-----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, EPsL5AyprFfeS30c+9XYSL6XUiSDyPZaqLAou2XvDE4VSyw90DPGadFDWYTqobX5 I9zutUEa19gfe6rhItZI2w== 0000715165-02-000030.txt : 20020821 0000715165-02-000030.hdr.sgml : 20020821 20020821102456 ACCESSION NUMBER: 0000715165-02-000030 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20020630 FILED AS OF DATE: 20020821 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST CENTRAL INDEX KEY: 0001038175 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-08193 FILM NUMBER: 02744366 BUSINESS ADDRESS: STREET 1: 255 STATE STREET CITY: BOSTON STATE: MA ZIP: 02109 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WRIGHT MANAGED EQUITY TRUST CENTRAL INDEX KEY: 0000703499 IRS NUMBER: 046481187 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-03489 FILM NUMBER: 02744364 BUSINESS ADDRESS: STREET 1: 255 STATE STREET CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 617-482-8260 MAIL ADDRESS: STREET 1: 255 STATE STREET STREET 2: 7TH FLOOR CITY: BOSTON STATE: MA ZIP: 02109 FORMER COMPANY: FORMER CONFORMED NAME: EQUITY FUND FOR BANK TRUST DEPARTMENTS EQBT FUND DATE OF NAME CHANGE: 19880218 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WRIGHT MANAGED INCOME TRUST CENTRAL INDEX KEY: 0000715165 IRS NUMBER: 042789493 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-03668 FILM NUMBER: 02744365 BUSINESS ADDRESS: STREET 1: 255 STATE STREET CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 617-482-8260 MAIL ADDRESS: STREET 1: 255 STATE STREET STREET 2: 7TH FLOOR CITY: BOSTON STATE: MA ZIP: 02109 FORMER COMPANY: FORMER CONFORMED NAME: BOND FUND FOR BANK TRUST DEPARTMENTS BFBT FUND DATE OF NAME CHANGE: 19880218 FORMER COMPANY: FORMER CONFORMED NAME: WRIGHT MANAGED BOND TRUST DATE OF NAME CHANGE: 19910331 N-30D 1 jun02n30d.txt COMBINED SEMI-ANNUAL JUNE 2002 THE WRIGHT MANAGED BLUE CHIP INVESTMENT FUNDS SEMI-ANNUAL REPORT JUNE 30 , 2002 THE WRIGHT MANAGED EQUITY TRUST o Wright Selected Blue Chip Equities Fund o Wright Major Blue Chip Equities Fund o Wright International Blue Chip Equities Fund THE WRIGHT MANAGED INCOME TRUST o Wright U.S. Treasury Money Market Fund o Wright U.S. Government Near Term Fund o Wright U.S. Government Intermediate Fund (formerly Wright U.S. Treasury Fund) o Wright Total Return Bond Fund o Wright Current Income Fund THE WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST THE WRIGHT MANAGED BLUE CHIP INVESTMENT FUNDS - ------------------------------------------------------------------------------- THE WRIGHT MANAGED BLUE CHIP INVESTMENT FUNDS CONSISTS OF THREE EQUITY FUNDS FROM THE WRIGHT MANAGED EQUITY TRUST, A MONEY MARKET FUND AND FOUR OTHER FIXED INCOME FUNDS FROM THE WRIGHT MANAGED INCOME TRUST. EACH OF THE EIGHT FUNDS HAVE DISTINCT INVESTMENT OBJECTIVES AND POLICIES. THEY CAN BE USED INDIVIDUALLY OR IN COMBINATION TO ACHIEVE VIRTUALLY ANY OBJECTIVE. FURTHER, AS THEY ARE ALL "NO-LOAD" FUNDS (NO COMMISSIONS OR SALES CHARGES), PORTFOLIO ALLOCATION STRATEGIES CAN BE ALTERED AS DESIRED TO MEET CHANGING MARKET CONDITIONS OR CHANGING REQUIREMENTS WITHOUT INCURRING ANY SALES CHARGES. SOME OF THE FUNDS OFFER TWO CLASSES OF SHARES DESIGNATED AS INSTITUTIONAL SHARES AND STANDARD SHARES. APPROVED WRIGHT INVESTMENT LIST Securities selected for equity portfolios are drawn from investment lists developed by Wright Investors' Service (Wright). Using bottom-up fundamental analysis, Wright first identifies companies suitable for fiduciary use as "investment grade." These make up the Investment Grade Investment List (IGIL). These companies are further screened against Wright's quality standards which have evolved since the 1960s. Those meeting or exceeding these standards are promoted to the Approved Wright Investment List or AWIL. These companies, in Wright's opinion, exhibit superior investment characteristics. There are separate lists for U.S. companies, non-U.S. companies, and fixed income securities. All the companies on the AWIL are soundly financed "Blue Chips" with established records of earnings profitability and equity growth. All have established investment acceptance and active, liquid markets. Companies which do not meet this quality criteria, but which are included in a major stock market index and which meet acceptable marketability and financial strength standards may be used when necessary to reduce benchmark tracking error but a majority of the stocks in any portfolio are selected from the AWIL. THREE EQUITY FUNDS WRIGHT SELECTED BLUE CHIP EQUITIES FUND (WBC) seeks to enhance total investment return of price appreciation plus income by providing active management of equities of well-established companies meeting strict quality standards. Equities selected are limited to those companies whose current operations reflect defined, quantified characteristics which have been determined to offer comparatively superior total investment returns over the intermediate term. The fund attempts to outperform the Standard & Poor's Mid-Cap 400 Index. WRIGHT MAJOR BLUE CHIP EQUITIES FUND (WMBC) seeks to enhance total investment return of price appreciation plus income by providing management of a broadly diversified portfolio of equities of larger well-established companies meeting strict quality standards. In selecting companies for this portfolio, Wright selects, based on quantitative formulae, those companies which are expected to do better over the intermediate term. The quantitative formulae takes into consideration factors such as over/under valuation and compatibility with current market trends. Investments in the portfolio are control weighted in the selected securities and industries. The fund attempts to outperform the Standard & Poor's 500 Index. WRIGHT INTERNATIONAL BLUE CHIP EQUITIES FUND (WIBC). This is a broadly diversified portfolio of equities of well-established, non-U.S. companies meeting strict quality standards. The portfolio may buy common stocks traded on the securities exchange of the country in which the company is based or it may purchase American Depositary Receipts (ADR's) traded in the United States. The portfolio is denominated in U.S. dollars and investors should understand that fluctuations in foreign exchange rates may impact the value of their investment. A MONEY MARKET FUND WRIGHT U.S. TREASURY MONEY MARKET FUND (WTMM) seeks a high rate of current income but with added safety that comes from limiting its investments to securities of the U.S. Government and its agencies. There may be an added advantage to investors that reside in states and municipalities that do not tax dividend income from mutual funds investing exclusively in U.S. Government securities. FOUR FIXED-INCOME FUNDS WRIGHT U.S. GOVERNMENT NEAR TERM FUND (WNTB) is a diversified portfolio concentrating on bonds and other obligations of the U.S. Government and U.S. Government Agencies with an average weighted maturity of between one and three years. This portfolio is designed to appeal to the investor seeking a high level of income that is normally somewhat less variable and normally somewhat higher than that available from short-term money market instruments and who is also tolerant of modest fluctuation in capital (i.e. compared with somewhat greater fluctuation likely with longer term fixed income securities). Dividends are accrued daily and paid monthly. WRIGHT U.S. GOVERNMENT INTERMEDIATE FUND (WUSGI) is invested in U.S. government obligations and maintains an average maurity of from two to six years. The fund does not invest in derivatives. Assets are allocated on the basis of Wright's economic outlook and expected trend in short-term interest rates. Dividends are accrued daily and paid monthly. WRIGHT TOTAL RETURN BOND FUND (WTRB) is a diversified portfolio of investment grade government and corporate bonds and other debt securities of varying maturities which, in the Adviser's opinion, will achieve the portfolio objective of best total return, i.e. the best total of ordinary income plus capital appreciation. Accordingly, investment selections and maturities may differ depending on the particular phase of the interest rate cycle. Dividends are accrued daily and paid monthly. WRIGHT CURRENT INCOME FUND (WCIF) may be invested in a variety of securities and may use a number of strategies including GNMAs to produce a high level of income with reasonable stability of principal. The fund reinvests all principal payments. Dividends are accrued daily and paid monthly. TABLE OF CONTENTS - ------------------------------------------------------------------------------- Investment Objectives....................................inside front cover Letter to Shareholders....................................................2 Management Discussion.....................................................3 FINANCIAL STATEMENTS THE WRIGHT MANAGED EQUITY TRUST Wright Selected Blue Chip Equities Fund.........................10 Wright Major Blue Chip Equities Fund............................12 Wright International Blue Chip Equities Fund....................14 Financial Highlights............................................16 Notes to Financial Statements...................................20 THE WRIGHT MANAGED INCOME TRUST Wright U.S. Treasury Money Market Fund..........................25 Wright U.S. Government Near Term Fund...........................27 Wright U.S. Government Intermediate Fund........................29 Wright Total Return Bond Fund...................................31 Wright Current Income Fund......................................33 Financial Highlights............................................35 Notes to Financial Statements...................................41 THE WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST Selected Blue Chip Equities Portfolio...........................48 International Blue Chip Equities Portfolio......................50 U.S. Government Near Term Portfolio.............................52 U.S. Government Intermediate Portfolio..........................54 Current Income Portfolio........................................56 Supplementary Data..............................................58 Notes to Financial Statements...................................61 INVESTMENT PORTFOLIOS Wright Major Blue Chip Equities Fund (WMBC).....................66 Wright Total Return Bond Fund (WTRB)............................69 Selected Blue Chip Equities Portfolio (SBCP)....................71 International Blue Chip Equities Portfolio (IBCP)...............74 Wright U.S. Treasury Money Market Fund (WTMM)...................76 U.S. Government Near Term Portfolio (NTBP)......................77 U.S. Government Intermediate Portfolio (USGIP)..................78 Current Income Portfolio (CIFP).................................79 LETTER TO SHAREHOLDERS - ------------------------------------------------------------------------------- July, 2002 Dear Shareholders: After a fairly neutral first quarter, sellers regained the upper hand in the global stock markets during the second quarter of 2002. In the U.S., almost all of the S&P 500's post-9/11 recovery was gone by mid-year, and the rest evaporated in July. While the industrial stocks that make up the Dow Jones Industrial Average still retain a portion of their gains, the S&P 500 hit its lowest level since January 1998 and Nasdaq has fallen to a 5-year low. All told, U.S. stock prices fell almost 15% in Q2, the worst of any of the major markets in dollar terms. With the latest declines, essentially all of the "irrational exuberance" that Alan Greenspan worried about in 1996 is gone from the U.S. stock market. Certainly the worst excesses of the Internet bubble are now history: AOL (down 87%), Amazon (down 88%), Yahoo (down 95%) and other stocks such as these are now priced at small fractions of their peak values. These dramatic collapses have had a devastating effect on investor psychology. There is also the taint of accounting frauds such as Enron and WorldCom that needs to be overcome. Outside the U.S., the story was quite a bit better during the second quarter but mostly because local currency losses in equities were mitigated by the appreciation of foreign currencies against the dollar. In terms of investor wealth, the bond market provided a positive offset to the first half's weakness in stocks. The Lehman U.S. Aggregate returned almost 5% for the first half, most of it coming in the second quarter. Expectations that the Federal Reserve would begin raising interest rates during the second quarter were pushed out to Q4 and then to 2003, and now talk of rate cuts proliferates. Our own guess is that the weak stock market, softening in economic growth, and absence of serious inflation signals will keep the Fed in an accommodative mood well into next year. Interest rates are likely to rise over the next 12 months, but by a manageable amount. Despite the flight-to-safety nature of the market in Q2, we believe that investment-grade corporate bonds and other spread products will provide positive incremental returns over Treasury securities. On the economic front, the news is better than the markets suggest. The manufacturing sector has turned up, housing remains strong, consumers are still visiting the stores, and auto sales rebounded in June and (especially) July. The index of leading economic indicators is up 2.6% over the past 12 months, suggesting real GDP growth on the order of 2.5% to 3% (annual rate) going forward. While Q2 ran under that rate, that was as much a reflection of the artificially strong Q1 (+5.0%) as it was a sign of a flattening economic expansion. The reversal of the rally off last September's market lows has proved to be more than a brief hiatus. In part, this reflects investor fears that there may be more WorldComs waiting to happen. When firms start delivering profit gains in line with expectations in this year's second half, investors should begin to see the corporate financial scandals as the anomalies they are. Stock prices typically swing from one extreme of valuation to the other over a market cycle, particularly after market bubbles, so there may yet be some downside risk left in equities. This concern keeps us from going to a more aggressive allocation to equities or shorter bond durations when our economic outlook says such moves are warranted. I invite clients to follow our investment thinking on the Wright web site, www.wrightinvestors.com, and ask that you let me know if there is any way that we make the site better. Sincerely, /s/Peter M. Donovan --------------------- Peter M. Donovan President MANAGEMENT DISCUSSION - ------------------------------------------------------------------------------- EQUITY FUNDS The stock market got off to a weak start in the second quarter of 2002 and the mood never improved. The potential for disruptions from turmoil in the Middle East and the battle against terrorism strained investor confidence. But the main downer for the market last quarter was a lack of confidence that the better profits that Wall Street is forecasting for the second half of this year will actually materialize. To some degree this reflected a slowing in the economic recovery since the first quarter. Adding to the doubts was a palpable distrust of corporate America, which deepened with the revelations of new corporate misdeeds in the second quarter. Nasdaq essentially closed the first six months back at last September's low. The Nasdaq Composite lost 21% in price in the second quarter and 25% for the first six months of 2002. The S&P 500, after a flat first quarter, lost 14% in the second. The Dow fared a little better, with losses of 11% for the quarter and 8% for the six months. It was hard to find any sector that investors had any enthusiasm for. All ten S&P 500 industry sectors declined, with technology (-26%) and telecom (-24%) the worst. Although continuing to outperform the S&P 500, the S&P MidCap 400 (-9.5%) and SmallCap 600 (-6.7%) gave back all of their first-quarter gains. Investors venturing outside of the United States got some help from the 8% depreciation of the dollar against a basket of major currencies in the second quarter. The MSCI World ex U.S. total return index declined 11% in local currencies for the quarter but just 2% in dollars. WIS expects that the economy will continue to expand at a modest pace in the second half of 2002. Better demand, cost cutting, the benefits of productivity and even some price relief all should contribute to healthier corporate profits in the second half of the year. Yet, despite the promise of better things to come, it shouldn't be much of a surprise that the stock market has gotten off to a rocky start in the third quarter. The new quarter brought more reports of fuzzy corporate accounting (WorldCom being the most notorious recent case), which have reinforced investors' skepticism about profit forecasts. Investors want hard evidence that Wall Street's expectations aren't just a pipe dream. If Wall Street's forecasts are met, stocks are undervalued by about 15%, according to the Fed's valuation model. But after a market bubble that has resulted in an extreme of overvaluation, it is not unusual for stocks to swing to an extreme of undervaluation. Add in the current downbeat mood of investors and you clearly have some further downside risk in equities. We do expect, however, that mounting evidence that economic and profit recovery are taking hold will gradually boost investor confidence in the second half of the year.
2002 2001 2000 1999 1998 1997 1996 1995 1994 1993 1992 1991 ----------- Total Return Q2 6 Mos. Year Year Year Year Year Year Year Year Year Year Year - ------------------------------------------------------------------------------------------------------------------------------- Selected Blue Chips (WSBC) -9.3% -4.8%-10.2% 10.8% 5.8% 0.1% 32.7% 18.6% 30.3% -3.5% 2.1% 4.7% 36.0% Major Blue Chips (WMBC) Standard Shares -11.6% -12.7%-16.9% -12.5% 23.9% 20.4% 33.9% 17.6% 29.0% -0.7% 1.0% 8.0% 38.9% Int'l Blue Chips (WIBC) Standard Shares -2.9% -1.1%-24.2% -17.6% 34.3% 6.1% 1.5% 20.7% 13.6% -1.6% 28.2% -3.9% 17.2% Institutional Shares -3.1% -1.3%-24.1% -17.6% 34.5% 7.5% -6.4%* - - - - - - - -------------------------------------------------------------------------------------------------------------------------------- *: For the period from July 7, 1997 (inception of offering of institutional shares) to December 31, 1997.
WRIGHT SELECTED BLUE CHIP EQUITIES FUND For the first half of 2002, the Wright Selected Blue Chip Fund (WSBC) lost 4.8%, better than the Russell and Morningstar benchmarks (down 5.7% and 6.7%, respectively) though behind the S&P MidCaps (-3.2%). Although an overweight position in technology stocks hurt the fund's performance in the second quarter, this was more than offset by the positive effect of stock selection in most other industry sectors. The most positive contribution to the Fund's return in the quarter was from the consumer staples sector, with good showings from Dreyers Grand Ice Cream (the object of a takeover bid) and Tyson Foods. The Fund's holdings in energy and health care also had considerably smaller losses than the S&P MidCap energy and health care sectors. As Q3 began, WSBC's position had become more conservative through a reduction of its holdings in technology to near market weight. The Fund still stands to benefit from improvement in the economy, with an overweight position in consumer discretionary stocks and a market weighting in industrials. Earnings growth prospects for WSBC holdings are slightly better than for the S&P MidCap 400. WRIGHT MAJOR BLUE CHIP EQUITIES FUND The Wright Major Blue Chip Fund (WMBC) is managed as a blend of the mostly large-cap value and growth stocks in the S&P 500. For the first half of 2002, the WMBC lost 12.7%, less than the S&P 500's 13.1% loss and the Morningstar benchmark's 13.3%. The WMBC has outperformed the Morningstar peer-group average over the last one, three, five and ten-year periods. With big-cap stocks retreating in the second quarter, the WMBC Fund lost 11.6% for the period. This was a smaller loss than the S&P 500 (-13.4%) or an average of Morningstar large-cap blend funds (-13.2%) had for the period. During the second quarter, the WMBC Fund's sector weighting was close to the S&P 500's, although the Fund did get some benefit from an underweight position in the lagging telecom sector. Good stock selection provided most of the WMBC's excess return compared to the S&P 500. The biggest contribution came from the Fund's selection in consumer discretionary stocks (e.g., Centex, Newell Rubbermaid and Liz Claiborne, all rising more than 10%). In the industrial sector, an overweighting in defense-related stocks General Dynamics, ITT and Northrop was a positive factor. The WMBC outperformed the S&P 500 in the health care sector by concentrating in the supply and service areas rather than pharmaceutical stocks. Value stocks outperformed growth stocks in the S&P 500 during the second quarter. The WMBC Fund was slightly tilted toward value in Q2 and is maintaining that position at the start of the third quarter. Forecasts of next 12 months' earnings growth and long-term growth for WMBC holdings are better than for the S&P 500, while the portfolio's average forward P/E multiple is lower. WRIGHT INTERNATIONAL BLUE CHIP EQUITIES FUND For the first two quarters of 2002, the Wright International Blue Chip Fund's (WIBC) loss of 1.1% was smaller than those of the MSCI benchmark (-1.7%) and the Morningstar peer-group average (-1.4%) and more than ten percentage points ahead of the S&P 500. Over the past 12 months, WIBC has lost 8.5%, less than MSCI and Morningstar, both down 9.4%, and less than half the S&P 500's 17.9% loss. With the help of a depreciating dollar, international stocks outperformed U.S. stocks in the second quarter of 2002 for the second quarter in a row. The WIBC lost 2.9% in the second quarter of 2002, well ahead of the returns earned by U.S. stock market averages. WIBC was slightly behind the MSCI World ex U.S. index, which lost 2.2% for the quarter, and a Morningstar average of international equity funds, which lost 2.1%. Much of the Fund's shortfall in the second quarter relative to the MSCI World ex U.S. benchmark was due to its underweight position in Japan, which was one of the world's better performing markets in dollar terms in Q2. The stocks selected in Japan did well, and overall stock selection was a positive factor. Being underweight in technology was also a plus for the quarter. The WIBC Fund remains underweight in Japan at the start of the Q3, in light of the risk posed to Japan's export-based recovery by the rising yen. The Fund is overweight in the euro-zone, which appears to have better growth prospects, and remains underweight in technology. FIXED-INCOME FUNDS After two quarters of essentially break-even performance, bonds were firmly on the plus side in the second quarter of 2002. Bonds benefited from signs that the pace of economic recovery had ratcheted down from the first quarter and from continuing good news on inflation. Comments from the Federal Reserve, which kept monetary policy unchanged in the second quarter, were also reassuring, as they indicated the Fed feels no urgency to raise rates. In addition, Treasury bonds had a strong appeal as a safe haven for worried investors. The yield on the ten-year Treasury bond declined by 60 basis points for the second quarter, more than recouping its first quarter rise. Over the April-June period, the yields on Treasuries in the two- to five-year maturity range declined even more, in the area of 80-90 basis points. After lagging other fixed-income sectors in the first quarter, Treasuries starred in the second with a 4.5% return. The Lehman Brothers U.S. aggregate bond index, which includes all investment-grade fixed-income sectors, returned 3.7% in the second quarter after a flat first quarter. Given the quarter's deepening distrust of corporate America on the part of investors, it is not surprising that corporate bonds lagged Treasuries with a 2.7% return for the three months, or that better returns tracked with higher quality in the corporate sector for the period. Mortgage-backed issues averaged a return of 3.5% in the second quarter. It is likely to be the fourth quarter at the earliest before the Federal Reserve starts to raise interest rates. With the economic recovery expected to proceed at a measured pace, WIS expects inflation to move up only slightly over the next 12 months or so. Even with no aggressive Fed tightening on the horizon, WIS expects bond yields to edge modestly higher over the next few quarters. We continue to see the selective use of spread products enhancing returns in fixed-income portfolios.
2002 2001 2000 1999 1998 1997 1996 1995 1994 199 1992 1991 ----------- Total Return Q2 6 Mos. Year Year Year Year Year Year Year Year Year Year Year - -------------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Money Market (WTMM) 0.4% 0.9% 3.7% 5.4% 4.3% 4.7% 4.8% 4.9% 5.3% 3.6% 2.5% 3.3% n.a. U.S. Gov. Near-Term Bonds (WNTB) 2.5% 2.4% 6.8% 6.9% 1.9% 6.0% 5.9% 3.9% 11.9% -3.1% 8.0% 6.3% 13.1% U.S. Gov. Intermediate Bonds (WUSGI) 3.6% 2.8% 5.4% 12.6% -4.0% 10.0% 9.1% -1.2% 28.2% -8.6% 15.9% 7.1% 17.6% Total Return Bonds (WTRB) 3.2% 2.5% 5.0% 10.6% -3.9% 9.6% 9.2% 0.9% 22.0% -6.6% 11.0% 7.1% 15.4% Current Income (WCIF) Standard Shares 2.8% 3.8% 7.2% 10.3% 0.5% 6.5% 8.6% 4.4% 17.5% -3.3% 6.6% 6.7% 15.3% Institutional Shares 2.9% 4.0% 7.3% 10.6% 0.6% 6.6% 4.4%* - - - - - - - -------------------------------------------------------------------------------------------------------------------------------- *: For the period from July 7, 1997 (inception of offering of institutional shares) to December 31, 1997.
