Key Energy Services, Inc. (a) 165,000 1,558 -------- 8,424 -------- PHARMACEUTICALS-2.8% Perrigo, Co. 94,100 1,785 Priority Healthcare Corp., Class B (a) 85,000 1,951 -------- 3,736 --------
The Notes to Financial Statements are an integral part of these statements. 29 Small Cap Value/Perkins, Wolf, McDonnell Fund INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS continued REIT-9.9% Alexandria Real Estate Equities, Inc. 52,000 $ 2,953 Brandywine Realty Trust 75,000 2,039 Eastgroup Properties 60,000 2,020 Equity One, Inc. 100,000 1,808 Home Properties, Inc. 40,000 1,559 Manufactured Home Communities, Inc. 77,000 2,556 ---------- 12,935 ---------- RETAIL-1.8% Casey's General Stores, Inc. 85,000 1,556 Too, Inc. (a) 45,000 752 ---------- 2,308 ---------- SEMICONDUCTORS-1.4% Actel Corp. (a) 25,900 479 Ultratech, Inc. (a) 80,000 1,302 ---------- 1,781 ---------- SOFTWARE-4.8% Informatica Corp. (a) 160,000 1,221 Inter-Tel, Inc. 85,000 2,122 NetIQ Corp. (a) 100,000 1,320 Pinnacle Systems, Inc. (a) 230,000 1,645 ---------- 6,308 ---------- TELECOMMUNICATIONS-2.9% Newport Corp. (a) 100,000 1,617 Stratex Networks, Inc. (a) 210,000 620 Wireless Facilities, Inc. (a) 165,000 1,622 ---------- 3,859 ---------- TRANSPORTATION-4.1% Kansas City Southern (a) 105,000 1,628 Laidlaw International, Inc. (a) 190,000 2,462 USF Corp. 35,500 1,247 ---------- 5,337 ---------- TRUCKING & LEASING-1.0% GATX Corp. 48,400 1,316 ---------- TOTAL COMMON STOCKS (Cost $104,143) 117,717 ---------- NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- SHORT-TERM OBLIGATION-9.8% MONEY MARKET FUND CIGNA Funds Group - Money Market Fund (b) (Cost $12,819) 12,819,288 $ 12,819 ---------- TOTAL INVESTMENTS IN SECURITIES-99.6% (Total Cost $116,962) (c) 130,536 Cash and Other Assets Less Liabilities - 0.4% 585 ---------- NET ASSETS-100.0% $ 131,121 ==========
NOTES TO INVESTMENTS IN SECURITIES (a) Non-income producing security. (b) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is also the Adviser to the CIGNA Funds Group - Money Market Fund. Tax Information (c) At June 30, 2004, the net unrealized appreciation of investments, based on cost for federal income tax purposes of $117,030,925, was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $15,502,231 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (1,996,073) ----------- Unrealized appreciation - net $13,506,158 ===========
(d) As of December 31, 2003, the components of distributable earnings (excluding unrealized appreciation/(depreciation) disclosed above) on a tax basis consisted of the following: Undistributed ordinary income $ 2,470,560 Undistributed capital gains $ 535,873
The Notes to Financial Statements are an integral part of these statements. 30 International Blend/Bank of Ireland Fund INVESTMENTS IN SECURITIES June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS-97.7% AUSTRALIA-2.1% James Hardie Industries NV 6,985 $ 29 National Australia Bank Ltd. 4,153 86 News Corp. Ltd. 11,342 100 Westpac Banking Corp. 6,321 77 ----- 292 ----- CANADA-0.4% Royal Bank of Canada 1,285 57 ----- FINLAND-1.0% Nokia OYJ 9,752 141 ----- FRANCE-9.8% Aventis SA 3,751 284 AXA 7,062 156 BNP Paribas SA 3,101 191 France Telecom (a) 4,517 118 LaFarge SA 1,513 135 Total Fina Elf SA 2,515 480 ----- 1,364 ----- GERMANY-6.0% Bayer AG 3,891 112 Bayerische Motoren Werke AG 5,254 233 Deutsche Bank AG 1,850 146 E. ON AG 4,752 343 ----- 834 ----- HONG KONG-3.5% Cheung Kong Holdings Ltd. 11,000 81 Espirit Holdings Ltd. 11,500 51 Hang Seng Bank Ltd. 7,080 91 Johnson Electric Holdings Ltd. 36,500 37 Li & Fung Ltd. 34,000 50 Sun Hung Kai Properties Ltd. 12,000 98 Swire Pacific Ltd. 12,000 78 ----- 486 ----- IRELAND-1.0% CRH PLC 6,440 136 ----- ITALY-3.6% ENI-Ente Nazionale Idrocarburi SpA 14,816 295 Telecom Italia SpA 66,506 207 ----- 502 ----- NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- JAPAN-17.3% Acom Co. Ltd. 260 $ 17 Canon, Inc. 8,100 426 Fanuc Ltd. 1,600 95 Honda Motor Co. Ltd. 5,400 260 Hoya Corp. 1,700 178 Japan Tobacco, Inc. 14 109 Millea Holdings, Inc. 7 104 Mitsubishi Tokyo Financial Group (a) 13 120 Mitsui Sumitomo Insurance Co. Ltd. 9,000 84 Nippon Telegraph & Telephone Corp. 58 309 NTT DoCoMo, Inc. 49 87 Ricoh Co. Ltd. 4,000 85 Rohm Co. Ltd. 800 96 Shin-Etsu Chemical Co. Ltd. 3,400 121 Shionogi Co. 5,000 86 Sumitomo Mitsui Financial Group, Inc. 18 123 Takeda Chemical Industries Ltd. 2,400 105 ----- 2,405 ----- NETHERLANDS-8.5% ABN-Amro Holdings NV 12,552 275 Heineken NV 1,602 53 ING Groep NV 14,692 347 Koninklijke Ahold NV (a) 2,153 17 Koninklijke (Royal) Philips Electronics NV 8,596 232 Reed Elsevier NV 8,643 121 TPG NV 3,332 76 VNU NV 1,899 55 ----- 1,176 ----- SINGAPORE-0.6% United Overseas Bank Ltd. 11,000 86 ----- SOUTH KOREA-4.3% Hyundai Motor Co. 1,490 57 Korea Electric Power Corp. 4,140 67 KT Corp. 1,710 57 POSCO 787 101 Samsung Electronics Co., Ltd. GDR 751 310 ----- 592 ----- SPAIN-3.0% Banco Santander Central Hispano SA 21,152 220 Telefonica SA 13,308 197 ----- 417 -----
The Notes to Financial Statements are an integral part of these statements. 31 International Blend/Bank of Ireland Fund INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS continued SWITZERLAND-12.2% Nestle SA 1,865 $ 498 Novartis AG 6,796 300 Roche Holdings AG 2,664 264 Swiss Reinsurance 3,319 216 UBS AG 5,791 408 ------- 1,686 ------- TAIWAN-0.6% Taiwan Semiconductor Manufacturing Co., Ltd. (a) 9,251 77 ------- UNITED KINGDOM-23.8% Barclays PLC 29,363 250 British American Tobacco PLC 9,006 140 BT Group PLC 17,862 64 Cadbury Schweppes PLC 14,523 125 Centrica PLC 20,948 85 Compass Group PLC 18,518 113 Diageo PLC 12,431 168 Enterprise Inns PLC 3,810 40 GlaxoSmithKline PLC 9,499 192 Gus PLC 2,442 37 HSBC Holdings PLC 21,181 315 Kingfisher PLC 17,722 92 Marks & Spencer Group PLC 5,621 37 Prudential PLC 12,409 107 Reed Elsevier PLC 6,381 62 Royal Bank of Scotland PLC (a) 6,677 192 Smith & Nephew PLC 12,773 137 Smiths Group PLC 3,765 51 Tesco PLC 47,776 231 TI Automotive Ltd. (a) 5,550 - Tomkins PLC 10,299 51 Travis Perkins PLC 1,258 31 Unilever PLC 21,660 212 Vodafone Group PLC 130,293 285 Whitbread PLC (a) 2,430 36 Wolseley PLC 10,357 161 WPP Group PLC 7,823 79 ------- 3,293 ------- TOTAL COMMON STOCKS (Cost $12,319) 13,544 ------- WARRANTS-0.1% FRANCE-0.1% AXA expiring 12/21/04 (Cost $6) 396 9 ------- NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- SHORT-TERM OBLIGATION-1.8% MONEY MARKET FUND CIGNA Funds Group - Money Market Fund (b) (Cost $254) 253,888 $ 254 ------- TOTAL INVESTMENT IN SECURITIES-99.6% (Total Cost $12,579) (c) 13,807 Cash and Other Assets Less Liabilities - 0.4% 55 ------- NET ASSETS-100.0% $13,862 =======
NOTES TO INVESTMENTS IN SECURITIES (a) Non-income producing security. (b) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is also the Adviser to the CIGNA Funds Group - Money Market Fund. Tax Information (c) At June 30, 2004, the net unrealized appreciation of investments, based on cost for federal income tax purposes of $12,883,950, was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $1,731,004 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (808,402) ---------- Unrealized appreciation - net $ 922,602 ==========
(d) As of December 31, 2003, the components of distributable earnings (excluding unrealized appreciation/(depreciation) disclosed above) on a tax basis consisted of the following: Undistributed ordinary income $ 5,294 Capital loss carryforward: Expiring 2008 $ 129,744 Expiring 2009 597,403 Expiring 2010 1,509,283 Expiring 2011 685,797 ---------- $2,922,227 ==========
The Notes to Financial Statements are an integral part of these statements. 32 TimesSquare Core Plus Bond Fund INVESTMENTS IN SECURITIES June 30, 2004 (Unaudited)
PRINCIPAL VALUE (000) (000) - --------------------------------------------------------------------------------------- LONG-TERM BONDS-85.5% BASIC MATERIALS-0.4% International Paper Co., 5.50%, 2014 $ 40 $ 39 Stora Enso Oyj, 7.38%, 2011 25 28 Weyerhaeuser Co., 6.75%, 2012 20 22 ------ 89 ------ COMMUNICATIONS & MEDIA-9.6% AT&T Corp., 8.75% (coupon change based on rating) 2031 15 15 British Sky Broadcasting PLC, 8.20%, 2009 65 75 British Telecommunications PLC, 8.88% (coupon change based on rating), 2030 10 12 Comcast Corp., 5.85%, 2010 50 52 Deutsche Telekom International Finance BV, 8.50% (coupon change based on rating), 2010 120 140 8.75% (coupon change based on rating), 2030 20 24 France Telecom SA, 8.20%, (coupon change based on rating), 2006 30 32 8.75%, (coupon change based on rating), 2011 65 75 9.50%, (coupon change based on rating), 2031 50 63 Intelsat, Ltd, 6.50%, 2013 70 62 Kyivstar GSM, 12.75%, 2005 (144A security acquired Jan. 2003 for $42) (b) 40 43 Koninklijke KPN, NV, 8.00%, 2010 85 98 Liberty Media Corp., 3.50%, 2006 95 95 5.70%, 2013 20 20 News America Holdings, Inc., 7.75%, 2045 60 68 News America, Inc., 6.75%, 2038 15 16 PTC International Finance II SA, 11.25%, 2009 50 54 Qwest Capital Funding Inc., 7.00%, 2009 15 13 Shaw Communications, Inc., 8.25%, 2010 20 22 7.20%, 2011 30 31 Sprint Capital Corp., 6.13%, 2008 45 47 8.38%, 2012 15 17 8.75%, 2032 65 76 Tele Communications, Inc., 9.80%, 2012 115 144 7.88%, 2013 10 11 Telecom Italia Capital SA, 6.38%, 2033 (144A security acquired Oct. 2003 & Mar. 2004 for $66) (b) 65 63 PRINCIPAL VALUE (000) (000) - --------------------------------------------------------------------------------------- COMMUNICATIONS & MEDIA continued TELUS Corp., 7.50%, 2007 $ 120 $ 131 8.00%, 2011 70 80 Time Warner, Inc., 8.18%, 2007 250 279 9.13%, 2013 80 98 TPSA Finance BV, 7.75%, 2008 (144A security acquired Aug. & Oct. 2003 for $28) (b) 25 28 Univision Communications, Inc., 7.85%, 2011 25 29 Verizon Florida, Inc., 6.13%, 2013 25 26 ------ 2,039 ------ CONSUMER & RETAIL-3.2% Campbell Soup Co., 5.88%, 2008 20 21 Heinz (H.J.) Co., 6.38%, 2028 10 10 Heinz (H.J.) Finance Co., 6.75% (coupon change based on rating), 2032 15 16 Kellogg Co., 6.60%, 2011 100 110 Kraft Foods, Inc., 5.25%, 2007 35 36 5.63%, 2011 100 102 5.25%, 2013 10 10 Kroger Co., 7.50%, 2031 10 11 Miller Brewing Co., 5.50%, 2013 (144A security acquired Aug. 2003 for $35) (b) 35 35 Safeway, Inc., 7.25%, 2031 10 11 Tyson Foods, Inc., 8.25%, 2011 20 23 VFB LLC, 10.25%, 2009 (a) 1,135 238 Yum! Brands, Inc., 8.88%, 2011 40 48 ------ 671 ------ DIVERSIFIED-0.6% General Electric Co., 5.00%, 2013 85 84 ITT Industries, Inc., 7.40%, 2025 30 33 ------ 117 ------ FINANCIAL-9.5% BankBoston Corp., 8.25%, 2026 20 22 Boeing Capital Corp., 6.10%, 2011 25 27 CIT Group, Inc., 5.75%, 2007 50 53 Citigroup, Inc., 3.50%, 2008 75 74 7.25%, 2010 100 113 Countrywide Home Loans., 5.50%, 2007 25 26
The Notes to Financial Statements are an integral part of these statements. 33 TimesSquare Core Plus Bond Fund INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited)
PRINCIPAL VALUE (000) (000) - --------------------------------------------------------------------------------------- LONG-TERM BONDS continued FINANCIAL continued Credit Suisse First Boston Mortgage Securities Corp., 4.63%, 2008 $ 45 $ 46 Interest Only 7.50%, 2032 (c) 340 9 Interest Only 8.00%, 2032 (c) 452 12 Dresdner Bank AG/New York, 7.25%, 2015 40 44 Dresdner Funding Trust I, 8.15%, 2031 (144A security acquired Feb. 2004 for $24) (b) 20 22 Ford Motor Credit Co., 6.88%, 2006 5 5 7.88%, 2010 65 71 7.38%, 2011 35 37 General Electric Capital Corp., 4.25%, 2010 10 10 General Motors Acceptance Corp., 6.88%, 2011 80 82 7.25%, 2011 50 52 7.00%, 2012 25 26 Glencore Funding LLC, 6.00%, 2014 (144A security acquired May 2004 for $18) (b) 20 19 Golden West Financial Corp., 4.13%, 2007 85 86 Goldman Sachs Group, Inc., 6.88%, 2011 75 82 Household Finance Corp., 6.38%, 2012 90 95 HVB Funding Trust III, 9.00%, 2031 (144A security acquired June 2003 for $48) (b) 45 53 International Lease Finance Corp., 6.38%, 2009 35 38 Korea Development Bank, 4.25%, 2007 20 20 Lehman Brothers Holdings, Inc., 6.63%, 2012 40 43 Manufacturers & Traders Trust, 8.00%, 2010 25 29 Midland Funding II, 13.25%, 2006 30 35 Mizuho Financial Group Cayman Ltd., 5.79%, 2014 (144A security acquired Feb. 2004 for $40) (b) 40 39 Morgan (J.P.) Co., 6.00%, 2009 35 37 Morgan Stanley Group, Inc., 6.75%, 2011 50 55 National Rural Utilities Cooperative Finance Corp., 5.75%, 2009 55 58 NB Capital Trust IV, 8.25%, 2027 30 33 Old Kent Bank, Step Coupon (7.75% to 8/15/05), 2010 65 68 Residential Asset Mortgage Products, Inc., Interest Only, 5.75%, 2005 (c) 849 26 Santander Financial Issuances, 6.80%, 2005 40 42 Sanwa Finance Aruba AEC, 8.35%, 2009 45 51 Sovereign Bancorp., Inc., 10.50%, 2006 245 281 PRINCIPAL VALUE (000) (000) - --------------------------------------------------------------------------------------- FINANCIAL continued Union Planters Corp., 6.75%, 2005 $ 90 $ 95 U.S. West Capital Funding, Inc., 6.50%, 2018 10 7 ----- 2,023 ----- FOREIGN GOVERNMENTS-1.5% Argentina (Republic of), 11.38%, 2010 85 25 Brazil (Federal Republic of), 9.25%, 2010 15 14 Export-Import Bank of Korea, 4.13%, 2009 (144A security acquired Feb. 2004 for $35) (b) 35 34 Quebec (Province of Canada), 5.00%, 2009 20 21 7.50%, 2023 55 66 Russian Federation, Step Coupon (5.00% to 3/31/07), 2030 (144A security acquired Sept. 2002, July, Sept. & Oct. 2003 & Feb. 2004 for $90) (b) 105 96 United Mexican States, 8.30%, 2031 70 73 ----- 329 ----- HEALTH CARE-0.2% HCA, Inc., 5.25%, 2008 45 45 7.50%, 2033 5 5 ----- 50 ----- INDUSTRIAL-1.9% Arrow Electronics, Inc., 6.88%, 2013 40 42 BAE Systems Holdings, 6.40%, 2011 (144A security acquired Apr. 2003 & Feb. 2004 for $63) (b) 60 64 Bombardier, Inc., 6.30%, 2014 (144A security acquired May & June 2004 for $23) (b) 25 21 Lockheed Martin Corp., 8.20%, 2009 145 170 Systems 2001 Asset Trust LLC, 7.16%, 2011 (144A security acquired June 2001 & Mar. 2002 for $111) (b) 109 116 ----- 413 ----- INSURANCE-1.2% American Re Corp., 7.45%, 2026 65 69 AXA SA, 8.60%, 2030 25 31 Monumental Global Funding II, 3.85%, 2008 (144A security acquired Feb. 2003 for $45) (b) 45 45 Travelers Property Casualty Corp., 5.00%, 2013 25 24 Zurich Capital Trust I, 8.38%, 2037 (144A security acquired Jan., June, July, Aug. & Oct. 2003 for $78) (b) 75 83 ----- 252 -----
The Notes to Financial Statements are an integral part of these statements. 34 TimesSquare Core Plus Bond Fund INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited)
PRINCIPAL VALUE (000) (000) - --------------------------------------------------------------------------------------- LONG-TERM BONDS continued OIL & GAS-1.9% Amerada Hess Corp., 7.30%, 2031 $ 30 $ 31 Conoco Funding Co., 6.35%, 2011 105 114 Devon Financing Corp. ULC, 6.88%, 2011 30 33 Duke Capital Corp., 4.30%, 2006 50 51 Duke Energy Field Services LLC, 5.75%, 2006 20 21 Occidental Petroleum Corp., 7.65%, 2006 110 118 6.75%, 2012 20 22 Petroleos Mexicanos, 9.50%, 2027 10 11 ------ 401 ------ PHARMACEUTICALS-0.6% Lilly (Eli) & Co., 6.77%, 2036 65 71 Wyeth, 5.50% (coupon change based on rating), 2013 25 24 5.50%, 2014 35 33 ------ 128 ------ TRANSPORTATION-2.1% American Airlines, 7.86%, 2011 40 40 Burlington Northern Santa Fe, 6.75%, 2029 10 10 Federal Express Corp., 7.60%, 2097 20 22 Ford Motor Co., 6.38%, 2029 60 51 Norfolk Southern Corp., 7.70%, 2017 70 81 7.90%, 2097 20 23 Union Pacific Corp., 7.60%, 2005 145 151 5.75%, 2007 45 47 ------ 425 ------ U.S. GOVERNMENT & AGENCIES (d)-49.7% Fannie Mae, 2.50%, 2008 530 503 4.38%, 2013 305 291 4.00%, 2018 180 172 6.50%, 2032 173 180 7.00%, 2032 176 185 5.50%, 2033 1,069 1,067 5.00%, 2034 501 485 5.50%, 2034 229 228 Interest Only 5.85%, 2042 (c) 2,305 42 Financing Corp., Principal Strips from 8.60%, 2019 240 99 9.70%, 2019 150 64 PRINCIPAL VALUE (000) (000) - --------------------------------------------------------------------------------------- U.S. GOVERNMENT & AGENCIES continued Freddie Mac, 6.50%, 2011 $ 126 $ 134 5.50%, 2017 323 331 6.00%, 2017 172 179 4.50%, 2018 631 618 5.00%, 2018 603 605 7.50%, 2032 263 283 5.00%, 2033 505 489 6.00%, 2033 141 144 6.50%, 2034 308 321 Interest Only 7.60%, 2043 (c) 2,330 52 Ginnie Mae, 6.50%, 2031 183 192 6.50%, 2032 108 113 5.50%, 2033 165 165 6.00%, 2033 743 763 U.S. Treasury Bonds, 8.75%, 2017 320 434 6.00%, 2026 305 329 U.S. Treasury Notes, 4.63%. 2006 1,470 1,522 3.38%, 2008 5 5 5.00%. 2011 85 89 4.25%. 2013 460 449 4.75%. 2014 25 25 ------ 10,558 ------ UTILITIES-3.1% American Electric Power, Inc., 5.38%, 2010 20 21 CenterPoint Energy, 5.70%, 2013 30 31 7.88%, 2013 45 50 Detroit Edison Co., 6.13%, 2010 20 21 6.35%, 2032 15 15 Dominion Resources Inc., 6.25%, 2012 15 16 DPL, Inc., 8.25%, 2007 35 37 First Energy Corp., 5.50%, 2006 140 145 7.38%, 2031 35 36 Korea Electric Power Corp., 5.13%, 2034 (144A security acquired Apr. 2004 for $20) (b) 20 19 Nisource Finance Corp., 7.88%, 2010 50 57 Ohio Power Co., 5.50%, 2013 15 15
The Notes to Financial Statements are an integral part of these statements. 35 TimesSquare Core Plus Bond Fund INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited)
PRINCIPAL VALUE (000) (000) - --------------------------------------------------------------------------------------- LONG-TERM BONDS continued UTILITIES continued Oncor Electric Delivery Co., 6.38%, 2012 $ 5 $ 5 7.25%, 2033 15 17 Pacific Gas & Electric Co., 3.60%, 2009 15 14 4.20%, 2011 15 14 6.05%, 2034 20 19 Progress Energy, Inc., 6.85%, 2012 5 5 7.00%, 2031 35 36 Salomon Bros. for OAO Gazprom, 10.50%, 2009 45 51 Tenaska Alabama II Partners LP, 6.13%, 2023 (144A security acquired Oct. 2003 for $34) (b) 34 34 ------ 658 ------ TOTAL LONG-TERM BONDS (Cost $17,903) 18,153 ------ NUMBER OF SHARES --------- PREFERRED STOCK-2.1% COMMUNICATIONS & MEDIA-0.3% Centaur Funding Corp., 9.08% (144A security acquired Nov. 2001 for $56) (b) 50 62 ------ FINANCIAL-1.6% BCI US Funding Trust, Step Coupon (8.01% to 7/15/08) (144A security acquired Apr. 2003 for $83) (b) 75 84 DBS Capital Funding Corp., Step Coupon (7.66% to 3/21/2011) (144A security acquired Oct. 2003 for $45) (b) 40 45 IBJ Preferred Capital Co. LLC, Step Coupon (8.79% to 6/30/08) (144A security acquired Dec. 2003 for $103) (b) 95 104 Natexis AMBS Co. LLC., Step Coupon (8.44% to 6/30/08) (144A security acquired May 2002 for $38) (b) 35 40 RBS Capital Trust I, Step Coupon (4.71% to 7/01/13) 70 65 ------ 338 ------ INDUSTRIAL-0.2% RC Trust I, 7.00%, 2006 800 42 ------ TOTAL PREFERRED STOCK (Cost $437) 442 ------ NUMBER OF VALUE SHARES (000) - --------------------------------------------------------------------------------------- SHORT-TERM OBLIGATIONS-7.7% MONEY MARKET FUND-7.5% CIGNA Funds Group - Money Market Fund (e) 1,588,976 $ 1,589 -------- PRINCIPAL (000) --------- U.S. GOVERNMENT-0.2% U.S. Treasury Bills, 0.98%, 9/30/04 (f) $ 50 50 -------- TOTAL SHORT-TERM OBLIGATIONS (Cost $1,639) 1,639 -------- TOTAL INVESTMENTS IN SECURITIES-95.3% (Total Cost $19,979) (h) 20,234 Cash and Other Assets Less Liabilities - 4.7% 1,008 -------- NET ASSETS-100.0% $ 21,242 ========
NOTES TO INVESTMENTS IN SECURITIES (a) This is a fair valued security which is in default due to bankruptcy. The principal amount represents beneficial ownership interest for future cash receipts under the bankruptcy filings. (b) Indicates restricted security; the aggregate value of restricted securities is $1,148,980 (aggregate cost $1,123,775), which is approximately 5.4% of net assets. Valuations have been furnished by brokers trading in the securities or a pricing service for all restricted securities. (c) Illiquid security. (d) Agency obligations are not guaranteed by the U.S. Government. (e) TimesSquare Capital Management, Inc., the fund's Investment Adviser, is also the Adviser to the CIGNA Funds Group - Money Market Fund. (f) Pledged as collateral for financial futures contracts. At June 30, 2004, the Fund was long 13, 2-year U.S. Treasury Notes and 4, 30-year U.S., Treasury Bonds and was short 6, 5-year U.S. Treasury Notes, futures contracts, all expiring in September 2004. Net unrealized gain amounted to $8,273. Underlying face values of the long and short positions were $3,150,610 and ($648,399), respectively, and underlying market values were $3,162,609 and ($652,125), respectively. (g) A summary of outstanding forward currency contracts, as of June 30, 2004, is as follows:
Net Unrealized Settlement Forward Foreign Contract Appreciation Date Contract Currency Value (Depreciation) - --------------------------------------------------------------------- Buys 7/26/04 Euro 520,000 $630,089 $ 2,988 12/10/04 Euro 170,000 205,766 1,018 Sells 7/26/04 Euro 520,000 $615,628 $ (17,450)
The Notes to Financial Statements are an integral part of these statements. 36 TimesSquare Core Plus Bond Fund INVESTMENTS IN SECURITIES continued June 30, 2004 (Unaudited) - -------------------------------------------------------------------------------- Tax Information (h) At June 30, 2004, the net unrealized appreciation of investments, based on cost for federal income tax purposes of $20,137,127, was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $348,917 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (252,386) -------- Unrealized appreciation - net $ 96,531 ========
(i) As of December 31, 2003, the components of distributable earnings (excluding unrealized appreciation/(depreciation) disclosed above) on a tax basis consisted of the following: Undistributed ordinary income $166,507 Capital loss carryforward: Expiring 2010 $384,929