WRIGHT U.S. TREASURY MONEY MARKET FUND In the first half of 2002, The Wright U.S. Treasury Money Market Fund (WTMM) matched 90-day T-bills with a 0.9% return, while topping the average money market fund's 0.6%. The yield on 90-day Treasury bills declined ten basis points in the second quarter of 2002. The WWTMM returned 0.4% for the period, the same as 90-day T-bills and a little ahead of the 0.3% returned by the average Treasury money market fund. It now seems likely that the Fed will delay tightening its monetary policy until at least the fourth quarter of 2002. Under this scenario, money market returns will probably stay in the current range for the rest of this year and then gradually escalate during 2003. WRIGHT U.S. GOVERNMENT NEAR TERM FUND The Wright U.S. Government Near-Term Fund (WNTB), which just about broke even in the first quarter, returned 2.4% for the first six months of 2002, topping the 2.2% for the Morningstar peer-group average but slightly behind the 2.5% reported for the Lehman index. The WNTB returned 2.5% in the second quarter of 2002, matching the return of the Lehman 1-3 year government bond index and slightly ahead of the 2.3% of an average of Morningstar government near-term bond funds. The WNTB's maturity is in the two-year range. In the latest quarter, it benefited from the 90-basis point decline in Agency and Treasury yields in this maturity range. At quarter end, the Fund has about 70% of its assets in Agency issues, 3% in mortgage-backed securities, and the rest in Treasuries. WRIGHT U.S. GOVERNMENT INTERMEDIATE FUND During the second quarter, the Wright U.S. Treasury Bond Fund was repositioned as an intermediate maturity fund, and its name was changed accordingly. The Wright U.S. Government Intermediate Fund (WUSGI) returned 3.6% for the second quarter, compared to 3.9% for both the Lehman U.S. government intermediate bond index and a Morningstar average of Treasury bond funds. For the year to date, this Fund (the Wright U.S. Treasury Bond Fund in Q1) returned 2.8%, compared to 3.6% for both the Lehman government intermediate and Lehman Treasury bond averages and 3.1% for the Morningstar benchmark. The Fund, which formerly held only Treasury bonds, is now about 45% invested in government agency issues, in line with the Lehman intermediate government benchmark; it also has a small position in mortgage-backed securities. The WUSGI started the second quarter with an average duration of 3.3 years and a maturity of 4.9 years. By quarter end, they were slightly lower, at 3.2 and 4.8 years, respectively. The Fund's duration is currently in line with that of the Lehman benchmark; the current bias is toward a shorter duration in anticipation of higher interest rates ahead. WRIGHT TOTAL RETURN BOND FUND For the first six months, the Wright Total Return Bond Fund (WTRB), a diversified bond fund, returned 2.5%, which compared with 3.8% for the Lehman benchmark and 3.3% for the Morningstar average. In the second quarter of 2002, the WTRB returned 3.2% compared to the Lehman U.S. Aggregate Bond index's 3.7% gain and a 3.6% return for an average of Morningstar total return bond funds. The WTRB's second-quarter gain more than made up for the first quarter's loss. WTRB's slight underperformance in the second quarter reflected some issue-specific weakness in its corporate holdings and a modestly underweight position in Treasuries, which were the strong sector for the quarter. At quarter end, the WTRB was invested 17% in Treasuries, compared to 21% for the Lehman aggregate. The WTRB Fund also held corporate (34%), mortgage-backed (32%), agency (11%), and asset-backed (4%) issues. The Fund's duration was shortened to 4.1 years in the quarter, compared to 4.3 for the benchmark. In the near-term, the Fund is likely to continue to stay short and to overweight spread products. WRIGHT CURRENT INCOME FUND The Wright Current Income Fund (WCIF) is invested almost entirely in GNMA issues (mortgage-based securities, known as Ginnie Maes, with explicit credit backing from the Federal government). In the second quarter, mortgage-backed issues lagged Treasury bonds but outperformed corporates. For the latest three months, WCIF returned 2.8%, lagging the 3.2% reported for the Lehman Ginnie Mae index and the 3.3% averaged by Morningstar's government mortgage funds. WCIF is also slightly behind for the year to date, returning 3.8% compared to 4.3% for the Lehman benchmark and 4.0% for the Morningstar average. In anticipation of higher interest rates and therefore lower prepayment risk, the CIF was positioned toward higher coupon issues in the second quarter. As yields fell in the quarter, however, concern about prepayments increased, and higher-coupon issues underperformed lower coupon issues. WIS is still anticipating that interest rates will edge up as the year progresses in response to a stronger economy. At quarter end, the indicated annual yield on this Fund was 5.5%. U.S. SECURITIES MARKETS ------------------------------------------------------- The Dow Jones Industrial Average chart shows the point changes in the average which consists of 30 major NYSE industrial companies and is a price-weighted arithmetic average, with the divisor adjusted for stock splits. The yield chart shows the basis point changes in the U.S. Treasury bond which is the benchmark U.S. Treasury bond with a maturity of 10 years. The following plotting points are used for comparison in the mountain charts. Date Dow Jones U.S. 10 Year Industrial Average Treasury Bond Yield 12/31/92 3301.11 6.70% 12/31/93 3754.09 5.83% 12/31/94 3834.44 7.84% 12/31/95 5117.12 5.58% 12/31/96 6448.27 6.43% 12/31/97 7908.25 5.75% 12/31/98 9181.43 4.65% 12/31/99 11,497.12 6.44% 12/31/00 10,786.85 5.11% 12/31/01 10,021.50 5.00% 06/30/02 9,243.26 4.80% - -------------------------------------------------------------------------------- WRIGHT MANAGED EQUITY TRUST - ------------------------------------------------------------------------------- WRIGHT SELECTED BLUE CHIP EQUITIES FUND (WBC) STATEMENT OF ASSETS AND LIABILITIES June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- ASSETS: Investments in portfolio, at value (identified cost, $43,295,552)(Note 1A) $ 42,983,517 Receivable for fund shares sold......... 39,213 Receivable from administrator........... 26,091 ------------ Total assets.......................... $43,048,821 ------------ LIABILITIES: Payable for fund shares reacquired...... $ 1,036 Accrued expenses and other liabilities.. 5,122 ------------ Total liabilities..................... $ 6,158 ------------ NET ASSETS................................ $43,042,663 ============ NET ASSETS CONSIST OF: Proceeds from sales of shares (including the market value of securities received in exchange for fund shares and shares issued to shareholders in payment of distributions declared), less cost of shares reacquired................... $37,964,211 Accumulated undistributed net realized gain on investments (computed on the basis of identified cost)....................... 4,589,753 Unrealized depreciation of investments (computed on the basis of identified cost) (312,035) Undistributed net investment income..... 800,734 ------------ Net assets applicable to outstanding shares................................ $43,042,663 ============ SHARES OF BENEFICIAL INTEREST OUTSTANDING............................ 4,048,311 ============ NET ASSET VALUE, OFFERING PRICE, AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST................. $ 10.63 ============ See notes to financial statements STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1C): Income - Dividend income allocated from portfolio $ 159,139 Interest income allocated from portfolio 450 Expenses allocated from portfolio...... (212,213) ------------ Investment loss....................... $ (52,624) ------------ Expenses - Administrator fee (Note 2)............. $ 4,533 Compensation of Trustees not employees of the investment adviser or administrator... 3,700 Custodian fee (Note 1D)................ 7,499 Distribution expenses (Note 3)......... 56,656 Transfer and dividend disbursing agent fees 14,191 Audit services......................... 10,820 Legal services......................... 2,848 Printing............................... 1,497 Registration costs .................... 6,335 Miscellaneous.......................... 3,430 ------------ Total expenses........................ $ 111,509 ------------ Deduct - Preliminary reduction of distribution expenses by principal underwriter (Note 3) .... $ (14,397) Preliminary allocation of expenses to investment adviser.................... (26,091) ------------ Total deductions...................... $ (40,488) ------------ Net expenses........................ $ 71,021 ------------ Net investment loss............... $ (123,645) ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on investment transactions from portfolio (identified cost basis)...... $ 4,550,922 Change in unrealized appreciation of investments ........................ (6,669,503) ------------ Net realized and unrealized loss of investments........................... $(2,118,581) ------------ Net decrease in net assets from operation............................ $(2,242,226) ============ See notes to financial statements
WRIGHT MANAGED EQUITY TRUST - --------------------------------------------------------------------------------------------------------------------------------- WRIGHT SELECTED BLUE CHIP EQUITIES FUND (WBC) Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2002 Dec. 31, 2001 - ---------------------------------------------------------------------------------------------------------------------------------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: From operations - Net investment loss........................................................ $ (123,645) $ (188,134) Net realized gain on investments........................................... 4,550,922 1,782,136 Change in unrealized depreciation of investments........................... (6,669,503) (7,272,772) ------------ ------------ Net decrease in net assets resulting from operations..................... $ (2,242,226) $ (5,678,770) ------------ ------------ Distributions to shareholders (Note 1F) - From net realized gain..................................................... $ (1,680,807) $ (2,013,498) ------------ ------------ Net increase in net assets from fund share transactions (Note 4)............. $ 1,083,039 $ 2,373,684 ------------ ------------ Net decrease in net assets................................................... $ (2,839,994) $ (5,318,584) NET ASSETS: At beginning of period....................................................... 45,882,657 51,201,241 ------------ ------------ At end of period............................................................. $ 43,042,663 $ 45,882,657 ============== ============== UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF PERIOD...................................... $ 800,734 $ 924,379 ============== ==============
See notes to financial statements WRIGHT MANAGED EQUITY TRUST - ------------------------------------------------------------------------------- WRIGHT MAJOR BLUE CHIP EQUITIES FUND (WMBC)+ STATEMENT OF ASSETS AND LIABILITIES June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- ASSETS: Investments - Identified cost....................... $78,482,207 Unrealized depreciation............... (2,073,416) ------------ Total investments, at value (Note 1A)... $76,408,791 Cash.................................... 811 Receivable for investments sold......... 2,803,817 Receivable for fund shares sold......... 23,052 Dividends and interest receivable....... 101,772 Receivable from investment adviser...... 300 Other assets............................ 720 ------------ Total assets.......................... $79,339,263 ------------ LIABILITIES: Payable for investments purchased....... $ 2,362,044 Payable for fund shares reacquired...... 154,380 Notes payable........................... 289,000 Transfer agent fee...................... 8,754 Accrued expenses and other liabilities.. 9,935 ------------ Total liabilities..................... $ 2,824,113 ------------ NET ASSETS................................ $76,515,150 ============ NET ASSETS CONSIST OF: Proceeds from sales of shares (including the market value of securities received in exchange for fund shares and shares issued to shareholders in payment of distributions declared), less cost of shares reacquired................... $107,384,442 Accumulated net realized loss on investments (computed on the basis of identified cost).................... (28,634,396) Unrealized depreciation of investments (computed on the basis of identified cost) (2,073,416) Distributions in excess of net investment income...................... (161,480) ------------ Net assets applicable to outstanding shares................................ $76,515,150 ============= Computation of net asset value, offering and redemption price per share: Standard shares: --------------- Net assets............................ $76,515,150 ============= Shares of beneficial interest outstanding 7,705,181 ============= Net asset value, offering price and redemption price per share of beneficial interest $ 9.93 ============= + The Wright Major Blue Chip Equities Fund does not invest in a corresponding master portfolio. See notes to financial statements STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1C): Income - Dividend income........................ $ 580,046 Interest income........................ 693 ------------ Investment income..................... $ 580,739 ------------ Expenses - Investment adviser fee (Note 2)........ $ 261,182 Administrator fee - (Note 2)........... 52,235 Compensation of Trustees not employees of the investment adviser or administrator... 3,700 Interest expense....................... 1,021 Custodian fee - Standard shares (Note 1D)........... 36,822 - Institutional shares (Note 1D) ..... 1,409 Distribution expenses - Standard shares(Note 3) 108,399 Transfer and dividend disbursing agent fees - Standard shares..................... 21,383 - Institutional shares................ 68 Printing............................... 2,053 Audit services......................... 30,231 Legal services......................... 4,047 Registration costs - Standard shares..................... 8,275 - Institutional shares................ 678 Miscellaneous.......................... 2,621 ------------ Total expenses........................ $ 534,124 ------------ Deduct - Preliminary reduction of custodian fee - Standard shares .................... $ (2,548) - Institutional shares ............... (10) Preliminary allocation of expenses to investment adviser - Institutional shares ............... (1,834) ------------ Total deductions...................... $ (4,392) ------------ Net expenses........................ $ 529,732 ------------ Net investment income............. $ 51,007 ------------ REALIZED AND UNREALIZED LOSS ON INVESTMENTS: Net realized loss on investment transactions (identified cost basis)................ $(7,979,344) Change in unrealized appreciation of investments......................... (3,557,061) ------------ Net realized and unrealized loss of investments......................... $(11,536,405) ------------ Net decrease in net assets from operations $(11,485,398) ============= See notes to financial statements
WRIGHT MANAGED EQUITY TRUST - ---------------------------------------------------------------------------------------------------------------------------------- WRIGHT MAJOR BLUE CHIP EQUITIES FUND Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2002 Dec. 31, 2001 - ----------------------------------------------------------------------------------------------------------------------------------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: From operations - Net investment gain (loss)................................................. $ 51,007 $ (85,383) Net realized loss on investments........................................... (7,979,344) (15,909,664) Change in unrealized depreciation of investments........................... (3,557,061) (6,477,084) ------------ ------------ Net decrease in net assets resulting from operations..................... $(11,485,398) $(22,472,131) ------------ ------------ Net increase (decrease) in net assets from fund share transactions (Note 4) - Standard shares............................................................ $ (5,738,278) $(19,372,869) Institutional shares (Note 8).............................................. (1,382,497) 246,637 ------------ ------------ Net decrease in net assets from fund share transactions...................... $ (7,120,775) $(19,126,232) ------------ ------------ Net decrease in net assets................................................... $(18,606,173) $(41,598,363) NET ASSETS: At beginning of period....................................................... 95,121,323 136,719,686 ------------ ------------ At end of period............................................................. $ 76,515,150 $ 95,121,323 ============== ============== DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF PERIOD............................................................. $ (161,480) $ (212,487) ============== ============== See notes to financial statements
WRIGHT MANAGED EQUITY TRUST - ------------------------------------------------------------------------------- WRIGHT INTERNATIONAL BLUE CHIP EQUITIES FUND (WIBC) STATEMENT OF ASSETS AND LIABILITIES June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- ASSETS: Investment in portfolio, at value (identified cost, $78,450,263) (Note 1A) $ 75,015,881 Receivable for fund shares sold......... 53,564 ------------ Total assets.......................... $75,069,445 ------------ LIABILITIES: Payable for fund shares reacquired...... $ 11,256 Dividends payable....................... 1,214 Transfer agent fee payable.............. 8,567 Accrued expenses and other liabilities.. 5,727 ------------ Total liabilities..................... $ 26,764 ------------ NET ASSETS................................ $75,042,681 ============= NET ASSETS CONSIST OF: Proceeds from sales of shares (including the market value of securities received in exchange for fund shares and shares issued to shareholders in payment of distributions declared), less cost of shares reacquired................... $98,092,280 Accumulated undistributed net realized loss on investments and foreign currency (computed on the basis of identified cost)....... (21,614,110) Unrealized depreciation of investments and translation of assets and liabilities in foreign currencies (computed on the basis of identified cost)....................... (3,434,382) Undistributed net investment income..... 1,998,893 ------------ Net assets applicable to outstanding shares................................ $75,042,681 ============= Computation of net asset value, offering and redemption price per share: Standard shares: -------------- Net assets............................ $63,007,456 ============= Shares of beneficial interest outstanding 5,538,517 ============= Net asset value, offering price, and redemption price per share of beneficial interest $ 11.38 ============= Institutional shares: -------------------- Net assets............................ $12,035,225 ============= Shares of beneficial interest outstanding 2,243,393 ============= Net asset value, offering price, and redemption price per share of beneficial interest................ $ 5.36 ============= See notes to financial statements STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1C): Income - Dividend income allocated from portfolio $ 1,203,932 Interest income allocated from portfolio 2,984 Foreign taxes allocated from portfolio. (136,669) Expenses allocated from portfolio...... (486,151) ------------ Investment income..................... $ 584,096 ------------ Expenses - - -- Administrator fee (Note 2)............. $ 7,661 Compensation of Trustees not employees of the investment adviser or administrator 3,700 Custodian fee - Standard shares (Note 1D)........... 5,011 - Institutional shares (Note 1D)...... 5,008 Distribution expenses -Standard shares (Note 3)............. 80,665 Transfer and dividend disbursing agent fees - Standard shares..................... 17,677 - Institutional shares................ 1,869 Printing............................... 1,951 Audit services......................... 10,820 Legal services......................... 3,858 Registration costs - Standard shares..................... 9,272 - Institutional shares................ 7,127 Miscellaneous.......................... 2,342 ------------ Total expenses........................ $ 156,961 ------------ Net investment income............. $ 427,135 ------------ REALIZED AND UNREALIZED LOSS ON INVESTMENTS: Net realized loss on investment and foreign currency transactions from portfolio (identified cost basis)................ $(6,395,819) Change in unrealized depreciation of investments and translation of assets and liabilities in foreign currencies from portfolio........................ 5,114,437 ------------ Net realized and unrealized loss of investments............................ $(1,281,382) ------------ Net decrease in net assets from operations........................... $ (854,247) ============= See notes to financial statements
WRIGHT MANAGED EQUITY TRUST - --------------------------------------------------------------------------------------------------------------------------------- WRIGHT INTERNATIONAL BLUE CHIP EQUITIES FUND (WIBC) Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2002 Dec. 31, 2001 - ----------------------------------------------------------------------------------------------------------------------------------- (unaudited) DECREASE IN NET ASSETS: From operations - Net investment income (loss)............................................... $ 427,135 $ (155,476) Net realized loss on investments and foreign currency transactions......... (6,395,819) (11,569,695) Change in unrealized depreciation on investments and translation of assets and liabilities in foreign currencies ................................... 5,114,437 (17,726,546) ------------ ------------ Net decrease in net assets resulting from operations..................... $ (854,247) $(29,451,717) ------------ ------------ Net decrease in net assets from fund share transactions (Note 4) - Standard shares.......................................................... $ (3,111,616) $(19,188,438) Institutional shares..................................................... (1,005,127) (143,595) ------------ ------------ Net decrease in net assets from fund share transactions...................... $ (4,116,743) $(19,332,033) ------------ ------------ Net decrease in net assets................................................... $ (4,970,990) $(48,783,750) NET ASSETS: At beginning of period....................................................... 80,013,671 128,797,421 ------------ ------------ At end of period............................................................. $ 75,042,681 $ 80,013,671 ============== ============== UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF PERIOD...................................... $ 1,998,893 $ 1,571,758 ============== ==============
See notes to financial statements
WRIGHT MANAGED EQUITY TRUST - ----------------------------------------------------------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS Year Ended December 31, ------------------------------------- --------------------------------------------------------------------------------- Wright Selected Blue Chip Equities Fund 2002(6)(7) 2001(6) 2000(6) 1999 1998 1997 - -------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period........ $ 11.580 $ 13.430 $ 15.130 $ 17.630 $ 19.200 $ 17.730 -------- -------- ---------- -------- -------- -------- Income (loss) from investment operations: Net investment income (loss)* ......... $ (0.031) $ (0.045) $ (0.041) $ 0.181 $ 0.095 $ 0.133 Net realized and unrealized gain (loss) (0.482) (1.322) 1.638 0.638 (0.139) 5.172 -------- -------- ---------- -------- -------- -------- Total income (loss) from investment operations......... $ (0.513) $ (1.367) $ 1.597 $ 0.819 $ (0.044) $ 5.305 -------- -------- ---------- -------- -------- -------- Less distributions: Dividends from investment income....... $ - $ - $ - $ (0.055) $ (0.090) $ (0.145) Distributions from capital gains....... (0.433) (0.483) (3.297) (3.264) (1.436) (3.690) -------- -------- ---------- -------- -------- -------- Total distributions................ $ (0.433) $ (0.483) $ (3.297) $ (3.319) $ (1.526) $ (3.835) -------- -------- ---------- -------- -------- -------- Net asset value, end of period.............. $ 10.630 $ 11.580 $ 13.430 $ 15.130 $ 17.630 $ 19.200 ========= ========== ========== ========== ========== ========== Total return(1) ............................ (4.79%) (10.15%) 10.75% 5.75% 0.14% 32.70% Ratios/Supplemental Data*: Net assets, end of period (000 omitted) $ 43,043 $ 45,883 $ 51,201 $ 74,547 $ 220,965 $259,411 Ratio of total expenses to average net assets 1.27%(8) 1.26% 1.26% 1.16% 1.11% 1.08% Ratio of net expenses after custodian fee reduction to average net assets(5).. 1.25%(3)(8) 1.25%(3 1.25%(3) 1.15%(3) 1.11%(3) 1.08%(3) Ratio of net investment income (loss) to average net assets.......................... (0.55%)(8) (0.38%) (0.28%) 0.36% 0.46% 0.75% Portfolio turnover rate .............. 80%(4) 67%(4) 55%(4) 106%(4) 78%(4) 10%(2) - --------------------------------------------------------------------------------------------------------------------------------- * For the six months ended June 30, 2002 and for the years ended December 31, 2001, 2000 and 1999, the distributor reduced its fees. Had such action not been undertaken, net investment income (loss) per share and the ratios would have been as follows: 2002(6)(7) 2001 2000 1999 --------- ----- ------ -------- Net investment income (loss) per share. $ (0.041) $ (0.057) $ (0.051) $ 0.151 ========== ========== ========== ========== Ratios (As a percentage of average net assets): Expenses........................... 1.45%(3)(8) 1.37% 1.33% 1.22% ========== ========== ========== ========== Expenses after custodian fee reduction(5) 1.43%(3)(8) 1.36%(3) 1.32%(3) 1.21%(3) ========== ========== ========== ========== Net investment income (loss)....... (0.72%)(3)(8 (0.49%) (0.35%) 0.30% ========== ========== ========== ========== - ---------------------------------------------------------------------------------------------------------------------------------- (1)Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be invested at the net asset value on the reinvestment date. (2)Portfolio turnover represents the rate of portfolio activity for the period while the fund was making investments directly in securities. (3)Includes each fund's share of its corresponding portfolio's allocated expenses. (4)Represents portfolio turnover rate of the fund's corresponding portfolio. (5)Custodian fees were reduced by credits resulting from cash balances the fund and the portfolio maintained with the custodian (Note 1D). The computation of net expenses to average daily net assets reported above is computed without consideration of such credits. (6) Certain per share amounts are based on average shares outstanding. (7) For the six months ended June 30, 2002 (unaudited) (8) Annualized.
See notes to financial statements
WRIGHT MANAGED EQUITY TRUST - ---------------------------------------------------------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS Year Ended December 31, --------------------------------------------------------------------------- --------------------------------------------------------------------------- WRIGHT MAJOR BLUE CHIP EQUITIES FUND 2002(4)(7) 2001(4) 2000(4) 1999(4) 1998 1997 - ----------------------------------------------------------------------------------------------------------------------------------- Standard Shares ---------------------------------------------------------------------------- Net asset value, beginning of period........ $ 11.380 $ 13.690 $ 16.290 $ 13.670 $ 12.020 $ 12.450 -------- -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income (loss)(1) ....... $ 0.006 $ (0.009) $ (0.001) $ 0.042 $ 0.091 $ 0.100 Net realized and unrealized gain (loss) (1.456) (2.301) (2.005) 3.202 2.324 3.515 -------- --------- -------- -------- -------- -------- Total income (loss) from investment operations......... $ (1.450) $ (2.310) $ (2.006) $ 3.244 $ 2.415 $ 3.615 -------- --------- -------- -------- -------- -------- Less distributions: Dividends from investment income....... $ - $ - $ (0.010) $ (0.045) $ (0.055) $ (0.085) Distributions from capital gains....... - - (0.584) (0.579) (0.710) (3.960) -------- --------- -------- -------- -------- -------- Total distributions................ $ - $ - $ (0.594) $ (0.624) $ (0.765) $ (4.045) -------- --------- -------- -------- -------- -------- Net asset value, end of period.............. $ 9.930 $ 11.380 $ 13.690 $ 16.290 $ 13.670 $ 12.020 ========== ========== ========== ========== ========== ========== Total Return(3) ............................ (12.74%) (16.87%) (12.49%) 23.95% 20.43% 33.86% Ratios/Supplemental Data(1): Net assets, end of period (000 omitted) $ 76,515 $ 93,696 $ 135,262 $ 144,359 $ 50,878 $ 27,721 Ratio of total expenses to average net assets 1.22%(8) 1.13% 1.06% 1.05% 1.07%(2) 1.08%(2) Ratio of net expenses after custodian fee reduction to average net assets(2) . 1.22%(8) 1.13% 1.06% 1.05% 1.05%(2)(6) 1.05%(2)(6) Ratio of net investment income (loss) to average net assets ................. 0.12%(8) (0.08%) (0.00%)(5) 0.27% 0.49% 0.68% Portfolio turnover rate................ 59% 78% 88% 59% 36% 89% - --------------------------------------------------------------------------------------------------------------------------------- (1)For the years ended December 31, 1999, 1998, and 1997, the operating expenses of the Fund were reduced by an allocation of expenses to the distributor and/or investment adviser. Had such action not been undertaken, net investment income per share and the ratios would have been as follows: 1999 1998 1997 ----------------------------------- Net investment income (loss) per share. $ 0.034 $ 0.052 $ 0.049 ========== ========== ========== Ratios (As a percentage of average net assets): Expenses............................. 1.10% 1.28% 1.43% ========== ========== ========== Expenses after custodian fee reduction(2) 1.10% 1.26% 1.40% ========== ========== ========== Net investment income................ 0.22% 0.28% 0.33% ========== ========== ========== - --------------------------------------------------------------------------------------------------------------------------------- (2)Custodian fees were reduced by credits resulting from cash balances the fund maintained with the custodian (Note 1D). The computation of net expenses to average daily net assets reported above is computed without consideration of such credits. (3)Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be invested at the net asset value on the reinvestment date. (4)Certain per share amounts are based on average shares outstanding. (5)Amount represents less than (0.00%) of average net shares. (6)Under a written agreement, Wright waives a portion of its advisory fee and assumes operating expenses to the extent necessary to limit expense ratios to 1.25%. (7)For the six months ended June 30, 2002 (unaudited) (8)Annualized.
See notes to financial statements
WRIGHT MANAGED EQUITY TRUST - ------------------------------------------------------------------------------------------------------------------------------ FINANCIAL HIGHLIGHTS Year Ended December 31, ------------------------------------------------------------------------------- ------------------------------------------------------------------------------- Wright International Blue Chip Equities Fund 2002(5)(6) 2001(5) 2000(5) 1999(5) 1998 1997 - ------------------------------------------------------------------------------------------------------------------------------ Standard Shares ------------------------------------------------------------------------------- Net asset value, beginning of period........ $ 11.510 $15.180 $18.900 $16.020 $16.020 $16.690 --------- --------- --------- --------- --------- --------- Income (loss) from investment operations: Net investment income (loss) .......... $ 0.062 $ (0.023) $ 0.135 $ (0.004) $ 0.078 $ 0.185 Net realized and unrealized gain (loss) (0.192) (3.647) (3.455) 5.181 0.868 0.048+ --------- --------- --------- --------- --------- --------- Total income (loss) from investment operations...... $ (0.130) $ (3.670) $ (3.320) $ 5.177 $ 0.946 $ 0.233 --------- --------- --------- --------- --------- --------- Less distributions: Dividends from investment income....... $ - $ - $ - $ - $ (0.070) $ (0.163) Distributions from capital gains....... - - (0.400) (2.297) (0.876) (0.740) --------- --------- --------- --------- --------- --------- Total distributions................ $ - $ - $ (0.400) $ (2.297) $ (0.946) $ (0.903) --------- --------- --------- --------- --------- --------- Net asset value, end of period.............. $11.380 $11.510 $15.180 $18.900 $16.020 $16.020 ========== ========== ========== ========== ========== ========== Total return(1) ............................ (1.13%) (24.18%) (17.58%) 34.26% 6.14% 1.54% Ratios/Supplemental Data Net assets, end of period (000 omitted) $63,007 $66,828 $110,868 $147,610 $193,327 $212,698 Ratio of total expenses to average daily net assets...................... 1.70%(3)(7) 1.56%(3) 1.49%(3) 1.49%(3) 1.35%(3) 1.31%(3) Ratio of net investment income (loss) to average daily net assets 1.09%(7) (0.18%) 0.76% (0.02%) 0.42% 0.82% Portfolio turnover rate .............. 46%(4) 39%(4) 53%(4 ) 105%(4) 66%(4) 4%(2) - ------------------------------------------------------------------------------------------------------------------------------- (1)Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be invested at the net asset value on the reinvestment date. (2)Portfolio turnover represents the rate of portfolio activity for the period while the fund was making investments directly in securities. (3)Includes each fund's share of its corresponding Portfolio's allocated expenses. (4)Represents portfolio turnover rate of the fund's corresponding portfolio. (5)Certain per share amounts are based on average shares outstanding. (6)For the six months ended June 30, 2002 (unaudited) (7)Annualized. + Per share amount is not in accordance with the net realized and unrealized gain (loss) for the period because of the timing of sales of fund shares and the amounts per share of realized and unrealized gains and losses at such times.
See notes to financial statements
WRIGHT MANAGED EQUITY TRUST - ---------------------------------------------------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS Year Ended December 31, ----------------------------------------------------------- ---------------------------------------------------------------------------- Wright International Blue Chip Equities Fund 2002(4)(6) 2001(4) 2000(4) 1999(4) 1998 1997* - ---------------------------------------------------------------------------------------------------------------------------- Institutional Shares ----------------------------------------------------------------------------- Net asset value, beginning of period........ $ 5.430 $ 7.150 $ 9.160 $ 8.750 $ 9.130 $ 10.000 -------- -------- -------- -------- -------- -------- Income (loss) from Investment Operations: Net investment income (loss) .......... $ 0.033 $ (0.001) $ 0.070 $ 0.014 $ 0.159 $ 0.006 Net realized and unrealized gain (loss) (0.103) (1.719) (1.680) 2.693 0.487 (0.646)+ -------- --------- -------- -------- -------- -------- Total income (loss) from investment operations...... $ (0.070) $ (1.720) $ (1.610) $ 2.707 $ 0.646 $ (0.640) -------- ---------- -------- -------- -------- -------- Less distributions: Dividends from investment income....... $ - $ - $ - $ - $ (0.150) $ - Distributions from capital gains....... - - (0.400) (2.297) (0.876) (0.230) -------- -------- ---------- -------- -------- -------- Total distribution................. $ - $ - $ (0.400) $ (2.297) $ (1.026) $ (0.230) -------- -------- ---------- -------- -------- -------- Net asset value, end of period.............. $ 5.360 $ 5.430 $ 7.150 $ 9.160 $ 8.750 $ 9.130 ========= ========= ========= ========= ========= ========= Total return(1) ............................ (1.29%) (24.06%) (17.62%) 34.49% 7.54% (6.37%) Ratios/Supplemental Data: Net assets, end of period (000 omitted) $ 12,035 $ 13,186 $ 17,929 $ 24,254 $ 18,511 $ 45,094 Ratio of total expenses to average daily net assets........................... 1.58%(2)++ 1.43%(2) 1.30%(2) 1.28%(2) 1.12%(2) 1.16%(2)++ Ratio of net investment income (loss) to average daily net assets............. 1.22%++ (0.02%) 0.87% 0.16% 0.73% 0.15%++ Portfolio turnover rate................ 46%(3) 39%(3) 53%(3) 105%(3) 66%(3) 4%(5) - -------------------------------------------------------------------------------------------------------------------------------- (1)Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be invested at the net asset value on the reinvestment date. (2)Includes each fund's share of its corresponding portfolio's allocated expenses. (3)Represents portfolio turnover rate of the fund's corresponding portfolio. (4)Certain per share amounts are based on average shares outstanding. (5)Portfolio turnover represents the rate of portfolio activity for the period while the fund was making investments directly in securities. (6)For the six months ended June 30, 2002 (unaudited) + Per share amount is not in accordance with the net realized and unrealized gain (loss) for the period because of the timing of sales of fund shares and the amounts per share of realized and unrealized gains and losses at such times. ++ Annualized. * For the period from July 7, 1997 (inception of offering institutional shares) to December 31, 1997.
See notes to financial statements WRIGHT MANAGED EQUITY TRUST - ------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (unaudited) (1) SIGNIFICANT ACCOUNTING POLICIES The Wright Managed Equity Trust (the Trust), issuer of Wright Selected Blue Chip Equities Fund (WBC) series, Wright Major Blue Chip Equities Fund (WMBC) series, and Wright International Blue Chip Equities Fund (WIBC) series (collectively, the Funds), is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end, management investment company. WBC and WIBC invest all of their investable assets in interests in a separate corresponding open-end management investment company (a Portfolio), a New York Trust, having the same investment objective as its corresponding fund. WBC invests its assets in the Selected Blue Chip Equities Portfolio and WIBC invests its assets in the International Blue Chip Equities Portfolio. The value of each fund's investment in its corresponding Portfolio reflects the fund's proportionate interest in the net assets of that Portfolio (98.69% and 99.21% at June 30, 2002 for WBC and WIBC, respectively). The performance of each fund is directly affected by the performance of its corresponding Portfolio. The financial statements of each Portfolio, including the portfolio of investments, are included elsewhere in this report and should be read in conjunction with each fund's financial statements. The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America. A. Investment Valuations - For WMBC, securities listed on securities exchanges or in the NASDAQ National Market are valued at closing sale prices, if those prices are deemed to be representative of market values at the close of business. Unlisted or listed securities for which closing sale prices are not available are valued at the mean between the latest bid and asked prices. Short-term obligations maturing in sixty days or less are valued at amortized cost, which approximates fair value. Securities for which market quotations are unavailable or deemed not to be representative of market values at the close of business are appraised at their fair value as determined in good faith by or at the direction of the Trustees. Valuation of securities by WBC and WIBC are discussed in Note 1A of the Portfolios' Notes to Financial Statements which are included elsewhere in this report. B. Foreign Currency Translation - Investment security valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses are translated into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions. C. Income - For WMBC, dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. However, if the ex-dividend date has passed, certain dividends from foreign securities are recorded as the fund is informed of the ex-dividend date. The net investment income of WBC and WIBC consists of the fund's pro rata share of the net investment income of its corresponding Portfolio, less all actual and accrued expenses of each fund determined in accordance with accounting principles generally accepted in the United States of America. D. Expense Reduction - The funds have entered into an arrangement with their custodian whereby interest earned on uninvested cash balances is used to offset custodian fees. All significant reductions are reported as a reduction of total expenses in the funds' Statement of Operations. E. Federal Taxes - The Trust's policy is to comply with the provisions of the Internal Revenue Code (the Code) available to regulated investment companies and distribute to shareholders each year all of its taxable income, including any net realized gain on investments. Accordingly, no provision for federal income or excise tax is necessary. At December 31, 2001, the Trust, for federal income tax purposes, had capital loss carryovers of $12,528,270 (WIBC) and $17,128,584 (WMBC) which will reduce taxable income away from future net realized gain on investments, if any, to the extent permitted by the Code, and thus will reduce the amount of the distribution to shareholders which would otherwise be necessary to relieve the respective fund of any liability for federal income or excise tax. Pursuant to the Code, such capital loss carryovers will expire as follows: WIBC WMBC 12/31/2009 $12,528,270 $17,128,584 At December 31, 2001, net capital losses of $2,837,240 for WIBC and $3,179,347 for WMBC attributable to security transactions incurred after October 31, 2001 are treated as arising on the first day of the fund's current taxable year. Withholding taxes on foreign dividends have been provided for in accordance with the Trust's understanding of the applicable country's tax rules and rates. F. Distributions - The Trust requires that differences in the recognition or classification of income between the financial statements and tax earnings and profits which result only in temporary overdistributions for financial statement purposes, are classified as distributions in excess of net investment income or accumulated net realized gains. Distributions in excess of tax basis earnings and profits are reported in the financial statements as a return of capital. Permanent differences between book and tax accounting for certain items may result in reclassification of these items. G. Other - Investment transactions are accounted for on a trade-date basis. H. Use of Estimates - The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenue and expense during the reporting period. Actual results could differ from those estimates. I. Multiple Classes of Shares of Beneficial Interest - Each fund is authorized to offer a standard share class and an institutional share class. The share classes differ in their respective distribution and service fees. All shareholders bear the common expenses of the fund pro rata based on the average daily net assets of each class, without distinction between share classes. Dividends are declared separately for each class. Each class has equal rights as to voting, redemption, dividends, and liquidation. At June 30, 2002, only WIBC had an institutional share class. J. Reclassifications - Certain amounts in the prior periods' financial statements have been reclassified to conform to the current year's presentation. K. Interim Financial Information - The interim financial statements relating to June 30, 2002 and for the six month period then ended have not been audited by independent certified public accountants, but in the opinion of the Trust's management, reflect all adjustments, consisting only of normally recurring adjustments, necessary for the fair presentation of the financial statements. (2) INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES The Trust has engaged Wright Investors' Service, Inc. (Wright) to act as investment adviser to WMBC pursuant to an Investment Advisory Contract. Wright furnishes the fund with investment management, investment advisory, and other services. For its services, Wright is compensated based upon a percentage of average daily net assets which rate is adjusted as average daily net assets exceed certain levels. For the six months ended June 30, 2002, for WMBC the effective annual rate was 0.60%. The Portfolios have engaged Wright to render investment advisory services. See Note 2 of the Portfolios' Notes to Financial Statements which are included elsewhere in this report. To enhance the net income of the fund, $1,834 of expenses were allocated to the investment adviser for WMBC-Institutional shares. The Trust also has engaged Eaton Vance Management (Eaton Vance) to act as administrator of the Trust. Under the Administration Agreement, Eaton Vance is responsible for managing the business affairs of the Trust and is compensated based upon a percentage of average daily net assets which rate is reduced as average daily net assets exceed certain levels. For the six months ended June 30, 2002, the effective annual rate was 0.02% for WBC, 0.12% for WMBC, and 0.02% for WIBC. Certain of the Trustees and officers of the Trust are Trustees or officers of the above organizations. Except as to Trustees of the Trust who are not employees of Eaton Vance or Wright, Trustees and officers receive remuneration for their services to the Trust out of the fees paid to Eaton Vance and Wright. (3) DISTRIBUTION EXPENSES The Trustees have adopted a Distribution Plan (the Plan) pursuant to Rule 12b-1 of the Investment Company Act of 1940. The Plan provides that each of the funds will pay Wright Investors' Service Distributors, Inc. (Principal Underwriter), a wholly-owned subsidiary of The Winthrop Corporation, an annual rate of 0.25% of each fund's average daily net assets attributable to Standard shares for activities primarily intended to result in the sale of each fund's Standard shares. To enhance the net income of WBC, the principal underwriter made a reduction of its fee by $14,397 and a preliminary allocation of expenses was made by the investment adviser in the amount of $26,091. In addition, the Trustees have adopted a service plan (the Service Plan) which allows the funds to reimburse the Principal Underwriter for payments to intermediaries for providing account administration and account maintenance services to their customers who are beneficial owners of shares. The amount of service fee payable under the Service Plan with respect to each class of shares may not exceed 0.25% annually of the average daily net assets attributable to the respective classes. For the six months ended June 30, 2002, the funds did not accrue or pay any service fees. (4) SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in fund shares were as follows:
Six Months Ended Year Ended June 30, 2002 (unaudited) December 31, 2001 --------------------------- ---------------------------- Shares Amount Shares Amount - --------------------------------------------------------------------------------------------------------------------------- Wright Selected Blue Chip Equities Fund-- Sold................................................... 684,656 $ 7,907,314 1,226,640 $ 15,073,784 Issued to shareholders in payment of distributions declared.............................................. 126,916 1,479,836 152,753 1,755,132 Reacquired............................................. (725,944) (8,304,111) (1,228,781) (14,455,232) ----------- -------------- ----------- -------------- Net increase......................................... 85,628 $ 1,083,039 150,612 $ 2,373,684 =========== ============== ============= ================ Wright Major Blue Chip Equities Fund -- Standard Shares Sold.................................................. 816,881 $ 8,948,782 1,922,615 $ 23,607,686 Reacquired............................................. (1,346,631) (14,687,060) (3,569,321) (42,980,555) ----------- -------------- ----------- -------------- Net decrease......................................... (529,750) $ (5,738,278) (1,646,706) $ (19,372,869) =========== ============== ============= =============== Wright Major Blue Chip Equities Fund -- Institutional Shares Sold.................................................. 1 $ 1,000 47,224 $ 360,037 Reacquired............................................. (206,265) (1,383,497) (16,459) (113,400) ----------- -------------- ----------- -------------- Net increase (decrease).............................. (206,264) $ (1,382,497) 30,765 $ 246,637 =========== =============== ============= =============== Wright International Blue Chip Equities Fund-- Standard Shares: Sold................................................... 456,629 $ 5,212,740 1,422,001 $ 18,096,877 Reacquired............................................. (723,288) (8,324,356) (2,921,600) (37,285,315) ----------- -------------- ----------- -------------- Net decrease......................................... (266,659) $ (3,111,616) (1,499,599) $ (19,188,438) =========== ============== ============= ============== Wright International Blue Chip Equities Fund-- Institutional Shares: Sold................................................... -- $ -- 158,515 $ 1,025,000 Reacquired............................................. (186,188) (1,005,127) (235,080) (1,168,595) ----------- -------------- ----------- -------------- Net decrease........................................... (186,188) $ (1,005,127) (76,565) $ (143,595) =========== ============== ============= ==============
(5) INVESTMENT TRANSACTIONS Purchases and sales of investments, other than U.S. Government securities and short-term obligations were as follows: Six Months Ended June 30, 2002 ------------------- WMBC - ------------------------------------------------------------------------------ Purchases........................... $ 51,779,266 ============= Sales............................... $ 59,172,531 ============= - ------------------------------------------------------------------------------ Increases and decreases in each fund's investment in its corresponding Portfolio for the six months ended June 30, 2002 were as follows: WBC WIBC - ------------------------------------------------------------------------------- Increases................... $7,902,477 $ 5,190,137 Decreases................... (8,637,560) (12,007,359) (6) FEDERAL INCOME TAX BASIS OF INVESTMENT SECURITIES The cost and unrealized appreciation (depreciation) of the investment securities owned at June 30, 2002, as computed on a federal income tax basis, are as follows: WMBC - ------------------------------------------------------------------------------- Aggregate cost.......................... $ 78,482,207 ============= Gross unrealized appreciation........... $ 5,063,555 Gross unrealized depreciation........... (7,136,971) ------------- Net unrealized depreciation............. $ (2,073,416) ============= - ------------------------------------------------------------------------------- (7) LINE OF CREDIT The funds participate with other funds managed by Wright in a committed $20 million unsecured line of credit agreement with a bank. The funds may temporarily borrow from the line of credit to satisfy redemption requests or settle investment transactions. Interest is charged to each fund based on its borrowings at an amount above the federal funds rate. In addition, a fee computed at an annual rate of 0.10% on the average daily unused portion of the $20 million line of credit, is allocated among the participating funds at the end of each quarter. WSBC, WMBC, and WIBC did not have significant borrowings or allocated fees during the six months ended June 30, 2002. WMBC has $289,000 outstanding at June 30, 2002. (8) CLASS ELIMINATION The Institutional Share class of Major Blue Chip Equities Fund was fully liquidated on February 14, 2002. WRIGHT MANAGED INCOME TRUST - ------------------------------------------------------------------------------- WRIGHT U.S. TREASURY MONEY MARKET FUND (WTMM)+ STATEMENT OF ASSETS AND LIABILITIES June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- ASSETS: Total investments, at amortized cost (Note 1A).............................. $ 17,990,326 Receivable from investment adviser...... 55,000 Interest receivable..................... 22,011 ------------ Total assets.......................... $ 18,067,337 ------------ LIABILITIES: Due to the bank......................... $ 120,577 Distributions payable................... 24,946 Payable to investment adviser........... 165 Accrued expenses and other liabilities.. 10,692 ------------ Total liabilities..................... $ 156,380 ------------ NET ASSETS (consisting of paid-in capital) $ 17,910,957 ============== SHARES OF BENEFICIAL INTEREST OUTSTANDING............................. 17,877,858 ============== NET ASSET VALUE, OFFERING PRICE, AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST.................. $ 1.00 ============== + The Wright U.S.Treasury Money Market Fund does not invest in a corresponding master portfolio. The amortized cost of securities held at June 30, 2002 is the same as the market value. See notes to financial statements STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1B): Interest income........................ $ 157,921 ------------ Expenses - Investment adviser fee (Note 3)........ $ 29,392 Administrative fee (Note 3)............ 5,879 Compensation of Trustees not employees of the investment adviser or administrator 2,220 Custodian fee (Note 1C)................ 21,144 Transfer and dividend disbursing agent fees 9,448 Printing............................... 2,978 Audit services......................... 29,151 Legal services......................... 1,352 Registration costs..................... 19,898 Miscellaneous.......................... 887 ------------ Total expenses........................ $ 122,349 ------------ Deduct - Preliminary reduction of custodian fee (Note 1C)............................. $ (313) Preliminary allocation of expenses to investment adviser (Note 3)...................... (55,000) Preliminary reduction of investment adviser fee (Note 3).............................. (29,227) ------------ Total deductions...................... $ (84,540) ------------ Net expenses.......................... $ 37,809 ------------ Net investment income............... $ 120,112 ============ See notes to financial statements
WRIGHT MANAGED INCOME TRUST - ------------------------------------------------------------------------------------------------------------------------------ Wright U.S. Treasury Money Market Fund (WTMM)+ Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2002 Dec. 31, 2001 - ------------------------------------------------------------------------------------------------------------------------------- (unaudited) DECREASE IN NET ASSETS: From operations - Net investment income...................................................... $ 120,112 $ 1,140,033 Net realized gain on investments sold...................................... -- 74,786 ------------ ------------ Net increase in net assets resulting from operations..................... $ 120,112 $ 1,214,819 ------------ ------------ Distributions to shareholders (Note 2) - From net investment income................................................. $ (148,370) $ (1,140,033) From net realized gain..................................................... -- (13,429) ------------ ------------ Total distributions...................................................... $ (148,370) $ (1,153,462) ------------ ------------ Fund share transactions+ - Proceeds from shares sold.................................................. $ 18,426,345 $ 61,026,684 Reinvestment of dividends.................................................. 70,321 769,217 Cost of shares reacquired.................................................. (19,141,339) (86,881,373) ------------ ------------ Net decrease in net assets from fund share transactions...................... $ (644,673) $(25,085,472) ------------ ------------ Net decrease in net assets............................................... $ (672,931) $(25,024,115) NET ASSETS: At beginning of period....................................................... 18,583,888 43,608,003 ------------ ------------ At end of period............................................................. $ 17,910,957 $ 18,583,888 ============= ============= + For WTMM, the Fund share transactions are at a net asset value of $1.00 per share. See notes to financial statements
WRIGHT MANAGED INCOME TRUST - ------------------------------------------------------------------------------- Wright U.S. Government Near Term Fund (WNTB) STATEMENT OF ASSETS AND LIABILITIES June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- ASSETS: Investments - Investments in portfolio, at value (identified cost of $34,497,107)(Note 1A) $35,119,295 Receivable for fund shares sold........ 2,979 ------------ Total assets.......................... $35,122,274 ------------ LIABILITIES: Distributions payable................... $ 29,890 Payable for fund shares reacquired...... 7,895 Transfer agent fee payable.............. 4,650 Accrued expenses and other liabilities.. 4,837 ------------ Total liabilities..................... $ 47,272 ------------ NET ASSETS................................ $35,075,002 ============ NET ASSETS CONSIST OF: Proceeds from sales of shares (including the market value of securities received in exchange for Fund shares and shares issued to shareholders in payment of distributions declared), less cost of shares reacquired................... $42,181,176 Accumulated net realized loss on investments (computed on the basis of identified cost) (7,716,848) Unrealized appreciation on investments (computed on the basis of identified cost) 622,188 Distributions in excess of net investment income................................. (11,514) ------------ Net assets applicable to outstanding shares................................ $35,075,002 ============= SHARES OF BENEFICIAL INTEREST OUTSTANDING. 3,388,426 ============= NET ASSET VALUE, OFFERING PRICE, AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST.................. $ 10.35 ============= See notes to financial statements STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1B): Interest income allocated from portfolio $ 763,285 Expenses allocated from portfolio...... (112,728) ------------ Investment income..................... $ 650,557 ------------ Expenses - Administrator fee (Note 3)............. $ 3,481 Compensation of Trustees not employees of the investment adviser or administrator 2,220 Custodian fee (Note 1C)................ 7,465 Distribution expenses (Note 4)......... 43,503 Transfer and dividend disbursing agent fees 11,152 Printing............................... 2,587 Audit services......................... 10,920 Legal services......................... 1,921 Registration costs..................... 9,632 Miscellaneous.......................... 1,207 ------------ Total expenses........................ $ 94,088 ------------ Deduct - Preliminary reduction of distribution expenses by principal underwriter (Note 4)........ $ (41,510) ------------ Net expenses.......................... $ 52,578 ------------ Net investment income............... $ 597,979 ------------ REALIZED AND UNREALIZED GAIN ON INVESTMENTS: Net realized gain on investment transactions from portfolio (identified cost basis). $ 171,029 Net change in unrealized appreciation of investments......................... 49,012 ------------ Net realized and unrealized gain of investments........................... $ 220,041 ------------ Net increase in net assets from operations........................... $ 818,020 ============ See notes to financial statements
WRIGHT MANAGED INCOME TRUST - ---------------------------------------------------------------------------------------------------------------------------------- Wright U.S. Government Near Term Fund (WNTB) Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2002 Dec. 31, 2001 - ----------------------------------------------------------------------------------------------------------------------------------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: From operations - Net investment income...................................................... $ 597,979 $ 1,594,846 Net realized gain on investment transactions............................... 171,029 436,243 Change in unrealized appreciation of investments........................... 49,012 367,359 ------------ ------------ Net increase in net assets resulting from operations..................... $ 818,020 $ 2,398,448 ------------ ------------ Distributions to shareholders (Note 2) - From net investment income................................................. $ (631,142) $ (1,651,229) ------------ ------------ Net decrease in net assets from fund share transactions (Note 5)............. $ (1,137,047) $ (3,930,842) ------------ ------------ Net decrease in net assets............................................... $ (950,169) $ (3,183,623) NET ASSETS: At beginning of period....................................................... 36,025,171 39,208,794 ------------ ------------ At end of period............................................................. $ 35,075,002 $ 36,025,171 ============= ============= UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF PERIOD............................................... $ (11,514) $ 21,649 ============= ============= See notes to financial statements