The Notes to Financial Statements are an integral part of these statements. 37 CIGNA Funds Group STATEMENTS OF ASSETS AND LIABILITIES June 30, 2004 (Unaudited) (In Thousands)
Balanced Large Large Fund Cap Growth/ Cap Value/ (sub-advised by Morgan John A. Wellington Stanley Levin & Co. Management) Fund Fund - -------------------------------------------------------------------------------------------- Assets: Investments in securities at value $ 18,159 $16,187 $ 27,363 Cash - 1 - Foreign currency (Cost $60) - - - Interest and dividends receivable, net of withholding taxes 76 14 29 Receivable for investments sold 39 122 150 Receivable for fund shares sold - - 5 Futures variation margin receivable - - - Prepaid registration fees 7 6 7 Investment for Trustees' deferred compensation plan 1 1 1 Other assets - - - -------- ------- -------- Total assets 18,282 16,331 27,555 -------- ------- -------- Liabilities: Payable for investments purchased - 408 380 Payable for fund shares purchased - 2 - Payable for forward currency contracts - - - Advisory fees payable 15 5 16 Shareholder servicing and distribution fees payable to Distributor 9 9 16 Audit and legal fees payable 7 7 7 Custodian fees payable 6 5 6 Insurance expenses payable 5 5 5 Administrative services fees payable 5 4 5 Shareholder reports payable 3 2 4 Deferred Trustees' fees payable 1 1 1 -------- ------- -------- Total liabilities 51 448 440 -------- ------- -------- Net Assets $ 18,231 $15,883 $ 27,115 ======== ======= ======== Components of Net Assets: Paid-in capital $ 18,096 $19,335 $ 26,262 Undistributed (overdistributed) net investment income 179 (5) 246 Accumulated net realized gain (loss) on investments (1,659) (4,391) (2,042) Net unrealized appreciation of investments, futures, and forward contracts 1,615 944 2,649 -------- ------- -------- Net Assets $ 18,231 $15,883 $ 27,115 ======== ======= ======== Net Assets Institutional Class $ 4,983 $ 3,400 $ 5,334 Premier Class 6,798 4,893 9,428 Retail Class 6,450 7,590 12,353 -------- ------- -------- $ 18,231 $15,883 $ 27,115 ======== ======= ======== Shares Outstanding Institutional Class 502 495 545 Premier Class 686 717 966 Retail Class 654 1,124 1,272 Net Asset Value and Redemption Price per Share Institutional Class $ 9.93 $ 6.88 $ 9.79 Premier Class $ 9.91 $ 6.82 $ 9.76 Retail Class $ 9.86 $ 6.75 $ 9.71 Cost of Investments $ 16,544 $15,243 $ 24,714 ======== ======= ========
Small International TimesSquare S&P Small Cap Value/ Blend/ Core 500[RegTM] Cap Growth/ Perkins, Wolf Bank of Plus Index TimesSquare McDonnell Ireland Bond Fund Fund Fund Fund Fund - ------------------------------------------------------------------------------------------------------------------------ Assets: Investments in securities at value $ 65,030 $462,954 $ 130,536 $13,807 $20,234 Cash - - - - 6 Foreign currency (Cost $60) - - - 61 - Interest and dividends receivable, net of withholding taxes 59 27 86 441 199 Receivable for investments sold - 9,992 701 14 1,074 Receivable for fund shares sold 364 319 517 1 2 Futures variation margin receivable 48 - - - 7 Prepaid registration fees 7 24 6 6 7 Investment for Trustees' deferred compensation plan 8 3 1 (A) 3 Other assets - 3 - - 6 ---------- -------- --------- ------- ------- Total assets 65,516 473,322 131,847 13,933 21,538 ---------- -------- --------- ------- ------- Liabilities: Payable for investments purchased - 1,206 351 16 190 Payable for fund shares purchased 7 100 188 - - Payable for forward currency contracts - - - - 13 Advisory fees payable 8 329 79 16 37 Shareholder servicing and distribution fees payable to Distributor 51 65 59 8 9 Audit and legal fees payable 9 17 19 7 9 Custodian fees payable 22 12 7 13 - Insurance expenses payable 10 13 8 5 8 Administrative services fees payable 4 32 11 4 7 Shareholder reports payable 29 13 3 2 20 Deferred Trustees' fees payable 8 3 1 (A) 3 ---------- -------- --------- ------- ------- Total liabilities 148 1,790 726 71 296 ---------- -------- --------- ------- ------- Net Assets $ 65,368 $471,532 $ 131,121 $13,862 $21,242 ========== ======== ========= ======= ======= Components of Net Assets: Paid-in capital $ 72,719 $400,938 $ 106,201 $15,949 $20,704 Undistributed (overdistributed) net investment income 113 (1,937) 377 135 (370) Accumulated net realized gain (loss) on investments 2,888 25,590 10,969 (3,452) 658 Net unrealized appreciation of investments, futures, and forward contracts (10,352) 46,941 13,574 1,230 250 ---------- -------- --------- ------- ------- Net Assets $ 65,368 $471,532 $ 131,121 $13,862 $21,242 ========== ======== ========= ======= ======= Net Assets Institutional Class $ 1,248 $357,732 $ 44,926 $ 3,972 $12,327 Premier Class 10,482 101,621 50,691 5,834 3,697 Retail Class 53,638 12,179 35,504 4,056 5,218 ---------- -------- --------- ------- ------- $ 65,368 $471,532 $ 131,121 $13,862 $21,242 ========== ======== ========= ======= ======= Shares Outstanding Institutional Class 178 31,250 3,040 510 1,214 Premier Class 1,490 8,922 3,449 749 367 Retail Class 7,692 1,078 2,434 526 519 Net Asset Value and Redemption Price per Share Institutional Class $ 7.01 $ 11.45 $ 14.78 $ 7.80 $ 10.16 Premier Class $ 7.03 $ 11.39 $ 14.70 $ 7.78 $ 10.09 Retail Class $ 6.97 $ 11.30 $ 14.58 $ 7.71 $ 10.05 Cost of Investments $ 75,552 $416,013 $ 116,962 $12,579 $19,979 ========== ======== ========= ======= =======
(1) Including foreign tax reclaim receivable of $23 and cost of $22. (A) Amount less than $1. The Notes to Financial Statements are an integral part of these statements. 38 CIGNA Funds Group STATEMENTS OF OPERATIONS For the six months ended June 30, 2004 (Unaudited) (In Thousands)
Balanced Large Large Fund Cap Growth/ Cap Value/ (sub-advised by Morgan John A. Wellington Stanley Levin & Co. Management) Fund Fund - ----------------------------------------------------------------------------------------- Investment Income: Dividends (net of foreign taxes withheld) $ 128 $ 74 $ 266 Interest 136 - - ------ ------ ------- 264 74 266 Expenses: Investment advisory fees 65 60 97 Custodian fees and expenses 35 35 33 Administrative services fees 11 11 12 Registration fees 18 19 18 Audit and legal fees 6 6 6 Distribution fees Premier Class - - - Retail Class 7 7 12 Shareholder servicing fees Premier Class 7 5 10 Retail Class 6 7 11 Insurance expense (A) (A) 1 Shareholder reports 1 1 1 Other 1 1 1 ------ ------ ------- Total expenses 157 152 202 Less expenses waived and reimbursed by Adviser or Distributor (67) (73) (66) ------ ------ ------- Net expenses 90 79 136 ------ ------ ------- Net Investment Income (Loss) 174 (5) 130 ------ ------ ------- Realized and Unrealized Gain (Loss) on Investments: Net realized gain (loss) from: Currency contracts - - - Futures contracts - - - Swap contracts - - - Securities transactions 271 1,103 1,791 ------ ------ ------- 271 1,103 1,791 ------ ------ ------- Net change in unrealized appreciation (depreciation): Currency contracts - - - Futures contracts - - - Investments (158) (742) (986) ------ ------ ------- (158) (742) (986) ------ ------ ------- Net Realized and Unrealized Gain (Loss) on Investments 113 361 805 ------ ------ ------- Net Increase in Net Assets Resulting from Operations $ 287 $ 356 $ 935 ====== ====== =======
Small International TimesSquare S&P Small Cap Value/ Blend/ Core 500[RegTM] Cap Growth/ Perkins, Wolf Bank of Plus Index TimesSquare McDonnell Ireland Bond Fund Fund Fund Fund Fund - --------------------------------------------------------------------------------------------------------------------- Investment Income: Dividends (net of foreign taxes withheld) $ 1,094 $ 509 $ 1,094 $ 219 $ 9 Interest 10 - - - 815 --------- -------- --------- ------ -------- 1,104 509 1,094 219 824 Expenses: Investment advisory fees 153 2,169 576 65 101 Custodian fees and expenses 89 67 49 63 33 Administrative services fees 19 74 26 11 16 Registration fees 19 37 22 18 18 Audit and legal fees 10 27 20 6 6 Distribution fees Premier Class - - - - 3 Retail Class 52 14 40 4 5 Shareholder servicing fees Premier Class 10 90 41 7 5 Retail Class 50 11 32 5 5 Insurance expense (A) 4 1 (A) (A) Shareholder reports 15 12 2 (A) 9 Other 5 12 4 1 - --------- -------- --------- ------ -------- Total expenses 422 2,517 813 180 201 Less expenses waived and reimbursed by Adviser or Distributor (145) (72) (69) (98) (105) --------- -------- --------- ------ -------- Net expenses 277 2,445 744 82 96 --------- -------- --------- ------ -------- Net Investment Income (Loss) 827 (1,936) 350 137 728 --------- -------- --------- ------ -------- Realized and Unrealized Gain (Loss) on Investments: Net realized gain (loss) from: Currency contracts - - - (3) 63 Futures contracts 876 - - - (102) Swap contracts - - - - 7 Securities transactions 13,878 21,773 8,111 (99) 1,265 --------- -------- --------- ------ -------- 14,754 21,773 8,111 (102) 1,233 --------- -------- --------- ------ -------- Net change in unrealized appreciation (depreciation): Currency contracts - - - (3) (58) Futures contracts (479) - - - 5 Investments (11,692) (5,946) (3,280) 197 (1,193) --------- -------- --------- ------ -------- (12,171) (5,946) (3,280) 194 (1,246) --------- -------- --------- ------ -------- Net Realized and Unrealized Gain (Loss) on Investments 2,583 15,827 4,831 92 (13) --------- -------- --------- ------ -------- Net Increase in Net Assets Resulting from Operations $ 3,410 $ 13,891 $ 5,181 $ 229 $ 715 ========= ======== ========= ====== ========
(A) Amount less than $1. The Notes to Financial Statements are an integral part of these statements. 39 CIGNA Funds Group STATEMENTS OF CHANGES IN NET ASSETS (In Thousands)
Balanced Fund (sub-advised by Large Cap Growth/ Wellington Management) Morgan Stanley Fund ------------------------------ ------------------------------ For the Six For the Year For the Six For the Year Months Ended Ended Months Ended Ended June 30, 2004 December 31, June 30, 2004 December 31, (Unaudited) 2003 (Unaudited) 2003 - ------------------------------------------------------------------------------------------------------------------ Operations: Net investment income (loss) $ 174 $ 301 $ (5) $ 8 Net realized gain (loss) on Investments 271 (72) 1,103 456 Net unrealized appreciation (depreciation) on Investments (158) 2,325 (742) 2,144 ------- ------- ------- ------- Net increase from operations 287 2,554 356 2,608 ------- ------- ------- ------- Dividends and Distributions: From net investment income Institutional Class - (125) - (5) Premier Class - (133) - (3) Retail Class - (132) - - From net realized capital gains Institutional Class - - - - Premier Class - - - - Retail Class - - - - ------- ------- ------- ------- Total dividends and distributions - (390) - (8) ------- ------- ------- -------- Capital Share Transactions: Institutional Class Net proceeds from sales of shares 4 11 162 91 Net asset value of shares issued to shareholders in reinvestment of dividends and distributions - 125 - 5 ------- ------- ------- ------- 4 136 162 96 Cost of shares redeemed - - - (90) ------- ------- ------- ------- Total from Institutional Class 4 136 162 6 ------- ------- ------- ------- Premier Class Net proceeds from sales of shares 1,283 492 517 988 Net asset value of shares issued to shareholders in reinvestment of dividends and distributions - 133 - 3 ------- ------- ------- ------- 1,283 625 517 991 Cost of shares redeemed (154) (216) (447) (252) ------- ------- ------- ------- Total from Premier Class 1,129 409 70 739 ------- ------- ------- ------- Retail Class Net proceeds from sales of shares 1,010 1,511 1,801 2,869 Net asset value of shares issued to shareholders in reinvestment of dividends and distributions - 132 - - ------- ------- ------- ------- 1,010 1,643 1,801 2,869 Cost of shares redeemed (764) (852) (721) (1,978) ------- ------- ------- ------- Total from Retail Class 246 791 1,080 891 ------- ------- ------- ------- Net increase (decrease) from Fund share transactions 1,379 1,336 1,312 1,636 ------- ------- ------- ------- Total Net Increase (Decrease) in Net Assets 1,666 3,500 1,668 4,236 Net Assets: Beginning of period 16,565 13,065 14,215 9,979 ------- ------- ------- ------- End of period* $18,231 $16,565 $15,883 $14,215 ======= ======= ======= ======= * Includes undistributed (overdistributed) net investment income of: $ 179 $ 5 $ (5) $ - ======= ======= ======= ======= Large Cap Value/ John A. Levin & Co. Fund S&P 500[RegTM] Index Fund ------------------------------ ----------------------------- For the Six For the Year For the Six For the Year Months Ended Ended Months Ended Ended June 30, 2004 December 31, June 30, 2004 December 31, (Unaudited) 2003 (Unaudited) 2003 - ----------------------------------------------------------------------------------------------------------------- Operations: Net investment income (loss) $ 130 $ 192 $ 827 $ 2,202 Net realized gain (loss) on Investments 1,791 (2,352) 14,754 4,588 Net unrealized appreciation (depreciation) on Investments (986) 7,443 (12,171) 35,555 ------- ------- ----------- --------- Net increase from operations 935 5,283 3,410 42,345 ------- ------- ----------- --------- Dividends and Distributions: From net investment income Institutional Class - (56) (494) (1,762) Premier Class - (97) (35) (106) Retail Class - (71) (182) (427) From net realized capital gains Institutional Class - - - - Premier Class - - - - Retail Class - - - - ------- ------- ----------- --------- Total dividends and distributions - (224) (711) (2,295) ------- ------- ----------- --------- Capital Share Transactions: Institutional Class Net proceeds from sales of shares 163 107 380 463 Net asset value of shares issued to shareholders in reinvestment of dividends and distributions - 56 493 1,762 ------- ------- ----------- --------- 163 163 873 2,225 Cost of shares redeemed (7) (6) (138,663) (15,899) ------- ------- ----------- --------- Total from Institutional Class 156 157 (137,790) (13,674) ------- ------- ----------- --------- Premier Class Net proceeds from sales of shares 770 3,306 1,600 6,433 Net asset value of shares issued to shareholders in reinvestment of dividends and distributions - 97 35 106 ------- ------- ----------- --------- 770 3,403 1,635 6,539 Cost of shares redeemed (1,579) (990) (535) (1,254) ------- ------- ----------- --------- Total from Premier Class (809) 2,413 1,100 5,285 ------- ------- ----------- --------- Retail Class Net proceeds from sales of shares 3,175 5,499 11,428 20,140 Net asset value of shares issued to shareholders in reinvestment of dividends and distributions - 71 182 427 ------- ------- ----------- --------- 3,175 5,570 11,610 20,567 Cost of shares redeemed (1,165) (4,372) (4,612) (6,877) ------- ------- ----------- --------- Total from Retail Class 2,010 1,198 6,998 13,690 ------- ------- ----------- --------- Net increase (decrease) from Fund share transactions 1,357 3,768 (129,692) 5,301 ------- ------- ----------- --------- Total Net Increase (Decrease) in Net Assets 2,292 8,827 (126,993) 45,351 Net Assets: Beginning of period 24,823 15,996 192,361 147,010 ------- ------- ----------- --------- End of period* $27,115 $24,823 $ 65,368 $ 192,361 ======= ======= =========== ========= * Includes undistributed (overdistributed) net investment income of: $ 246 $ 116 $ 113 $ (3) ======= ======= =========== =========
The Notes to Financial Statements are an integral part of these statements. 40 CIGNA Funds Group STATEMENTS OF CHANGES IN NET ASSETS continued (In Thousands)
Small Cap Growth/ Small Cap Value/ TimesSquare Fund Perkins, Wolf, McDonnell Fund ------------------------------ ------------------------------ For the Six For the Year For the Six For the Year Months Ended Ended Months Ended Ended June 30, 2004 December 31, June 30, 2004 December 31, (Unaudited) 2003 (Unaudited) 2003 - --------------------------------------------------------------------------------------------------------------- Operations: Net investment income (loss) $ (1,936) $ (1,896) $ 350 $ 341 Net realized gain (loss) on Investments 21,773 15,795 8,111 5,063 Net unrealized appreciation (depreciation) on Investments (5,946) 54,524 (3,280) 18,395 --------- --------- --------- --------- Net increase from operations 13,891 68,423 5,181 23,799 --------- --------- --------- --------- Dividends and Distributions: From net investment income Institutional Class - (3,632) - (859) Premier Class - (697) - (576) Retail Class - (81) - (454) From net realized capital gains Institutional Class - (912) - - Premier Class - (190) - - Retail Class - (30) - - --------- --------- --------- --------- Total dividends and distributions - (5,542) - (1,889) --------- --------- --------- --------- Capital Share Transactions: Institutional Class Net proceeds from sales of shares 36,498 233,127 10,074 35,699 Net asset value of shares issued to shareholders in reinvestment of dividends and distributions - 4,544 - 859 --------- --------- --------- --------- 36,498 237,671 10,074 36,558 Cost of shares redeemed (14,926) (16,286) (15,444) (9,667) --------- --------- --------- --------- Total from Institutional Class 21,572 221,385 (5,370) 26,891 --------- --------- --------- --------- Premier Class Net proceeds from sales of shares 54,379 67,121 18,935 26,853 Net asset value of shares issued to shareholders in reinvestment of dividends and distributions - 887 - 576 --------- --------- --------- --------- 54,379 68,008 18,935 27,429 Cost of shares redeemed (22,246) (14,825) (3,265) (11,063) --------- --------- --------- --------- Total from Premier Class 32,133 53,183 15,670 16,366 --------- --------- --------- --------- Retail Class Net proceeds from sales of shares 2,493 4,300 7,462 15,879 Net asset value of shares issued to shareholders in reinvestment of dividends and distributions - 111 - 454 --------- --------- --------- --------- 2,493 4,411 7,462 16,333 Cost of shares redeemed (1,340) (2,828) (2,601) (6,698) --------- --------- --------- --------- Total from Retail Class 1,153 1,583 4,861 9,635 --------- --------- --------- --------- Net increase (decrease) from Fund share transactions 54,858 276,151 15,161 52,892 --------- --------- --------- --------- Total Net Increase (Decrease) in Net Assets 68,749 339,032 20,342 74,802 Net Assets: Beginning of period 402,783 63,751 110,779 35,977 --------- --------- --------- --------- End of period* $ 471,532 $ 402,783 $ 131,121 $ 110,779 ========= ========= ========= ========= * Includes undistributed (overdistributed) net investment income of: $ (1,937) $ (1) $ 377 $ 27 ========= ========= ========= ========= International Blend/ TimesSquare Bank of Ireland Fund Core Plus Bond Fund ------------------------------ ----------------------------- For the Six For the Year For the Six For the Year Months Ended Ended Months Ended Ended June 30, 2004 December 31, June 30, 2004 December 31, (Unaudited) 2003 (Unaudited) 2003 - -------------------------------------------------------------------------------------------------------------- Operations: Net investment income (loss) $ 137 $ 130 $ 728 $ 2,884 Net realized gain (loss) on Investments (102) (588) 1,233 5,376 Net unrealized appreciation (depreciation) on Investments 194 3,057 (1,246) (2,127) ------- ------- ---------- ----------- Net increase from operations 229 2,599 715 6,133 ------- ------- ---------- ----------- Dividends and Distributions: From net investment income Institutional Class - (52) (757) (3,809) Premier Class - (61) (97) (97) Retail Class - (28) (119) (164) From net realized capital gains Institutional Class - - - - Premier Class - - - - Retail Class - - - - ------- ------- ---------- ----------- Total dividends and distributions - (141) (973) (4,070) ------- ------- ---------- ----------- Capital Share Transactions: Institutional Class Net proceeds from sales of shares 164 37 2 52,006 Net asset value of shares issued to shareholders in reinvestment of dividends and distributions - 52 757 3,809 ------- ------- ---------- ----------- 164 89 759 55,815 Cost of shares redeemed (A) (1) (28,853) (119,063) ------- ------- ---------- ----------- Total from Institutional Class 164 88 (28,094) (63,248) ------- ------- ---------- ----------- Premier Class Net proceeds from sales of shares 592 481 1,699 1,591 Net asset value of shares issued to shareholders in reinvestment of dividends and distributions - 61 97 97 ------- ------- ---------- ----------- 592 542 1,796 1,688 Cost of shares redeemed (181) (390) (518) (386) ------- ------- ---------- ----------- Total from Premier Class 411 152 1,278 1,302 ------- ------- ---------- ----------- Retail Class Net proceeds from sales of shares 1,429 794 3,056 3,651 Net asset value of shares issued to shareholders in reinvestment of dividends and distributions - 28 119 164 ------- ------- ---------- ----------- 1,429 822 3,175 3,815 Cost of shares redeemed (212) (485) (947) (2,651) ------- ------- ---------- ----------- Total from Retail Class 1,217 337 2,228 1,164 ------- ------- ---------- ----------- Net increase (decrease) from Fund share transactions 1,792 577 (24,588) (60,782) ------- ------- ---------- ----------- Total Net Increase (Decrease) in Net Assets 2,021 3,035 (24,846) (58,719) Net Assets: Beginning of period 11,841 8,806 46,088 104,807 ------- ------- ---------- ----------- End of period* $13,862 $11,841 $ 21,242 $ 46,088 ======= ======= ========== =========== * Includes undistributed (overdistributed) net investment income of: $ 135 $ (2) $ (370) $ (125) ======= ======= ========== ===========