WRIGHT MANAGED INCOME TRUST - ------------------------------------------------------------------------------- WRIGHT U.S. GOVERNMENT INTERMEDIATE FUND (WUSGI) STATEMENT OF ASSETS AND LIABILITIES June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- ASSETS: Investments - Investments in portfolio, at value (identified cost of $9,242,677) (Note 1A) $ 9,626,300 Receivable from investment adviser...... 32,168 Receivable for fund shares sold......... 1,394 ------------ Total assets.......................... $ 9,659,862 ------------ LIABILITIES: Distributions payable................... $ 13,831 Payable for fund shares reacquired...... 3,262 Accrued expenses and other liabilities.. 580 ------------ Total liabilities..................... $ 17,673 ------------ NET ASSETS................................ $ 9,642,189 ============ NET ASSETS CONSIST OF: Proceeds from sales of shares (including the market value of securities received in exchange for fund shares and shares issued to shareholders in payment of distributions declared), less cost of shares reacquired................... $ 9,303,045 Accumulated net realized loss on investments (computed on the basis of identified cost) (23,437) Unrealized appreciation on investments (computed on the basis of identified cost) 383,623 Distribution in excess of net investment income................................. (21,042) ------------ Net assets applicable to outstanding shares................................ $ 9,642,189 ============ SHARES OF BENEFICIAL INTEREST OUTSTANDING............................ 705,397 ============ NET ASSET VALUE, OFFERING PRICE, AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST................. $ 13.67 ============ See notes to financial statements STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1B): Interest income allocated from portfolio $ 269,265 Expenses allocated from portfolio...... (39,783) ------------ Investment income..................... $ 229,482 ------------ Expenses - Administration fee (Note 3)............ $ 981 Compensation of Trustees not employees of the investment adviser or administrator 2,220 Custodian fee (Note 1C)................ 7,499 Distribution expenses (Note 4)......... 12,259 Transfer and dividend disbursing agent fees 3,804 Printing............................... 2,629 Audit services......................... 11,320 Legal services......................... 1,077 Registration costs..................... 8,132 Miscellaneous.......................... 1,307 ------------ Total expenses........................ $ 51,228 ------------ Deduct - Preliminary reduction of distribution expenses by principal underwriter (Note 4)........ $ (12,259) Preliminary allocation of expenses to investment adviser (Note 3)........... (32,168) ------------ Total deductions...................... $ (44,427) ------------ Net expenses.......................... $ 6,801 ------------ Net investment income............... $ 222,681 ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on investment transactions from portfolio (identified cost basis). $ 342,410 Net change in unrealized appreciation of investments......................... (296,698) ------------ Net realized and unrealized gain of investments........................... $ 45,712 ------------ Net increase in net assets from operations $ 268,393 ============ See notes to financial statements
WRIGHT MANAGED INCOME TRUST - ---------------------------------------------------------------------------------------------------------------------------- Wright U.S. Government Intermediate Fund (WUSGI) Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2002 Dec. 31, 2001 - ----------------------------------------------------------------------------------------------------------------------------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: From operations - Net investment income...................................................... $ 222,681 $ 625,271 Net realized gain on investment transactions............................... 342,410 170,578 Change in unrealized appreciation on investments........................... (296,698) (242,781) ------------ ------------ Net increase in net assets resulting from operations..................... $ 268,393 $ 553,068 ------------ ------------ Distributions to shareholders (Note 2) - From net investment income................................................. $ (242,766) $ (674,365) From net realized gain..................................................... -- (56,599) ------------ ------------ Total distributions...................................................... $ (242,766) $ (730,964) ------------ ------------ Net decrease in net assets from fund share transactions (Note 5)............. $ (552,491) $ (6,150,565) ------------ ------------ Net decrease in net assets............................................... $ (526,864) $ (6,328,461) NET ASSETS: At beginning of period....................................................... 10,169,053 16,497,514 ------------ ------------ At end of period............................................................. $ 9,642,189 $ 10,169,053 ============= ============= DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF PERIOD............................................... $ (21,042) $ (957) ============= ============= See notes to financial statements
WRIGHT MANAGED INCOME TRUST - ------------------------------------------------------------------------------- WRIGHT TOTAL RETURN BOND FUND (WTRB)+ STATEMENT OF ASSETS AND LIABILITIES June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- ASSETS: Investments - Identified cost....................... $45,100,133 Unrealized appreciation............... 1,451,110 ------------ Total investments, at value (Note 1A)... $46,551,243 Cash.................................... 194 Receivable for investments sold......... 1,713,135 Receivable for fund shares issued....... 13,944 Receivable from investment adviser...... 15,820 Interest receivable..................... 621,802 Other assets............................ 381 ------------ Total assets.......................... $48,916,519 ------------ LIABILITIES: Distributions payable................... $ 39,310 Notes payable........................... 1,075,000 Payable for investments purchased....... 600,847 Payable for fund shares reacquired...... 15,722 Accrued expenses and other liabilities.. 14,874 ------------ Total liabilities..................... $ 1,745,753 ------------ NET ASSETS................................ $47,170,766 =========== NET ASSETS CONSIST OF: Proceeds from sales of shares (including the market value of securities received in exchange for fund shares and shares issued to shareholders in payment of distributions declared), less cost of shares reacquired................... $49,635,935 Accumulated net realized loss on investments (computed on the basis of identified cost) (3,884,392) Unrealized appreciation on investments (computed on the basis of identified cost) 1,451,110 Distributions in excess of net investment income................................. (31,887) ------------ Net assets applicable to outstanding shares................................ $47,170,766 ============== SHARES OF BENEFICIAL INTEREST OUTSTANDING............................. 3,766,215 ============== NET ASSET VALUE, OFFERING PRICE, AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST..................... $ 12.52 ============== + The Wright Total Return Bond Fund does not invest in a corresponding master portfolio. See notes to financial statements STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1B): Interest income........................ $ 1,520,277 ------------ Expenses - Investment adviser fee (Note 3)........ $ 110,938 Administrator fee (Note 3)............. 17,257 Compensation of Trustees not employees of the investment adviser or administrator 2,220 Custodian fee (Note 1C)................ 20,180 Distribution expenses (Note 4)......... 61,632 Transfer and dividend disbursing agent fees 11,225 Printing............................... 2,783 Interest expense....................... 3,274 Audit services......................... 30,490 Legal services......................... 2,400 Registration costs..................... 11,237 Miscellaneous.......................... 4,910 ------------ Total expenses........................ $ 278,546 ------------ Deduct - Preliminary reduction of custodian fee (Note 1C)......................... $ (3,418) Preliminary allocation of expenses to investment adviser.................... (15,820) Preliminary reduction of distribution expenses by principal underwriter (Note 4) (25,380) ------------ Total deductions...................... $ (44,618) ------------ Net expenses.......................... $ 233,928 ------------ Net investment income............... $ 1,286,349 ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized loss on investment transactions (identified cost basis)................ $ (168,549) Net change in unrealized appreciation of investments......................... 80,789 ------------ Net realized and unrealized loss of investments........................... $ (87,760) ------------ Net increase in net assets from operations $ 1,198,589 ============ See notes to financial statements
WRIGHT MANAGED INCOME TRUST - ------------------------------------------------------------------------------------------------------------------------------ Wright Total Return Bond Fund (WTRB) Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2002 Dec. 31, 2001 - ------------------------------------------------------------------------------------------------------------------------------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: From operations - Net investment income...................................................... $ 1,286,349 $ 3,184,961 Net realized loss on investment transactions............................... (168,549) (496,921) Change in unrealized appreciation of investments........................... 80,789 321,944 ------------ ------------ Net increase in net assets resulting from operations..................... $ 1,198,589 $ 3,009,984 ------------ ------------ Distributions to shareholders (Note 2) From net investment income................................................. $ (1,309,421) $ (3,220,354) ------------ ------------ Net decrease in net assets from fund share transactions (Note 5)............. $ (3,338,884) $(14,943,795) ------------ ------------ Net decrease in net assets............................................... $ (3,449,716) $(15,154,165) NET ASSETS: At beginning of year......................................................... 50,620,482 65,774,647 ------------ ------------ At end of year............................................................... $ 47,170,766 $ 50,620,482 ============= ============= DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF YEAR........................................ $ (31,887) $ (8,815) ============= ============= See notes to financial statements
WRIGHT MANAGED INCOME TRUST - ------------------------------------------------------------------------------- WRIGHT CURRENT INCOME FUND (WCIF) STATEMENT OF ASSETS AND LIABILITIES June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- ASSETS: Investments - Investment in portfolio, at value (identified cost of $72,810,698) (Note 1A)...... $75,143,730 Receivable from investment adviser.... 31,929 Receivable for fund shares issued..... 164,966 Prepaid assets........................ 11,912 ------------ Total assets.......................... $75,352,537 ------------ LIABILITIES: Payables for fund shares reacquired..... $ 5,621 Distributions payable................... 134,190 Accrued expenses and other liabillities. 9,373 ------------ Total liabilities..................... $ 149,184 ------------ NET ASSETS................................ $75,203,353 ============ NET ASSETS CONSIST OF: Proceeds from sales of shares (including the market value of securities received in exchange for fund shares and shares issued to shareholders in payment of distributions declared), less cost of shares reacquired................... $74,939,135 Accumulated net realized loss on investments (computed on the basis of identified cost) (1,721,861) Unrealized appreciation on investments (computed on the basis of identified cost) 2,333,032 Distributions in excess of net investment income................................. (346,953) ------------ Net assets applicable to outstanding shares................................ $75,203,353 ============ Computation of net asset value, offering and redemption price per share: Standard Shares: --------------- Net assets............................. $57,707,723 ============ Shares of beneficial interest outstanding 5,399,894 ============ Net asset value, offering price, and redemption price per share of beneficial interest................... $ 10.69 ============ Institutional Shares: -------------------- Net assets............................. $17,495,630 ============ SHARES OF BENEFICIAL INTEREST OUTSTANDING 1,720,956 ============ NET ASSET VALUE, OFFERING PRICE, AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST................... $ 10.17 ============ See notes to financial statements STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1B): Interest income allocated from portfolio $ 2,352,776 Expenses allocated from portfolio...... (239,094) ------------ Investment income..................... $ 2,113,682 ------------ Expenses - Administrator fee (Note 3)............. $ 7,292 Compensation of Trustees not employees of the investment adviser or administrator 2,220 Custodian fee - Standard shares (Note 1C)........... 5,018 - Institutional shares (Note 1C)...... 4,989 Distribution expenses - Standard shares (Note 4)............ 68,898 Transfer and dividend disbursing agent fees - Standard shares..................... 9,335 - Institutional shares................ 2,393 Printing............................... 2,110 Audit services......................... 10,920 Legal services......................... 3,357 Registration costs - Standard shares..................... 8,553 - Institutional shares................ 7,368 Miscellaneous.......................... 1,575 ------------ Total expenses........................ $ 134,028 ------------ Deduct - Preliminary allocation of expenses to investment adviser - Standard shares................... $ (14,278) - Institutional shares.............. (17,651) Preliminary reduction of distribution expenses by principal underwriter - Standard shares................... (17,330) ------------ Total deductions...................... $ (49,259) ------------ Net expenses.......................... $ 84,769 ------------ Net investment income............... $ 2,028,913 ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized loss on investment transactions from portfolio (identified cost basis). $ (67,687) Change in unrealized appreciation on investments......................... 818,306 ------------ Net realized and unrealized gain on investments........................ 750,619 ------------ Net increase in net assets from operation............................ $ 2,779,532 ============ See notes to financial statements
WRIGHT MANAGED INCOME TRUST - -------------------------------------------------------------------------------------------------------------------------------- WRIGHT CURRENT INCOME FUND (WCIF) Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2002 Dec. 31, 2001 - ---------------------------------------------------------------------------------------------------------------------------------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: From operations - Net investment income...................................................... $ 2,028,913 $ 4,876,495 Net realized loss on investment transactions from portfolio................ (67,687) (177,947) Change in unrealized appreciation on investments........................... 818,306 1,195,719 ------------ ------------ Net increase in net assets resulting from operations..................... $ 2,779,532 $ 5,894,267 ------------ ------------ Distributions to shareholders (Note 2) - From net investment income Standard shares............................................................ $ (512,110) $ (3,460,160) Institutional shares....................................................... (1,516,803) (1,415,785) ------------ ------------ Total distributions...................................................... $ (2,028,913) $ (4,875,945) ------------ ------------ Net increase (decrease) in net assets - From Fund share transactions (Note 5) Standard shares............................................................ $ 2,167,927 $(13,755,466) Institutional shares....................................................... (1,242,929) (7,445,173) ------------ ------------ Net increase (decrease) in net assets from fund share transactions....... $ 924,998 $(21,200,639) ------------ ------------ Net increase (decrease) in net assets.................................... $ 1,675,617 $(20,182,317) NET ASSETS: At beginning of period....................................................... 73,527,736 93,710,053 ------------ ------------ At end of period............................................................. $ 75,203,353 $ 73,527,736 ============= ============= DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF PERIOD............................................... $ (346,953) $ (346,953) ============= ============= See notes to financial statements
WRIGHT MANAGED INCOME TRUST - ----------------------------------------------------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS Year Ended December 31, ---------------------------------------------------------------------------- Wright U.S. Treasury Money Market Fund 2002(5) 2001 2000 1999 1998 1997 - ----------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period........... $ 1.0000 $1.0000 $1.0000 $1.0000 $1.0000 $1.0000 Income from investment operations: Net investment income(1) ................. 0.0090 0.0359 0.0530 0.0420 0.0460 0.0474 Net realized gain on investments sold....... -- 0.0004 -- -- -- -- -------- -------- -------- -------- -------- -------- Total income from investment operations..... 0.0090 0.0363 0.0530 0.0420 0.0460 0.0474 Less distributions: Dividends from net Investment income........ (0.0090) (0.0359) (0.0530) (0.0420) (0.0460) (0.0474) Dividends from net realized gain............ -- (0.0004) -- -- -- -- -------- -------- -------- -------- -------- -------- Total distributions......................... (0.0090) (0.0363) (0.0530) (0.0420) (0.0460) (0.0474) -------- -------- -------- -------- -------- -------- Net asset value, end of period................. $ 1.0000 $1.0000 $1.0000 $1.0000 $1.0000 $1.0000 ========= ========= ========= ========= ========= ========= Total return(2) ............................... 0.90%(7) 3.70% 5.44% 4.29% 4.73% 4.84% Ratios/Supplemental Data(1): Net assets, end of period (000 omitted)..... $17,911 $ 18,523 $43,608 $62,527 $91,323 $87,059 Ratio of total expenses to average net assets 0.45%(6) 0.47% 0.46% 0.45% 0.45% 0.45% Ratio of net expenses after custodian fee reduction to average net assets(3)(4) .... 0.45%(6) 0.45% 0.45% 0.45% 0.45% 0.45% Ratio of net investment income to average net asset.................................. 1.43%(6) 3.93% 5.33% 4.19% 4.61% 4.74% - ---------------------------------------------------------------------------------------------------------------------------------- (1)During each of the above periods, the investment adviser voluntarily reduced its fee and in certain periods was allocated a portion of the operating expenses. Had such actions not been undertaken, net investment income per share and the ratios would have been as follows: Net investment income per share................ $ 0.0027 $0.0330 $0.0505 $0.0402 $0.0444 $0.0460 ========== ========== ========== ========== ========== ========== Ratios (as a percentage of average daily net assets): Expenses.................................... 1.45%(6) 0.88% 0.71% 0.63% 0.61% 0.59% ========== ========== ========== ========== ========== ========== Expenses after custodian fee reduction(3) .. 1.45%(6) 0.86% 0.70% 0.63% 0.61% 0.59% ========== ========== ========== ========== ========== ========== Net investment income ...................... 0.43%(6) 3.52% 5.08% 4.01% 4.45% 4.60% ========== ========== ========== ========== ========== ========== - -------------------------------------------------------------------------------------------------------------------------------- (2)Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be reinvested at the net asset value on the reinvestment date. (3)Custodian fees were reduced by credits resulting from cash balances the fund maintained with the custodian (Note 1C). The computation of net expenses to average daily net assets reported above is computed without consideration of such credits. (4)Under a written agreement in effect for the current fiscal year, Wright waives advisory fees and/or assumes operating expenses to the extent necessary to limit the expense ratio to 0.45%. (5) For the six months ended June 30, 2002 (unaudited). (6) Annualized. (7) Not annualized. See notes to financial statements
WRIGHT MANAGED INCOME TRUST - ----------------------------------------------------------------------------------------------------------------------------- Financial Highlights Year Ended December 31, --------------------------------------------------------------------------- Wright U.S. Government Near Term Fund 2002(9) 2001 2000 1999 1998 1997 - ----------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period........ $ 10.290 $ 10.080 $ 9.930 $ 10.270 $ 10.240 $ 10.240 -------- -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income(1) ............... $ 0.175 $ 0.480(8) $ 0.525 $ 0.534 $ 0.549 $ 0.599 Net realized and unrealized gain (loss).. 0.070 0.195(8) 0.143 (0.343) 0.048+ (0.010) -------- -------- -------- -------- -------- -------- Total income from investment operations $ 0.245 $ 0.675 $ 0.668 $ 0.191 $ 0.597 $ 0.589 -------- -------- -------- -------- -------- -------- Less distributions: Dividends from investment income....... $ (0.185) $ (0.465) $ (0.518) $ (0.531) $ (0.567) $ (0.589) -------- -------- -------- -------- -------- -------- Total distributions.................... $ (0.185) $ (0.465) $ (0.518) $ (0.531) $ (0.567) $ (0.589) -------- -------- -------- -------- -------- -------- Net asset value, end of period.............. $ 10.350 $ 10.290 $ 10.080 $ 9.930 $ 10.270 $ 10.240 ========= ========= ========= ========= ========= ======== Total return(2) ............................ 2.41% 6.82% 6.94% 1.91% 5.98% 5.93% Ratios/Supplemental Data(1): Net assets, end of period (000 omitted).. $ 35,075 $ 36,025 $ 39,198 $ 52,825 $ 91,922 $102,565 Ratio of total expenses to average net assets(4)........................... 0.97%(10) 0.97% 0.98% 0.91% 0.88% 0.87% Ratio of expenses after custodian fee reduction to average net assets(4)(5) 0.95%(7)(10) 0.95%(7) 0.95%(7) 0.90% 0.87% 0.87% Ratio of net investment income to average net assets............................ 3.44%(10) 4.40% 5.27% 5.27% 5.38% 5.82% Portfolio turnover rate ................ 26%(6) 92%(6) 65%(6) 0%(6) 10%(6) 4%(3) - ------------------------------------------------------------------------------------------------------------------------------- (1)For certain periods presented, the operating expenses of the fund were reduced by an allocation of expenses to the investment adviser, a reduction in distribution fees by the principal underwriter, a reduction in administrator fees, or a combination thereof. Had such action not been undertaken, net investment income per share and the ratios would have been as follows: 2002(9) 2001 2000 1999 1998 1997 --------- --------- --------- --------- --------- ---------- Net investment income per share........ $ 0.157 $ 0.452 $ 0.511 $ 0.526 $ 0.546 $ 0.597 ========= ========= ========= ========= ========= ========= Ratios (As a percentage of average net assets): Expenses(4) ......................... 1.33%(10) 1.22% 1.13% 0.99% 0.91% 0.89% ========= ========= ========= ========= ========= ========= Expenses after custodian fee reduction(4)(5) 1.31%(10) 1.20% 1.10% 0.98% 0.90% 0.89% ========= ========= ========= ========= ========= ========= Net investment income................ 3.08%(10) 4.15% 5.13% 5.19% 5.35% 5.80% ========= ========= ========= ========= ========= ========= - ---------------------------------------------------------------------------------------------------------------------------- (2)Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each year reported. Dividends and distributions, if any, are assumed to be reinvested at the net asset value on the reinvestment date. (3)Portfolio turnover represents the rate of portfolio activity for the period while the fund was making investments directly in securities. (4)Includes each fund's share of its corresponding portfolio's allocated expenses. (5)Custodian fees were reduced by credits resulting from cash balances the fund and the portfolio maintained with the custodian (Note 1C). The computation of net expenses to average daily net assets reported above is computed without consideration of such credits. (6)Represents portfolio turnover rate of the fund's corresponding portfolio. (7)Under a written agreement, Wright waives all or a portion of either its advisory and/or distribution fees and assumes operating expenses to the extent necessary to limit expense ratios to 0.95%. (8)Reporting guidelines require the funds to disclose the effects of implementing the change in accounting for amortization of premium and discount on debt securities. If adjustments were not made, net investment income per share would have been $0.491 and net realized and unrealized gain (loss) per share would have been $0.184. (9)For the six months ended June 30, 2002 (unaudited). (10)Annualized. + Per share amount is not in accordance with the net realized and unrealized gain (loss) for the period because of the timing of sales of Fund shares and the amounts per share of realized and unrealized gains and losses at such times. See notes to financial statements
WRIGHT MANAGED INCOME TRUST - ---------------------------------------------------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS Year Ended December 31, --------------------------------------------------------------------------- Wright U.S. Government Intermediate Fund 2002(9) 2001 2000 1999 1998 1997 - ----------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period........ $ 13.630 $ 13.750 $ 12.890 $ 14.400 $ 13.950 $ 13.580 -------- -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income(1) ................ $ 0.304 $ 0.651(8) $ 0.737 $ 0.722 $ 0.724 $ 0.721 Net realized and unrealized gain (loss).. (0.069) 0.006(8) 0.842 (1.282) 0.632 0.462 -------- -------- -------- -------- -------- -------- Total income (loss) from investment operations............. $ 0.373 $ 0.657 $ 1.579 $ (0.560) $ 1.356 $ 1.183 -------- -------- -------- -------- -------- -------- Less distributions: Dividends from investment income......... $ (0.333) $ (0.701) $ (0.719) $ (0.716) $ (0.741) $ (0.703) Distributions from capital gains......... -- (0.076) -- (0.234) (0.165) (0.110) -------- -------- -------- -------- -------- -------- Total distributions.................... $ (0.333) $ (0.777) $ (0.719) $ (0.950) $ (0.906) $ (0.813) -------- -------- -------- -------- -------- -------- Net asset value, end of period.............. $ 13.670 $ 13.630 $ 13.750 $ 12.890 $ 14.400 $ 13.950 ========= ========= ========= ========= ========= ========= Total return(2) ............................ 2.78% 5.40% 12.61% (3.97%) 9.95% 9.08% Ratios/Supplemental Data(1): Net assets, end of period (000 omitted).. $ 9,642 $ 10,169 $ 16,498 $ 31,192 $ 67,256 $ 74,158 Ratio of net expenses to average net assets(4)......................... 0.97%(10) 1.02% 0.97% 0.92% 0.94% 1.01% Ratio of net expenses after custodian fee reduction to average net assets(4)(5) 0.95%(7)(10) 0.95%(7) 0.95%(7) 0.90% 0.90% 0.87% Ratio of net investment income to average net assets............... 4.54%(10) 5.11% 5.55% 5.26% 5.09% 5.34% Portfolio turnover rate ................ 77%(6) 27%(6) 74%(6) 0%(6) 7%(6) 1%(3) - --------------------------------------------------------------------------------------------------------------------------------- (1)For each of the periods presented, the operating expenses of the fund were reduced by an allocation of expenses to the investment adviser, a reduction in distribution fees by the distributor, a reduction in administrator fees, or a combination thereof. Had such action not been undertaken, the net investment income per share and the ratios would have been as follows: 2002(9) 2001 2000 1999 1998 1997 --------- --------- --------- --------- --------- ---------- Net investment income per share............. $ 0.214 $ 0.547 $ 0.700 $ 0.703 $ 0.721 $ 0.720 ========= ========= ========= ========= ========= ========= Ratios (as a percentage of average net assets): Expenses(4) ............................. 2.33%(10) 1.84% 1.26% 1.06% 0.96% 1.02% ========= ========= ========= ========= ========= ========= Expenses after custodian fee reduction(4)(5) 2.31%(10) 1.77% 1.24% 1.04% 0.92% 0.88% ========= ========= ========= ========= ========= ========= Net investment income.................... 3.19%(10) 4.29% 5.27% 5.12% 5.07% 5.33% ========= ========= ========= ========= ========= ========= - --------------------------------------------------------------------------------------------------------------------------------- (2)Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each year reported. Dividends and distributions, if any, are assumed to be reinvested at the net asset value on the reinvestment date. (3)Portfolio turnover represents the rate of portfolio activity for the period while the fund was making investments directly in securities. (4)Includes each fund's share of its corresponding portfolio's allocated expenses. (5)Custodian fees were reduced by credits resulting from cash balances the fund and the portfolio maintained with the custodian (Note 1C). The computation of net expenses to average daily net assets reported above is computed without consideration of such credits. (6)Represents portfolio turnover rate at the fund's corresponding portfolio. (7)Under a written agreement, Wright waives all or a portion of either its advisory and/or distribution fees and assumes operating expenses to the extent necessary to limit expense ratios to 0.95%. (8)Reporting guidelines require the fund to disclose the effects of implementing the change in accounting for the amortization of premium and discount on debt securities. If the adjustments were not made, net investment income per share would have been $0.713 and net realized and unrealized gain (loss) per share would have been $(0.056). (9)For the six months ended June 30, 2002 (unaudited). (10)nnualized. See notes to financial statements