(A) Amount less than $1. The Notes to Financial Statements are an integral part of these statements. 41 CIGNA Funds Group FINANCIAL HIGHLIGHTS - INSTITUTIONAL CLASS
Balanced Fund (sub-advised by Wellington Management)(1) ----------------------------------------------------------------------- For the Six Months Ended For the Year/Period Ended December 31, June 30, 2004 ------------------------------------------------------- (Unaudited) 2003 2002 2001(e) 2000 - -------------------------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 9.76 $ 8.40 $ 9.68 $10.07 $10.00 Income from investment operations Net investment income (loss)(d) 0.11 0.21 0.24(f) 0.24 0.27 Net realized and unrealized gain (loss) on investments 0.06 1.41 (1.28) (0.41) 0.10 ------ ------ ------- ------ ------ Total from investment operations 0.17 1.62 (1.04) (0.17) 0.37 ------ ------ ------- ------ ------ Less dividends and distributions: Dividends from net investment income - (0.26) (0.24) (0.22) (0.30) ------ ------ ------- ------ ------ Total dividends and distributions - (0.26) (0.24) (0.22) (0.30) ------ ------ ------- ------ ------ Net asset value, end of period $ 9.93 $ 9.76 $ 8.40 $ 9.68 $10.07 ====== ====== ======= ====== ====== Total Return(a) 1.74%(b) 19.27% (10.77)% (1.67)% 3.66%(b) Ratios to Average Net Assets Gross expenses 1.56%(c) 1.83% 1.78% 1.72% 1.76%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.76%(c) 1.03% 0.98% 0.92% 0.96%(c) Net expenses 0.80%(c) 0.80% 0.80% 0.80% 0.80%(c) Net investment income (loss)(d) 2.19%(c) 2.34% 2.59% 2.49% 2.78%(c) Portfolio Turnover 18%(b) 50% 56% 104% 67%(b) Net Assets, End of Period (000 omitted) $4,983 $4,893 $ 4,094 $4,585 $4,663 Large Cap Growth/Morgan Stanley Fund(1) ------------------------------------------------------- For the Six Months Ended For the Year/Period Ended December 31, June 30, 2004 ----------------------------------------- (Unaudited) 2003 2002 2001 - ----------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 6.70 $ 5.39 $ 7.44 $ 8.72 Income from investment operations Net investment income (loss)(d) 0.01 0.02 0.01 (A)(f) Net realized and unrealized gain (loss) on investments 0.17 1.30 (2.06) (1.28) ------ ------ ------- ------- Total from investment operations 0.18 1.32 (2.05) (1.28) ------ ------ ------- ------- Less dividends and distributions: Dividends from net investment income - (0.01) - - ------ ------ ------- ------- Total dividends and distributions - (0.01) - - ------ ------ ------- ------- Net asset value, end of period $ 6.88 $ 6.70 $ 5.39 $ 7.44 ====== ====== ======= ======= Total Return(a) 2.69%(b) 24.49% (27.55)% (14.68)% Ratios to Average Net Assets Gross expenses 1.77%(c) 2.07% 2.18% 2.18% Fees and expenses waived or borne by the Adviser or Distributor 0.97%(c) 1.27% 1.38% 1.38% Net expenses 0.80%(c) 0.80% 0.80% 0.80% Net investment income (loss)(d) 0.19%(c) 0.33% 0.21% 0.06% Portfolio Turnover 72%(b) 131% 149% 91% Net Assets, End of Period (000 omitted) $3,400 $3,154 $ 2,528 $ 3,347 Large Cap Growth/Morgan Stanley Fund(1) ------------------- For the Year/Period Ended December 31, ------------------- 2000 - ---------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 10.00 Income from investment operations Net investment income (loss)(d) (0.01) Net realized and unrealized gain (loss) on investments (1.27) ------- Total from investment operations (1.28) ------- Less dividends and distributions: Dividends from net investment income - ------- Total dividends and distributions - ------- Net asset value, end of period $ 8.72 ======= Total Return(a) (12.80)%(b) Ratios to Average Net Assets Gross expenses 1.79%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.99%(c) Net expenses 0.80%(c) Net investment income (loss)(d) (0.11)%(c) Portfolio Turnover 75%(b) Net Assets, End of Period (000 omitted) $ 3,926
Large Cap Value/John A. Levin & Co. Fund(1) ------------------------------------------------------------------------------- For the Six Months Ended For the Year/Period Ended December 31, June 30, 2004 --------------------------------------------------------------- (Unaudited) 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 9.43 $ 7.41 $ 10.24 $10.85 $10.00 Income from investment operations Net investment income(d) 0.05 0.10(f) 0.09 0.11(f) 0.13 Net realized and unrealized gain (loss) on investments 0.31 2.03 (2.84) (0.57) 1.28 ------ ------ ------- ------ ------ Total from investment operations 0.36 2.13 (2.75) (0.46) 1.41 ------ ------ ------- ------ ------ Less dividends and distributions: Dividends from net investment income - (0.11) (0.08) (0.15) (0.56) Distributions from net realized capital gains - - - - - ------ ------ ------- ------ ------ Total dividends and distributions - (0.11) (0.08) (0.15) (0.56) ------ ------ ------- ------ ------ Net asset value, end of period $ 9.79 $ 9.43 $ 7.41 $10.24 $10.85 ====== ====== ======= ====== ====== Total Return(a) 3.82%(b) 28.74% (26.85)% (4.21)% 14.03%(b) Ratios to Average Net Assets Gross expenses 1.31%(c) 1.51% 1.48% 1.47% 1.55%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.51%(c) 0.71% 0.68% 0.67% 0.75%(c) Net expenses 0.80%(c) 0.80% 0.80% 0.80% 0.80%(c) Net investment income(d) 1.24%(c) 1.25% 1.17% 1.09% 1.05%(c) Portfolio Turnover 45%(b) 89% 44% 45% 62%(b) Net Assets, End of Period (000 omitted) $5,334 $4,981 $ 3,778 $4,915 $5,130 S&P 500[RegTM] Index Fund(2) ------------------------------------------------------------------------- For the Six Months Ended For the Year/Period Ended December 31, June 30, 2004 -------------------------------------------------------- (Unaudited) 2003 2002 2001 2000 - ------------------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 6.80 $ 5.37 $ 7.01 $ 8.11 $ 10.09 Income from investment operations Net investment income(d) 0.03(f) 0.09 0.08 0.12 0.14 Net realized and unrealized gain (loss) on investments 0.20 1.43 (1.64) (1.10) (0.98) ------ -------- -------- -------- -------- Total from investment operations 0.23 1.52 (1.56) (0.98) (0.84) ------ -------- -------- -------- -------- Less dividends and distributions: Dividends from net investment income (0.02) (0.09) (0.08) (0.12) (0.19) Distributions from net realized capital gains - - - (A) (0.95) ------ -------- -------- -------- -------- Total dividends and distributions (0.02) (0.09) (0.08) (0.12) (1.14) ------ -------- -------- -------- -------- Net asset value, end of period $ 7.01 $ 6.80 $ 5.37 $ 7.01 $ 8.11 ====== ======== ======== ======== ======== Total Return(a) 3.45%(b) 28.29% (22.21)% (12.08)% (9.24)% Ratios to Average Net Assets Gross expenses 0.38%(c) 0.44% 0.44% 0.44% 0.38% Fees and expenses waived or borne by the Adviser or Distributor 0.13%(c) 0.19% 0.19% 0.19% 0.13% Net expenses 0.25%(c) 0.25% 0.25% 0.25% 0.25% Net investment income(d) 1.13%(c) 1.43% 1.35% 1.59% 1.46% Portfolio Turnover 1%(b) 2% 4% 2% 9% Net Assets, End of Period (000 omitted) $1,248 $138,017 $121,170 $155,364 $176,707 S&P 500[RegTM] Index Fund(2) ------------ For the Year/Period Ended December 31, ------------ 1999 - ------------------------------------------------------------ Per Share Operating Performance: Net asset value, beginning of period $ 8.55 Income from investment operations Net investment income(d) 0.11 Net realized and unrealized gain (loss) on investments 1.66 -------- Total from investment operations 1.77 -------- Less dividends and distributions: Dividends from net investment income (0.14) Distributions from net realized capital gains (0.09) -------- Total dividends and distributions (0.23) -------- Net asset value, end of period $ 10.09 ======== Total Return(a) 20.66% Ratios to Average Net Assets Gross expenses 0.36% Fees and expenses waived or borne by the Adviser or Distributor 0.01% Net expenses 0.35% Net investment income(d) 1.11% Portfolio Turnover 3% Net Assets, End of Period (000 omitted) $352,417
(1) Commenced operations on January 20, 2000. (2) All per share data for the S&P 500[RegTM] Index Fund's Institutional Class as of December 31, 2001 and earlier has been restated to reflect a 1.62 to 1 stock split effective August 15, 2001. (A) Less than $0.01 per share. (a) Had the Adviser or Distributor not waived or reimbursed a portion of expenses, total return would have been reduced. (b) Not annualized. (c) Annualized. (d) Net investment income per share has been calculated in accordance with SEC requirements, unless otherwise noted, with the exception that end of the year accumulated undistributed/(overdistributed) net investment income has not been adjusted to reflect current year permanent differences between financial and tax accounting. (e) Effective January 1, 2001, the Fund was required to start amortizing premium and discount on all debt securities. The effect of this change on net investment income per share was an increase of $0.01 per share. The effect to the ratio of net investment income to average net assets was an increase of 0.05%. Per share, ratios, and supplemental data for periods prior to January 1, 2001, have not been restated to reflect this change in accounting principle. (f) Per share numbers have been calculated using average shares. The Notes to Financial Statements are an integral part of these statements. 42 CIGNA Funds Group FINANCIAL HIGHLIGHTS - INSTITUTIONAL CLASS continued
Small Cap Growth/TimesSquare Fund(2) ---------------------------------------------------- For the Six For the Year/Period Ended Months Ended December 31, June 30, 2004 --------------------------------- (Unaudited) 2003 2002 - ------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 11.06 $ 8.16 $ 10.00 Income from investment operations Net investment income (loss)(d) (0.05) (0.09)(f) (0.07)(f) Net realized and unrealized gain (loss) on investments 0.44 3.15 (1.77) -------- -------- ------- Total from investment operations 0.39 3.06 (1.84) -------- -------- ------- Less dividends and distributions: Dividends from net investment income - (0.13) - Distributions from net realized capital gains - (0.03) - Distributions from capital - - - -------- ------- ------- Total dividends and distributions - (0.16) - -------- -------- ------- Net asset value, end of period $ 11.45 $ 11.06 $ 8.16 ======== ======== ======= Total Return(a) 3.53%(b) 37.48% (18.40)% Ratios to Average Net Assets Gross expenses 1.08%(c) 1.12% 1.45% Fees and expenses waived or borne by the Adviser or Distributor 0.03%(c) 0.07% 0.40% Net expenses 1.05%(c) 1.05% 1.05% Net investment income (loss)(d) (0.82)%(c) (0.86)% (0.85)% Portfolio Turnover 31%(b) 61% 57% Net Assets, End of Period (000 omitted) $357,732 $324,742 $51,762 Small Cap Growth/TimesSquare Fund(2) ------------------------------ For the Year/Period Ended December 31, ------------------------------ 2001 2000 - --------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 11.00 $ 10.00 Income from investment operations Net investment income (loss)(d) (0.06) (0.01) Net realized and unrealized gain (loss) on investments (0.94) 1.16 ------ ------- Total from investment operations (1.00) 1.15 ------ ------- Less dividends and distributions: Dividends from net investment income - (0.10) Distributions from net realized capital gains - - Distributions from capital - (0.05) ------ ------- Total dividends and distributions - (0.15) ------ ------- Net asset value, end of period $10.00 $ 11.00 ====== ======= Total Return(a) (9.09)% 11.51%(b) Ratios to Average Net Assets Gross expenses 1.75% 1.81%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.70% 0.76%(c) Net expenses 1.05% 1.05%(c) Net investment income (loss)(d) (0.66)% (0.12)%(c) Portfolio Turnover 160% 140%(b) Net Assets, End of Period (000 omitted) $9,441 $16,552 Small Cap Value/Perkins, Wolf, McDonnell Fund(1) ------------------------------------------------------------------- For the Six Months Ended For the Year/Period Ended December 31, June 30, 2004 --------------------------------------------------- (Unaudited) 2003 2002 2001 - ----------------------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 14.14 $ 10.23 $ 12.15 $11.38 Income from investment operations Net investment income (loss)(d) 0.07 0.09(f) 0.07(f) 0.13(f) Net realized and unrealized gain (loss) on investments 0.57 4.09 (1.87) 2.38 ------- ------- ------- ------ Total from investment operations 0.64 4.18 (1.80) 2.51 ------- ------- ------- ------ Less dividends and distributions: Dividends from net investment income - (0.27) (0.01) (1.36) Distributions from net realized capital gains - - (0.11) (0.38) Distributions from capital - - - - ------- ------- ------- ------ Total dividends and distributions - (0.27) (0.12) (1.74) ------- ------- ------- ------ Net asset value, end of period $ 14.78 $ 14.14 $ 10.23 $12.15 ======= ======= ======= ====== Total Return(a) 4.53%(b) 40.82% (14.80)% 21.78% Ratios to Average Net Assets Gross expenses 1.17%(c) 1.24% 1.54% 1.70% Fees and expenses waived or borne by the Adviser or Distributor 0.12%(c) 0.19% 0.49% 0.65% Net expenses 1.05%(c) 1.05% 1.05% 1.05% Net investment income (loss)(d) 0.79%(c) 0.75% 0.64% 1.03% Portfolio Turnover 32%(b) 58% 42% 59% Net Assets, End of Period (000 omitted) $44,926 $48,164 $11,913 $7,079 Small Cap Value/Perkins, Wolf, McDonnell Fund(1) ---------------- For the Year/Period Ended December 31, ---------------- 2000 - ------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 10.00 Income from investment operations Net investment income (loss)(d) 0.34 Net realized and unrealized gain (loss) on investments 2.59 ------ Total from investment operations 2.93 ------ Less dividends and distributions: Dividends from net investment income (1.55) Distributions from net realized capital gains - Distributions from capital - ------ Total dividends and distributions (1.55) ------ Net asset value, end of period $11.38 ====== Total Return(a) 29.22%(b) Ratios to Average Net Assets Gross expenses 1.98%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.93%(c) Net expenses 1.05%(c) Net investment income (loss)(d) 1.69%(c) Portfolio Turnover 102%(b) Net Assets, End of Period (000 omitted) $5,812
International Blend/Bank of Ireland Fund(3) ---------------------------------------- For the Six For the Year/Period Months Ended Ended December 31, June 30, 2004 ------------------------ (Unaudited) 2003 2002 - ------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 7.63 $ 6.01 $ 7.46 Income from investment operations Net investment income(d) 0.09 0.10 0.08 Net realized and unrealized gain (loss) on investments 0.08 1.63 (1.46) ------ ------ ------- Total from investment operations 0.17 1.73 (1.38) ------ ------ ------- Less dividends and distributions: Dividends from net investment income - (0.11) (0.07) Distributions from net realized capital gains - - - Distributions from capital - - - ------ ------ ------- Total dividends and distributions - (0.11) (0.07) ------ ------ ------- Net asset value, end of period $ 7.80 $ 7.63 $ 6.01 ====== ====== ======= Total Return(a) 2.23%(b) 28.79% (18.50)% Ratios to Average Net Assets Gross expenses 2.53%(c) 3.11% 3.19% Fees and expenses waived or borne by the Adviser or Distributor 1.48%(c) 2.06% 2.14% Net expenses 1.05%(c) 1.05% 1.05% Net investment income(d) 2.23%(c) 1.55% 1.13% Portfolio Turnover 9%(b) 18% 29% Net Assets, End of Period (000 omitted) $3,972 $3,725 $ 2,855 International Blend/Bank of Ireland Fund(3) -------------------------------- For the Year/Period Ended December 31, -------------------------------- 2001 2000 - ----------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 9.41 $ 10.00 Income from investment operations Net investment income(d) 0.07 0.07 Net realized and unrealized gain (loss) on investments (1.94) (0.46) ------- ------ Total from investment operations (1.87) (0.39) ------- ------ Less dividends and distributions: Dividends from net investment income (0.08) (0.11) Distributions from net realized capital gains - - Distributions from capital - (0.09) ------- ------ Total dividends and distributions (0.08) (0.20) ------- ------ Net asset value, end of period $ 7.46 $ 9.41 ======= ====== Total Return(a) (19.85)% (3.84)%(b) Ratios to Average Net Assets Gross expenses 2.55% 2.59%(c) Fees and expenses waived or borne by the Adviser or Distributor 1.50% 1.54%(c) Net expenses 1.05% 1.05%(c) Net investment income(d) 0.91% 0.69%(c) Portfolio Turnover 12% 27%(b) Net Assets, End of Period (000 omitted) $ 3,466 $4,326 TimesSquare/Core Plus Bond Fund ------------------------------------------------------------------ For the Six Months Ended For the Year/Period Ended December 31, June 30, 2004 ------------------------------------------------- (Unaudited) 2003 2002 2001(e) - --------------------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 10.34 $ 10.19 $ 9.96 $ 10.27 Income from investment operations Net investment income(d) 0.19(f) 0.43(f) 0.45(f) 0.59(f) Net realized and unrealized gain (loss) on investments (0.10) 0.33 0.41 0.29 ------- ------- -------- ------- Total from investment operations 0.09 0.76 0.86 0.88 ------- ------- -------- ------- Less dividends and distributions: Dividends from net investment income (0.27) (0.61) (0.62) (1.12) Distributions from net realized capital gains - - (0.01) (0.07) Distributions from capital - - - - ------- ------- -------- ------- Total dividends and distributions (0.27) (0.61) (0.63) (1.19) ------- ------- -------- ------- Net asset value, end of period $ 10.16 $ 10.34 $ 10.19 $ 9.96 ======= ======= ======== ======= Total Return(a) 0.81%(b) 7.66% 8.90% 8.80% Ratios to Average Net Assets Gross expenses 1.03%(c) 0.95% 0.80% 0.80% Fees and expenses waived or borne by the Adviser or Distributor 0.58%(c) 0.50% 0.35% 0.35% Net expenses 0.45%(c) 0.45% 0.45% 0.45% Net investment income(d) 4.30%(c) 4.24% 4.48% 5.69% Portfolio Turnover 82%(b) 194% 396% 351% Net Assets, End of Period (000 omitted) $12,327 $40,472 $101,734 $90,835 TimesSquare/ Core Plus Bond Fund ----------- For the Year/Period Ended December 31, ------------ 2000 - --------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 10.00 Income from investment operations Net investment income(d) 0.63 Net realized and unrealized gain (loss) on investments 0.34 ------- Total from investment operations 0.97 ------- Less dividends and distributions: Dividends from net investment income (0.69) Distributions from net realized capital gains (0.01) Distributions from capital - ------- Total dividends and distributions (0.70) ------- Net asset value, end of period $ 10.27 ======= Total Return(a) 9.93% Ratios to Average Net Assets Gross expenses 0.83% Fees and expenses waived or borne by the Adviser or Distributor 0.38% Net expenses 0.45% Net investment income(d) 6.74% Portfolio Turnover 310% Net Assets, End of Period (000 omitted) $83,540
(1) Commenced operations on January 20, 2000. (2) Commenced operations on January 21, 2000. (3) Commenced operations on January 24, 2000. (a) Had the Adviser or Distributor not waived or reimbursed a portion of expenses, total return would have been reduced. (b) Not annualized. (c) Annualized. (d) Net investment income per share has been calculated in accordance with SEC requirements, unless otherwise noted, with the exception that end of the year accumulated undistributed/ (overdistributed) net investment income has not been adjusted to reflect current year permanent differences between financial and tax accounting. (e) Effective January 1, 2001, the Fund was required to start amortizing premium and discount on all debt securities. The effect of this change on net investment income per share was a decrease of $0.01 per share. The effect to the ratio of net investment income to average net assets was a decrease of 0.07%. Per share, ratios, and supplemental data for periods prior to January 1, 2001, have not been restated to reflect this change in accounting principle. (f) Per share numbers have been calculated using average shares. The Notes to Financial Statements are an integral part of these statements. 43 CIGNA Funds Group FINANCIAL HIGHLIGHTS - PREMIER CLASS
Balanced Fund (sub-advised by Wellington Management)(1) ----------------------------------------------------------------------- For the Six Months Ended For the Year/Period Ended December 31, June 30, 2004 ------------------------------------------------------- (Unaudited) 2003 2002 2001(e) 2000 - -------------------------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 9.75 $ 8.39 $ 9.67 $10.05 $10.00 Income from investment operations Net investment income (loss)(d) 0.10 0.18 0.22(f) 0.23 0.25 Net realized and unrealized gain (loss) on investments 0.06 1.42 (1.28) (0.41) 0.09 ------ ------ ------- ------ ------ Total from investment operations 0.16 1.60 (1.06) (0.18) 0.34 ------ ------ ------- ------ ------ Less dividends and distributions: Dividends from net investment income - (0.24) (0.22) (0.20) (0.29) ------ ------ ------- ------ ------ Total dividends and distributions - (0.24) (0.22) (0.20) (0.29) ------ ------ ------- ------ ------ Net asset value, end of period $ 9.91 $ 9.75 $ 8.39 $ 9.67 $10.05 ====== ====== ======= ====== ====== Total Return(a) 1.64%(b) 19.08% (10.97)% (1.78)% 3.41%(b) Ratios to Average Net Assets Gross expenses 1.76%(c) 2.03% 1.98% 1.92% 1.96%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.76%(c) 1.03% 0.98% 0.92% 0.96%(c) Net expenses 1.00%(c) 1.00% 1.00% 1.00% 1.00%(c) Net investment income (loss)(d) 1.99%(c) 2.14% 2.40% 2.32% 2.58%(c) Portfolio Turnover 18%(b) 50% 56% 104% 67%(b) Net Assets, End of Period (000 omitted) $6,798 $5,569 $ 4,429 $4,786 $4,964 Large Cap Growth/Morgan Stanley Fund(1) --------------------------------------------------------------- For the Six Months Ended For the Year/Period Ended December 31, June 30, 2004 --------------------------------------------- (Unaudited) 2003 2002 2001 - ------------------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 6.66 $ 5.36 $ 7.41 $ 8.71 Income from investment operations Net investment income (loss)(d) (A) 0.01 (A) (0.01)(f) Net realized and unrealized gain (loss) on investments 0.16 1.29 (2.05) (1.29) ------ ------ ------- ------- Total from investment operations 0.16 1.30 (2.05) (1.30) ------ ------ ------- ------- Less dividends and distributions: Dividends from net investment income - (A) - - ------ ------ ------- ------- Total dividends and distributions - - - - ------ ------ ------- ------- Net asset value, end of period $ 6.82 $ 6.66 $ 5.36 $ 7.41 ====== ====== ======= ======= Total Return(a) 2.40%(b) 24.34% (27.67)% (14.93)% Ratios to Average Net Assets Gross expenses 1.97%(c) 2.27% 2.38% 2.38% Fees and expenses waived or borne by the Adviser or Distributor 0.97%(c) 1.27% 1.38% 1.38% Net expenses 1.00%(c) 1.00% 1.00% 1.00% Net investment income (loss)(d) (0.01)%(c) 0.13% 0.01% (0.15)% Portfolio Turnover 72%(b) 131% 149% 91% Net Assets, End of Period (000 omitted) $4,893 $4,708 $ 3,140 $ 3,984 Large Cap Growth/Morgan Stanley Fund(1) ------------------- For the Year/Period Ended December 31, ------------------- 2000 - ---------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 10.00 Income from investment operations Net investment income (loss)(d) (0.03) Net realized and unrealized gain (loss) on investments (1.26) ------- Total from investment operations (1.29) ------- Less dividends and distributions: Dividends from net investment income - ------- Total dividends and distributions - ------- Net asset value, end of period $ 8.71 ======= Total Return(a) (12.90)%(b) Ratios to Average Net Assets Gross expenses 1.99%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.99%(c) Net expenses 1.00%(c) Net investment income (loss)(d) (0.31)%(c) Portfolio Turnover 75%(b) Net Assets, End of Period (000 omitted) $ 4,377
Large Cap Value/John A. Levin & Co. Fund(1) --------------------------------------------- For the Six For the Year/Period Ended Months Ended December 31, June 30, 2004 ----------------------------- (Unaudited) 2003 2002 - ------------------------------------------------------------------------------------------------------ Per Share Operating Performance: Net asset value, beginning of period $ 9.41 $ 7.40 $ 10.22 Income from investment operations Net investment income(d) 0.05 0.08(f) 0.06 Net realized and unrealized gain (loss) on investments 0.30 2.03 (2.82) ------ ------ ------- Total from investment operations 0.35 2.11 (2.76) ------ ------ ------- Less dividends and distributions: Dividends from net investment income - (0.10) (0.06) Distributions from net realized capital gains - - - ------ ------ ------- Total dividends and distributions - (0.10) (0.06) ------ ------ ------- Net asset value, end of period $ 9.76 $ 9.41 $ 7.40 ====== ====== ======= Total Return(a) 3.72%(b) 28.47% (26.97)% Ratios to Average Net Assets Gross expenses 1.51%(c) 1.71% 1.68% Fees and expenses waived or borne by the Adviser or Distributor 0.51%(c) 0.71% 0.68% Net expenses 1.00%(c) 1.00% 1.00% Net investment income(d) 1.04%(c) 1.04% 0.99% Portfolio Turnover 45%(b) 89% 44% Net Assets, End of Period (000 omitted) $9,428 $9,905 $ 5,780 Large Cap Value/John A. Levin & Co. Fund(1) --------------------------------- For the Year/Period Ended December 31, --------------------------------- 2001 2000 - ------------------------------------------------------------------------------------------ Per Share Operating Performance: Net asset value, beginning of period $10.83 $10.00 Income from investment operations Net investment income(d) 0.13(f) 0.10 Net realized and unrealized gain (loss) on investments (0.61) 1.28 ------ ------ Total from investment operations (0.48) 1.38 ------ ------ Less dividends and distributions: Dividends from net investment income (0.13) (0.55) Distributions from net realized capital gains - - ------ ------ Total dividends and distributions (0.13) (0.55) ------ ------ Net asset value, end of period $10.22 $10.83 ====== ====== Total Return(a) (4.39)% 13.78%(b) Ratios to Average Net Assets Gross expenses 1.67% 1.75%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.67% 0.75%(c) Net expenses 1.00% 1.00%(c) Net investment income(d) 0.89% 0.85%(c) Portfolio Turnover 45% 62%(b) Net Assets, End of Period (000 omitted) $6,657 $5,842 S&P 500[RegTM] Index Fund(2) -------------------------------------------------------- For the Six Months Ended For the Year/Period Ended December 31, June 30, 2004 ---------------------------------------- (Unaudited) 2003 2002 2001 - ------------------------------------------------------------------------------------------------------------------ Per Share Operating Performance: Net asset value, beginning of period $ 6.83 $ 5.38 $ 7.01 $ 8.11 Income from investment operations Net investment income(d) 0.03(f) 0.07 0.08 0.08 Net realized and unrealized gain (loss) on investments 0.19 1.46 (1.64) (1.07) ------- ------ ------- ------- Total from investment operations 0.22 1.53 (1.56) (0.99) ------- ------ ------- ------- Less dividends and distributions: Dividends from net investment income (0.02) (0.08) (0.07) (0.11) Distributions from net realized capital gains - - - (A) ------- ------ ------- ------- Total dividends and distributions (0.02) (0.08) (0.07) (0.11) ------- ------ ------- ------- Net asset value, end of period $ 7.03 $ 6.83 $ 5.38 $ 7.01 ======= ====== ======= ======= Total Return(a) 3.29%(b) 28.48% (22.24)% (12.20)% Ratios to Average Net Assets Gross expenses 0.62%(c) 0.63% 0.63% 0.64% Fees and expenses waived or borne by the Adviser or Distributor 0.27%(c) 0.28% 0.28% 0.29% Net expenses 0.35%(c) 0.35% 0.35% 0.35% Net investment income(d) 1.11%(c) 1.34% 1.25% 1.59% Portfolio Turnover 1%(b) 2% 4% 2% Net Assets, End of Period (000 omitted) $10,482 $9,092 $ 2,561 $ 2,596 S&P 500[RegTM] Index Fund(2) ------------------ For the Year/Period Ended December 31, ------------------ 2000 - --------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $10.00 Income from investment operations Net investment income(d) 0.15 Net realized and unrealized gain (loss) on investments (0.82) ------ Total from investment operations (0.67) ------ Less dividends and distributions: Dividends from net investment income (0.25) Distributions from net realized capital gains (0.97) ------ Total dividends and distributions (1.22) ------ Net asset value, end of period $ 8.11 ====== Total Return(a) (7.64)%(b) Ratios to Average Net Assets Gross expenses 0.58%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.23%(c) Net expenses 0.35%(c) Net investment income(d) 1.36%(c) Portfolio Turnover 9%(b) Net Assets, End of Period (000 omitted) $ 846
(1) Commenced operations on January 20, 2000. (2) Commenced operations on January 21, 2000. (A) Less than $0.01 per share. (a) Had the Adviser or Distributor not waived or reimbursed a portion of expenses, total return would have been reduced. (b) Not annualized. (c) Annualized. (d) Net investment income per share has been calculated in accordance with SEC requirements, unless otherwise noted, with the exception that end of the year accumulated undistributed/ (overdistributed) net investment income has not been adjusted to reflect current year permanent differences between financial and tax accounting. (e) Effective January 1, 2001, the Fund was required to start amortizing premium and discount on all debt securities. The effect of this change on net investment income per share was an increase of $0.01 per share. The effect to the ratio of net investment income to average net assets was an increase of 0.04%. Per share, ratios, and supplemental data for periods prior to January 1, 2001, have not been restated to reflect this change in accounting principle. (f) Per share numbers have been calculated using average shares. The Notes to Financial Statements are an integral part of these statements. 44 CIGNA Funds Group FINANCIAL HIGHLIGHTS - PREMIER CLASS continued
Small Cap Growth/TimesSquare Fund(2) ---------------------------------------------------- For the Six For the Year/Period Ended Months Ended December 31, June 30, 2004 --------------------------------- (Unaudited) 2003 2002 - ------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 11.02 $ 8.12 $ 9.97 Income from investment operations Net investment income (loss)(d) (0.05) (0.11)(f) (0.09)(f) Net realized and unrealized gain (loss) on investments 0.42 3.16 (1.76) -------- ------- ------- Total from investment operations 0.37 3.05 (1.85) -------- ------- ------- Less dividends and distributions: Dividends from net investment income - (0.12) - Distributions from net realized capital gains - (0.03) - Distributions from capital - - - -------- ------- ------- Total dividends and distributions - (0.15) - -------- ------- ------- Net asset value, end of period $ 11.39 $ 11.02 $ 8.12 ======== ======= ======= Total Return(a) 3.36%(b) 37.53% (18.56)% Ratios to Average Net Assets Gross expenses 1.28%(c) 1.32% 1.65% Fees and expenses waived or borne by the Adviser or Distributor 0.03%(c) 0.07% 0.40% Net expenses 1.25%(c) 1.25% 1.25% Net investment income (loss)(d) (1.02)%(c) (1.06)% (1.06)% Portfolio Turnover 31%(b) 61% 57% Net Assets, End of Period (000 omitted) $101,621 $67,375 $ 5,482 Small Cap Growth/TimesSquare Fund(2) ------------------------------ For the Year/Period Ended December 31, ------------------------------ 2001 2000 - --------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $10.98 $10.00 Income from investment operations Net investment income (loss)(d) (0.08) (0.02) Net realized and unrealized gain (loss) on investments (0.93) 1.15 ------ ------ Total from investment operations (1.01) 1.13 ------ ------ Less dividends and distributions: Dividends from net investment income - (0.10) Distributions from net realized capital gains - - Distributions from capital - (0.05) ------ ------ Total dividends and distributions - (0.15) ------ ------ Net asset value, end of period $ 9.97 $10.98 ====== ====== Total Return(a) (9.20)% 11.26%(b) Ratios to Average Net Assets Gross expenses 1.95% 2.01%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.70% 0.76%(c) Net expenses 1.25% 1.25%(c) Net investment income (loss)(d) (0.87)% (0.32)%(c) Portfolio Turnover 160% 140%(b) Net Assets, End of Period (000 omitted) $6,370 $6,640 Small Cap Value/Perkins, Wolf, McDonnell Fund(1) ------------------------------------------------------------------- For the Six Months Ended For the Year/Period Ended December 31, June 30, 2003 --------------------------------------------------- (Unaudited) 2003 2002 2001 - ----------------------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 14.07 $ 10.19 $ 12.12 $11.37 Income from investment operations Net investment income (loss)(d) 0.03 0.06(f) 0.05(f) 0.10(f) Net realized and unrealized gain (loss) on investments 0.60 4.07 (1.86) 2.37 ------- ------- ------- ------ Total from investment operations 0.63 4.13 (1.81) 2.47 ------- ------- ------- ------ Less dividends and distributions: Dividends from net investment income - (0.25) (0.01) (1.34) Distributions from net realized capital gains - - (0.11) (0.38) Distributions from capital - - - - ------- ------- ------- ------ Total dividends and distributions - (0.25) (0.12) (1.72) ------- ------- ------- ------ Net asset value, end of period $ 14.70 $ 14.07 $ 10.19 $12.12 ======= ======= ======= ====== Total Return(a) 4.48%(b) 40.53% (14.97)% 21.53% Ratios to Average Net Assets Gross expenses 1.37%(c) 1.45% 1.74% 1.90% Fees and expenses waived or borne by the Adviser or Distributor 0.12%(c) 0.20% 0.49% 0.65% Net expenses 1.25%(c) 1.25% 1.25% 1.25% Net investment income (loss)(d) 0.56%(c) 0.54% 0.47% 0.82% Portfolio Turnover 32%(b) 58% 42% 59% Net Assets, End of Period (000 omitted) $50,691 $33,318 $10,934 $8,125 Small Cap Value/Perkins, Wolf, McDonnell Fund(1) ---------------- For the Year/Period Ended December 31, ---------------- 2000 - ------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $10.00 Income from investment operations Net investment income (loss)(d) 0.32 Net realized and unrealized gain (loss) on investments 2.59 ------ Total from investment operations 2.91 ------ Less dividends and distributions: Dividends from net investment income (1.54) Distributions from net realized capital gains - Distributions from capital - ------ Total dividends and distributions (1.54) ------ Net asset value, end of period $11.37 ====== Total Return(a) 28.96%(b) Ratios to Average Net Assets Gross expenses 2.18%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.93%(c) Net expenses 1.25%(c) Net investment income (loss)(d) 1.49%(c) Portfolio Turnover 102%(b) Net Assets, End of Period (000 omitted) $6,178
International Blend/Bank of Ireland Fund(3) ---------------------------------------- For the Six For the Year/Period Months Ended Ended December 31, June 30, 2004 ------------------------ (Unaudited) 2003 2002 - ------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 7.62 $ 6.00 $ 7.45 Income from investment operations Net investment income(d) 0.08 0.09 0.06 Net realized and unrealized gain (loss) on investments 0.08 1.62 (1.46) ------ ------ ------- Total from investment operations 0.16 1.71 (1.40) ------ ------ ------- Less dividends and distributions: Dividends from net investment income - (0.09) (0.05) Distributions from net realized capital gains - - - Distributions from capital - - - ------ ------ ------- Total dividends and distributions - (0.09) (0.05) ------ ------ ------- Net asset value, end of period $ 7.78 $ 7.62 $ 6.00 ====== ====== ======= Total Return(a) 2.10%(b) 28.56% (18.76)% Ratios to Average Net Assets Gross expenses 2.73%(c) 3.36% 3.44% Fees and expenses waived or borne by the Adviser or Distributor 1.48%(c) 2.11% 2.19% Net expenses 1.25%(c) 1.25% 1.25% Net investment income(d) 2.04%(c) 1.35% 0.95% Portfolio Turnover 9%(b) 18% 29% Net Assets, End of Period (000 omitted) $5,834 $5,317 $ 4,059 International Blend/Bank of Ireland Fund(3) -------------------------------- For the Year/Period Ended December 31, -------------------------------- 2001 2000 - ----------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 9.39 $10.00 Income from investment operations Net investment income(d) 0.05 0.04 Net realized and unrealized gain (loss) on investments (1.93) (0.45) ------- ------ Total from investment operations (1.88) (0.41) ------- ------ Less dividends and distributions: Dividends from net investment income (0.06) (0.11) Distributions from net realized capital gains - - Distributions from capital - (0.09) ------- ------ Total dividends and distributions (0.06) (0.20) ------- ------ Net asset value, end of period $ 7.45 $ 9.39 ======= ====== Total Return(a) (19.98)% (4.09)%(b) Ratios to Average Net Assets Gross expenses 2.80% 2.84%(c) Fees and expenses waived or borne by the Adviser or Distributor 1.55% 1.59%(c) Net expenses 1.25% 1.25%(c) Net investment income(d) 0.65% 0.49%(c) Portfolio Turnover 12% 27%(b) Net Assets, End of Period (000 omitted) $ 4,739 $5,001 TimesSquare/Core Plus Bond Fund(2) ------------------------------------------------------------------ For the Six Months Ended For the Year/Period Ended December 31, June 30, 2004 -------------------------------------------------- (Unaudited) 2003 2002 2001(e) - ---------------------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $10.30 $ 10.16 $ 9.95 $10.28 Income from investment operations Net investment income(d) 0.19(f) 0.39(f) 0.43(f) 0.50(f) Net realized and unrealized gain (loss) on investments (0.13) 0.34 0.38 0.34 ------ ------ ------ ------ Total from investment operations 0.06 0.73 0.81 0.84 ------ ------ ------ ------ Less dividends and distributions: Dividends from net investment income (0.27) (0.59) (0.59) (1.10) Distributions from net realized capital gains - - (0.01) (0.07) Distributions from capital - - - - ------ ------ ------ ------ Total dividends and distributions (0.27) (0.59) (0.60) (1.17) ------ ------ ------ ------ Net asset value, end of period $10.09 $10.30 $10.16 $ 9.95 ====== ====== ====== ====== Total Return(a) 0.52%(b) 7.31% 8.44% 8.36% Ratios to Average Net Assets Gross expenses 1.51%(c) 1.35% 1.20% 1.20% Fees and expenses waived or borne by the Adviser or Distributor 0.67%(c) 0.50% 0.35% 0.35% Net expenses 0.84%(c) 0.85% 0.85% 0.85% Net investment income(d) 3.96%(c) 4.04% 4.41% 5.15% Portfolio Turnover 82%(b) 194% 396% 351% Net Assets, End of Period (000 omitted) $3,697 $2,515 $1,186 $ 462 TimesSquare/Core Plus Bond Fund(2) ---------------- For the Year/Period Ended December 31, ---------------- 2000 - ------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $10.00 Income from investment operations Net investment income(d) 0.57 Net realized and unrealized gain (loss) on investments 0.40 ------ Total from investment operations 0.97 ------ Less dividends and distributions: Dividends from net investment income (0.68) Distributions from net realized capital gains (0.01) Distributions from capital - ------ Total dividends and distributions (0.69) ------ Net asset value, end of period $10.28 ====== Total Return(a) 9.92%(b) Ratios to Average Net Assets Gross expenses 1.23%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.38%(c) Net expenses 0.85%(c) Net investment income(d) 6.34%(c) Portfolio Turnover 310%(b) Net Assets, End of Period (000 omitted) $ 128
(1) Commenced operations on January 20, 2000. (2) Commenced operations on January 21, 2000. (3) Commenced operations on January 24, 2000. (a) Had the Adviser or Distributor not waived or reimbursed a portion of expenses, total return would have been reduced. (b) Not annualized. (c) Annualized. (d) Net investment income per share has been calculated in accordance with SEC requirements, unless otherwise noted, with the exception that end of the year accumulated undistributed/ (overdistributed) net investment income has not been adjusted to reflect current year permanent differences between financial and tax accounting. (e) Effective January 1, 2001, the Fund was required to start amortizing premium and discount on all debt securities. The effect of this change on net investment income per share was a decrease of $0.01 per share. The effect to the ratio of net investment income to average net assets was a decrease of 0.06%. Per share, ratios, and supplemental data for periods prior to January 1, 2001, have not been restated to reflect this change in accounting principle. (f) Per share numbers have been calculated using average shares. The Notes to Financial Statements are an integral part of these statements. 45 CIGNA Funds Group FINANCIAL HIGHLIGHTS - RETAIL CLASS
Balanced Fund (sub-advised by Wellington Management)(1) ----------------------------------------------------------------------- For the Six Months Ended For the Year/Period Ended December 31, June 30, 2004 ------------------------------------------------------- (Unaudited) 2003 2002 2001(e) 2000 - -------------------------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 9.71 $ 8.36 $ 9.64 $10.04 $10.00 Income from investment operations Net investment income (loss)(d) 0.09 0.17 0.19(f) 0.21 0.17 Net realized and unrealized gain (loss) on investments 0.06 1.40 (1.27) (0.42) 0.16 ------ ------ ------- ------ ------ Total from investment operations 0.15 1.57 (1.08) (0.21) 0.33 ------ ------ ------- ------ ------ Less dividends and distributions: Dividends from net investment income - (0.22) (0.20) (0.19) (0.29) ------ ------ ------- ------ ------ Total dividends and distributions - (0.22) (0.20) 0.19) (0.29) ------ ------ ------- ------ ------ Net asset value, end of period $ 9.86 $ 9.71 $ 8.36 $ 9.64 $10.04 ====== ====== ======= ====== ====== Total Return(a) 1.54%(b) 18.79% (11.17)% (2.14)% 3.25%(b) Ratios to Average Net Assets Gross expenses 1.97%(c) 2.28% 2.23% 2.17% 2.21%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.76%(c) 1.03% 0.98% 0.92% 0.96%(c) Net expenses 1.21%(c) 1.25% 1.25% 1.25% 1.25%(c) Net investment income (loss)(d) 1.78%(c) 1.91% 2.16% 2.07% 2.33%(c) Portfolio Turnover 18%(b) 50% 56% 104% 67%(b) Net Assets, End of Period (000 omitted) $6,450 $6,103 $ 4,542 $3,523 $2,180 Large Cap Growth/Morgan Stanley Fund(1) --------------------------------------------------------------- For the Six Months Ended For the Year/Period Ended December 31, June 30, 2004 -------------------------------------------- (Unaudited) 2003 2002 2001 - ------------------------------------------------------------------------------------------------------------------------ Per Share Operating Performance: Net asset value, beginning of period $ 6.60 $ 5.32 $ 7.37 $ 8.69 Income from investment operations Net investment income (loss)(d) (0.01) (0.01) (A) (0.03)(f) Net realized and unrealized gain (loss) on investments 0.16 1.29 (2.05) (1.29) ------ ------ ------- ------- Total from investment operations 0.15 1.28 (2.05) (1.32) ------ ------ ------- ------- Less dividends and distributions: Dividends from net investment income - - - - ------ ------ ------- ------- Total dividends and distributions - - - - ------ ------ ------- ------- Net asset value, end of period $ 6.75 $ 6.60 $ 5.32 $ 7.37 ====== ====== ======= ======= Total Return(a) 2.27%(b) 24.06% (27.82)% (15.19)% Ratios to Average Net Assets Gross expenses 2.17%(c) 2.52% 2.63% 2.63% Fees and expenses waived or borne by the Adviser or Distributor 0.97%(c) 1.27% 1.38% 1.38% Net expenses 1.20%(c) 1.25% 1.25% 1.25% Net investment income (loss)(d) (0.22)%(c) (0.12)% (0.20)% (0.39)% Portfolio Turnover 72%(b) 131% 149% 91% Net Assets, End of Period (000 omitted) $7,590 $6,353 $ 4,311 $ 3,086 Large Cap Growth/Morgan Stanley Fund(1) ------------------- For the Year/Period Ended December 31, ------------------- 2000 - ---------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 10.00 Income from investment operations Net investment income (loss)(d) (0.04) Net realized and unrealized gain (loss) on investments (1.27) ------- Total from investment operations (1.31) ------- Less dividends and distributions: Dividends from net investment income - ------- Total dividends and distributions - ------- Net asset value, end of period $ 8.69 ======= Total Return(a) (13.10)%(b) Ratios to Average Net Assets Gross expenses 2.24%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.99%(c) Net expenses 1.25%(c) Net investment income (loss)(d) (0.56)%(c) Portfolio Turnover 75%(b) Net Assets, End of Period (000 omitted) $ 2,107