WRIGHT MANAGED INCOME TRUST - --------------------------------------------------------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS Year Ended December 31, ---------------------------------------------------------------------------------- Wright Total Return Bond Fund 2002(6) 2001 2000 1999 1998 1997 - ---------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period........ $ 12.550 $ 12.630 $ 12.100 $ 13.310 $ 12.930 $ 12.500 -------- -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income(1) ................ $ 0.322 $ 0.709 (4) $ 0.712 $ 0.679 $ 0.680 $ 0.690 Net realized and unrealized gain (loss).. (0.024) (0.090)(4) 0.530 (1.190) 0.524 0.427 -------- -------- -------- -------- -------- -------- Total income(loss)from investment operations............................ $ 0.298 $ 0.619 $ 1.242 $ (0.511) $ 1.204 $ 1.117 ------- -------- -------- -------- -------- -------- Less distributions: Dividends from investment income......... $ (0.328) $ (0.699) $ (0.712) $ (0.680) $ (0.690) $ (0.687) Distributions from capital gains......... -- - - (0.019) (0.134) - -------- -------- -------- -------- -------- -------- Total distributions.................... $ (0.328) $ (0.699) $ (0.712) $ (0.699) $ (0.824) $ (0.687) -------- -------- -------- -------- -------- -------- Net asset value, end of period.............. $ 12.520 $ 12.550 $ 12.630 $ 12.100 $ 13.310 $ 12.930 ========= ========= ========= ========= ========= ========= Total return(2) ............................ 2.50% 4.96% 10.62% (3.91%) 9.56% 9.25% Ratios/Supplemental Data(1): Net assets, end of period (000 omitted).. $ 47,171 $ 50,620 $ 65,775 $ 87,336 $ 115,937 $ 80,004 Ratio of total expenses to average net assets 0.96%(7) 0.96% 0.96% 0.90% 0.90% 0.90% Ratio of net expenses after custodian fee reduction to average net assets(3) .... 0.95%(5)(7) 0.95%(5) 0.95%(5) 0.90% 0.90% 0.90% Ratio of net investment income to average net assets............................ 5.22%(7) 5.44% 5.84% 5.36% 5.18% 5.50% Portfolio turnover rate.................. 46% 38% 61% 31% 26% 34% - --------------------------------------------------------------------------------------------------------------------------------- (1)For the six months ended June 30, 2002 and for the years ended December 31, 2001 and 1999, the operating expenses of the fund were reduced by an allocation of expenses to the investment adviser, or a reduction in distribution expenses by the distributor. Had such action not been undertaken, net investment income per share and the ratios would have been as follows: 2002 2001 1999 --------- --------- ------- Net investment income per share.......... $ 0.312 $ 0.701 $ 0.678 ========== ========== ========== Ratios (As a percentage of average net assets): Expenses............................... 1.13%(7) 1.02% 0.91% ========== ========== ========== Expenses after custodian fee reduction(3) 1.12%(7) 1.01% 0.91% ========== ========== ========== Net investment income.................. 5.05%(7) 6.38% 5.35% ========== ========== ========== - -------------------------------------------------------------------------------------------------------------------------------- (2)Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each year reported. Dividends and distributions, if any, are assumed to be reinvested at the net asset value on the reinvestment date. (3)Custodian fees were reduced by credits resulting from cash balances the fund maintained with the custodian (Note 1C). The computation of net expenses to average daily net assets reported above is computed without consideration of such credits. (4)Reporting guidelines require the funds to disclose the effects of implementing the change in accounting for amortization of premium and discount on debt securities. If adjustments were not made, net investment income per share would have been $0.716 and net realized and unrealized gain (loss) per share would have been $(0.097). (5)Under a written agreement, Wright waives all or a portion of either its advisory and/or distribution fees and assumes operating expenses to the extent necessary to limit expense ratios to 0.95%. (6)For the six months ended June 30, 2002 (unaudited). (7)Annualized. See notes to financial statements
WRIGHT MANAGED INCOME TRUST - ---------------------------------------------------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS Year Ended December 31, --------------------------------------------------------------------------- Wright Current Income Fund 2002(8) 2001(5) 2000(5) 1999(5) 1998 1997 - --------------------------------------------------------------------------------------------------------------------------- Standard Shares - --------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period........ $ 10.580 $ 10.460 $ 10.090 $ 10.660 $ 10.630 $ 10.430 -------- -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income(1) ............... $ 0.290 $ 0.616 $ 0.631 $ 0.620 $ 0.646 $ 0.658 Net realized and unrealized gain (loss).. 0.108 0.120 0.372 (0.570) 0.028 0.206 -------- -------- -------- -------- -------- -------- Total income from investment operations............. $ 0.398 $ 0.736 $ 1.003 $ 0.050 $ 0.674 $ 0.864 -------- -------- -------- -------- -------- -------- Less distributions: Dividends from net investment income..... $ (0.288) $ (0.616) $ (0.633) $ (0.620) $ (0.644) $ (0.664) -------- -------- -------- -------- -------- -------- Total distributions.................. $ (0.288) $ (0.616) $ (0.633) $ (0.620) $ (0.644) $ (0.664) -------- -------- -------- -------- -------- -------- Net asset value, end of period ............. $ 10.690 $ 10.580 $ 10.460 $ 10.090 $ 10.660 $ 10.630 ========= ========= ========= ========= ========= ========= Total return(2) ............................ 3.82% 7.18% 10.31% 0.52% 6.51% 8.56% Ratios/Supplemental Data(1): Net assets, end of period (000 omitted).. $ 57,708 $ 54,966 $ 68,015 $ 76,452 $ 90,262 $76,217 Ratio of net expenses to average net assets(4) 0.97%(9) 0.95%(7) 0.95%(7) 0.91% 0.90% 0.89% Ratio of net expenses after custodian fee reduction to average net assets(7)(10) 0.95%(9) -- -- -- -- -- Ratio of net investment income to average net assets................. 5.50%(9) 5.83% 6.22% 6.02% 6.03% 6.44% Portfolio turnover rate ................. 12%(6) 4%(6) 6%(6) 0%(6) 1%(6) 3%(3) - --------------------------------------------------------------------------------------------------------------------------------- (1)For the six months ended June 30, 2002 and for the years ended December 31, 2001, 2000, 1999, 1998 and 1997, the operating expenses of the fund were reduced by an allocation of expenses to the investment adviser or a reduction in distribution expense by the distributor. Had such action not been undertaken, net investment income per share and the ratios would have been as follows: 2002(8) 2001 2000 1999 1998 1997 --------- --------- -------- -------- ----------- --------- Net investment income per share........ $ 0.284 $ 0.609 $ 0.629 $ 0.615 $ 0.644 $ 0.652 ========= ========= ========= ========= ========= ========= Ratios (As a percentage of average net assets): Expenses(4) ......................... 1.08%(9) 1.02%(4) 0.97%(4) 0.96%(4) 0.92%(4) 0.95%(4) ========= ========= ========= ========= ========= ========= Expenses after custodian fee reduction(4)(10)................... 1.06%(9) -- -- -- -- -- ========= ========= ========= ========= ========= ========= Net investment income................ 5.39%(9) 5.76% 6.20% 5.97% 6.01% 6.38% ========= ========= ========= ========= ========= ========= - ------------------------------------------------------------------------------------------------------------------------------ (2)Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be reinvested at the net asset value on the reinvestment date. (3)Portfolio turnover represents the rate of portfolio activity for the period while the fund was making investments directly in securities. (4)Includes each fund's share of its corresponding portfolio's allocated expenses. (5)Certain of the per share data are based on average shares outstanding. (6)Represents portfolio turnover rate at the fund's corresponding portfolio. (7)Under a written agreement in effect for the current fiscal year, Wright waives all or a portion of either its advisory and/or distribution fees and assumes operating expenses to the extent necessary to limit expense ratios to 0.95%. (8)For the six months ended June 30, 2002 (unaudited). (9)Annualized. (10) Custodian fees were reduced by credits resulting from cash balances the fund and the portfolio maintained with the custodian (Note 1C). The computation of net expenses to average daily net assets reported above is computed without consideration of such credits. See notes to financial statements
WRIGHT MANAGED INCOME TRUST - --------------------------------------------------------------------------------------------------------------------------- Financial Highlights Year Ended December 31, --------------------------------------------------------------------------- Wright Current Income Fund - continued 2002(10) 2001(5) 2000(5) 1999(5) 1998 1997(4) - ---------------------------------------------------------------------------------------------------------------------------- Institutional Shares - ---------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period........ $ 10.060 $ 9.960 $ 9.600 $ 10.150 $ 10.120 $ 10.000 -------- -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income .................. $ 0.288 $ 0.622 $ 0.625 $ 0.620 $ 0.619 $ 0.313 Net realized and unrealized gain (loss).. 0.112 0.094 0.359 (0.560) 0.026 0.120 -------- -------- -------- -------- -------- -------- Total income from investment operations............. $ 0.400 $ 0.716 $ 0.984 $ 0.060 $ 0.645 $ 0.433 -------- -------- -------- -------- -------- -------- Less distributions: Dividends from investment income......... $ (0.290) $ (0.616) $ (0.624) $ (0.610) $ (0.615) $ (0.313) -------- -------- -------- -------- -------- -------- Total distributions.................. $ (0.290) $ (0.616) $ (0.624) $ (0.610) $ (0.615) $ (0.313) -------- -------- -------- -------- -------- -------- Net asset value, end of period.............. $ 10.170 $ 10.060 $ 9.960 $ 9.600 $ 10.150 $ 10.120 ========= ========= ========= ========= ========= ========= Total return(9) ............................ 4.01% 7.34% 10.63% 0.60% 6.56% 4.40% Ratios/Supplemental Data:(1) Net assets, end of period (000 omitted).. $ 17,496 $ 18,562 $ 25,695 $ 23,374 $ 23,231 $ 21,801 Ratio of net expenses to average net assets(2) 0.72%(3)(11) 0.70%(8) 0.70%(8) 0.70% 0.75% 0.48%(3) Ratio of net expenses after custodian fee reduction to average net assets(8)(11) 0.70%(3) -- -- -- -- -- Ratio of net investment income to average net assets................. 5.76%(3) 6.11% 6.46% 6.23% 6.11% 4.70%(3) Portfolio turnover rate ................. 12%(6) 4%(6) 6%(6) 0%(6) 1%(6) 3%(7) - ----------------------------------------------------------------------------------------------------------------------------- (1)For the years ended December 31, 2001 and 2000, the operating expenses of the fund were reduced by an allocation of expenses to the investment advisor or a reduction by the principal underwriter. Had such action not been undertaken, net investment income per share and the ratios would have been as follows: 2002(10) 2001 2000 --------- --------- --------- Net investment income per share.......... $ 0.278 $ 0.603 $ 0.619 ======== ========== ========== Ratios (As a percentage of average net assets): Expenses(2) ........................... 0.92%(3) 0.82% 0.76% ========== ========== ========== Expenses after custodian fee reduction(3)(11) 0.90%(3) -- -- ========= ========= ========= Net investment income.................. 5.56%(3) 5.99% 6.40% ========== ========== ========== - -------------------------------------------------------------------------------------------------------------------- (2)Includes each fund's share of its corresponding portfolio's allocated expenses. (3)Annualized. (4)For the period from July 7, 1997 (inception of offering of institutional shares) to December 31, 1997. (5)Certain of the per share data are based on average shares outstanding. (6)Represents portfolio turnover rate at the fund's corresponding portfolio. (7)Portfolio turnover represents the rate of portfolio activity for the period while the fund was making investments directly in securities. (8)Under a written agreement in effect for the current fiscal year, Wright waives all or a portion of either its advisory and/or distribution fees and assumes operating expenses to the extent necessary to limit expense ratios to 0.70%. (9)Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be reinvested at the net asset value on the reinvestment date. (10)For the six months ended June 30, 2002 (unaudited). (11)Custodian fees were reduced by credits resulting from cash balances the fund and the portfolio maintained with the custodian (Note 1C). The computation of net expenses to average daily net assets reported above is computed without consideration of such credits. See notes to financial statements
WRIGHT MANAGED INCOME TRUST - ------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (unaudited) (1) SIGNIFICANT ACCOUNTING POLICIES The Wright Managed Income Trust (the Trust), issuer of Wright U.S. Treasury Money Market Fund (WTMM) series, Wright U.S. Government Near Term Fund (WNTB) series, Wright U.S. Government Intermediate Fund (WUSGI) series, Wright Total Return Bond Fund (WTRB) series, and Wright Current Income Fund (WCIF) series (collectively, the Funds), is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end, management investment company. WNTB, WUSGI, and WCIF invest all of their investable assets in interests in a separate corresponding open-end management investment company (a Portfolio), a New York Trust, having the same investment objective as its corresponding fund. WNTB invests its assets in the Near Term Portfolio, WUSGI invests its assets in the U.S. Government Intermediate Portfolio, and WCIF invests its assets in the Current Income Portfolio. The value of each fund's investment in its corresponding Portfolio reflects the fund's proportionate interest in the net assets of that Portfolio (99.99%, 88.25%, and 99.99% at June 30, 2002 for WNTB, WUSGI, and WCIF, respectively). The performance of each fund is directly affected by the performance of its corresponding Portfolio. The financial statements of each Portfolio, including the portfolio of investments, are included elsewhere in this report and should be read in conjunction with each fund's financial statements. The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America. A. Investment Valuations - For WTRB investments for which market quotations are readily available are valued at current market value as furnished by a pricing service. Investments for which valuations are not readily available will be appraised at their fair value as determined in good faith by or at the direction of the Trustees. Short-term obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. WTMM's money market instruments are valued at amortized cost, which the Trustees have determined in good faith constitutes market value. WTMM's use of amortized cost is subject to the fund's compliance with certain conditions as specified under Rule 2a-7 of the Investment Company Act of 1940. Valuation of securities by WNTB, WUSGI, and WCIF are discussed in Note 1A of the Portfolios' Notes to Financial Statements which are included elsewhere in this report. B. Interest Income - For WTMM and WTRB, interest income consists of interest accrued and discount earned (including both original issue and market discount) and amortization of premium or discount on long-term debt securities when required for federal income tax purposes. The income is accrued ratably to the date of maturity on the investments of the funds. The net investment income of WNTB, WUSGI, and WCIF consists of the fund's pro rata share of the net investment income of its corresponding Portfolio, less all actual and accrued expenses of each fund determined in accordance with accounting principles generally accepted in the United States of America. C. Expense Reduction - The funds have entered into an arrangement with their custodian agent whereby interest earned on uninvested cash balances is used to offset custodian fees. All significant reductions are reported as a preliminary reduction of total expenses in the Statement of Operations. D. Federal Taxes - The Trust's policy is to comply with the provisions of the Internal Revenue Code (the Code) available to regulated investment companies and to distribute to shareholders each year all of its taxable income, including any net realized gain on investments. Accordingly, no provision for federal income or excise tax is necessary. At December 31, 2001, the Trust, for federal income tax purposes, had capital loss carryovers of $7,867,964 (WNTB), $2,729,896 (WTRB), and $1,632,160 (WCIF) which will reduce taxable income arising from future net realized gain on investments, if any, to the extent permitted by the Code, and thus will reduce the amount of the distribution to shareholders which would otherwise be necessary to relieve the respective fund of any liability for federal income or excise tax. Pursuant to the Code, such capital loss carryovers will expire as follows: 12/31 WNTB WTRB WCIF - ------------------------------------------------------------------------------- 2002 $6,668,565 $ - $676,782 2003 376,568 - 215,933 2004 - - 113,252 2005 188,862 - 19,428 2006 62,582 - - 2007 297,581 - 66,159 2008 273,806 2,729,896 289,504 2009 - - 251,102 - ------------------------------------------------------------------------------ At December 31, 2001, net capital losses of $860,226 for WTRB and $22,014 for WCIF attributable to security transactions incurred after October 31, 2001 are treated as arising on the first day of the fund's current taxable year. E. Use of Estimates - The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenue and expense during the reporting period. Actual results could differ from those estimates. F. Other - Investment transactions are accounted for on the date the investments are purchased or sold. G. Multiple Classes of Shares of Beneficial Interest - Each fund is authorized to offer a standard share class and an institutional share class. The share classes differ in their respective distribution, service fees and other class specific expenses. All shareholders bear the common expenses of the fund pro rata based on the average daily net assets of each class, without distinction between share classes. Dividends are declared separately for each class. Each class has equal rights as to voting, redemption, dividends, and liquidation. At June 30, 2002, only WCIF had an institutional share class. H. Reclassifications - Certain amounts in the prior periods' financial statements have been reclassified to conform to the current year's presentation. I. Interim Financial Information - The interim financial statements relating to June 30, 2002 and for the six month period then ended have not been audited by independent certified public accountants, but in the opinion of the Trust's management, reflect all adjustments, consisting only of normally recurring adjustments, necessary for the fair presentation of the financial statements. (2) DISTRIBUTIONS Each fund's policy is to determine net income once daily, as of the close of the New York Stock Exchange and the net income so determined is substantially declared as a dividend to shareholders of record at the time of such determination. Distributions of realized capital gains are made at least annually. Shareholders may reinvest capital gain distributions in additional shares of the same fund at the net asset value as of the ex-dividend date. Dividends may be reinvested in additional shares of the same fund at the net asset value as of the payable date. The Trust requires that differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary overdistributions for financial statement purposes be classified as distributions in excess of net investment income or accumulated net realized gains. Distributions in excess of tax basis earnings and profits are reported in the financial statements as a return of capital. Permanent differences between book and tax accounting for certain items may result in reclassification of these items. (3) INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES The Trust has engaged Wright Investors' Service, Inc. (Wright) to act as investment adviser to the funds pursuant to the respective Investment Advisory Contracts. Wright furnishes each fund with investment management, investment advisory, and other services. For its services, Wright is compensated based upon a percentage of average daily net assets which rate is adjusted as average daily net assets exceed certain levels. For the six months ended June 30, 2002, for WTMM and WTRB the effective annual rate was 0.35% and 0.45%, respectively. The Portfolios have engaged Wright to render investment advisory services. (See Note 2 of the Portfolios' Notes to Financial Statements which are included elsewhere in this report.) To enhance the net income of WTMM, Wright made a preliminary reduction of its investment adviser fee by $29,227. In addition, Wright was preliminarily allocated expenses of $55,000, $32,168, $15,820, and $31,929 on behalf of WTMM, WUSGI, WTRB, and WCIF, respectively. The Trust also has engaged Eaton Vance Management (Eaton Vance) to act as administrator of the Trust. Under the Administration Agreement, Eaton Vance is responsible for managing the business affairs of the Trust and is compensated based upon a percentage of average daily net assets which rate is reduced as average daily net assets exceed certain levels. For the six months ended June 30, 2002, the effective annual rate was 0.07% for WTMM, 0.02% for WNTB, 0.02% for WUSGI, 0.07% for WTRB, and 0.02% for WCIF. Certain of the Trustees and officers of the Trust are directors/trustees and/or officers of the above organizations. Except as to Trustees of the Trust who are not employees of Eaton Vance or Wright, Trustees and officers received remuneration for their services to the Trust out of fees paid to Eaton Vance and Wright. (4) DISTRIBUTION EXPENSES The Trustees have adopted a Distribution Plan (the Plan) pursuant to Rule 12b-1 of the Investment Company Act of 1940. The Plan provides that each of the funds, except WTMM, will pay Wright Investors' Service Distributors, Inc. (Principal Underwriter), a wholly-owned subsidiary of Winthrop, at an annual rate of 0.25% of the Standard shares average daily net assets of each fund for activities primarily intended to result in the sale of each fund's Standard shares. To enhance the net income of WNTB, WUSGI, WTRB, and WCIF, the Principal Underwriter made a preliminary reduction of its fee by $41,510, $12,259, $25,380, and $17,330, respectively. In addition, the Trustees have adopted a service plan (the Service Plan) which allows the funds to reimburse the Principal Underwriter for payments to intermediaries for providing account administration and personal and account maintenance services to their customers who are beneficial owners of shares. The amount of service fee payable under the Service Plan with respect to each class of shares may not exceed 0.25% annually of the average daily net assets attributable to the respective classes. For the six months ended June 30, 2002, the funds did not accrue or pay any service fees. (5) SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in fund shares were as follows:
Six Months Ended Year Ended June 30, 2002 December 31, 2001 --------------------------------------------------------------- Shares Amount Shares Amount - ----------------------------------------------------------------------------------------------------------------------------- Wright U.S. Government Near Term Fund-- Sales................................................ 473,341 $ 4,878,833 1,365,316 $ 13,985,447 Issued to shareholders in payment of distributions declared............................................ 41,153 423,331 103,978 1,063,991 Redemptions.......................................... (626,181) (6,439,211) (1,858,949) (18,980,280) ----------- -------------- ----------- -------------- Net decrease..................................... (111,687) $ (1,137,047) (389,655) $ (3,930,842) ============= ================= ============= ================= Wright U.S. GOVERNMENT INTERMEDIATE Fund-- Sales................................................ 64,556 $ 874,521 307,197 $ 4,219,756 Issued to shareholders in payment of distributions declared............................................ 10,686 145,078 33,008 454,921 Redemptions.......................................... (115,977) (1,572,090) (794,193) (10,825,242) ----------- -------------- ----------- -------------- Net decrease..................................... (40,735) $ (552,491) (453,988) $ (6,150,565) ============= ================= ============= ================= Wright Total Return Bond Fund-- Sales............................................... 325,590 $ 4,058,409 575,009 $ 7,333,087 Issued to shareholders in payment of distributions declared............................................ 84,465 1,053,754 191,328 2,438,952 Redemptions.......................................... (677,814) (8,451,047) (1,941,125) (24,715,834) ---------- -------------- ----------- -------------- Net decrease..................................... (267,759) $ (3,338,884) (1,174,788) $ (14,943,795) ============= ================= ============= ================= Wright Current Income Fund -- Standard Shares Sales................................................ 763,619 $ 8,109,238 1,418,663 $ 15,022,486 Issued to shareholders in payment of distributions declared............................................ 68,439 728,496 171,018 1,813,111 Redemptions.......................................... (629,289) (6,669,807) (2,893,478) (30,591,063) ----------- -------------- ----------- -------------- Net increase (decrease).......................... 202,769 $ 2,167,927 (1,303,797) $(13,755,466) ============= ============== ============= =============== Wright Current Income Fund -- Institutional Shares Issued to shareholders in payment of distributions declared ........................................... 50,554 $ 511,748 140,115 $ 1,414,140 Redemptions.......................................... (174,471) (1,754,677) (875,313) (8,859,313) ----------- -------------- ----------- -------------- Net decrease..................................... (123,917) $ (1,242,929) (735,198) $ (7,445,173) ============= ================= ============= ================= - ---------------------------------------------------------------------------------------------------------------------------------