Large Cap Value/John A. Levin & Co. Fund(1) --------------------------------------------- For the Six For the Year/Period Ended Months Ended December 31, June 30, 2004 ----------------------------- (Unaudited) 2003 2002 - ------------------------------------------------------------------------------------------------------ Per Share Operating Performance: Net asset value, beginning of period $ 9.37 $ 7.37 $ 10.19 Income from investment operations Net investment income(d) 0.04 0.07(f) 0.06 Net realized and unrealized gain (loss) on investments 0.30 2.00 (2.83) ------- ------ ------- Total from investment operations 0.34 2.07 (2.77) ------- ------ ------- Less dividends and distributions: Dividends from net investment income - (0.07) (0.05) Distributions from net realized capital gains - - - ------- ------ ------- Total dividends and distributions - (0.07) (0.05) ------- ------ ------- Net asset value, end of period $ 9.71 $ 9.37 $ 7.37 ======= ====== ======= Total Return(a) 3.63%(b) 28.09% (27.17)% Ratios to Average Net Assets Gross expenses 1.72%(c) 1.95% 1.93% Fees and expenses waived or borne by the Adviser or Distributor 0.51%(c) 0.70% 0.68% Net expenses 1.21%(c) 1.25% 1.25% Net investment income(d) 0.84%(c) 0.82% 0.80% Portfolio Turnover 45%(b) 89% 44% Net Assets, End of Period (000 omitted) $12,353 $9,937 $ 6,438 Large Cap Value/John A. Levin & Co. Fund(1) --------------------------------- For the Year/Period Ended December 31, --------------------------------- 2001 2000 - ------------------------------------------------------------------------------------------ Per Share Operating Performance: Net asset value, beginning of period $10.81 $10.00 Income from investment operations Net investment income(d) 0.06(f) 0.07 Net realized and unrealized gain (loss) on investments (0.56) 1.28 ------ ------ Total from investment operations (0.50) 1.35 ------ ------ Less dividends and distributions: Dividends from net investment income (0.12) (0.54) Distributions from net realized capital gains - - ------ ------ Total dividends and distributions (0.12) (0.54) ------ ------ Net asset value, end of period $10.19 $10.81 ====== ====== Total Return(a) (4.61)% 13.52%(b) Ratios to Average Net Assets Gross expenses 1.92% 2.00%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.67% 0.75%(c) Net expenses 1.25% 1.25%(c) Net investment income(d) 0.64% 0.60%(c) Portfolio Turnover 45% 62%(b) Net Assets, End of Period (000 omitted) $4,406 $1,934 S&P 500[RegTM] Index Fund(2) -------------------------------------------------------- For the Six Months Ended For the Year/Period Ended December 31, June 30, 2004 --------------------------------------- (Unaudited) 2003 2002 2001 - ----------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 6.78 $ 5.35 $ 6.99 $ 8.09 Income from investment operations Net investment income(d) 0.03(f) 0.07 0.06 0.09 Net realized and unrealized gain (loss) on investments 0.18 1.43 (1.64) (1.09) ------- ------- ------- ------- Total from investment operations 0.21 1.50 (1.58) (1.00) ------- ------- ------- ------- Less dividends and distributions: Dividends from net investment income (0.02) (0.07) (0.06) (0.10) Distributions from net realized capital gains - - - (A) ------- ------- ------- ------- Total dividends and distributions (0.02) (0.07) (0.06) (0.10) ------- ------- ------- ------- Net asset value, end of period $ 6.97 $ 6.78 $ 5.35 $ 6.99 ======= ======= ======= ======= Total Return(a) 3.17%(b) 27.97% (22.59)% (12.41)% Ratios to Average Net Assets Gross expenses 0.83%(c) 0.88% 0.88% 0.89% Fees and expenses waived or borne by the Adviser or Distributor 0.27%(c) 0.28% 0.28% 0.29% Net expenses 0.56%(c) 0.60% 0.60% 0.60% Net investment income(d) 0.91%(c) 1.08% 1.02% 1.27% Portfolio Turnover 1%(b) 2% 4% 2% Net Assets, End of Period (000 omitted) $53,638 $45,252 $23,279 $18,905 S&P 500[RegTM] Index Fund(2) ------------------ For the Year/Period Ended December 31, ------------------ 2000 - ---------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 10.00 Income from investment operations Net investment income(d) 0.13 Net realized and unrealized gain (loss) on investments (0.83) ------- Total from investment operations (0.70) ------- Less dividends and distributions: Dividends from net investment income (0.24) Distributions from net realized capital gains (0.97) ------- Total dividends and distributions (1.21) ------- Net asset value, end of period $ 8.09 ======= Total Return(a) (7.94)%(b) Ratios to Average Net Assets Gross expenses 0.83%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.23%(c) Net expenses 0.60%(c) Net investment income(d) 1.11%(c) Portfolio Turnover 9%(b) Net Assets, End of Period (000 omitted) $10,427
(1) Commenced operations on January 20, 2000. (2) Commenced operations on January 21, 2000. (A) Less than $0.01 per share (a) Had the Adviser or Distributor not waived or reimbursed a portion of expenses, total return would have been reduced. (b) Not annualized. (c) Annualized. (d) Net investment income per share has been calculated in accordance with SEC requirements, unless otherwise noted, with the exception that end of the year accumulated undistributed/ (overdistributed) net investment income has not been adjusted to reflect current year permanent differences between financial and tax accounting. (e) Effective January 1, 2001, the Fund was required to start amortizing premium and discount on all debt securities. The effect of this change on net investment income per share was an increase of $0.02 per share. The effect to the ratio of net investment income to average net assets was an increase of 0.05%. Per share, ratios, and supplemental data for periods prior to January 1, 2001, have not been restated to reflect this change in accounting principle. (f) Per share numbers have been calculated using average shares. The Notes to Financial Statements are an integral part of these statements. 46 CIGNA Funds Group FINANCIAL HIGHLIGHTS - RETAIL CLASS continued
Small Cap Growth/TimesSquare Fund(2) ---------------------------------------------------- For the Six For the Year/Period Ended Months Ended December 31, June 30, 2004 --------------------------------- (Unaudited) 2003 2002 - ------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 10.94 $ 8.07 $ 9.93 Income from investment operations Net investment income (loss)(d) (0.06) (0.12)(f) (0.11)(f) Net realized and unrealized gain (loss) on investments 0.42 3.11 (1.75) ------- ------- ------- Total from investment operations 0.36 2.99 (1.86) ------- ------- ------- Less dividends and distributions: Dividends from net investment income - (0.09) - Distributions from net realized capital gains - (0.03) - Distributions from capital - - - ------- ------- ------- Total dividends and distributions - (0.12) - ------- ------- -------- Net asset value, end of period $ 11.30 $ 10.94 $ 8.07 ======= ======= ======= Total Return(a) 3.29%(b) 37.02% (18.73)% Ratios to Average Net Assets Gross expenses 1.53%(c) 1.57% 1.90% Fees and expenses waived or borne by the Adviser or Distributor 0.03%(c) 0.07% 0.40% Net expenses 1.50%(c) 1.50% 1.50% Net investment income (loss)(d) (1.27)%(c) (1.31)% (1.30)% Portfolio Turnover 31%(b) 61% 57% Net Assets, End of Period (000 omitted) $12,179 $10,666 $ 6,507 Small Cap Growth/TimesSquare Fund(2) ------------------------------ For the Year/Period Ended December 31, ------------------------------ 2001 2000 - --------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $10.96 $10.00 Income from investment operations Net investment income (loss)(d) (0.07) (0.04) Net realized and unrealized gain (loss) on investments (0.96) 1.14 ------ ------ Total from investment operations (1.03) 1.10 ------ ------ Less dividends and distributions: Dividends from net investment income - (0.09) Distributions from net realized capital gains - - Distributions from capital - (0.05) ------ ------ Total dividends and distributions - (0.14) ------ ------ Net asset value, end of period $ 9.93 $10.96 ====== ====== Total Return(a) (9.40)% 11.00%(b) Ratios to Average Net Assets Gross expenses 2.18% 2.26%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.68% 0.76%(c) Net expenses 1.50% 1.50%(c) Net investment income (loss)(d) (1.14)% (0.57)%(c) Portfolio Turnover 160% 140%(b) Net Assets, End of Period (000 omitted) $4,892 $2,905 Small Cap Value/Perkins, Wolf, McDonnell Fund(1) ------------------------------------------------------------------- For the Six Months Ended For the Year/Period Ended December 31, June 30, 2004 --------------------------------------------------- (Unaudited) 2003 2002 2001 - ----------------------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 13.98 $ 10.14 $ 12.07 $ 11.34 Income from investment operations Net investment income (loss)(d) 0.03 0.03(f) 0.03(f) 0.07(f) Net realized and unrealized gain (loss) on investments 0.57 4.03 (1.85) 2.36 ------- ------- ------- ------ Total from investment operations 0.60 4.06 (1.82) 2.43 ------- ------- ------- ------ Less dividends and distributions: Dividends from net investment income - (0.22) - (1.32) Distributions from net realized capital gains - - (0.11) (0.38) Distributions from capital - - - - ------- ------- ------- ------ Total dividends and distributions - (0.22) (0.11) (1.70) ------- ------- ------- ------ Net asset value, end of period $ 14.58 $ 13.98 $ 10.14 $12.07 ======= ======= ======= ====== Total Return(a) 4.29%(b) 40.07% (15.18)% 21.28% Ratios to Average Net Assets Gross expenses 1.62%(c) 1.70% 1.99% 2.15% Fees and expenses waived or borne by the Adviser or Distributor 0.12%(c) 0.20% 0.49% 0.65% Net expenses 1.50%(c) 1.50% 1.50% 1.50% Net investment income (loss)(d) 0.31%(c) 0.23% 0.24% 0.58% Portfolio Turnover 32%(b) 58% 42% 59% Net Assets, End of Period (000 omitted) $35,504 $29,297 $13,130 $6,226 Small Cap Value/Perkins, Wolf, McDonnell Fund(1) ----------------- For the Year/Period Ended December 31, ---------------- 2000 - ------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $10.00 Income from investment operations Net investment income (loss)(d) 0.27 Net realized and unrealized gain (loss) on investments 2.60 ------ Total from investment operations 2.87 ------ Less dividends and distributions: Dividends from net investment income (1.53) Distributions from net realized capital gains - Distributions from capital - ------ Total dividends and distributions (1.53) ------ Net asset value, end of period $11.34 ====== Total Return(a) 28.60%(b) Ratios to Average Net Assets Gross expenses 2.43%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.93%(c) Net expenses 1.50%(c) Net investment income (loss)(d) 1.24%(c) Portfolio Turnover 102%(b) Net Assets, End of Period (000 omitted) $1,973
International Blend/Bank of Ireland Fund(3) ---------------------------------------- For the Six For the Year/Period Months Ended Ended December 31, June 30, 2004 ------------------------ (Unaudited) 2003 2002 - ------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 7.55 $ 5.95 $ 7.42 Income from investment operations Net investment income(d) 0.07 0.06 0.04 Net realized and unrealized gain (loss) on investments 0.09 1.62 (1.47) ------ ------ ------- Total from investment operations 0.16 1.68 (1.43) ------ ------ ------- Less dividends and distributions: Dividends from net investment income - (0.08) (0.04) Distributions from net realized capital gains - - - Distributions from capital - - - ------ ------ ------- Total dividends and distributions - (0.08) (0.04) ------ ------ ------- Net asset value, end of period $ 7.71 $ 7.55 $ 5.95 ====== ====== ======= Total Return(a) 2.12%(b) 28.22% (19.23)% Ratios to Average Net Assets Gross expenses 2.94%(c) 3.61% 3.69% Fees and expenses waived or borne by the Adviser or Distributor 1.48%(c) 2.11% 2.19% Net expenses 1.46%(c) 1.50% 1.50% Net investment income(d) 1.95%(c) 1.09% 0.61% Portfolio Turnover 9%(b) 18% 29% Net Assets, End of Period (000 omitted) $4,056 $2,799 $ 1,892 International Blend/Bank of Ireland Fund(3) -------------------------------- For the Year/Period Ended December 31, -------------------------------- 2001 2000 -------------------------------- Per Share Operating Performance: Net asset value, beginning of period $ 9.37 $10.00 Income from investment operations Net investment income(d) 0.04 (A) Net realized and unrealized gain (loss) on investments (1.94) (0.44) ------- ------ Total from investment operations (1.90) (0.44) ------- ------ Less dividends and distributions: Dividends from net investment income (0.05) (0.10) Distributions from net realized capital gains - - Distributions from capital - (0.09) ------- ------ Total dividends and distributions (0.05) (0.19) ------- ------ Net asset value, end of period $ 7.42 $ 9.37 ======= ====== Total Return(a) (20.29)% (4.35)%(b) Ratios to Average Net Assets Gross expenses 3.05% 3.09%(c) Fees and expenses waived or borne by the Adviser or Distributor 1.55% 1.59%(c) Net expenses 1.50% 1.50%(c) Net investment income(d) 0.38% 0.24%(c) Portfolio Turnover 12% 27%(b) Net Assets, End of Period (000 omitted) $ 1,493 $1,371 TimesSquare/Core Plus Bond Fund(2) ------------------------------------------------------------------ For the Six Months Ended For the Year/Period Ended December 31, June 30, 2004 -------------------------------------------------- (Unaudited) 2003 2002 2001(e) - ---------------------------------------------------------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $10.27 $10.12 $ 9.92 $10.27 Income from investment operations Net investment income(d) 0.19(f) 0.41(f) 0.41(f) 0.54(f) Net realized and unrealized gain (loss) on investments (0.14) 0.30 0.39 0.28 ------ ------ ------ ------ Total from investment operations 0.05 0.71 0.80 0.82 ------ ------ ------ ------ Less dividends and distributions: Dividends from net investment income (0.27) (0.56) (0.59) (1.10) Distributions from net realized capital gains - - (0.01) (0.07) Distributions from capital - - - - ------ ------ ------ ------ Total dividends and distributions (0.27) (0.56) (0.60) (1.17) ------ ------ ------ ------ Net asset value, end of period $10.05 $10.27 $10.12 $ 9.92 ====== ====== ====== ====== Total Return(a) 0.43%(b) 7.20% 8.38% 8.20% Ratios to Average Net Assets Gross expenses 1.60%(c) 1.45% 1.30% 1.30% Fees and expenses waived or borne by the Adviser or Distributor 0.67%(c) 0.50% 0.35% 0.35% Net expenses 0.93%(c) 0.95% 0.95% 0.95% Net investment income(d) 3.84%(c) 3.87% 4.26% 5.15% Portfolio Turnover 82%(b) 194% 396% 351% Net Assets, End of Period (000 omitted) $5,218 $3,101 $1,887 $ 594 TimesSquare/Core Plus Bond Fund(2) ---------------- For the Year/Period Ended December 31, ---------------- 2000 - ------------------------------------------------------------------------- Per Share Operating Performance: Net asset value, beginning of period $10.00 Income from investment operations Net investment income(d) 0.51 Net realized and unrealized gain (loss) on investments 0.45 ------ Total from investment operations 0.96 ------ Less dividends and distributions: Dividends from net investment income (0.68) Distributions from net realized capital gains (0.01) Distributions from capital - ------ Total dividends and distributions (0.69) ------ Net asset value, end of period $10.27 ====== Total Return(a) 9.79%(b) Ratios to Average Net Assets Gross expenses 1.33%(c) Fees and expenses waived or borne by the Adviser or Distributor 0.38%(c) Net expenses 0.95%(c) Net investment income(d) 6.24%(c) Portfolio Turnover 310%(b) Net Assets, End of Period (000 omitted) $ 215
(1) Commenced operations on January 20, 2000. (2) Commenced operations on January 21, 2000. (3) Commenced operations on January 24, 2000. (A) Less than $0.01 per share (a) Had the Adviser or Distributor not waived or reimbursed a portion of expenses, total return would have been reduced. (b) Not annualized. (c) Annualized. (d) Net investment income per share has been calculated in accordance with SEC requirements, unless otherwise noted, with the exception that end of the year accumulated undistributed/ (overdistributed) net investment income has not been adjusted to reflect current year permanent differences between financial and tax accounting. (e) Effective January 1, 2001, the Fund was required to start amortizing premium and discount on all debt securities. The effect of this change on net investment income per share was a decrease of $0.01 per share. The effect to the ratio of net investment income to average net assets was a decrease of 0.06%. Per share, ratios, and supplemental data for periods prior to January 1, 2001, have not been restated to reflect this change in accounting principle. (f) Per share numbers have been calculated using average shares. The Notes to Financial Statements are an integral part of these statements. 47 CIGNA Funds Group NOTES TO FINANCIAL STATEMENTS (Unaudited) 1. Organization. CIGNA Funds Group, a Massachusetts business trust (the "Trust") is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company. At June 30, 2004 the Trust offered nine separate series. Information on eight of these series (referred to as the "Funds" or individually as the "Fund") is presented in this report, including: Balanced Fund (sub-advised by Wellington Management) ("Balanced Fund"), Large Cap Growth/Morgan Stanley Fund ("Large Cap Growth Fund"), Large Cap Value/John A. Levin & Co. Fund ("Large Cap Value Fund"), S&P 500[RegTM] Index Fund, Small Cap Growth/TimesSquare Fund ("Small Cap Growth Fund"), Small Cap Value/Perkins, Wolf, McDonnell Fund ("Small Cap Value Fund") (formerly called the Small Cap Value/Berger[RegTM] Fund), International Blend/Bank of Ireland Fund ("International Blend Fund"), and TimesSquare Core Plus Bond Fund ("Core Plus Bond Fund"). The financial statements of the Money Market Fund are presented in a separate report. The Trust offers three classes of shares in each Fund: Institutional Class, Premier Class and Retail Class. Expenses of the Fund are borne pro rata by the holders of each Class of shares, except that each Class bears expenses unique to that Class (including any applicable shareholder servicing fee or distribution fee). Shares of each Class would receive their pro rata share of net assets of the Fund if the Fund were liquidated. In addition, the Trustees approve separate dividends on each Class of shares. The Premier Class Shares of the Funds have a shareholder servicing fee. The Retail Class Shares of the Funds (and Premier Class shares of the Core Plus Bond Fund) have a shareholder servicing fee and a distribution fee. 2. Significant Accounting Policies. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. A. Security Valuation - Equity securities, including warrants, that are listed on a national securities exchange or part of the NASDAQ National Market System are valued at the last sale price (NASDAQ Official Closing Price ["NOCP"] for NASDAQ stocks) or, if there has been no sale that day, at the last bid price. Debt securities traded in the over-the-counter market, including listed securities whose primary markets are believed to be over-the-counter, are valued on the basis of valuations furnished by brokers trading in the securities or a pricing service, which determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Short-term investments with remaining maturities of up to and including 60 days are valued at amortized cost, which approximates market. Short-term investments that mature in more than 60 days are valued at current market quotations. Other securities and assets of the Funds are appraised at fair value as determined in good faith by, or under the authority of, the Board of Trustees. The Fund's Board of Trustees has designated the Pricing Committee of TimesSquare Capital Management, Inc. to make, pursuant to procedures approved by the Board and under the Board's supervision, all necessary determinations of fair value for the portfolio securities for which market quotations are not readily available. When fair valuing securities, the Pricing Committee takes into account factors such as fundamental and analytical information about the security, the nature and duration of any restrictions on disposition of the security, market information (including, for example, factors such as historical price relationships and valuations for securities with similar characteristics), and evaluation of significant market events. If events occurring after the close of the principal market in which securities are traded (but before the close of regular trading on the NYSE) are believed to materially affect the value of those securities, such securities are valued at their fair value, taking such events into account. B. Delayed Delivery Commitments - The Funds may enter into commitment agreements - i.e., TBA's - for the purchase of securities at an agreed-upon price on a specified future date. Since the delivery and payment for such securities can be scheduled to take place up to three months after the transaction date, they are subject to market fluctuations. The Funds do not begin to earn interest on such purchase commitments until the settlement date. The Funds may sell a purchase commitment prior to settlement for the purpose of enhancing their total return. The Funds segregate assets with a market value equal to the amount of their purchase 48 CIGNA Funds Group NOTES TO FINANCIAL STATEMENTS (Unaudited) continued commitments. To the extent securities are segregated, they may not be available for sale or to meet redemptions. Delayed delivery commitments may increase a Fund's exposure to market fluctuations and may increase the possibility that a Fund may realize a short-term gain (subject to taxation) or loss if the Fund must engage in portfolio transactions in order to honor its commitments. Due to the longer settlement period, there may be an increased risk of failure of the other party to honor the transaction. The Funds record changes in market value of the securities underlying unsettled commitments in unrealized gains and losses. Gains and losses are realized upon sale of the commitment. C. Foreign Currency Translations - Foreign currency transactions from foreign investment activity are translated into U.S. dollars on the following basis: (1) market value of investment securities, other assets and liabilities at the daily rates of exchange, and (2) purchases and sales of investment securities, dividend and interest income and certain expenses at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of gains and losses on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains and losses from investments. Net realized and unrealized gains (losses) from foreign currency-related transactions include gains and losses between trade and settlement dates on securities transactions, gains and losses arising from the sales of foreign currency, and gains and losses between the ex-dividend and payment dates on dividends, interest, and foreign withholding taxes. D. Foreign Investments - The Funds may invest in securities of foreign countries and governments, which involve certain risks in addition to those inherent in domestic investments. Such risks generally include, among others, currency risk (fluctuations in currency exchange rates), information risk (key information may be inaccurate or unavailable) and political risk (expropriation, nationalization or the imposition of capital or currency controls or punitive taxes). Other risks of investing in foreign securities include inadequate accounting controls, liquidity and valuation risks. E. Forward Currency Transactions - Certain Funds may enter into forward exchange contracts for the purpose of hedging against foreign exchange risk arising from the Fund's investment or anticipated investment in securities denominated in foreign currencies. A Fund may also enter into these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. All commitments are marked to market daily at the applicable translation rates and any resulting unrealized gains or losses are recorded. Realized gains or losses are recorded at the time the forward contract matures or by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. F. Futures Contracts - Certain Funds may enter into futures contracts. A Fund may use futures contracts for reasons such as managing its exposure to the markets or movements in interest rates and currency values. Upon entering into a futures contract, the Fund is required to pledge to the broker an amount of cash and/or securities equal to the initial margin requirements. During the period a futures contract is open, changes in the value of a contract are recognized as unrealized gains or losses by "marking to market" on a daily basis to reflect the market value of the contract at the end of each day's trading. Daily variation margin payments are received or made, depending on whether there were unrealized gains or losses. When a contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts include the risk that a change in the value of the contract may not correlate with the value of the underlying securities and the possibility of an illiquid market. G. High Yield Bonds - The Core Plus Bond Fund may invest in high yield bonds; i.e., fixed income securities rated below investment-grade. While the market values of these securities tend to react less to fluctuations in interest rate levels than do those of investment-grade securities, the market values of certain of these securities also tend to be more 49 CIGNA Funds Group NOTES TO FINANCIAL STATEMENTS (Unaudited) continued sensitive to individual corporate developments and changes in economic conditions than investment-grade securities. In addition, these securities are often highly leveraged and may not have more traditional methods of financing available to them so that their ability to service their debt obligations during an economic downturn or during sustained periods of rising interest rates may be impaired. H. Repurchase Agreements - Certain Funds may engage in repurchase agreements. Under the terms of a typical repurchase agreement, the Fund takes possession of an underlying debt obligation, subject to an obligation of the seller to repurchase, and the Fund to resell, the obligation at an agreed-upon price and time. It is the Funds' policy that the market value of the collateral must be at least equal at all times to the total amount of the repurchase obligations, including interest. Generally, in the event of counterparty default, the Fund has the right to use the collateral to offset any losses incurred. I. Swap Agreements - Certain Funds may enter into swap agreements for investment, liquidity, hedging and risk management purposes. For example, a Fund may enter into swap agreements to preserve a return on a particular investment or a portion of its portfolio and as a technique for managing duration (i.e., price sensitivity to changes in interest rates). Swaps involve the exchange of commitments to pay or receive - e.g., an exchange of floating-rate payments for fixed rate payments and/or payments of the appreciation or depreciation of a security or an index. If forecasts of interest rates and other market factors, including those that may impact the indexes of the total return swaps, are incorrect, investment performance will differ compared to what performance would have been if these investment techniques were not used. Even if the forecasts are correct, there are risks that the positions may correlate imperfectly with the asset or liability being hedged, a liquid secondary market may not always exist, or the counterparty to a transaction may default. As of June 30, 2004, none of the Funds had any outstanding swap agreements. J. Security Transactions and Related Investment Income - Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Dividend income is recorded on the ex-date and interest income is recorded on the accrual basis, which includes amortization of premium and accrual of discount, except that certain dividends from foreign securities are recorded as soon as the Funds are informed of the ex-dividend date. Securities gains and losses are determined on the basis of identified cost. K. Federal Taxes - For federal income tax purposes, each Fund in the Trust is taxed as a separate entity. It is each Fund's policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income and capital gains to its shareholders. Therefore, no federal income or excise taxes on realized income or net capital gains have been accrued. Distributions reported in the Statements of Changes in Net Assets from net investment income, including short-term capital gains, and capital gains are treated as ordinary income and long-term capital gains, respectively, for federal income tax purposes. At December 31, 2003, the following Funds had a Post-October Loss Deferral of:
Fund Post-October Loss International Blend Fund $62,790 Core Plus Bond Fund 7,125
Under current tax law, capital losses realized after October 31 may be deferred and treated as occurring on the first day of the following year. L. Foreign Taxes on Dividends - Dividend income on the Statement of Operations is shown net of foreign taxes withheld on dividends from foreign securities. Foreign taxes withheld were as follows: Balanced Fund, $1,082; Large Cap Growth, $140; Large Cap Value Fund, $3,176; Small Cap Growth Fund, $1,379; International Blend Fund, $31,100. 50 CIGNA Funds Group NOTES TO FINANCIAL STATEMENTS (Unaudited) continued M. Dividends and Distributions to Shareholders - Dividends from net investment income, if any, and distributions from net capital gains, to the extent such gains would otherwise be taxable to the Fund, are declared and distributed at least annually (net investment income is declared and distributed monthly for Core Plus Bond Fund). Dividends and distributions are recorded by the Fund on the ex-dividend date. The timing and characterization of certain income and capital gains distributions are determined in accordance with federal tax regulations, which may differ from generally accepted accounting principles. These differences are primarily due to differing book and tax treatment for premium amortization, real estate investment trust income, deferred compensation, foreign securities, capital loss carryforwards, deferred losses due to wash sales, excise tax regulations and net operating losses. To the extent that such differences are permanent, a reclassification of the components of Net Assets may be required. As a result, at December 31, 2003, the following reclassifications were done: (In Thousands)
Undistributed Accumulated (Overdistributed) Net Net Realized Investment Gain Paid-in Fund Income (Loss) Capital Balanced Fund $ 50 $ (50) $ 0 S&P 500[RegTM] Index Fund 72 12 (84) Small Cap Growth Fund 6,306 (6,306) 0 Small Cap Value Fund 1,479 (1,479) 0 International Blend Fund 10 (8) (2) Core Plus Bond Fund 1,357 (4,204) 2,847
N. Multiclass Operations - Each Class offered by the Trust has equal rights as to net assets. Income, non-specific expenses, and realized and unrealized capital gains and losses are allocated to each Class of shares based on the relative net assets of each Class. 3. Investment Advisory Fees and Other Transactions with Affiliates. Investment advisory fees are paid or accrued to TimesSquare Capital Management, Inc. ("TimesSquare"), certain officers and directors of which are affiliated with the Fund. Such advisory fees are based on an annual rate for each Fund (see below) applied to the average daily net assets of the Fund. TimesSquare has contractually agreed to reimburse or bear any other expenses for each Fund for any amount by which expenses (including the advisory fee, but excluding interest, taxes, transaction costs incurred in acquiring and disposing of portfolio securities, and extraordinary expenses) exceed, on an annual basis, certain percentages of average daily net assets until April 30, 2005 and thereafter, to the extent described in the Fund's then current prospectus. These percentages are as follows:
Maximum Operating Expense Ratio -------------------------------------------- Advisory Institutional Premier Retail Fund Fee Class Class Class Balanced Fund 0.75% 0.80% 1.00% 1.25%(1) Large Cap Growth Fund 0.80 0.80 1.00 1.25(1) Large Cap Value Fund 0.75 0.80 1.00 1.25(1) S&P 500[RegTM] Index Fund 0.25 0.25 0.35 0.60(1) Small Cap Growth Fund 1.00 1.05 1.25 1.50 Small Cap Value Fund 1.00 1.05 1.25 1.50(1) International Blend Fund 1.00 1.05 1.25 1.50(2) Core Plus Bond Fund 0.60 0.45 0.85(3) 0.95(3)
(1) Effective June 2, 2004, the same as the Premier Class Ratios. (2) Effective July 14, 2004, the same as the Premier Class Ratio. (3) Effective June 17, 2004, 0.70%. TimesSquare retains the right to be repaid by a Fund if the Fund's expenses fall below the percentages specified above prior to the end of the fiscal year or within three years after TimesSquare waives advisory fees or reimburses a Fund's operating expenses. The following is a list of the Funds' remaining liability and respective dates of expiration: 51 CIGNA Funds Group NOTES TO FINANCIAL STATEMENTS (Unaudited) continued (In Thousands)
Remaining Expires Expires Expires Expires Contingent during during during during Fund Liability 2004 2005 2006 2007 Balanced Fund $ 458 $116 $129 $146 $67 Institutional 148 42 43 45 18 Premier 167 48 45 49 25 Retail 143 26 41 52 24 Large Cap Growth Fund 497 134 141 149 73 Institutional 138 48 39 35 16 Premier 173 55 48 47 23 Retail 186 31 54 67 34 Large Cap Value Fund 407 93 110 138 66 Institutional 103 32 28 30 13 Premier 154 40 42 47 25 Retail 150 21 40 61 28 S&P 500[RegTM] Index Fund 1,102 357 301 299 145 Institutional 801 252 253 232 64 Premier 30 4 5 8 13 Retail 271 101 43 59 68 Small Cap Growth Fund 481 128 140 141 72 Institutional 331 64 97 114 56 Premier 99 41 22 21 15 Retail 51 23 21 6 1 Small Cap Value Fund 430 114 124 123 69 Institutional 141 43 34 50 14 Premier 151 47 42 36 26 Retail 138 24 48 37 29 International Blend Fund 640 146 199 197 98 Institutional 216 58 67 63 28 Premier 295 69 95 89 42 Retail 129 19 37 45 28 Core Plus Bond Fund 1,109 309 348 347 105 Institutional 1,044 307 341 319 77 Premier 26 1 3 10 12 Retail 39 1 4 18 16
The Balanced, Large Cap Growth, Large Cap Value, Small Cap Value and International Blend Funds use sub-advisers. Each sub-adviser has the responsibility for determining what investments shall be purchased, held, and sold for its particular Fund. TimesSquare is responsible for selecting and monitoring the performance of the sub-advisers, and for overall management of the business affairs of all of the Funds. TimesSquare has the ultimate responsibility to oversee the sub-advisers and recommend their hiring, termination and replacement. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Funds may invest excess cash, up to 25% of each Fund's total assets, in the affiliated Money Market Fund (MMF) managed by TimesSquare. TimesSquare will waive the amount of its advisory fee for the Funds by an amount that offsets the amount of the advisory fees incurred in the affiliated Fund as a result of its investment in the MMF. For the six months ended June 30, 2004, the advisory fees waived by TimesSquare were as follows: (In Thousands)
Fund Fees Waived Balanced Fund $ 1 Large Cap Growth Fund 1 Large Cap Value Fund 1 S&P 500[RegTM] Index Fund 42 Small Cap Growth Fund 49 Small Cap Value Fund 24 International Blend Fund 1 Core Plus Bond Fund 3
Income distributions from the MMF for the six months ended June 30, 2004, are included as dividend income in the Statement of Operations as follows: (In Thousands)
Fund Amount Balanced Fund $ 1 Large Cap Growth Fund 1 Large Cap Value Fund 1 S&P 500[RegTM] Index Fund 74 Small Cap Growth Fund 87 Small Cap Value Fund 42 International Blend Fund 1 Core Plus Bond Fund 5
For administrative services, the Funds reimburse TimesSquare for a portion of the compensation and related expenses of the Trust's Treasurer and Secretary and certain persons who assist in carrying out the responsibilities of those offices. For the six months ended June 30, 2004, the Funds paid or accrued $180,171. (The amount incurred by each Fund may be found in the Statement of Operations.) 52 CIGNA Funds Group NOTES TO FINANCIAL STATEMENTS (Unaudited) continued With respect to Retail Class shares (and also the Premier Class of Core Plus Bond Fund), the Funds have adopted a Distribution Plan pursuant to Rule 12b-1 under the Investment Company Act of 1940, which requires the payment of an annual rate of 0.25%, applied to the average daily net assets of each class (0.15% for the Premier Class of Core Plus Bond Fund), to Prudential Retirement Brokerage Services ("PRBS") (formerly CIGNA Financial Services, Inc.), the Funds' distributor. The distribution fees received from the 12b-1 plan are used for services provided to the Retail Class (and also the Premier Class of Core Plus Bond Fund) and expenses primarily intended to result in the sale of such shares. Due to the pending liquidation and dissolution of all the Funds other than the Small Cap Growth Fund (please see Note 7 below), the Funds (other than the Small Cap Growth Fund) have stopped accrual of the distribution fees effective June 2, 2004 (June 17, 2004 for the Premier and Retail Class of Core Plus Bond Fund and July 14, 2004 for Small Cap Value Fund). Premier and Retail Class shares are also subject to a shareholder servicing fee payable to PRBS equal to 0.20% annually (0.25% for International Blend Fund and Core Plus Bond Fund) applied to the average daily net assets of each class. The shareholder servicing and distribution fees will be waived as necessary to limit Premier and Retail Class expenses, as a percentage of average daily net assets, to the amounts described above until April 30, 2005, and thereafter, to the extent described in the Fund's then current prospectus. TimesSquare is an indirect, wholly-owned subsidiary of CIGNA Corporation. At June 30, 2004, Life Insurance Company of North America, an indirect wholly-owned subsidiary of CIGNA Corporation, had investments in the Funds as follows: (In Thousands)
Fund Shares Balanced Fund 1,107 60% Large Cap Growth Fund 916 39 Large Cap Value Fund 979 35 International Blend Fund 1,055 59
4. Trustees' Fees. Trustees' fees represent remuneration paid or accrued to trustees who are not employees of CIGNA Corporation or any of its affiliates. Trustees may elect to defer all or a portion of their fees, which are invested in mutual fund shares in accordance with a deferred compensation plan. 5. Purchases and Sales of Securities. Purchases and sales of securities, excluding short-term obligations, for the six months ended June 30, 2004, were as follows: (In Thousands)
U.S. Government/Agency All Other ----------------------- ------------------------ Fund Purchases Sales Purchases Sales Balanced Fund $ 1,098 $ 479 $ 3,696 $ 2,574 Large Cap Growth Fund 394 170 11,657 10,582 Large Cap Value Fund 120 56 13,434 11,593 S&P 500[RegTM] Index Fund 0 1,204 1,036 113,545 Small Cap Growth Fund 0 0 170,112 131,098 Small Cap Value Fund 0 0 53,640 34,213 International Blend Fund 0 0 3,021 1,104 Core Plus Bond Fund 19,400 32,685 5,930 18,149
6. In-Kind Transactions. On May 4, 2004, the S&P 500[RegTM] Fund, Institutional Class, had a redemption of $138,520,083, of which $24,034,673 was in cash and $114,485,410 was an in-kind redemption. The Fund incurred realized gains of $13,830,900 associated with the in-kind redemptions. 7. Liquidation and Dissolution of the Funds. The Funds listed below will close and liquidate their assets on or about September 30, 2004: Balanced Fund (sub-advised by Wellington Management) Large Cap Growth/Morgan Stanley Fund Large Cap Value/John A. Levin & Co. Fund S&P 500[RegTM] Index Fund Small Cap Value/Perkins, Wolf, McDonnell Fund International Blend/Bank of Ireland Fund TimesSquare Core Plus Bond Fund As soon as practicable after liquidation, any shareholders that hold shares in a Fund on the liquidation date will receive cash equal to their proportionate interest in the Fund's net assets. 53 CIGNA Funds Group NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 8. Capital Stock. Each Fund is a separate series of the Trust, which offers an unlimited number of shares of beneficial interest, without par value. Changes in capital shares were as follows: (In Thousands)
Balanced Fund Large Cap Growth Fund ---------------------------- ---------------------------- For the Six For the Year For the Six For the Year Months Ended Months Ended Ended December 31, Ended December 31, June 30, 2003 June 30, 2003 2004 (Audited) 2004 (Audited) - --------------------------------------------------------------------------------------------- CAPITAL SHARES TRANSACTED: Institutional Class Shares sold 1 1 24 16 Shares issued to shareholders in connection with the reinvestment of dividends and distributions - 13 - 1 --- --- ---- ---- 1 14 24 17 Shares redeemed - - - (15) --- --- ---- ---- Net change 1 14 24 2 --- --- ---- ---- Premier Class Shares sold 130 54 76 164 Shares issued to shareholders in connection with the reinvestment of dividends and distributions - 13 - 1 --- --- ---- ---- 130 67 76 165 Shares redeemed (15) (24) (66) (44) --- --- ---- ---- Net change 115 43 10 121 --- --- ---- ---- Retail Class Shares sold 103 167 269 494 Shares issued to shareholders in connection with the reinvestment of dividends and distributions - 14 - - --- --- ---- ---- 103 181 269 494 Shares redeemed (78) (95) (108) (342) --- --- ---- ---- Net change 25 86 161 152 --- --- ---- ---- Total net increase in Fund shares 141 143 195 275 === === ==== ==== Large Cap Value Fund S&P 500[RegTM] Index Fund ---------------------------- --------------------------- For the Six For the Year For the Six For the Year Months Ended Months Ended Ended December 31, Ended December 31, June 30, 2003 June 30, 2003 2004 (Audited) 2004 (Audited) - -------------------------------------------------------------------------------------------- CAPITAL SHARES TRANSACTED: Institutional Class Shares sold 17 14 55 76 Shares issued to shareholders in connection with the reinvestment of dividends and distributions - 6 72 263 ---- ---- ------- ------ 17 20 127 339 Shares redeemed (1) (1) (20,236) (2,624) ---- ---- ------- ------ Net change 16 19 (20,109) (2,285) ---- ---- ------- ------ Premier Class Shares sold 80 382 230 1,048 Shares issued to shareholders in connection with the reinvestment of dividends and distributions - 11 5 16 ---- ---- ------- ------ 80 393 235 1,064 Shares redeemed (167) (121) (77) (208) ---- ---- ------- ------ Net change (87) 272 158 856 ---- ---- ------- ------ Retail Class Shares sold 334 706 1,658 3,402 Shares issued to shareholders in connection with the reinvestment of dividends and distributions - 8 27 63 ---- ---- ------- ------ 334 714 1,685 3,465 Shares redeemed (122) (528) (671) (1,139) ---- ---- ------- ------ Net change 212 186 1,014 2,326 ---- ---- ------- ------ Total net increase in Fund shares 141 477 (18,937) 897 ==== ==== ======= ======
54 CIGNA Funds Group NOTES TO FINANCIAL STATEMENTS (Unaudited) continued (In Thousands)
Small Cap Growth Fund Small Cap Value Fund ---------------------------- ---------------------------- For the Six For the Year For the Six For the Year Months Ended Months Ended Ended December 31, Ended December 31, June 30, 2003 June 30, 2003 2004 (Audited) 2004 (Audited) - -------------------------------------------------------------------------------------------- CAPITAL SHARES TRANSACTED: Institutional Class Shares sold 3,222 24,196 701 2,971 Shares issued to shareholders in connection with the reinvestment of dividends and distributions - 414 - 61 ----- ------ ------ ----- 3,222 24,610 701 3,032 Shares redeemed (1,328) (1,594) (1,067) (790) ------ ------ ------ ----- Net change 1,894 23,016 (366) 2,242 ------ ------ ------ ----- Premier Class Shares sold 4,801 6,849 1,311 2,198 Shares issued to shareholders in connection with the reinvestment of dividends and distributions - 81 - 41 ------ ------ ------ ----- 4,801 6,930 1,311 2,239 Shares redeemed (1,994) (1,490) (229) (945) ------ ------ ------ ----- Net change 2,807 5,440 1,082 1,294 ------ ------ ------ ----- Retail Class Shares sold 224 464 522 1,339 Shares issued to shareholders in connection with the reinvestment of dividends and distributions - 10 - 33 ------ ------ ------ ----- 224 474 522 1,372 Shares redeemed (120) (306) (183) (572) ------ ------ ------ ----- Net change 104 168 339 800 ------ ------ ------ ----- Total net increase (decrease) in Fund shares 4,805 28,624 1,055 4,336 ====== ====== ====== ===== International Blend Fund Core Plus Bond Fund ---------------------------- --------------------------- For the Six For the Year For the Six For the Year Months Ended Months Ended Ended December 31, Ended December 31, June 30, 2003 June 30, 2003 2004 (Audited) 2004 (Audited) - ------------------------------------------------------------------------------------------- CAPITAL SHARES TRANSACTED: Institutional Class Shares sold 21 6 (A) 4,938 Shares issued to shareholders in connection with the reinvestment of dividends and distributions - 7 73 369 --- --- ------ ------- 21 13 73 5,307 Shares redeemed (A) (A) (2,774) (11,373) --- --- ------ ------- Net change 21 13 (2,701) (6,066) --- --- ------ ------- Premier Class Shares sold 75 72 164 155 Shares issued to shareholders in connection with the reinvestment of dividends and distributions - 8 10 9 --- --- ------ ------- 75 80 174 164 Shares redeemed (23) (59) (51) (37) --- --- ------ ------- Net change 52 21 123 127 --- --- ------ ------- Retail Class Shares sold 183 126 298 358 Shares issued to shareholders in connection with the reinvestment of dividends and distributions - 4 11 16 --- --- ------ ------- 183 130 309 374 Shares redeemed (28) (77) (92) (258) --- --- ------ ------- Net change 155 53 217 116 --- --- ------ ------- Total net increase (decrease) in Fund shares 228 87 (2,361) (5,823) === === ====== =======
(A) Amount less than 1. 55 CIGNA Funds Group (Unaudited)
Trustees Officers Russell H. Jones Marnie Wagstaff Mueller Richard H. Forde Senior Vice President, Diocesan Consultant, Episcopal Chairman of the Board Chief Investment Officer, Diocese of Connecticut and President and Treasurer, Kaman Corporation Paul J. McDonald Carol Ann Hayes Alfred A. Bingham III Special Advisor to the Board of Director and Chair of Vice President and Directors, Friendly Ice Cream Audit Committee, Reed and Treasurer Corporation Barton Corporation Richard H. Forde Chief Investment Officer, CIGNA Jeffrey S. Winer Investment Management Vice President and Secretary
- -------------------------------------------------------------------------------- CIGNA Funds Group Funds are open-end, diversified management investment companies. The investment adviser is TimesSquare Capital Management, Inc., 280 Trumbull Street, Hartford, Connecticut 06103. The Funds are distributed by CIGNA Financial Services, Inc., P.O. Box 150476, Hartford, Connecticut 06115-0476 (Telephone: 1.888.CIGNA.FS or 1.888.244.6237). - -------------------------------------------------------------------------------- 56 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 545900 - -------------------------------------------------------------------------------- CIGNA Funds Group - -------------------------------------------------------------------------------- Money Market Fund Semiannual Report June 30, 2004 [LOGO](R)----------------------------------------------------------------------- Dear Shareholders: Our report for CIGNA Funds Group Money Market Fund (the "Fund") covering the six months ended June 30, 2004 follows. MARKET ENVIRONMENT The Federal Reserve ("Fed") met four times during the first six months of 2004. In the first three meetings, the Fed funds rate was left unchanged at 1%. However at the June 30, 2004 meeting, the Fed funds rate was raised 25 basis points to 1.25%, after a year of keeping rates on hold. The Fed also announced that it was willing to move more aggressively in raising rates in the future if inflation data warranted. The U.S. economy is currently firing on all cylinders, with prospects for continued solid economic growth over the next several quarters. The business sector has become the new "engine" of economic growth. Corporate sector fundamentals continued to improve, reflected in record levels of earnings, dividends, and cash flow as well as significantly improved balance sheets. PORTFOLIO COMPOSITION AND PERFORMANCE On June 30, 2004, the portfolio contained: top-tier domestic commercial paper, 39%; top-tier foreign commercial paper, 7%; and U.S. Government Agencies, 54%. The Fund is well diversified. Total returns for the six months ended June 30, 2004 were: Retail Class 0.06% Premier Class 0.19 Institutional Class 0.31 Lipper Money Market Funds Average 0.17 3-month U.S. Treasury Bill 0.47
As of June 30, 2004, the Fund's weighted average portfolio maturity was 39 days, and the annualized 7-day yield for each class was: Retail Class 0.24% Premier Class 0.49 Institutional Class 0.74
1 OUTLOOK The Fed's current monetary tightening is not expected to seriously impact the rate of economic growth until the middle of next year. Economic and investment risks are likely to increase as 2005 unfolds. Sincerely, /s/ Richard H. Forde Richard H. Forde Chairman of the Board and President CIGNA Funds Group Note: This commentary is not part of the Semiannual Report to Shareholders. 2 Money Market Fund INVESTMENTS IN SECURITIES JUNE 30, 2004 (Unaudited)
(IN THOUSANDS) PRINCIPAL VALUE - -------------------------------------------------------------------------------- ASSET BACKED SECURITIES - 0.2% Chase Manhattan Auto Owner Trust, 1.14%, 12/15/04 $ 912 $ 912 COMMERCIAL PAPER - 45.4% Domestic - 38.7% American Express Credit Corp., 1.26%, 7/8/04 10,000 9,998 Barton Capital Corp., 1.15%, 7/7/04 10,000 9,998 Bear Stearns Co., 1.11%, 7/6/04 10,000 9,998 CAFCO, LLC, 1.05%, 7/1/04 19,000 19,000 Gannett Co., Inc., 1.11%, 7/8/04 8,517 8,515 1.12%, 7/9/04 6,000 5,999 1.13%, 7/9/04 4,837 4,836 General Electric Capital Corp., 1.15%, 7/8/04 4,841 4,840 Goldman Sachs Group, Inc., 1.08%, 7/2/04 19,000 18,999 Kimberly Clark Worldwide, Inc., 1.05%, 7/7/04 5,691 5,690 1.08%, 7/7/04 4,932 4,931 Morgan Stanley Dean Witter Co., 1.20%, 7/13/04 9,000 8,996 Old Line Funding Corp., 1.21%, 7/15/04 10,000 9,995 1.26%, 7/15/04 9,000 8,996 PepsiCo, Inc., 1.25%, 7/12/04 19,000 18,993 Procter & Gamble Co., 1.33%, 7/7/04 4,192 4,191 United Parcel Service of America, 1.01%, 7/1/04 11,744 11,744 Verizon Network Funding, 1.24%, 7/7/04 10,000 9,998 Wal-Mart Stores, Inc., 1.08%, 7/6/04 9,000 8,999 Windmill Funding Corp., 1.08%, 7/6/04 10,000 9,998 ------- 194,714 -------
The Notes to Financial Statements are an integral part of these statements. 3 Money Market Fund INVESTMENTS IN SECURITIES continued JUNE 30, 2004 (Unaudited)
(IN THOUSANDS) PRINCIPAL VALUE - -------------------------------------------------------------------------------- COMMERCIAL PAPER continued Foreign - 6.7% ASB Bank Ltd., 1.25%, 7/14/04 $3,011 $ 3,010 Novartis Finance Corp., 1.00%, 7/1/04 12,000 12,000 1.35%, 7/8/04 6,000 5,998 Toyota Motor Credit Corp., 1.27%, 12/23/04 (a) 12,500 12,504 ------- 33,512 ------- Total Commercial Paper 228,226 ------- U.S. GOVERNMENT AGENCIES (b) - 54.5% Fannie Mae, 1.22%, 7/12/04 4,550 4,548 1.25%, 7/12/04 4,718 4,716 1.04%, 7/14/04 6,000 5,998 1.05%, 7/20/04 3,050 3,048 1.05%, 7/21/04 3,805 3,803 1.06%, 7/21/04 2,000 1,999 1.08%, 8/9/04 5,500 5,494 1.06%, 8/20/04 2,000 1,997 1.18%, 9/1/04 2,040 2,036 1.11%, 10/15/04 2,500 2,492 1.24%, 11/12/04 2,976 2,962 1.26%, 11/12/04 1,655 1,647 1.24%, 1/28/05 (a) 11,500 11,498 1.65%, 5/16/05 2,500 2,500 1.53%, 10/7/05 (a) 20,000 19,997 Federal Farm Credit Bank, 1.25%, 8/18/04 8,912 8,897 1.10%, 10/15/04 2,000 1,994
The Notes to Financial Statements are an integral part of these statements. 4 Money Market Fund INVESTMENTS IN SECURITIES continued JUNE 30, 2004 (Unaudited)
(IN THOUSANDS) PRINCIPAL VALUE - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES continued 1.14%, 10/18/04 $5,000 $4,983 1.22%, 10/18/04 8,500 8,469 1.20%, 3/24/05 (a) 15,000 14,999 1.23%, 6/23/05 (a) 2,500 2,500 1.50%, 3/1/06 (a) 15,000 15,000 1.22%, 6/2/06 (a) 12,500 12,500 Federal Home Loan Bank, 1.04%, 7/16/04 7,500 7,497 1.27%, 7/16/04 20,000 19,989 1.50%, 10/6/04 (a) 10,000 10,000 4.38%, 2/15/05 2,840 2,894 1.30%, 2/23/05 6,000 5,999 1.51%, 3/30/05 (a) 7,500 7,500 2.02%, 6/8/05 2,500 2,500 0.99%, 10/5/05 (a) 7,500 7,495 Freddie Mac, 1.24%, 7/13/04 4,151 4,149 1.13%, 8/11/04 3,098 3,094 1.22%, 9/9/04 2,000 1,995 1.13%, 9/14/04 5,000 4,988 1.15%, 9/14/04 5,000 4,988 1.25%, 9/28/04 2,000 1,994 1.20%, 10/19/04 7,500 7,472 1.13%, 11/4/04 3,999 3,983 1.25%, 11/4/04 7,500 7,467 1.27%, 12/6/04 3,826 3,805 1.19%, 12/30/04 2,500 2,485 1.23%, 1/11/05 2,500 2,483
The Notes to Financial Statements are an integral part of these statements. 5 Money Market Fund INVESTMENTS IN SECURITIES continued JUNE 30, 2004 (Unaudited)
(IN THOUSANDS) PRINCIPAL VALUE - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES continued 1.30%, 1/11/05 $7,500 $ 7,447 1.40%, 1/19/05 2,224 2,207 1.10%, 10/7/05 (a) 7,500 7,500 -------- Total U.S. Government Agencies 274,008 -------- TOTAL INVESTMENTS IN SECURITIES - 100.1% 503,146 Liabilities in excess of Cash and Other Assets - (0.1)% (493) -------- NET ASSETS - 100.0% $502,653 ========
NOTES TO INVESTMENTS IN SECURITIES (a) Variable rate security. Rate is as of June 30, 2004. (b) Agency obligations are not guaranteed by the U.S. Government. Tax Information (c) As of June 30, 2004, the cost for federal income tax purposes on a tax basis is the same as on a book basis. The Notes to Financial Statements are an integral part of these statements. 6 Money Market Fund INVESTMENTS IN SECURITIES continued JUNE 30, 2004 (Unaudited) - --------------------------------------------------------------------------------
Ten Largest Positions (Unaudited) June 30, 2004 Market % of Value Net (000) Assets ---------- ---------- Fannie Mae $74,735 14.9% Federal Farm Credit Bank 69,342 13.8 Freddie Mac 66,057 13.1 Federal Home Loan Bank 63,874 12.7 Gannett Co., Inc. 19,350 3.9 CAFCO, LLC 19,000 3.8 Goldman Sachs Group, Inc. 18,999 3.8 PepsiCo, Inc. 18,993 3.8 Old Line Funding Corp. 18,991 3.8 Novartis Finance Corp. 17,998 3.6
The Notes to Financial Statements are an integral part of these statements. 7 Money Market Fund STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 2004 (Unaudited)
(IN THOUSANDS) - -------------------------------------------------------------------------------- Assets: Investments in securities at value $503,146 Cash 1 Interest receivable 257 Prepaid registration fees 23 Investment for Trustees' deferred compensation plan 22 -------- Total assets 503,449 -------- Liabilities: Shareholder servicing and distribution fees payable to Distributor 371 Investment advisory fees payable 221 Shareholder reports 81 Administrative services fees payable 42 Deferred Tustees' fees payable 22 Audit and legal fees payable 20 Insurance expenses payable 15 Custodian fees payable 12 Transfer agent fees payable 3 Other 9 -------- Total liabilities 796 -------- Net Assets $502,653 ======== Institutional Class $191,161 Premier Class 57,316 Retail Class 254,176 -------- $502,653 ======== Shares Outstanding Institutional Class ($1.00 net asset value per share) 191,163 ======== Premier Class ($1.00 net asset value per share) 57,317 ======== Retail Class ($1.00 net asset value per share) 254,178 ======== Components of Net Assets: Paid-in capital $502,653 ======== Net Assets $502,653 ========
The Notes to Financial Statements are an integral part of these statements. 8 Money Market Fund STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2004 (Unaudited)
(IN THOUSANDS) - -------------------------------------------------------------------------------- Investment Income: Interest $2,996 Expenses: Investment advisory fees 976 Distribution fees Retail Class 344 Shareholder servicing fees Premier Class 72 Retail Class 344 Administrative services fees 99 Custodian fees 64 Shareholder reports 46 Audit and legal fees 25 Registration fees 17 License fees 13 Insurance expense 3 Trustees' fees 8 Transfer agent fees 4 Other 1 ------ Total expenses 2,016 ------ Net Investment Income 980 ------ Realized and Unrealized Gain on Investments: Net realized gain from security transactions -- ------ Net Realized and Unrealized Gain on Investments -- ------ Net Increase in Net Assets Resulting From Operations $ 980 ======
The Notes to Financial Statements are an integral part of these statements. 9 Money Market Fund STATEMENTS OF CHANGES IN NET ASSETS
For the Six For the Months Ended Year Ended June 30, 2004 December 31, (IN THOUSANDS) (Unaudited) 2003 - -------------------------------------------------------------------------------------- Operations: Net investment income $ 980 $ 2,404 Net realized gain from securities transactions -- -- -------- ---------- Net increase in net assets from operations 980 2,404 -------- ---------- Dividends from Net Investment Income: Institutional Class (702) (1,437) Premier Class (108) (42) Retail Class (170) (925) -------- ---------- Total dividends and distributions to shareholders (980) (2,404) -------- ---------- Capital Share Transactions: Institutional Class Net proceeds from sales of shares 931,089 2,468,812 Net asset value of shares issued to shareholders in reinvestment of dividends and distributions 702 1,597 -------- ---------- 931,791 2,470,409 Cost of shares redeemed (954,791) (2,446,150) -------- ---------- (23,000) 24,259 -------- ---------- Premier Class Net proceeds from sales of shares 23,155 69,788 Net asset value of shares issued to shareholders in reinvestment of dividends and distributions 108 42 -------- ---------- 23,263 69,830 Cost of shares redeemed (25,870) (10,089) -------- ---------- (2,607) 59,741 -------- ---------- Retail Class Net proceeds from sales of shares 35,818 104,937 Net asset value of shares issued to shareholders in reinvestment of dividends and distributions 170 1,071 -------- ---------- 35,988 106,008 Cost of shares redeemed (81,104) (166,605) -------- ---------- (45,116) (60,597) -------- ---------- Net increase (decrease) from Fund share transactions (70,723) 23,403 -------- ---------- Net Increase (Decrease) in Net Assets (70,723) 23,403 Net Assets: Beginning of period 573,376 549,973 -------- ---------- End of period $502,653 $ 573,376 ======== ==========
The Notes to Financial Statements are an integral part of these statements. 10 Money Market Fund STATEMENTS OF CHANGES IN NET ASSETS continued
For the Six For the Months Ended Year Ended June 30, 2004 December 31, (IN THOUSANDS) (Unaudited) 2003 - --------------------------------------------------------------------------------- TRANSACTIONS IN CAPITAL STOCK Institutional Class Shares sold 931,089 2,468,812 Shares issued in reinvestment of dividends and distributions 702 1,597 ------- --------- 931,791 2,470,409 Shares redeemed (954,791) (2,446,150) -------- ---------- Net increase (decrease) in Institutional shares outstanding (23,000) 24,259 -------- ---------- Premier Class Shares sold 23,155 69,788 Shares issued in reinvestment of dividends and distributions 108 42 -------- ---------- 23,263 69,830 Shares redeemed (25,870) (10,089) -------- ---------- Net increase (decrease) in Premier shares outstanding (2,607) 59,741 -------- ---------- Retail Class Shares sold 35,818 104,937 Shares issued in reinvestment of dividends and distributions 170 1,071 -------- ---------- 35,988 106,008 Shares redeemed (81,104) (166,605) -------- ---------- Net decrease in Retail shares outstanding (45,116) (60,597) -------- ---------- Total net increase (decrease) in Fund shares (70,723) 23,403 ======== ==========
The Notes to Financial Statements are an integral part of these statements. 11 Money Market Fund FINANCIAL HIGHLIGHTS
INSTITUTIONAL CLASS - ------------------------------------------------------------------------------------------------- For the Six Months Ended For the Year Ended December 31, June 30, 2004 ------------------------------- (Unaudited) 2003 2002 - ------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 INCOME FROM INVESTMENT OPERATIONS: Net investment income (a) 0.01 0.01 Net realized and unrealized gain on securities -- -- (a) ------- ------- ---------- Total from investment operations -- 0.01 0.01 ------- ------- ------- LESS DIVIDENDS AND DISTRIBUTIONS: Dividends from net investment income (a) (0.01) (0.01) Distributions from capital gains -- -- -- ------- ------- ------- Total dividends and distributions -- (0.01) (0.01) ------- ------- ------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 ======= ======= ======= Total Return 0.31%(c) 0.76%(b) 1.36% Ratios to Average Net Assets Gross expenses 0.45%(d) 0.47% 0.45% Fees and expenses waived or borne by the Adviser 0.00%(d) 0.02% 0.00% Net expenses 0.45%(d) 0.45% 0.45% Net investment income 0.63%(d) 0.76% 1.36% Net assets, end of period (000 omitted) $191,161 $214,160 $189,902 (a) Amount less than $0.01 per share (b) Had the Adviser not waived or reimbursed a portion of the expenses, total return would have been reduced. (c) Not annualized. (d) Annualized. INSTITUTIONAL CLASS - ------------------------------------------------------------------------------------------------- For the Year Ended December 31, --------------------------------------------- 2001 2000 1999 - ------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 INCOME FROM INVESTMENT OPERATIONS: Net investment income 0.04 0.06 0.05 Net realized and unrealized gain on securities (a) (a) (a) ---------- ---------- ---------- Total from investment operations 0.04 0.06 0.05 ------- ------- ------- LESS DIVIDENDS AND DISTRIBUTIONS: Dividends from net investment income (0.04) (0.06) (0.05) Distributions from capital gains -- (a) (a) ------- ---------- ---------- Total dividends and distributions (0.04) (0.06) (0.05) ------- ------- ------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 ======= ======= ======= Total Return 3.81%(b) 6.12%(b) 4.87%(b) Ratios to Average Net Assets Gross expenses 0.49% 0.47% 0.52% Fees and expenses waived or borne by the Adviser 0.04% 0.02% 0.07% Net expenses 0.45% 0.45% 0.45% Net investment income 3.62% 5.94% 4.76% Net assets, end of period (000 omitted) $184,060 $159,446 $178,234 (a) Amount less than $0.01 per share (b) Had the Adviser not waived or reimbursed a portion of the expenses, total return would have been reduced. (c) Not annualized. (d) Annualized.