(6) INVESTMENT TRANSACTIONS The Trust invests primarily in debt securities. The ability of the issuers of the debt securities held by the Trust to meet their obligations may be affected by economic developments in a specific industry or municipality. Purchases and sales and maturities of investments, other than short-term obligations, were as follows: Six Months Ended June 30, 2002 WTRB - ------------------------------------------------------------------------------- Purchases-- Non-U.S. Obligations $ 22,445,725 ============== U.S. Gov't Obligations $ -- ============== Sales-- Non-U.S. Gov't Obligation $ 22,059,416 ============== U.S. Gov't Obligations $ -- ============== Increases and decreases in each fund's investment in its corresponding Portfolio for the six months ended June 30, 2002 were as follows: WNTB WUSGI WCIF - ------------------------------------------------------------------------------ Increases $ 4,888,053 $ 906,881 $ 7,955,245 Decreases (6,717,895) (1,713,767) (9,341,583) (7) FEDERAL INCOME TAX BASIS OF INVESTMENT SECURITIES The cost and unrealized appreciation (depreciation) of the investment securities owned at June 30, 2002, as computed on a federal income tax basis, are as follows: WTRB - ------------------------------------------------------------------------------- Aggregate cost............................ $ 45,100,133 ============= Gross unrealized appreciation............. $ 1,572,506 Gross unrealized depreciation............. (121,396) ------------ Net unrealized appreciation............... $ 1,451,110 ============= (8) LINE OF CREDIT The funds participate with other funds managed by Wright in a committed $20 million unsecured line of credit agreement with a bank. The funds may temporarily borrow from the line of credit to satisfy redemption requests or settle investment transactions. Interest is charged to each fund based on its borrowings at an amount above the federal funds rate. In addition, a fee computed at an annual rate of 0.10% on the average daily unused portion of the $20 million line of credit, is allocated among the participating funds at the end of each quarter. The funds did not have significant borrowings or allocated fees during the six months ended June 30, 2002. WTRB has $1,075,000 outstanding at June 30, 2002. WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST - ------------------------------------------------------------------------------- SELECTED BLUE CHIP EQUITIES PORTFOLIO (SBCP) STATEMENT OF ASSETS AND LIABILITIES June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- ASSETS: Investments - Identified cost....................... $43,464,895 Unrealized depreciation............... (279,170) ------------ Total investments, at value (Note 1A). $43,185,725 Cash.................................... 345,084 Dividends and interest receivable....... 28,949 Deferred organization expenses (Note 1C) 620 Other assets............................ 356 ------------ Total Assets.......................... $43,560,734 ------------ LIABILITIES: Accrued expenses and other liabilities.. $ 7,561 ------------ NET ASSETS APPLICABLE TO INVESTORS' INTEREST IN PORTFOLIO........ $43,553,173 ============= NET ASSETS CONSISTS OF: Net proceeds from capital contributions and withdrawals............................ $43,832,343 Unrealized depreciation on investments (computed on the basis of identified cost) (279,170) ------------ Total................................. $43,553,173 ============= See notes to financial statements STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1G): Income - Dividends.............................. $ 161,185 Interest............................... 456 ------------ Total income.......................... $ 161,641 ------------ Expenses - Investment adviser fee (Note 2)........ $ 137,719 Administrator fee (Note 2)............. 22,953 Compensation of Trustees not employees of the investment adviser or administrator 2,220 Custodian fee (Note 1D)................ 29,224 Interest expense....................... 124 Audit fees............................. 23,633 Amortization of organization expenses(Note 1C) 2,862 Miscellaneous.......................... 238 ------------ Total expenses........................ $ 218,973 ------------ Deduct - Reduction of custodian fee (Note 1D).. $ (4,039) ------------ Net expenses..................... $ 214,934 ------------ Net investment loss........... $ (53,293) ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on investment transactions (identified cost basis)................ $ 4,607,346 Change in unrealized appreciation on investments ........................ (6,751,849) ------------ Net realized and unrealized loss on investments......................... $(2,144,503) ------------ Net decrease in net assets from operations.................... $(2,197,796) ============= See notes to financial statements
WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST - ---------------------------------------------------------------------------------------------------------------------------------- SELECTED BLUE CHIP EQUITIES PORTFOLIO (SBCP) Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2002 Dec. 31, 2001 - ---------------------------------------------------------------------------------------------------------------------------------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: From operations - Net investment loss........................................................ $ (53,293) $ (1,850) Net realized gain on investments........................................... 4,607,346 1,742,377 Change in unrealized appreciation of investments........................................................... (6,751,849) (7,324,472) ------------ ------------ Net decrease in net assets from operations............................... $ (2,197,796) $ (5,583,945) ------------ ------------ Capital transactions - Contributions.............................................................. $ 7,944,777 $ 15,631,720 Withdrawals................................................................ (8,701,440) (15,363,603) ------------ ------------ Increase (decrease) in net assets resulting from capital transactions........ $ (756,663) $ 268,117 ------------ ------------ Net decrease in net assets................................................... $ (2,954,459) $ (5,315,828) NET ASSETS: At beginning of period....................................................... 46,507,632 51,823,460 ------------ ------------ At end of period............................................................. $ 43,553,173 $ 46,507,632 ============= ============= See notes to financial statements
WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST - ------------------------------------------------------------------------------- INTERNATIONAL BLUE CHIP EQUITIES PORTFOLIO (IBCP) STATEMENT OF ASSETS AND LIABILITIES June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- ASSETS: Investments - Identified cost....................... $78,063,553 Unrealized depreciation............... (3,390,907) ------------ Total investments, at value (Note 1A). $74,672,646 Cash.................................... 664,429 Foreign currency, at value (identified cost $32,013).............. 31,982 Tax reclaim receivable.................. 119,646 Dividends and interest receivable....... 150,477 Deferred organization expenses (Note 1C) 621 Other assets............................ 614 ------------ Total Assets.......................... $75,640,415 ------------ LIABILITIES: Payable for daily variation margin on open futures contracts............. $ 24 Accrued expenses and other liabilities.. 27,636 ------------ Total Liabilities...................... $ 27,660 ------------ NET ASSETS APPLICABLE TO INVESTORS' INTEREST IN PORTFOLIO........ $75,612,755 ============= NET ASSETS CONSISTS OF: Net proceeds from capital contributions and withdrawals............................ $79,000,193 Unrealized depreciation on investments and foreign currency transactions (computed on the basis of identified cost)....... (3,387,438) ------------ Total................................. $75,612,755 ============= See notes to financial statements STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1G): Income - Dividends.............................. $ 1,213,253 Interest............................... 3,007 Less: Foreign taxes.................... (137,732) ------------ Total income.......................... $ 1,078,528 ------------ Expenses - Investment adviser fee (Note 2)........ $ 308,913 Administrator fee (Note 2)............. 57,921 Compensation of Trustees not employees of the investment adviser or administrator 2,220 Custodian fee (Note 1D)................ 87,875 Interest expense....................... 3,065 Audit fees............................. 29,092 Amortization of organization expenses (Note 1C)............................. 2,862 Miscellaneous.......................... 301 ------------ Total expenses........................ $ 492,249 ------------ Reduction of custodian fee (Note 1D).... (2,377) ------------ Net expenses.......................... $ 489,872 ------------ Net investment income................ $ 588,656 ------------ REALIZED AND UNREALIZED LOSS ON INVESTMENTS: Net realized loss on investment and foreign currency transactions(identified cost basis)............................ $(6,444,026) Change in unrealized depreciation of investments and translation of assets and liabilities in foreign currencies...... 5,152,569 ------------ Net realized and unrealized loss on investments and foreign currency....... $(1,291,457) ------------ Net decrease in net assets from operations.................... $ (702,801) ============= See notes to financial statements
WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST - ------------------------------------------------------------------------------------------------------------------------------- International Blue Chip Equities Portfolio (IBCP) Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2002 Dec. 31, 2001 - -------------------------------------------------------------------------------------------------------------------------------- (unaudited) DECREASE IN NET ASSETS: From operations - Net investment income...................................................... $ 588,656 $ 208,438 Net realized loss on investments........................................... (6,444,026) (11,656,208) Change in unrealized appreciation (depreciation) on investments............ 5,152,569 (17,821,965) ------------ ------------ Net decrease in net assets from operations............................... $ (702,801) $(29,269,735) ------------ ------------ Capital transactions - Contributions.............................................................. $ 5,221,667 $ 19,270,774 Withdrawals................................................................ (12,041,779) (36,462,563) ------------ ------------ Decrease in net assets resulting from capital transactions................... $ (6,820,112) $(17,191,789) ------------ ------------ Net decrease in net assets................................................... $ (7,522,913) $(46,461,524) NET ASSETS: At beginning of period....................................................... 83,135,668 129,597,192 ------------ ------------ At end of period............................................................. $ 75,612,755 $ 83,135,668 ============= ============= See notes to financial statements
WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST - ------------------------------------------------------------------------------- U.S. GOVERNMENT NEAR TERM PORTFOLIO (NTBP) STATEMENT OF ASSETS AND LIABILITIES June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- ASSETS: Investments - Identified cost....................... $ 34,151,660 Unrealized appreciation............... 622,188 ------------ Total investments, at value (Note 1A). $ 34,773,848 Cash.................................... 4,890 Interest receivable..................... 345,540 Other................................... 135 ------------ Total assets.......................... $ 35,124,413 ------------ LIABILITIES: Transfer agent fee payable.............. $ 4,650 Accrued expenses and other liabilities.. 456 ------------ Total liabilities..................... $ 5,106 ------------ NET ASSETS APPLICABLE TO INVESTORS' INTEREST IN PORTFOLIO........ $ 35,119,307 ============= NET ASSETS CONSISTS OF: Net proceeds from capital contributions and withdrawals............................ $ 34,497,119 Unrealized appreciation on investments (computed on the basis of identified cost) 622,188 ------------ Total................................. $ 35,119,307 ============= See notes to financial statements STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1G): Income - Interest Income........................ $ 763,286 ------------ Expenses - Investment adviser fee (Note 2)........ $ 78,411 Administrator fee (Note 2)............. 12,198 Compensation of Trustees not employees of the investment adviser or administrator 2,220 Custodian fee (Note 1D)................ 21,247 Audit fees............................. 20,440 Interest expense....................... 811 Miscellaneous.......................... 207 Amortization of organization expenses (Note 1C)............................. 2,432 ------------ Total expenses........................ $ 137,966 ------------ Deduct - Preliminary reduction of investment adviser fee (Note 2).................. $ (21,442) Preliminary reduction of custodian fee (Note 1D)............................. (3,795) ------------ Total deductions..................... $ (25,237) ------------ Net expenses....................... $ 112,729 ------------ Net investment income............ $ 650,557 ------------ REALIZED AND UNREALIZED GAIN ON INVESTMENTS: Net realized gain on investment transactions (identified cost basis)................ $ 171,027 Net change in unrealized appreciation on investments......................... 49,013 ------------ Net realized and unrealized gain on investments......................... $ 220,040 ------------ Net increase in net assets from operations.................... $ 870,597 ============= See notes to financial statements
WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST - ---------------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT NEAR TERM PORTFOLIO (NTBP) Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2002 Dec. 31, 2001 - ---------------------------------------------------------------------------------------------------------------------------------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: From operations - Net investment income...................................................... $ 650,557 $ 1,699,579 Net realized gain on investments........................................... 171,027 436,242 Change in unrealized appreciation of investments........................... 49,013 367,359 ------------ ------------ Net increase in net assets from operations............................... $ 870,597 $ 2,503,180 ------------ ------------ Capital transactions - Contributions.............................................................. $ 4,888,053 $ 14,050,690 Withdrawals................................................................ (6,717,895) (19,763,460) ------------ ------------ Decrease in net assets resulting from capital transactions................... $ (1,829,842) $ (5,712,770) ------------ ------------ Net decrease in net assets................................................... $ (959,245) $ (3,209,590) NET ASSETS: At beginning of period....................................................... 36,078,552 39,288,142 ------------ ------------ At end of period............................................................. $ 35,119,307 $ 36,078,552 ============= ============= See notes to financial statements
WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST - ------------------------------------------------------------------------------- U.S. GOVERNMENT INTERMEDIATE PORTFOLIO (USGIP) STATEMENT OF ASSETS AND LIABILITIES June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- ASSETS: Investments - Identified cost....................... $ 10,336,097 Unrealized appreciation............... 391,991 ------------ Total investments, at value (Note 1A). $ 10,728,088 Cash.................................... 66,759 Interest receivable..................... 117,826 ------------ Total assets.......................... $ 10,912,673 ------------ LIABILITIES: Accrued investment adviser fee.......... $ 37 Accrued expenses and other liabilities.. 5,191 ------------ Total liabilities..................... $ 5,228 ------------ NET ASSETS APPLICABLE TO INVESTORS' INTEREST IN PORTFOLIO........ $ 10,907,445 ============= NET ASSETS CONSISTS OF: Net proceeds from capital contributions and withdrawals............................ $ 10,515,454 Unrealized appreciation on investments (computed on the basis of identified cost) 391,991 ------------ Total................................. $ 10,907,445 ============= See notes to financial statements STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1G): Income - Interest Income........................ $ 305,386 ------------ Expenses - Investment adviser fee (Note 2)........ $ 24,986 Administrator fee (Note 2)............. 3,887 Compensation of Trustees not employees of the investment adviser or administrator 2,220 Custodian fee (Note 1D)................ 19,457 Audit fees............................. 17,762 Interest expense....................... 576 Amortization of organization expenses (Note 1C)............................. 2,378 Miscellaneous.......................... 127 ------------ Total expenses........................ $ 71,393 ------------ Deduct - Preliminary reduction of investment adviser fee (Note 2)............................ $ (24,949) Preliminary reduction of custodian fee (Note 1D)............................. (1,289) ------------ Total deductions.................... $ (26,238) ------------ Net expenses........................ $ 45,155 ------------ Net investment income............. $ 260,231 ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on investment transactions (identified cost basis)................ $ 402,998 Net change in unrealized appreciation on investments......................... (353,307) ------------ Net realized and unrealized gain on investments......................... $ 49,691 ------------ Net increase in net assets from operations.................... $ 309,922 ============= See notes to financial statements
WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST - ------------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT INTERMEDIATE PORTFOLIO (USGIP) Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2002 Dec. 31, 2001 - ---------------------------------------------------------------------------------------------------------------------------------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: From operations - Net investment income...................................................... $ 260,231 $ 733,015 Net realized gain on investments........................................... 402,998 196,730 Change in unrealized appreciation of investments........................... (353,307) (271,383) ------------ ------------ Net increase in net assets from operations............................... $ 309,922 $ 658,362 ------------ ------------ Capital transactions - Contributions.............................................................. $ 934,954 $ 4,430,147 Withdrawals................................................................ (1,872,817) (11,648,194) ------------ ------------ Decrease in net assets resulting from capital transactions................... $ (937,863) $ (7,218,047) ------------ ------------ Net decrease in net assets................................................... $ (627,941) $ (6,559,685) NET ASSETS: At beginning of period....................................................... 11,535,386 18,095,071 ------------ ------------ At end of period............................................................. $ 10,907,445 $ 11,535,386 ============= ============= See notes to financial statements
WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST - ------------------------------------------------------------------------------- CURRENT INCOME PORTFOLIO (CIFP) STATEMENT OF ASSETS AND LIABILITIES June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- ASSETS: Investments - Identified cost....................... $ 72,270,981 Unrealized appreciation............... 2,333,032 ------------ Total investments, at value (Note 1A). $ 74,604,013 Cash.................................... 138,138 Receivable for investments sold......... 10,939 Interest receivable..................... 397,776 Other assets............................ 526 ------------ Total assets.......................... $ 75,151,392 ------------ LIABILITIES: Accrued expenses and other liabilities.. $ 7,650 ------------ Total liabilities..................... $ 7,650 ------------ NET ASSETS APPLICABLE TO INVESTORS' INTEREST IN PORTFOLIO........ $ 75,143,742 ============= NET ASSETS CONSISTS OF: Net proceeds from capital contributions and withdrawals............................ $ 72,810,710 Unrealized appreciation on investments (computed on the basis of identified cost) 2,333,032 ------------ Total................................. $ 75,143,742 ============= See notes to financial statements STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2002 (unaudited) - ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1G): Income - Interest Income........................ $ 2,352,777 ------------ Expenses - Investment adviser fee (Note 2)........ $ 164,403 Administrator fee (Note 2)............. 25,574 Compensation of Trustees not employees of the investment adviser or administrator 2,220 Custodian fee (Note 1D)................ 28,926 Audit fees............................. 20,440 Amortization of organization expenses (Note 1C)............................. 2,203 Miscellaneous.......................... 2,930 ------------ Total expenses........................ $ 246,696 ------------ Deduct - Preliminary reduction of custodian fee (Note 1D)............................. $ (7,601) ------------ Net expenses........................ $ 239,095 ------------ Net investment income............. $ 2,113,682 ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized loss on investment transactions (identified cost basis)................ $ (67,687) Net change in unrealized appreciation on investments......................... 818,304 ------------ Net realized and unrealized gain on investments......................... $ 750,617 ------------ Net increase in net assets from operations.................... $ 2,864,299 ============= See notes to financial statements
WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST - ----------------------------------------------------------------------------------------------------------------------------- CURRENT INCOME PORTFOLIO (CIFP) Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2002 Dec. 31, 2001 - ------------------------------------------------------------------------------------------------------------------------------ (unaudited) INCREASE (DECREASE) IN NET ASSETS: From operations - Net investment income...................................................... $ 2,113,682 $ 5,119,822 Net realized loss on investments........................................... (67,687) (177,947) Change in unrealized appreciation on investments........................... 818,304 1,195,719 ------------ ------------ Net increase in net assets from operations............................... $ 2,864,299 $ 6,137,594 ------------ ------------ Capital transactions - Contributions.............................................................. $ 7,955,245 $ 15,222,381 Withdrawals................................................................ (9,341,583) (41,344,439) ------------ ------------ Decrease in net assets resulting from capital transactions................... $ (1,386,338) $(26,122,058) ------------ ------------ Net increase (decrease) in net assets........................................ $ 1,477,961 $(19,984,464) NET ASSETS: At beginning of period....................................................... 73,665,781 93,650,245 ------------ ------------ At end of period............................................................. $ 75,143,742 $ 73,665,781 ============= ============= See notes to financial statements
WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST - ----------------------------------------------------------------------------------------------------------------------------------- SUPPLEMENTARY DATA Year Ended December 31 - ----------------------------------------------------------------------------------------------------------------------------------- Selected Blue Chip Equities Portfolio (SBCP) 2002(3) 2001 2000 1999 1998 1997(2) - ----------------------------------------------------------------------------------------------------------------------------------- Ratios (As a percentage of average daily net assets):++ Total expenses 0.96%+ 0.89% 0.88% 0.85% 0.77% 0.66%+ Net expenses after custodian fee reduction(1) 0.94%+ 0.88% 0.88% 0.84% 0.77% 0.66% Net investment income (loss) (0.23%)+ (0.004%) 0.09% 0.67% 0.80% 1.08%+ Portfolio Turnover 80% 67% 55% 106% 78% 28% Net assets, end of period (000 omitted) $43,553 $46,508 $51,823 $75,483 $221,657 $259,492 Total Return (4.48%) (9.26%) - ----------------------------------------------------------------------------------------------------------------------------------- + Annualized. ++ For the year ended December 31, 1999, the operating expenses of SBCP reflect a waiver of the investment adviser fee. Had such action not been taken, the ratios would have been as follows: 1999 ------ Ratios (As a percentage of average daily net assets): Expenses 0.86% Expenses after custodian fee reduction(1) 0.85% Net investment income 0.66% (1)Reporting guidelines require the Portfolio to increase its expense ratio by the effect of any offset arrangements with its service providers. The computation of total expenses to average daily net assets reported above is computed without consideration of credits in such offset arrangements. (2)For the period from the start of business, May 2, 1997 to December 31, 1997. (3)For the six months ended June 30, 2002 (unaudited). - ----------------------------------------------------------------------------------------------------------------------------------- See notes to financial statements
Year Ended December 31 - ----------------------------------------------------------------------------------------------------------------------------------- International Blue Chip Equities Portfolio (IBCP) 2002(2) 2001 2000 1999 1998 1997(1) - ----------------------------------------------------------------------------------------------------------------------------------- Ratios (As a percentage of average daily net assets): Total expenses 1.27%+ 1.18% 1.13% 1.14% 1.01% 0.90%+ Net investment income 1.52%+ 0.21% 1.11% 0.33% 0.77% 0.95%+ Portfolio Turnover 46% 39% 53% 105% 66% 37% Net assets, end of period (000 omitted) $75,613 $83,136 $129,597 $172,471 $212,231 $257,047 Total Return (0.82%) (22.88%) - ----------------------------------------------------------------------------------------------------------------------------------- + Annualized. (1)For the period from the start of business, May 2, 1997 to December 31, 1997. (2)For the six months ended June 30, 2002 (unaudited). See notes to financial statements
WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST - ----------------------------------------------------------------------------------------------------------------------------------- SUPPLEMENTARY DATA Year Ended December 31 - ----------------------------------------------------------------------------------------------------------------------------------- U.S. Government Near Term Portfolio (NTBP) 2002(3) 2001 2000 1999 1998 1997(2) - ----------------------------------------------------------------------------------------------------------------------------------- Ratios (As a percentage of average daily net assets):(1) Total expenses(1) 0.67%+ 0.68% 0.69% 0.58% 0.57% 0.46%+ Net expenses after custodian fee reduction 0.65%+ 0.66% 0.66% 0.57% 0.56% 0.45% Net investment income 3.73%+ 4.68% 5.55% 5.60% 5.68% 6.24%+ Portfolio Turnover 26% 92% 65% 0% 10% 0% Net assets, end of period (000 omitted) $35,119 $36,079 $39,288 $52,963 $92,200 $102,861 Total Return 2.69% 7.50% - ----------------------------------------------------------------------------------------------------------------------------------- (1)For the year ended December 31, 2001, the operating expenses of NTBP reflect a reduction of investment adviser fee. Had such action not been taken, the ratios would have been as follows: 2002 2001 ------- ------ Ratios (As a percentage of average daily net assets): Total expenses 0.79%+ 0.75% Net expenses after custodian fee reduction 0.77%+ 0.73% Net investment income 3.61%+ 4.61% - ----------------------------------------------------------------------------------------------------------------------------------- + Annualized. (2)For the period from the start of business, May 2, 1997 to December 31, 1997. (3)For the six months ended June 30, 2002 (unaudited). See notes to financial statements
Year Ended December 31 - ----------------------------------------------------------------------------------------------------------------------------------- U.S. Government Intermediate Portfolio (USGIP) 2002(3) 2001 2000 1999 1998 1997(2) - ----------------------------------------------------------------------------------------------------------------------------------- Ratios (As a percentage of average daily net assets):(1) Total expenses(1) 0.84% 0.72% 0.73% 0.60% 0.57% 0.56%+ Net expenses after custodian fee reduction 0.81%+ 0.65% 0.71% 0.58% 0.54% 0.41% Net investment income 4.69% 5.40% 5.77% 5.57% 5.45% 6.11%+ Portfolio Turnover 77% 27% 74% 0% 7% 0% Net assets, end of period (000 omitted) $10,907 $11,535 $18,095 $33,753 $67,330 $74,536 Total Return 2.89% 6.12% - ----------------------------------------------------------------------------------------------------------------------------------- (1)For the years ended December 31, 2001, 2000 and 1998, the operating expenses of USGIP reflect an allocation of expenses to the investment adviser or a reduction of investment adviser fee. Had such action not been taken, the ratios would have been as follows: 2002 2001 2000 1998 -------- ------- ------ ------- Ratios (As a percentage of average daily net assets): Total expenses 1.29%+ 1.05% 0.79% 0.58% Net expenses after custodian fee reduction 1.26%+ 0.98% 0.77% 0.55% Net investment income 4.24%+ 5.07% 5.71% 5.44% - ----------------------------------------------------------------------------------------------------------------------------------- + Annualized. (2)For the period from the start of business, May 2, 1997 to December 31, 1997. (3)For the six months ended June 30, 2002 (unaudited). See notes to financial statements
WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST - ----------------------------------------------------------------------------------------------------------------------------------- SUPPLEMENTARY DATA Year Ended December 31 - ----------------------------------------------------------------------------------------------------------------------------------- Current Income Portfolio (CIFP) 2002(3) 2001 2000 1999 1998 1997(2) - ----------------------------------------------------------------------------------------------------------------------------------- Ratios (As a percentage of average daily net assets): Total expenses 0.68%+ 0.58%(1) 0.62% 0.59% 0.57% 0.48%+ Net expenses after custodian fee reduction 0.66%+ - - - - - Net investment income 5.80%+ 6.18% 6.54% 6.32% 6.33% 6.66%+ Portfolio Turnover 12% 4% 6% 0% 1% 7% Net assets, end of period (000 omitted) $75,144 $73,666 $93,650 $99,987 $113,707 $97,765 Total Return 4.11% 7.76% - ----------------------------------------------------------------------------------------------------------------------------------- (1) For the year ended December 31, 2001, the operating expenses of CIFP reflect a reduction of investment adviser fee. Had such action not been taken, the ratios would have been as follows: 2001 ------ Ratios (As a percentage of average daily net assets): Total expenses 0.66% Net expenses after custodian fee reduction - Net investment income 6.11% - ----------------------------------------------------------------------------------------------------------------------------------- + Annualized. (2) For the period from the start of business, May 2, 1997 to December 31, 1997. (3) For the six months ended June 30, 2002 (unaudited). See notes to financial statements
WRIGHT BLUE CHIP MASTER PORTFOLIO TRUST - ------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (unaudited) - ------------------------------------------------------------------------------- (1) Significant Accounting Policies The Wright Blue Chip Master Portfolio Trust (the Trust), issuer of Selected Blue Chip Equities Portfolio (Selected Portfolio), International Blue Chip Equities Portfolio (International Portfolio), U.S. Government Near Term Portfolio (Term Portfolio), U.S. Government Intermediate Portfolio (Intermediate Portfolio), and Current Income Portfolio (Income Portfolio), collectively the Portfolios, are registered under the Investment Company Act of 1940 as non-diversified open-end management investment companies which were organized as trusts under the laws of the State of New York on March 18, 1997. The Declaration of Trust permits the Trustees to issue interests in the portfolios. The following is a summary of significant accounting policies of the portfolios. The policies are in conformity with accounting principles generally accepted in the United States of America. A. Investment Valuations - Securities listed on securities exchanges or in the NASDAQ National Market are valued at closing sale prices. Securities traded on more than one U.S. or foreign securities exchange are valued at the last sale price on the exchange representing the principal market for such securities, if those prices are deemed to be representative of market values at the close of business. Unlisted or listed securities, for which closing sale prices are not available, are valued at the mean between latest bid and asked prices. Fixed income securities for which market quotations are readily available are valued on the basis of valuations supplied by a pricing service. Short-term obligations maturing in sixty days or less are valued at amortized cost, which approximates fair value. Securities for which market quotations are unavailable, or deemed not to be representative of market values at the close of business, are appraised at their fair value as determined in good faith by or at the direction of the Trustees of the Trust. B. Foreign Currency Translation - Investment security valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses are translated into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions. The Trust does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. C. Deferred Organization Expenses - Costs incurred by a portfolio in connection with its organization are being amortized on the straight-line basis over five years beginning on the date each portfolio commenced operations. D. Expense Reductions - The portfolios have entered into an arrangement with its custodian whereby interest earned on uninvested cash balances is used to offset custodian fees. All significant reductions are reported as a reduction of total expenses in the Statement of Operations. E. Income Taxes - The portfolios are treated as partnerships for federal tax purposes. No provision is made by the portfolios for federal or state taxes on any taxable income of the portfolios because each investor in the portfolios is ultimately responsible for the payment of any taxes on its share of such income. Since some of the portfolios' investors are regulated investment companies that invest all or substantially all of their assets in the portfolios, the portfolios normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for their respective investors to satisfy them.The portfolios will allocate at least annually among their respective investors each investor's distributive share of the portfolios' net taxable investment income, net realized capital gains and any other items of income, gain, loss, deductions or credit. F. Use of Estimates - The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenue and expense during the reporting period. Actual results could differ from those estimates. G. Other - Investment transactions are accounted for on a trade date basis. Dividend income is recorded on the ex-dividend date. However, if the ex-dividend date has passed, certain dividends from foreign securities are recorded as the portfolio is informed of the ex-dividend date. Interest income consists of interest accrued and discount earned (including both original issue and market discount) and amortization of premium or discount on long-term debt securities. H. Forward Foreign Currency Contracts - The International Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. Risks may arise upon entering 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. The International Portfolio will enter into forward contracts for hedging purposes in connection with purchases and sales of securities denominated in foreign currencies. The forward foreign currency exchange contracts are adjusted by the daily forward exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized until such time as the contracts have been closed or offset. I. Reclassifications - Certain amounts in the prior periods' financial statements have been reclassified to conform to the current year's presentation. J. Interim Financial Information - The interim financial statements relating to June 30, 2002 and for the six month period then ended have not been audited by independent certified public accountants, but in the opinion of the Trust's management, reflect all adjustments, consisting only of normally recurring adjustments, necessary for the fair presentation of the financial statements. (2) INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES The Trust has engaged Wright Investors' Service, Inc. (Wright) to act as investment adviser to the portfolios pursuant to the respective Investment Advisory Contracts. Wright furnishes each portfolio with investment management, investment advisory, and other services. For its services, Wright is compensated based upon a percentage of average daily net assets, which rate is adjusted as average daily net assets exceed certain levels. For the six months ended June 30, 2002, the effective annual rate was 0.60% for the Selected Portfolio, 0.80% for the International Portfolio, 0.45% for the Near Term Portfolio, 0.45% for the Intermediate Portfolio, and 0.45% for the Income Portfolio. To enhance the net income of the Near Term Portfolio and Intermediate Portfolio, Wright made a preliminary reduction of its investment adviser fee by $21,442 and $24,949, respectively. The Trust has engaged Eaton Vance Management (Eaton Vance) to act as administrator of the Trust. Under the Administration Agreement, Eaton Vance is responsible for managing the business affairs of the Trust and is compensated based upon a percentage of average daily net assets which rate is reduced as average daily net assets exceed certain levels. For the six months ended June 30, 2002, the effective annual rate was 0.10% for the Selected Portfolio, 0.15% for the International Portfolio, 0.07% for the Near Term Portfolio, 0.07% for the Intermediate Portfolio, and 0.07% for the Income Portfolio. Certain of the Trustees and officers of the portfolio are Trustees or officers of the above organizations. Except as to Trustees of the portfolios who are not employees of Wright, Trustees and officers receive remuneration for their services to the portfolios out of the fees paid to Wright. (3) INVESTMENTS The Term Portfolio, Intermediate Portfolio, and Income Portfolio invest primarily in debt securities. The ability of the issuers of these debt securities held by the portfolios to meet their obligations may be affected by economic developments in a specific industry or municipality. Purchases and sales of investments, other than U.S. Government securities and short-term obligations, for the six months ended June 30, 2002 were as follows:
Selected International U.S. Gov't. U.S. Gov't. Current Blue Chip Blue Chip Near Term Intermediate Income Portfolio Portfolio Portfolio Portfolio Portfolio - ------------------------------------------------------------------------------------------------------------------------------- Purchases - Non-U.S. Gov't Obligations $ 36,285,904 $ 35,824,734 $ -- $ -- $ -- ============ ============ ============ ============ ============ U.S. Gov't Obligations $ -- $ -- $ 9,155,936 $ 8,383,053 $ 8,837,017 ============ ============ ============ ============ ============ Sales - Non-U.S. Gov't Obligations $(36,626,247) $(43,737,434) $ -- $ -- $ -- ============ ============ ============ ============ ============ U.S. Gov't. Obligations $ -- $ -- $ 10,745,911 $ 8,753,828 $ 11,811,375 ============ ============ ============ ============ ============
(4) FEDERAL INCOME TAX BASIS OF INVESTMENT SECURITIES The cost and unrealized appreciation (depreciation) of the investment securities owned at June 30, 2002, as computed on a federal income tax basis, are as follows:
Selected International U.S. Gov't. U.S. Gov't. Current Blue Chip Blue Chip Near Term Intermediate Income Portfolio Portfolio Portfolio Portfolio Portfolio - -------------------------------------------------------------------------------------------------------------------------------- Aggregate cost $ 43,464,895 $ 78,063,553 $ 34,151,660 $ 10,336,097 $ 72,270,981 ============ ============ ============ ============ ============ Gross unrealized appreciation $ 4,050,123 $ 6,749,643 $ 627,223 $ 564,880 $ 2,333,041 Gross unrealized depreciation (4,329,293) (10,140,550) (5,035) (172,889) (9) ----------- ----------- ----------- ----------- ----------- Net unrealized appreciation (depreciation) $ (279,170) $ (3,390,907) $ 622,188 $ 391,991 $ 2,333,032 ============ ============ ============ ============ ============
(5) FINANCIAL INSTRUMENTS The portfolios may trade in financial instruments with off-balance sheet risk in the normal course of their investing activities in order to manage exposure to market risks such as interest rates and foreign currency exchange rates. These financial instruments include forward foreign currency contracts for the International Portfolio. The notional or contractual amounts of these instruments represent the investment the portfolio has in particular classes of financial instruments and does not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. As of June 30, 2002, the International Portfolio had no open forward foreign currency exchange contracts. (6) RISKS ASSOCIATED WITH FOREIGN INVESTMENTS The International Portfolio's investing in securities issued by companies whose principal business activities are outside the United States may involve significant risks not present in domestic investments. For example, there is generally less publicly available information about foreign companies, particularly those not subject to the disclosure and reporting requirements of the U.S. securities laws. Foreign issuers are generally not bound by uniform accounting, auditing, and financial reporting requirements and standards of practice comparable to those applicable to domestic issuers. Investments in foreign securities also involve the risk of possible adverse changes in investment or exchange control regulations, expropriation or confiscatory taxation, limitation on the removal of funds or other assets of International Portfolio, political or financial instability or diplomatic and other developments which could affect such investments. Foreign stock markets, while growing in volume and sophistication, are generally not as developed as those in the United States, and securities of some foreign issuers (particularly those located in developing countries) may be less liquid and more volatile than securities of comparable U.S. companies. In general, there is less overall governmental supervision and regulation of foreign securities markets, broker-dealers, and issuers than in the United States. Settlement of securities transactions in foreign countries may be delayed and is generally less frequent than in the United States, which could affect the liquidity of International Portfolio's assets. International Portfolio may be unable to sell securities where the registration process is incomplete and may experience delays in receipt of dividends. (7) LINE OF CREDIT The portfolios participate with other funds managed by Wright in a committed $20 million unsecured line of credit agreement with a bank. The portfolios may temporarily borrow from the line of credit to settle investment transactions. Interest is charged to each portfolio based on its borrowings at an amount above the federal funds' rate. In addition, a fee computed at an annual rate of 0.10% on the average daily unused portion of the $20 million line of credit, is allocated among the participating funds and portfolios at the end of each quarter. The portfolios did not have significant borrowings during the six months ended June 30, 2002. At June 30, 2002, there were no loans outstanding under the credit facility. WRIGHT MAJOR BLUE CHIP EQUITIES FUND (WMBC) - ------------------------------------------------------------------------------- PORTFOLIO OF INVESTMENTS - June 30, 2002 (unaudited) Equity Interests -- 99.9% Shares Value AUTOMOBILES & COMPONENTS -- 1.5% Ford Motor Co. Del.................. 26,500 $ 424,000 General Motors Corp................. 7,700 411,565 Johnson Controls.................... 4,000 326,440 ----------- $ 1,162,005 ----------- BANKS -- 7.5% Bank of America Corp................ 34,700 $ 2,441,492 Bank One Corp....................... 19,800 761,904 Charter One Fin'l. Inc.............. 10,200 350,676 Fifth Third Bancorp................. 12,700 846,455 Union Planters Corp................. 11,450 370,637 Wachovia Corp....................... 17,000 649,060 Washington Mutual................... 9,500 352,545 ----------- $ 5,772,769 ----------- PITAL GOODS -- 8.9% 3M Company.......................... 10,700 $ 1,316,100 Caterpillar Inc..................... 8,700 425,865 Danaher Corp........................ 4,700 311,845 General Dynamics Corp............... 6,100 648,735 General Electric Co................. 61,700 1,792,385 Illinois Tool Works Inc............. 9,300 635,190 Ingersoll-Rand Co. Cl A............. 8,000 365,280 ITT Industries Inc.................. 8,000 564,800 Lockheed Martin..................... 5,100 354,450 Northrop Grumman.................... 3,400 425,000 ----------- $ 6,839,650 ----------- COMMERCIAL SERVICES & SUPPLIES -- 1.6% Avery Dennison Corp................. 7,900 $ 495,725 Concord EFS Inc..................... 23,100 696,234 ----------- $ 1,191,959 ----------- COMMUNICATIONS EQUIPMENT -- 2.6% Cisco Systems, Inc.*................ 91,900 $ 1,282,005 Motorola Inc........................ 47,700 687,834 ----------- $ 1,969,839 ----------- COMPUTER & PERIPHERALS -- 3.0% Apple Computer Inc.................. 8,900 $ 157,708 Dell Computer Corp.*................ 57,200 1,495,208 Hewlett-Packard Co.................. 17,300 264,344 Lexmark Int'l. Inc. CL A............ 7,000 380,800 ----------- $ 2,298,060 ----------- CONSUMER DURABLES & APPAREL -- 3.6% Centex Corp......................... 11,400 $ 658,806 Leggett & Platt..................... 12,500 292,500 Liz Claiborne Inc................... 16,300 518,340 Newell Rubbermaid Inc............... 20,800 729,248 Whirlpool Corp...................... 8,800 575,168 ----------- $ 2,774,062 ----------- DIVERSIFIED FINANCIALS -- 6.7% Ambac Inc........................... 7,000 $ 470,400 American Express Co................. 16,500 599,280 Bear Stearns Cos. Inc............... 8,800 538,560 Citigroup Inc....................... 39,700 1,538,375 Countrywide Cr. Ind. Inc............ 7,900 381,175 H&R Block........................... 5,200 239,980 JP Morgan Chase & Co................ 24,600 834,432 Providian Financial................. 33,900 199,332 SLM Corp............................ 3,700 358,530 ----------- $ 5,160,064 ----------- ENERGY -- 7.6% Amerada Hess Corp................... 4,900 $ 404,250 Apache Corp......................... 7,000 402,360 B.J. Services....................... 6,300 213,444 Baker Hughes Inc.................... 5,500 183,095 ChevronTexaco Corp.................. 9,700 858,450 EOG Resources Inc................... 6,800 269,960 Exxon Mobil Corp.................... 59,812 2,447,507 Noble Corp.......................... 6,400 247,040 Occidental Petroleum................ 19,800 593,802 Transocean Inc...................... 6,500 202,475 ----------- $ 5,822,383 ----------- FOOD & DRUG RETAILING -- 1.2% CVS Corp............................ 9,100 $ 278,460 Supervalu Inc....................... 6,900 169,257 Walgreen............................ 11,300 436,519 ----------- $ 884,236 ----------- FOOD, BEVERAGE & TOBACCO -- 5.3% Adolph Coors Co..................... 2,400 $ 149,520 Anheuser Busch Cos. Inc............. 6,800 340,000 Coca Cola Co........................ 27,300 1,528,800 Conagra Foods....................... 12,300 340,095 Philip Morris Cos. Inc.............. 26,500 1,157,520 Wrigley (Wm.) Jr. Co................ 9,400 520,290 ----------- $ 4,036,225 ----------- HEALTH CARE EQUIPMENT & SERVICES -- 6.8% AmerisourceBergen Corp.............. 7,900 $ 600,400 Boston Scientific Corp.............. 21,000 615,720 Cigna Corp.......................... 4,500 438,390 Health Mngt Assoc. Inc-A............ 21,100 425,165 Humana Inc.......................... 17,500 273,525 St. Jude Medical.................... 6,400 472,640 Tenet Healthcare Corp............... 9,900 708,345 UnitedHealth Group Inc.............. 14,100 1,290,855 Zimmer Holdings Inc................. 11,400 406,524 ----------- $ 5,231,564 ----------- HOTELS, RESTAURANTS & LEISURE -- 1.9% Cendant corp........................ 18,200 $ 289,016 McDonald's Corp..................... 41,900 1,192,055 ----------- $ 1,481,071 ----------- HOUSEHOLD & PERSONAL PRODUCTS -- 3.3% Gillette Co......................... 21,400 $ 724,818 Procter & Gamble.................... 20,000 1,786,000 ----------- $ 2,510,818 ----------- INSURANCE -- 4.7% Aflac Inc........................... 8,700 $ 278,400 American Int'l. Group............... 11,300 770,999 Marsh & McLennan Cos., Inc.......... 5,000 483,000 MBIA Inc............................ 14,100 797,073 MGIC Investment Corp................ 6,600 447,480 Progressive Corp.................... 14,600 844,610 ----------- $ 3,621,562 ----------- MATERIALS -- 4.2% Air Products & Chems................ 5,900 $ 297,773 Alcoa Inc........................... 7,900 261,885 Engelhard Corp...................... 7,500 212,400 International Paper Co.............. 10,800 470,664 Nucor Corp.......................... 5,500 357,720 Pactiv Corp......................... 22,500 535,500 Phelps Dodge Corp................... 4,200 173,040 Sealed Air Corp..................... 6,300 253,701 Sigma-Aldrich....................... 6,200 310,930 Temple-Inland Inc................... 6,200 358,732 ----------- $ 3,232,345 ----------- MEDIA -- 2.6% Knight Ridder Inc................... 4,100 $ 258,095 Viacom, Inc. Class B................ 39,400 1,748,178 ----------- $ 2,006,273 ----------- PHARMACEUTICALS & BIOTECHNOLOGY -- 7.0% Abbott Laboratories................. 13,400 $ 504,510 Johnson & Johnson................... 39,200 2,048,592 Pfizer Inc.......................... 54,200 1,897,000 Pharmacia Corp...................... 23,300 872,585 ----------- $ 5,322,687 ----------- RETAILING -- 5.3% Autozone Inc........................ 3,100 $ 239,630 Bed Bath & Beyond Inc............... 14,100 532,134 GAP, Inc. (The)..................... 15,600 221,520 Kohl's Corp......................... 8,200 574,656 Limited Brands...................... 18,200 387,660 Lowes Cos. Inc...................... 14,700 667,380 Staples Inc......................... 23,200 457,040 Target Corp......................... 15,100 575,310 Tiffany & Co........................ 10,400 366,080 ----------- $ 4,021,410 ----------- SEMICONDUCTOR EQUIPMENT & PRODUCTS-- 2.8% Intel Corp.......................... 56,800 $ 1,037,736 KLA-Tencor Corp..................... 10,500 461,895 Nat'l. Semiconductor Corp........... 13,600 396,712 Qlogic Corp......................... 7,400 281,940 ----------- $ 2,178,283 ----------- SOFTWARE & SERVICES -- 5.8% Computer Science.................... 5,200 $ 248,560 IBM................................. 9,300 669,600 Intuit Inc.......................... 5,000 248,600 Mercury Interactive Corp............ 5,800 133,168 Microsoft Corp...................... 52,100 2,849,870 Yahoo! Inc.......................... 22,000 324,720 ----------- $ 4,474,518 ----------- TELECOMMUNICATION SERVICES -- 2.9% Bellsouth Corp...................... 21,200 $ 667,800 Verizon Communications.............. 38,100 1,529,715 ----------- $ 2,197,515 ----------- TRANSPORTATION -- 0.7% Union Pacific Corp.................. 8,600 $ 544,208 ----------- UTILITIES -- 2.2% Calpine Corp........................ 17,400 $ 122,322 DTE Energy Co....................... 5,000 223,200 Nicor Inc........................... 5,300 242,475 Progress Energy Inc................. 10,300 535,703 TXU Corp............................ 10,700 551,585 ----------- $ 1,675,285 ----------- TOTAL EQUITY INTERESTS -- 99.9% (identified cost, $78,482,207) $ 76,408,791 OTHER ASSETS, LESS LIABILITIES -- 0.1% 106,359 ----------- NET ASSETS -- 100% $ 76,515,150 ============ * Non-income-producing security. See notes to financial statements