12 13 Money Market Fund FINANCIAL HIGHLIGHTS continued
PREMIER CLASS(1) - ------------------------------------------------------------------------------------------------------ For the Year/Period For the Six Ended December Months Ended 31, June 30, 2004 --------------- (Unaudited) 2003 - ------------------------------------------------------------------------------------------------------ PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 INCOME FROM INVESTMENT OPERATIONS: Net investment income (a) 0.01 Net realized and unrealized gain on securities -- -- -------- -------- Total from investment operations -- 0.01 -------- -------- LESS DIVIDENDS AND DISTRIBUTIONS: Dividends from net investment income (a) (0.01) Distributions from capital gains -- -- -------- -------- Total dividends and distributions -- (0.01) -------- -------- Net asset value, end of period $ 1.00 $ 1.00 ======== ======== Total Return 0.19%(c) 0.51%(b) Ratios to Average Net Assets Gross expenses 0.70%(d) 0.74% Fees and expenses waived or borne by the Adviser 0.00%(d) 0.04% Net expenses 0.70%(d) 0.70% Net investment income 0.38%(d) 0.39% Net assets, end of period (000 omitted) $ 57,316 $ 59,924 (1) Commenced operations on January 26, 2000. (a) Amount less than $0.01 per share. (b) Had the Adviser not waived or reimbursed a portion of the expenses, total return would have been reduced. (c) Not annualized. (d) Annualized. PREMIER CLASS(1) ------------------------------------------------- For the Year/Period Ended December 31, ------------------------------------------------- 2002 2001 2000 ----------- --------------- --------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 INCOME FROM INVESTMENT OPERATIONS: Net investment income 0.01 0.03 0.05 Net realized and unrealized gain on securities (a) (a) (a) ---------- ----------- ------------- Total from investment operations 0.01 0.03 0.05 -------- -------- ---------- LESS DIVIDENDS AND DISTRIBUTIONS: Dividends from net investment income (0.01) (0.03) (0.05) Distributions from capital gains -- -- (a) -------- -------- ------------- Total dividends and distributions (0.01) (0.03) (0.05) -------- -------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 ======== ======== ========== Total Return 1.12% 3.55%(b) 5.50%(b)(c) Ratios to Average Net Assets Gross expenses 0.70% 0.73% 0.72%(d) Fees and expenses waived or borne by the Adviser 0.00% 0.03% 0.02%(d) Net expenses 0.70% 0.70% 0.70%(d) Net investment income 1.13% 3.22% 5.69%(d) Net assets, end of period (000 omitted) $ 183 $ 207 $ 105 (d)Annualized.
14 15 Money Market Fund FINANCIAL HIGHLIGHTS continued
RETAIL CLASS(1) - -------------------------------------------------------------------------------------------------------- For the Six For the Year/Period Ended Months Ended December 31, June 30, 2004 ------------------------------ (Unaudited) 2003 2002 - -------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 INCOME FROM INVESTMENT OPERATIONS: Net investment income (a) (a) 0.01 Net realized and unrealized gain on securities -- -- (a) ------- ------- ---------- Total from investment operations -- -- 0.01 ------- ------- ------- LESS DIVIDENDS AND DISTRIBUTIONS: Dividends from net investment income (a) (a) (0.01) Distributions from capital gains -- -- -- ------- ------- ------- Total dividends and distributions -- -- (0.01) ------- ------- ------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 ======= ======= ======= Total Return 0.06%(c) 0.26%(b) 0.87% Ratios to Average Net Assets Gross expenses 0.95%(d) 0.97% 0.95% Fees and expenses waived or borne by the Adviser 0.00%(d) 0.02% 0.00% Net expenses 0.95%(d) 0.95% 0.95% Net investment income 0.12%(d) 0.26% 0.86% Net assets, end of period (000 omitted) $254,176 $299,292 $359,888 (1) Commenced operations on April 29, 1999. (a) Amount less than $0.01 per share. (b) Had the Adviser not waived or reimbursed a portion of the expenses, total return would have been reduced. (c) Not annualized. (d) Annualized. RETAIL CLASS(1) ----------------------------------------------------- For the Year/Period Ended December 31, ----------------------------------------------------- 2001 2000 1999 --------------- --------------- --------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 INCOME FROM INVESTMENT OPERATIONS: Net investment income 0.03 0.05 0.03 Net realized and unrealized gain on securities (a) (a) (a) ------- ------- ---------- Total from investment operations 0.03 0.05 0.03 ------- ------- ---------- LESS DIVIDENDS AND DISTRIBUTIONS: Dividends from net investment income (0.03) (0.05) (0.03) Distributions from capital gains -- (a) (a) ------- ---------- ---------- Total dividends and distributions (0.03) (0.05) (0.03) ------- ------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 ======= ======= ========== Total Return 3.29%(b) 5.60%(b) 2.97%(b)(c) Ratios to Average Net Assets Gross expenses 0.98% 0.97% 1.00%(d) Fees and expenses waived or borne by the Adviser 0.03% 0.02% 0.07%(d) Net expenses 0.95% 0.95% 0.93%(d) Net investment income 3.10% 5.44% 4.64%(d) Net assets, end of period (000 omitted) $291,380 $199,993 $ 123,655 (d) Annualized.
16 17 Money Market Fund NOTES TO FINANCIAL STATEMENTS (Unaudited) 1. Significant Accounting Policies. Money Market Fund (the "Fund") is a separate series of CIGNA Funds Group, a Massachusetts business trust (the "Trust"). The Trust is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company. The objective of the Fund is to provide as high a level of current income as is consistent with the preservation of capital and liquidity and the maintenance of $1.00 per share net asset value. The Fund invests exclusively in short-term money market instruments. The Trust offers three classes of shares: Institutional Class, Premier Class and Retail Class. Expenses of the Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including any applicable shareholder servicing fee or 12b-1 distribution fee). Shares of each class would receive their pro rata share of net assets of the Fund if the Fund were liquidated. In addition, the Trustees approve separate dividends on each class of shares. The Institutional Class has a separate transfer agent charge and no 12b-1 distribution fee or shareholder servicing fee. The Premier Class has a shareholder servicing fee. The Retail Class has a 12b-1 distribution fee and a shareholder servicing fee. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. A. Security Valuation -- The Fund's investments are valued at amortized cost, which the Board of Trustees has determined constitutes fair value and which, at June 30, 2004, approximates cost for federal income tax purposes. B. Security Transactions and Related Investment Income -- Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Interest income, which includes amortization of premium and accretion of discount, is recorded on the 18 Money Market Fund NOTES TO FINANCIAL STATEMENTS (Unaudited) continued accrual basis. Securities gains and losses are recognized on the specific cost identification basis. C. Federal Taxes -- For federal income tax purposes, the Fund is taxed as a separate entity. Its policy is to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income and capital gains to its shareholders. Therefore, no federal income or excise taxes on realized income or net capital gains have been accrued. Distributions reported in the Statement of Changes in Net Assets from net investment income, including short-term capital gains, and capital gains are treated as ordinary income and long-term capital gains respectively, for federal income tax purposes. D. Dividends and Distributions -- Dividends from net investment income are declared and reinvested daily. Dividends and distributions are recorded by the Fund on the ex-dividend date. The timing and characterization of certain income and capital gains distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent that such differences are permanent, a reclassification to paid-in capital may be required. 2. Investment Advisory Fees and Other Transactions with Affiliates. Investment advisory fees are paid or accrued to TimesSquare Capital Management, Inc. ("TimesSquare"), certain officers and directors of which are affiliated with the Fund. Such advisory fees are based on an annual rate of 0.35% applied to the average daily net assets of the Fund. TimesSquare has voluntarily agreed to reimburse the Fund for any amount by which its expenses (including the advisory fee, but excluding interest, taxes, transaction costs incurred in acquiring and disposing of portfolio securities, and extraordinary expenses) exceed 0.45% of average daily net assets for the Institutional Class, 0.70% of average daily net assets for the Premier Class, and 0.95% for the Retail Class, to the extent described in the Fund's then current prospectus. TimesSquare retains the ability to be repaid by the Fund if the Fund's expenses fall below the specified limit prior to the end of the fiscal year or within three years after 19 Money Market Fund NOTES TO FINANCIAL STATEMENTS (Unaudited) continued TimesSquare waives management fees or reimburses Fund operating expenses. The Fund's remaining contingent liability and expiration dates are as shown below:
Remaining Contingent Expires during Expires during Class Liability (000's) 2004 (000's) 2006 (000's) - --------------- ------------------- ---------------- --------------- Institutional $101 $ 68 $33 Premier 4 0 4 Retail 127 78 49 Total $232 $146 $86
Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, other affiliated CIGNA Funds may invest their excess cash in the Fund. TimesSquare will waive the amount of its advisory fee for the affiliated Funds in an amount that offsets the amount of the advisory fees incurred by the Money Market Fund. For administrative services, the Fund reimburses TimesSquare Capital Management, Inc. for a portion of the compensation and related expenses of the Trust's Treasurer and Secretary and certain persons who assist in carrying out the responsibilities of those offices. For the six months ended June 30, 2004, the Fund paid or accrued $99,305. With respect to Retail Class shares, the Fund has adopted a Distribution plan pursuant to Rule 12b-1 under the Investment Company Act of 1940, which requires the payment of 0.25% annually of the average daily net assets to Prudential Retirement Brokerage Services ("PRBS") (formerly CIGNA Financial Services, Inc.), the Fund's distributor. The distribution fees received from the 12b-1 plan are used for services provided to the Retail Class and expenses primarily intended to result in the sale of such shares. Premier and Retail Class shares are also subject to a shareholder servicing fee payable to PRBS equal to 0.25% annually of the average daily net assets of the Fund. The distribution and shareholder servicing fees will be waived as necessary to limit Premier and Retail Class expenses, as a percentage of average daily net assets, to the amounts described above until April 30, 2005, and thereafter to the extent described in the Fund's then current prospectus. TimesSquare is an indirect, wholly-owned subsidiary of CIGNA Corporation. 20 Money Market Fund NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 3. Trustees' Fees. Trustees' fees represent remuneration paid or accrued to trustees who are not employees of CIGNA Corporation or any of its affiliates. 4. Capital Stock. The Fund is a separate series of the Trust, which offers an unlimited number of shares of beneficial interest, without par value. At June 30, 2004, affiliates of CIGNA Corporation owned 100% of the Institutional Class. - -------------------------------------------------------------------------------- Money Market Fund is an open-end, diversified management investment company that invests in money market instruments. The investment adviser is TimesSquare Capital Management, Inc., 280 Trumbull Street, Hartford, Connecticut 06103. The Fund is distributed by Prudential Retirement Brokerage Services, Inc., P.O. Box 150476, Hartford, Connecticut 06115-0476 (telephone: 1.888.244.6237). TRUSTEES Richard H. Forde Chief Investment Officer, CIGNA Investment Management Russell H. Jones Senior Vice President, Chief Investment Officer, and Treasurer, Kaman Corporation Carol Ann Hayes Director and Chair of Audit Committee, Reed and Barton Corporation Paul J. McDonald Special Advisor to Board of Directors, Friendly Ice Cream Corporation Marnie Wagstaff Mueller Diocesan Consultant, Episcopal Diocese of Connecticut OFFICERS Richard H. Forde Chairman of the Board and President Alfred A. Bingham III Vice President and Treasurer Jeffrey S. Winer Vice President and Secretary 21 545719 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 Listed Registrants. Not applicable. Item 6. Schedule of Investments. See 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. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable. Item 9. Submission of Matters to a Vote of Security Holders. The registrant has adopted procedures by which shareholders may recommend nominees to the registrant's board of trustees, as follows: The Nominating Committee or the registrant will, when a vacancy on the Board exists or is anticipated, consider any Trustee candidate recommended by security holders. The current procedures to be followed by security holders are set forth below: 1. All security holder recommendations for Trustee candidates must be submitted to the Secretary of the registrant who will forward all recommendations to the Committee. 2. All security holder recommendations for Trustee candidates must be submitted to the registrant not less than one hundred twenty (120) calendar days prior to the date on which the registrant's proxy statement was released to shareholders in connection with the previous year's annual meeting. 3. All security holder recommendations for Trustee candidates must include the following information: (a) The name and address of the security holder of record; (b) A representation that the security holder is a record holder of the applicable Fund's securities, or if the security holder is not a record holder, evidence of ownership in accordance with Rule 14a-8(b)(2) of the Securities Exchange Act of 1934, as amended; (c) The name, age, business and residential address, educational background, current principal occupation or employment, and principal occupation or employment for the preceding five (5) full fiscal years of the proposed Trustee candidate; (d) A description of the qualifications and background of the proposed Trustee candidate that addresses the minimum qualifications and other criteria for Board membership approved by the Board from time to time; (e) A description of all arrangements or understandings between the security holder and the proposed Trustee candidate; (f) The consent of the proposed Trustee candidate (i) to be named in the proxy statement relating to the applicable Fund's annual meeting of shareholders and (ii) to serve as a Trustee if elected at such annual meeting; and (g) Any other information regarding the proposed Trustee candidate that is required to be included in a proxy statement filed pursuant to the rules of the Securities and Exchange Commission. The Committee has not established specific, minimum qualifications that must be met by an individual for the Committee to recommend that individual for nomination as a Trustee. In seeking candidates to consider for nomination to fill a vacancy on the Board, the Committee expects to seek referrals from a variety of sources, including current Trustees, management of the registrant and counsel to the registrant. The Committee may also engage a search firm to identify or evaluate or assist in identifying or evaluating candidates. In evaluating Trustee candidates, the Committee considers a variety of factors, including, as appropriate: (i) the candidate's knowledge in matters relating to investment companies; (ii) any experience possessed by the candidate as a director or senior officer of other public companies; (iii) the candidate's educational background; (iv) the candidate's reputation for high ethical standards and personal and professional integrity; (v) any specific financial, technical or other expertise possessed by the candidate, and the extent to which such expertise would complement the Board's existing mix of skills and qualifications; (vi) the candidate's perceived ability to contribute to the ongoing functions of the Board, including the candidate's ability and commitment to attend meetings regularly and work collaboratively with other members of the Board; (vii) the candidate's ability to qualify as an Independent Trustee for purposes of the 1940 Act, the candidate's independence from the registrant's service providers and the existence of any other relationships that might give rise to a conflict of interest or the appearance of a conflict of interest; (viii) the candidate's age relative to the registrant's retirement age for Trustees and (ix) such other factors as the Committee determines to be relevant in light of the existing composition of the Board and any anticipated vacancies or other transitions, e.g., whether or not a candidate is an "audit committee financial expert" under the federal securities laws. Prior to making a final recommendation to the Board, the Committee conducts personal interviews with the candidate(s) it concludes are the most qualified. Any candidates recommended by security holders will be evaluated in the same manner. Item 10. Controls and Procedures. (a) Based on an evaluation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this Form N-CSR, the registrant's principal executive officer and principal financial officer concluded that the disclosure controls and procedures are reasonably designed to ensure that the information required in filings on Forms N-CSR is recorded, processed, summarized, and reported on a timely basis. (b) There were no significant changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 11. Exhibits. (a)(1) Not applicable (a)(2) Separate certifications by the registrant's principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940. (a)(3) Not applicable (b) A certification by the registrant's chief executive officer and chief financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. 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) CIGNA Funds Group By: /s/ Alfred A. Bingham III ------------------------- Alfred A. Bingham III, Vice President and Treasurer Date: August 30, 2004. 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/ Richard H. Forde ----------------------------------------------------- Richard H. Forde, Chairman of the Board and President Date: August 30, 2004. By (Signature and Title) /s/ Alfred A. Bingham III --------------------------------------------------- Alfred A. Bingham III, Vice President and Treasurer Date: August 30, 2004 EX-99.A.2 2 d15173_ex99-a2.txt CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER I, Richard H. Forde, certify that: 1. I have reviewed this report on Form N-CSR of CIGNA Funds Group; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by the report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize, and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls. Date: August 30, 2004 /s/ Richard H. Forde ------------------------------ Chairman of the Board and President CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER I, Alfred A. Bingham III, certify that: 1. I have reviewed this report on Form N-CSR of CIGNA Funds Group; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is resonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize, and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls. Date: August 30, 2004 /s/ Alfred A. Bingham III ---------------------------- Vice President and Treasurer EX-99.B 3 d15173_ex99-b.txt Exhibit (b) Certification Pursuant to section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code) In connection with the attached Report of CIGNA Funds Group (the "Trust") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report"), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer's knowledge: 1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respect, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report. Dated: August 30, 2004 /s/ Richard H. Forde - ------------------------------- Richard H. Forde Chairman of the Board and President Dated: August 30, 2004 /s/ Alfred A. Bingham III - ------------------------------- Alfred A. Bingham III Vice President and Treasurer A signed original of this written statement required by Section 906 has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request. This certification is being furnished solely pursuant to 18 U.S.C. section 1350 and is not being filed as part of the Report or as a separate disclosure document. -----END PRIVACY-ENHANCED MESSAGE-----