WRIGHT TOTAL RETURN BOND FUND (WTRB) - ----------------------------------------------------------------------------------------------------------------------------------- PORTFOLIO OF INVESTMENTS - June 30, 2002 (unaudited) Face Coupon Maturity Market Current Yield To Amount Description Rate Date Price Value Yield Maturity ---------------------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS FINANCIAL $ 550,000 Ameritech Cap Corp 6.150% 01/15/08 $103.921 $ 571,566 5.92% 5.0% 225,000 Banc One Corp 8.000% 04/29/27 112.093 252,209 7.14% 6.8% 500,000 Bank Of New York Co 6.375% 04/01/12 104.183 520,915 6.12% 5.9% 550,000 Boeing Cap Corp 5.650% 05/15/06 103.071 566,891 5.48% 4.7% 600,000 Citigroup Inc 7.250% 10/01/10 108.538 651,228 6.68% 5.9% 350,000 Ford Motor Credit 6.125% 03/20/04 102.131 357,459 6.00% 4.9% 800,000 General Elec Cap Corp 5.000% 02/15/07 101.392 811,136 4.93% 4.8% 350,000 GMAC 6.750% 01/15/06 103.641 362,744 6.51% 5.5% 550,000 Household Finance CO 8.000% 07/15/10 106.676 586,718 7.50% 6.6% 700,000 Citibank Credit Card Issuance Trust 6.900% 10/15/07 107.812 754,684 6.40% 5.0% 500,000 Intl Lease Fin 5.125% 08/01/04 102.102 510,510 5.02% 3.9% 600,000 Key Bank 7.000% 02/01/11 106.451 638,706 6.58% 6.0% 500,000 Lehman Brothers 7.750% 01/15/05 107.894 539,470 7.18% 4.6% 320,000 Meadwestvaco Cor 6.850% 04/01/12 103.630 331,616 6.61% 6.2% 600,000 Morgan J.P. & CO Inc 6.875% 01/15/07 107.236 643,416 6.41% 5.1% 540,000 Wells Fargo & CO 4.800% 07/29/05 101.868 550,087 4.71% 4.1% 935,000 MBNA Master C/C Trust 7.350% 07/16/07 108.218 1,011,838 6.79% 5.1% INDUSTRIALS $ 350,000 Albertson's Inc 7.500% 02/15/11 $108.571 $ 379,999 6.91% 6.1% 350,000 Amerada Hess 6.650% 08/15/11 104.049 364,172 6.39% 6.1% 330,000 Centex Corp 7.875% 02/01/11 107.875 355,988 7.30% 6.5% 500,000 Honeywell Inc 7.000% 03/15/07 108.497 542,485 6.45% 4.9% 550,000 IBM Corp 5.625% 04/12/04 103.767 570,719 5.42% 3.2% 580,000 Kimberly-Clark Corp. 6.375% 01/01/28 99.874 579,269 6.38% 6.4% 575,000 Kraft Foods Inc. 6.250% 06/01/12 102.557 589,703 6.09% 5.6% 550,000 Target Corp 7.000% 07/15/31 105.338 579,359 6.65% 6.6% 605,000 Unitedhealth Group Inc 5.200% 01/17/07 100.603 608,648 5.17% 4.8% 525,000 Viacom Inc 7.875% 07/30/30 106.554 559,409 7.39% 7.0% 510,000 Wal-Mart 6.500% 06/01/03 103.725 528,998 6.27% 2.6% UTILITIES $ 485,000 Bellsouth Telecom 6.375% 06/15/04 $105.329 $ 510,846 6.05% 3.5% 360,000 Conoco Inc 6.350% 04/15/09 103.524 372,686 6.13% 5.4% 500,000 Duke Energy Corp 6.000% 12/01/28 88.893 444,465 6.75% 6.9% 350,000 Philips Petroleum 6.375% 03/30/09 103.306 361,571 6.17% 5.3% 535,000 PPL Electric Util 5.875% 08/15/07 102.996 551,029 5.70% 5.3% 955,000 Tennessee Valley Auth 6.000% 03/15/13 103.870 991,959 5.78% 5.5% 500,000 Verizon Global 6.750% 12/01/05 103.498 517,490 6.52% 5.6% ------------ Total Corporate Bonds (identified cost, $17,256,016) - 40.4% $19,069,988 ------------ GOVERNMENT INTERESTS U.S. GOVERNMENT AGENCIES $ 1,000,000 FHLB 5.125% 03/06/06 $103.938 $ 1,039,380 4.93% 4.0% 530,000 FHLB 5.800% 09/02/08 105.719 560,311 5.49% 4.7% 500,000 FHLMC 3.250% 01/15/04 101.034 505,170 3.22% 2.6% 750,000 FHLMC 4.875% 03/15/07 102.214 766,605 4.77% 4.3% 40,000 FHLMC 5.750% 04/15/08 105.468 42,187 5.45% 4.7% U.S. GOVERNMENT AGENCIES - continued - ------------------------------------ $ 900,000 FNMA 7.125% 02/15/05 $109.008 $ 981,072 6.54% 3.5% 440,000 FNMA 5.740% 01/21/09 102.014 448,862 5.63% 5.4% FNMA $ 1,004,062 FNMA Pool #597396 6.500% 09/01/31 $101.937 $ 1,023,511 6.38% 6.1% 730,031 FNMA Pool #634823 6.500% 03/01/32 101.937 744,172 6.38% 6.2% 386,018 FNMA Pool #479477 6.000% 01/01/29 100.187 386,740 5.99% 6.5% 386,702 FNMA Pool #489357 6.500% 03/01/29 102.125 394,919 6.36% 6.0% 389,612 FNMA Pool #535332 8.500% 04/01/30 106.687 415,665 7.97% 3.7% 494,188 Freddie Mac Pool #E00903 7.000% 10/01/15 105.062 519,204 6.66% 5.8% FHLMC $ 404,463 FGLMC Pool #c27663 7.000% 06/01/29 103.625 $ 419,125 6.76% 6.7% GNMA $ 477,107 GNMA II Pool #2671 6.000% 11/20/28 $ 99.813 $ 476,215 6.01% 6.2% 270,748 GNMA Pool #0510706 8.000% 11/15/29 106.656 288,769 7.50% 6.1% 159,232 GNMA Pool #2909 8.000% 04/20/30 106.063 168,886 7.54% 6.2% 605,853 GNMA Pool #2972 7.500% 09/20/30 104.969 635,958 7.14% 6.6% 202,540 GNMA Pool #2973 8.000% 09/20/30 106.063 214,820 7.54% 6.3% 1,702,523 GNMA Pool #374892 7.000% 02/15/24 104.406 1,777,536 6.70% 7.8% 374,236 GNMA Pool #376400 6.500% 02/15/24 102.749 384,524 6.33% 6.0% 574,072 GNMA Pool #379982 7.000% 02/15/24 104.406 599,366 6.70% 7.8% 793,310 GNMA Pool #410081 8.000% 08/15/25 107.000 848,842 7.48% 6.1% 641,180 GNMA Pool #427199 7.000% 12/15/27 104.031 667,026 6.73% 7.7% 309,408 GNMA Pool #436214 6.500% 02/15/13 104.655 323,811 6.21% 5.4% 296,174 GNMA Pool #442996 6.000% 06/15/13 102.781 304,411 5.84% 7.3% 883,227 GNMA Pool #448490 7.500% 03/15/27 106.094 937,051 7.07% 5.3% 1,020,257 GNMA Pool #458762 6.500% 01/15/28 102.406 1,044,806 6.35% 7.6% 917,826 GNMA Pool #460726 6.500% 12/15/27 102.406 939,909 6.35% 7.6% 608,867 GNMA Pool #463839 6.000% 05/15/13 102.781 625,800 5.84% 7.4% 590,484 GNMA Pool #478072 6.500% 05/15/28 102.375 604,508 5.84% 6.5% 294,699 GNMA Pool #488924 6.500% 11/15/28 102.375 301,699 6.35% 4.1% U.S. TREASURIES $ 1,750,000 U.S. Treasury Bonds 7.250% 05/15/16 $117.855 $ 2,062,463 6.15% 5.4% 550,000 U.S. Treasury Bonds 6.125% 08/15/29 106.205 584,128 5.77% 5.7% 750,000 U.S. Treasury Notes 3.625% 03/31/04 101.546 761,595 3.57% 2.7% 1,950,000 U.S. Treasury Notes 7.500% 02/15/05 110.703 2,158,709 6.77% 3.2% 2,450,000 U.S. Treasury Notes 4.625% 05/15/06 103.000 2,523,500 4.49% 3.8% ----------- Total Government Interests (identified cost, $27,844,117) - 58.3% $27,481,255 ----------- Total Investments (identified cost, $45,100,133) - 98.7% $46,551,243 Other Assets, less Liabilities - 1.3% 619,523 ----------- Net Assets -- 100.0% $47,170,766 ============ Average Maturity - 6.4 Years See notes to financial statements
SELECTED BLUE CHIP EQUITIES PORTFOLIO (SBCP) - ------------------------------------------------------------------------------ PORTFOLIO OF INVESTMENTS - June 30, 2002 (unaudited) Equity Interests -- 99.2% Shares Value AUTOMOBILES & COMPONENTS -- 0.8% Gentex Corp......................... 11,900 $ 326,893 ----------- BANKS -- 11.6% City National Corp.................. 6,800 $ 365,500 Commerce Bancorp Inc/NJ............. 8,100 358,020 Golden State Bancorp................ 21,600 783,000 Greenpoint Financial Corp........... 16,700 819,970 M&T Bank Corp....................... 4,900 420,224 Mercantile Bankshares Corp.......... 11,300 463,639 Nat'l. Commerce Financial Corp...... 16,900 444,470 North Fork Bancorporation........... 16,200 644,922 Roslyn Bancorp Inc.................. 10,400 227,032 TCF Financial Corp.................. 7,500 368,250 Westamerica Bancorp................. 4,300 170,108 ----------- $ 5,065,135 ----------- CAPITAL GOODS -- 8.1% Agco Corp........................... 13,700 $ 267,150 Ametek Inc. New..................... 4,300 160,175 Donaldson Co. Inc................... 8,700 304,848 Fastenal Co......................... 6,600 254,166 Flowserve Corp...................... 8,700 259,260 Hubbell (Harvey) Inc................ 7,700 262,955 Jacobs Engineering.................. 7,800 271,284 L-3 Communications Hldgs............ 9,700 523,800 Pentair Inc......................... 4,300 206,744 Precision Castparts Corp............ 3,300 108,900 SPX Corp.*.......................... 2,200 258,500 Teleflex Inc........................ 3,300 188,595 Vishay Intertechnology Inc.......... 21,100 464,200 ----------- $ 3,530,577 ----------- COMMERCIAL SERVICES & SUPPLIES -- 4.9% Bisys Group Inc..................... 14,000 $ 466,200 Ceridan Corp - New.................. 12,000 227,760 Choicepoint Inc..................... 9,333 424,372 DST Systems Inc.*................... 10,300 470,813 Dun & Bradstreet Corp............... 6,500 214,825 Manpower Inc........................ 6,000 220,500 NCO Group Inc....................... 4,300 93,654 ----------- $ 2,118,124 ----------- COMPUTERS & PERIPHERALS -- 0.3% Storage Technology Corp............. 9,300 $ 148,521 ----------- CONSUMER DURABLES & APPAREL -- 3.6% Coach Inc........................... 4,900 $ 269,010 Furniture Brands Int'l. Inc......... 7,100 214,775 Lennar Corp......................... 8,200 501,840 Mohawk Inds. Inc.................... 6,000 369,180 Timberland Co....................... 6,000 214,920 ----------- $ 1,569,725 ----------- DIVERSIFIED FINANCIALS -- 4.7% Americredit Corp.................... 4,300 $ 120,615 Compass Bancshares IN............... 9,800 329,280 E*trade Group Inc................... 20,200 110,292 Eaton Vance Corp.................... 7,000 218,400 Edwards (A.G.) Inc.................. 13,500 524,745 Legg Mason Inc...................... 8,700 429,258 Metris Companies Inc................ 3,300 27,423 SEI Investments Co.................. 10,200 287,334 ----------- $ 2,047,347 ----------- ELECTRONIC EQUIPMENT & INSTRUMENTS-- 1.6% Arrow Electrs. Inc. Com............. 6,500 $ 134,875 Avnet Inc........................... 16,200 356,238 Diebold, Inc........................ 6,000 223,440 ----------- $ 714,553 ----------- ENERGY -- 7.4% Cooper Cameron Corp................. 6,500 $ 314,730 Ensco Int'l. Inc.................... 20,500 558,830 Equitable Resources Inc............. 9,600 329,280 Murphy Oil Corp..................... 3,200 264,000 National Oilwell Inc................ 7,000 147,350 Patterson-Uti Energy Inc............ 8,000 225,840 Smith Int'l. Inc.................... 9,700 661,443 Weatherford Intl. Ltd............... 11,400 492,480 Western Gas Resources............... 5,900 220,660 ----------- $ 3,214,613 ----------- FOOD, BEVERAGE & TOBACCO -- 5.2% Dean Foods Co. New.................. 8,700 $ 324,510 Dreyer's Grand Ice Cream Inc........ 8,600 589,960 McCormick & Co...................... 8,600 221,450 Smucker Co. (J.M.) New.............. 10,679 364,474 Tyson Foods Inc.-Cl A............... 50,200 778,602 ----------- $ 2,278,996 ----------- HEALTH CARE EQUIPMENT & SERVICES-- 8.3% Apogent Tech Inc.................... 16,200 $ 333,234 Covance Inc......................... 9,100 170,625 Dentsply Int'l. Inc................. 14,550 537,040 Express Scripts Inc-CL A............ 8,600 430,946 First Health Group Corp............. 8,100 227,124 Health Net Inc...................... 9,900 265,023 Lifepoint Hospitals Inc............. 5,700 206,967 Oxford Health Plans................. 6,000 278,760 Quest Diagnostics Inc............... 7,000 602,350 Schein Henry Inc.................... 4,300 191,350 Triad Hospitals Inc................. 8,500 360,230 ----------- $ 3,603,649 ----------- HOTELS, RESTAURANTS & LEISURE -- 3.1% Brinker International Inc.*......... 15,150 $ 481,012 Gtech Holdings Corp................. 11,800 301,372 Park Place Entertainment............ 53,500 548,375 ----------- $ 1,330,759 ----------- HOUSEHOLD & PERSONAL PRODUCTS -- 0.4% Dial Corp........................... 9,100 $ 182,182 ----------- INSURANCE -- 4.0% American Financial Group, Inc....... 8,100 $ 193,590 Everest Re Group Ltd................ 7,700 430,815 Protective Life Corp................ 15,100 499,810 Radian Group Inc.................... 12,500 610,625 ----------- $ 1,734,840 ----------- MATERIALS -- 3.7% Airgas Inc.......................... 25,400 $ 439,420 H.B. Fuller Co...................... 17,800 521,362 RPM Inc/Ohio........................ 15,500 236,375 Sonoco Products..................... 8,400 237,888 Valspar Corp........................ 3,800 171,532 ----------- $ 1,606,577 ----------- MEDIA -- 4.1% Emmis Communications................ 9,900 $ 209,781 Entercom Communications Corp........ 4,900 224,910 Harte-Hanks Inc..................... 12,300 252,765 Hispanic Broadcasting Corp.......... 10,200 266,220 Westwood One Inc.................... 25,400 848,868 ----------- $ 1,802,544 ----------- PHARMACEUTICALS & BIOTECHNOLOGY -- 4.0% Barr Laboratories*.................. 8,800 $ 559,064 Edwards Lifesciences Cp-WI.......... 3,300 76,560 Gilead Sciences Inc................. 10,800 355,104 ICN Pharmaceutical.................. 10,300 249,363 Idec Pharmaceuticals Corp.*......... 9,900 350,955 Millennium Pharmaceuticals.......... 11,800 143,370 ----------- $ 1,734,416 ----------- RETAILING -- 4.3% American Eagle Outfitters........... 16,600 $ 350,924 Barnes & Noble Inc.................. 9,600 253,728 BJ's Wholesale Club................. 10,000 385,000 CDW Computer Centers Inc.*.......... 8,800 411,928 Neiman Marcus Grp Cl A.............. 6,000 208,200 Williams-Sonoma Inc................. 8,200 251,412 ----------- $ 1,861,192 ----------- SEMICONDUCTOR EQUIPMENT & PRODUCTS-- 4.8% Atmel Corp......................... 52,900 $ 331,154 Fairchild Semicon. Int'l. - Cl A.... 8,700 211,410 Integrated Device Technology Inc.*.. 13,500 244,890 International Rectifier Corp........ 5,400 157,410 Lam Research Corp................... 15,100 271,498 Microchip Technology Inc............ 17,850 489,626 Rf Micro Devices Inc................ 20,000 152,400 Semtech Corp........................ 8,100 216,270 ----------- $ 2,074,658 ----------- SOFTWARE & SERVICES -- 7.6% Advent Software Inc................. 5,900 $ 151,630 Affiliated Computer Services Inc.... 9,700 460,556 Cadence Design Sys. Inc............. 22,700 365,924 Electronic Arts Inc.*............... 11,900 785,995 Henry Jack & Assoc.................. 13,500 225,315 Reynolds & Reynolds................. 9,700 271,115 SunGard Data Systems*............... 20,500 542,840 Symantec Corp.*..................... 15,100 496,035 ----------- $ 3,299,410 ----------- TELECOMMUNICATION SERVICES -- 0.7% Telephone & Data Systems............ 5,400 $ 326,970 ----------- TRANSPORTATION -- 1.6% C.H. Robinson Worldwide Inc......... 21,100 $ 707,483 ----------- UTILITIES -- 4.4% American Water Works, Inc........... 6,000 $ 259,260 Northeast Utilities................. 7,000 131,670 Ocean Energy Inc.................... 12,500 270,875 Questar Corp........................ 19,400 479,180 Scana Corp.......................... 24,800 765,576 ----------- $ 1,906,561 ----------- TOTAL EQUITY INTERESTS-- 99.2% (identified cost, $43,464,895) $ 43,185,725 OTHER ASSETS, LESS LIABILITIES -- 0.8% 367,448 ----------- NET ASSETS -- 100% $ 43,553,173 ============ * Non-income-producing security. See notes to financial statements INTERNATIONAL BLUE CHIP EQUITIES PORTFOLIO (IBCP) - ------------------------------------------------------------------------------- PORTFOLIO OF INVESTMENTS - June 30, 2002 (unaudited) Equity Interests -- 94.4% Shares Value AUSTRALIA -- 2.2% Aust & Nz Bank Grp ............ 61,550 $ 666,488 Natl Australia Bk ............ 37,050 736,250 Tabcorp Hldgs Ltd ............ 38,300 268,747 ----------- $ 1,671,485 ----------- BELGIUM -- 0.4% Colruyt Sa ............ 5,900 $ 276,774 ----------- CANADA -- 2.6% Bank Nova Scotia Hal ............ 32,200 $ 1,058,372 Biovail Corp ............ 7,200 208,512 Cdn Imperial Bk Of C ............ 17,200 549,622 Celestica Inc ............ 7,900 179,409 ----------- $ 1,995,915 ----------- FINLAND -- 1.9% Upm-Kymmene Oyj..................... 36,000 $ 1,417,162 ----------- FRANCE -- 7.8% Alcatel ............ 24,019 $ 166,997 Atos Origin ............ 4,000 254,800 Aventis ............ 8,100 570,483 Axa ............ 28,625 523,560 Bnp Paribas ............ 17,998 995,387 Carrefour ............ 6,247 338,089 Sanofi-Synthelabo ............ 4,734 287,997 Seb Sa ............ 7,233 636,466 Tf1 - Tv Francaise ............ 10,900 291,833 Total Fina Elf ............ 7,155 1,161,691 Vivendi Universal ............ 14,725 318,187 Zodiac ............ 15,500 379,632 ----------- $ 5,925,122 ----------- GERMANY -- 9.1% Allianz Ag ............ 2,500 $ 500,711 Altana Ag ............ 8,100 407,976 Basf Ag ............ 8,770 406,644 Bayer Motoren Werk ............ 11,400 470,046 Buderus Ag ............ 14,700 332,454 Continental Ag ............ 8,940 158,041 Deutsche Bank Ag ............ 9,300 646,140 E.On Ag ............ 23,800 1,386,783 Gehe Ag ............ 13,300 564,806 Marschollek Lauten ............ 5,500 171,644 Rhoen-Klinikum Ag ............ 4,650 225,024 Sap Ag ............ 3,100 306,155 Schering Ag ............ 9,100 569,334 Siemens Ag ............ 12,100 725,956 ----------- $ 6,871,714 ----------- GREECE -- 0.9% Coca-Cola Hell Bot ............ 15,670 $ 265,252 Ote(Hellenic Tlcm) ............ 24,900 393,457 ----------- $ 658,709 ----------- HONG KONG -- 1.0% China Mobile (Hk) ............ 90,400 $ 267,729 Hutchison Whampoa ............ 65,900 492,141 ----------- $ 759,870 ----------- IRELAND -- 2.9% Allied Irish Banks ............ 53,400 $ 709,323 Anglo Irish Bank ............ 61,600 397,258 Bk Of Ireland ............ 87,720 1,092,430 ----------- $ 2,199,011 ----------- ITALY -- 1.4% Eni S P A ............ 12,900 $ 1,032,000 ----------- JAPAN -- 14.7% Aderans Co ............ 6,400 $ 200,767 Belluna Co Ltd ............ 4,700 183,514 Canon Inc ............ 14,000 529,117 Daikin Industries ............ 20,000 366,260 Eisai Co ............ 16,000 411,146 Familymart Co ............ 7,600 183,881 Fanuc ............ 7,500 376,690 Fuji Photo Film Co ............ 9,000 290,589 Honda Motor Co ............ 24,000 973,135 Ito-Yokado Co ............ 6,000 300,350 Kao Corp ............ 8,000 184,215 Keyence Corp ............ 1,000 211,831 Nissan Motor Co ............ 42,000 290,837 Ntt Docomo ............ 475 1,169,072 Orix Corp ............ 6,000 484,065 Promise Co ............ 5,500 277,157 Ricoh Co ............ 21,000 363,550 Rohm Co Ltd ............ 2,000 298,515 Shin-Etsu Chemical ............ 22,000 945,270 Smc Corp ............ 4,000 472,885 Sony Corp ............ 12,600 665,426 Takeda Chem Inds ............ 18,000 789,921 Toyota Motor Corp ............ 42,700 1,132,874 ----------- $ 11,101,067 ----------- KOREA -- 0.9% Kt Corp ............ 20,100 $ 435,165 Sk Telecom Ltd ............ 11,400 282,606 ----------- $ 717,771 ----------- MEXICO -- 1.8% Cemex S A ............ 26,496 $ 698,435 Telefonos De Mexico ........... 409,300 650,255 ----------- $ 1,348,690 ----------- NETHERLANDS -- 5.3% Abn-Amro Hldgs Nv ............ 24,200 $ 439,518 Aegon Nv ............ 15,099 314,785 Asm Lithography Hldg ............ 13,800 208,656 Hagemeyer ............ 21,288 294,334 Ihc Caland Nv ............ 10,369 620,055 Ing Groep Nv ............ 32,009 821,911 Philips Elec(Kon) ............ 21,659 604,704 Royal Dutch Petrol ............ 12,078 672,749 ----------- $ 3,976,712 ----------- NORWAY -- 1.2% Norsk Hydro As ............ 19,100 $ 911,185 ----------- SINGAPORE -- 0.8% Flextronics Intl Ltd ............ 6,700 $ 47,771 Singapore Press Hd ............ 48,000 540,653 ----------- $ 588,424 ----------- SOUTH AFRICA -- 0.5% Sasol ............ 35,400 $ 375,598 ----------- SPAIN -- 6.5% Altadis Sa ............ 40,258 $ 830,957 Bco Sant Cent Hisp ............ 96,100 763,063 Cia Esp Petroleos ............ 43,400 744,080 Endesa Sa ............ 52,100 756,883 Gas Natural Sdg ............ 48,300 930,166 Grupo Dragados Sa ............ 12,050 214,805 Grupo Ferrovial Sa ............ 11,000 299,943 Telefonica Sa ............ 42,968 360,699 ----------- $ 4,900,596 ----------- SWEDEN -- 0.7% Electrolux Ab ............ 14,000 $ 282,576 Ericsson(Lm)Tel ............ 152,600 230,792 ----------- $ 513,368 ----------- SWITZERLAND -- 7.0% Nestle Sa ............ 5,700 $ 1,329,011 Novartis Ag ............ 34,480 1,516,355 Sgs Holding ............ 1,450 462,792 Stmicroelectronics ............ 12,488 311,411 Swiss Reinsurance ............ 9,180 897,490 Ubs Ag ............ 16,000 804,704 ----------- $ 5,321,763 ----------- TAIWAN -- 0.9% Taiwan Semiconductor ............ 26,290 $ 341,770 United Microelectron ............ 42,800 314,580 ----------- $ 656,350 ----------- UNITED KINGDOM -- 23.9% Alliance Unichem ............ 58,362 $ 551,544 Amvescap ............ 33,011 268,944 Anglo American ............ 41,800 695,117 Barclays ............ 166,368 1,399,804 Bhp Billiton Plc ............ 103,609 564,586 Bp ............ 206,651 1,735,579 Brit Amer Tobacco ............ 52,383 562,908 British Sky Broadc ............ 40,000 383,500 Diageo ............ 91,349 1,186,313 Glaxosmithkline ............ 48,310 1,044,168 Great Univ Stores ............ 38,936 357,573 Hsbc Hldgs ............ 122,833 1,412,641 Legal & General Gp ............ 210,803 420,130 Lloyds Tsb Group ............ 87,765 873,560 Meggitt ............ 119,723 399,575 Mitie Group ............ 138,547 275,584 Reckitt Benckiser ............ 35,988 645,639 Royal Bk Scot Grp ............ 49,055 1,390,763 Scottish Pwr Plc ............ 40,800 873,120 Shell Trnspt&Trdg ............ 115,396 870,663 Unilever Plc ............ 47,036 428,733 Vodafone Group ............ 854,310 1,171,942 Wolseley ............ 58,796 595,974 ----------- $ 18,108,360 ----------- TOTAL EQUITY INTERESTS - 94.4% (identified cost, $74,718,553) $ 71,327,646 ----------- Reserve Funds -- 4.4% Face Amount American Express Corp., 1.970%, 7/01/02 (at cost)........$3,345,000 $ 3,345,000 ----------- TOTAL INVESTMENTS - 98.8% (identified cost, $78,063,553) $ 74,672,646 OTHER ASSETS, LESS LIABILITIES -- 1.2% 940,109 ----------- NET ASSETS -- 100% $ 75,612,755 ============ * Non-income-producing security. ADR: American Depository Receipts. See notes to financial statements WRIGHT U.S. TREASURY MONEY MARKET FUND (WTMM) - ------------------------------------------------------------------------------- PORTFOLIO OF INVESTMENTS - June 30, 2002 (unaudited) Face Interest Maturity Amount Issuer Rate Date Value - ------------------------------------------------------------------------------- $2,650,000 U.S. Treasury Bills 1.715% 7/05/02 $ 2,643,435 750,000 U.S. Treasury Bills 1.700% 7/05/02 749,008 125,000 U.S. Treasury Bills 1.620% 7/11/02 124,718 285,000 U.S. Treasury Bills 1.650% 7/11/02 284,438 2,400,000 U.S. Treasury Bills 1.660% 7/11/02 2,395,352 1,300,000 U.S. Treasury Bills 1.640% 7/18/02 1,297,454 2,400,000 U.S. Treasury Bills 1.630% 7/18/02 2,395,436 2,500,000 U.S. Treasury Bills 1.610% 7/25/02 2,495,304 2,750,000 U.S. Treasury Bills 1.650% 8/01/02 2,742,690 2,100,000 U.S. Treasury Bills 1.670% 9/19/02 2,091,135 500,000 U.S. Treasury Bills 1.610% 10/10/02 497,629 275,000 U.S. Treasury Bills 1.590% 10/10/02 273,725 ---------- Total Investments At Amortized Cost -- 100.4% $ 17,990,326 Liabilities in Excess of Other Assets -- (0.4%) (79,369) -------------- Net Assets -- 100.0% $ 17,910,957 ============== See notes to financial statements U.S. GOVERNMENT NEAR TERM PORTFOLIO (NTBP) - ------------------------------------------------------------------------------- PORTFOLIO OF INVESTMENTS - June 30, 2002 (unaudited)
Face Coupon Maturity Market Current Yield To Amount Description Rate Date Price Value Yield Maturity - ---------------------------------------------------------------------------------------------------------------------------------- GOVERNMENT BONDS $ 2,500,000 U.S. Treasury Notes 2.750% 10/31/03 100.561 $ 2,514,025 2.73% 2.3% 2,000,000 U.S. Treasury Notes 4.250% 11/15/03 102.515 2,050,300 4.15% 2.4% 2,500,000 U.S. Treasury Notes 4.750% 02/15/04 103.448 2,586,200 4.59% 2.6% 1,000,000 U.S. Treasury Notes 4.625% 05/15/06 103.000 1,030,000 4.49% 3.8% AGENCIES $ 1,160,000 Fed Farm Credits Bks 5.000% 02/03/03 101.733 $ 1,180,103 4.91% 2.1% 500,000 FHLB 5.125% 01/13/03 101.653 508,265 5.04% 2.0% 2,000,000 FHLB 4.875% 04/16/04 103.384 2,067,680 4.72% 2.9% 725,000 FHLB 5.000% 09/12/05 102.765 745,046 4.87% 4.1% 2,000,000 FHLMC 3.200% 12/24/03 100.105 2,002,100 3.20% 3.1% 500,000 FHLMC 3.550% 07/29/04 100.632 503,160 3.53% 3.6% 1,500,000 FHLMC 3.875% 06/27/05 100.550 1,508,250 3.85% 3.7% 2,000,000 FHLMC 5.250% 01/15/06 104.264 2,085,280 5.04% 4.0% 1,050,000 FHLMC 5.000% 03/13/07 101.437 1,065,089 4.93% 4.7% 2,875,000 FNMA 5.000% 02/14/03 101.810 2,927,038 4.91% 2.1% 1,000,000 FNMA 3.125% 11/15/03 101.005 1,010,050 3.09% 2.4% 595,000 FNMA 3.300% 02/25/04 100.402 597,392 3.29% (0.2%) 750,000 FNMA 3.700% 09/10/04 101.033 757,748 3.66% 3.2% 2,270,000 FNMA 3.500% 09/15/04 100.662 2,285,027 3.48% 3.2% 450,000 FNMA 4.200% 10/01/04 102.093 459,419 4.11% 3.2% 500,000 FNMA 4.250% 05/30/05 101.550 507,750 4.19% 3.7% 850,000 FNMA 6.000% 12/15/05 106.782 907,647 5.62% 3.9% 1,070,000 FNMA 5.250% 06/15/06 104.073 1,113,581 5.04% 4.1% 750,000 FNMA 4.375% 10/15/06 100.547 754,103 4.35% 4.2% 325,000 FNMA 4.500% 10/17/06 100.764 327,483 4.47% 4.3% 800,000 FNMA 5.125% 02/14/07 102.991 823,928 4.98% 4.4% ----------- FHLMC $ 499,052 FGFB Pool #m90724 5.500% 05/01/07 103.438 $ 516,205 5.32% 4.6% 493,192 FHLMC Gold Balloon #m90710 5.000% 03/01/07 102.593 505,980 4.87% 4.8% Total Investments (identified cost, $32,716,660) -- 94.9% $33,338,848 ----------- Reserve Funds -- 4.1% Face Amount 1,435,000 American Express Corp. (at cost) 1.970% 07/01/02 100.000 $ 1,435,000 ----------- TOTAL INVESTMENTS (identified cost, $34,151,660) - 99.0% $ 34,773,848 Other Assets, Less Liabilities -- 1.0% 345,459 ----------- Net Assets -- 100.0% $35,119,307 ============ Average Maturity -- 2.5 Years See notes to financial statements
U.S. GOVERNMENT INTERMEDIATE PORTFOLIO (USTBP) - ------------------------------------------------------------------------------- PORTFOLIO OF INVESTMENTS - June 30, 2002 (unaudited)
Face Coupon Maturity Market Current Yield To Amount Description Rate Date Price Value Yield Maturity - ----------------------------------------------------------------------------------------------------------------------------------- GOVERNMENT BONDS $ 250,000 U.S. Treasury Bonds 11.625% 11/15/04 $119.277$ 298,193 9.75% 3.2% 700,000 U.S. Treasury Bonds 10.000% 05/15/10 117.418 821,926 8.52% 7.1% 850,000 U.S. Treasury Bonds 14.000% 11/15/11 139.757 1,187,935 10.02% 7.9% 250,000 U.S. Treasury Notes 2.750% 10/31/03 100.561 251,403 2.73% 2.3% 800,000 U.S. Treasury Notes 6.500% 08/15/05 108.906 871,248 5.97% 3.5% 200,000 U.S. Treasury Notes 3.500% 11/15/06 98.218 196,436 3.56% 3.9% 750,000 U.S. Treasury Notes 6.125% 08/15/07 108.994 817,455 5.62% 4.2% 250,000 U.S. Treasury Notes 4.750% 11/15/08 101.829 254,572 4.66% 4.4% 250,000 U.S. Treasury Notes 5.500% 05/15/09 105.796 264,490 5.20% 4.5% 750,000 U.S. Treasury Notes 4.875% 02/15/12 100.375 752,813 4.86% 4.8% AGENCIES $ 450,000 FHLB 3.625% 10/15/04 $100.830 $ 453,735 3.60% 3.2% 360,000 FHLMC 3.200% 12/24/03 100.105 360,378 3.20% 3.1% 250,000 FHLMC 3.875% 06/27/05 100.550 251,375 3.85% 3.7% 500,000 FHLMC 4.875% 03/15/07 102.214 511,070 4.77% 4.3% 750,000 FNMA 3.125% 11/15/03 101.005 757,537 3.09% 2.4% 850,000 FNMA 3.625% 04/15/04 101.235 860,498 3.58% 2.9% 300,000 FNMA 3.700% 09/10/04 101.033 303,099 3.66% 3.2% 450,000 FNMA 3.875% 03/15/05 100.912 454,104 3.84% 3.5% 250,000 FNMA 4.250% 05/30/05 101.550 253,875 4.19% 3.7% 450,000 FNMA 4.375% 10/15/06 100.547 452,461 4.35% 4.2% 250,000 FNMA 5.375% 11/15/11 100.098 250,245 5.37% 5.4% FHLMC $ 99,810 FGFB Pool #m90724 5.500% 05-01-07 $103.437 $ 103,240 5.32% 4.6% ----------- Total Investments (identified cost, $10,336,097) - 98.4% $10,728,088 Other Assets, less Liabilities - 1.6% 179,357 ----------- Net Assets - 100.0% $10,907,445 ============ Average Maturity - 4.8 Years See notes to financial statements
CURRENT INCOME PORTFOLIO (CIFP) - ------------------------------------------------------------------------------- PORTFOLIO OF INVESTMENTS - June 30, 2002 (unaudited)
Face Coupon Maturity Market Current Amount Description Rate Date Price Value Yield - --------------------------------------------------------------------------------------------------------------------------------- GOVERNMENT INTERESTS - 92.6% FNMA - ----- $ 988,403 FNMA Pool #535131 6.000% 03-01-29 $100.187 $ 990,251 5.99% FHLMC - ------ $ 547,216 FGLMC Pool #c27663 7.000% 06-01-29 $103.625 $ 567,053 6.76% GNMA - ----- $ 510,158 GNMA II Pool #000723 7.500% 01-20-23 $105.532 $ 538,380 7.11% 390,720 GNMA Ii Pool #001268 8.000% 07-20-23 106.664 416,758 7.50% 206,537 GNMA II Pool #1788 7.000% 07-20-24 104.000 214,798 6.73% 209,374 GNMA II Pool #2218 7.500% 05-20-26 105.344 220,563 7.12% 363,941 GNMA II Pool #545 7.500% 12-20-22 105.532 384,074 7.11% 174,596 GNMA Pool #002855 8.500% 12-20-29 106.781 186,435 7.96% 258 GNMA Pool #003026 8.000% 01-15-04 102.965 266 7.77% 163 GNMA Pool #003331 8.000% 01-15-04 102.965 168 7.77% 492 GNMA Pool #004183 8.000% 07-15-04 104.883 516 7.63% 391 GNMA Pool #004433 9.000% 11-15-04 105.467 413 8.53% 650,266 GNMA Pool #431612 8.000% 11-15-26 107.000 695,785 7.48% 582,974 GNMA Pool #462444 6.500% 12-15-27 102.406 597,000 6.35% 161 GNMA Pool #11191 7.250% 04-15-06 106.038 171 6.84% 1,263 GNMA Pool #12526 8.000% 11-15-06 107.239 1,354 7.46% 26,899 GNMA Pool #151443 10.000% 03-15-16 112.671 30,307 8.88% 6,880 GNMA Pool #153564 10.000% 04-15-16 112.125 7,714 8.92% 24,847 GNMA Pool #1596 9.000% 04-20-21 108.344 26,920 8.31% 44,169 GNMA Pool #172558 9.500% 08-15-16 110.750 48,917 8.58% 70,984 GNMA Pool #176992 8.000% 11-15-16 108.250 76,840 7.39% 7,494 GNMA Pool #177784 8.000% 10-15-16 108.250 8,112 7.39% 12,435 GNMA Pool #180033 9.500% 09-15-16 110.750 13,772 8.58% 4,465 GNMA Pool #188060 9.500% 10-15-16 110.750 4,945 8.58% 636 GNMA Pool #190959 8.500% 02-15-17 109.187 694 7.78% 15,017 GNMA Pool #192357 8.000% 04-15-17 108.175 16,245 7.40% 84,751 GNMA Pool #194057 8.500% 04-15-17 109.187 92,537 7.78% 36,922 GNMA Pool #194287 9.500% 03-15-17 110.481 40,792 8.60% 215,165 GNMA Pool #194926 8.500% 02-15-17 109.187 234,932 7.78% 3,980 GNMA Pool #196063 8.500% 03-15-17 109.187 4,346 7.78% 36,247 GNMA Pool #203369 8.000% 12-15-16 108.250 39,237 7.39% 14,361 GNMA Pool #206740 10.000% 10-15-17 112.875 16,210 8.86% 49,920 GNMA Pool #206762 9.000% 04-15-21 109.531 54,678 8.22% 38,237 GNMA Pool #207019 8.000% 03-15-17 108.175 41,363 7.40% 5,748 GNMA Pool #208076 8.000% 04-15-17 108.175 6,218 7.40% 4,972 GNMA Pool #210520 10.500% 08-15-17 115.281 5,732 9.11% 4,764 GNMA Pool #210618 9.500% 04-15-17 110.214 5,251 8.62% 27,763 GNMA Pool #211013 9.000% 01-15-20 110.031 30,548 8.18% 18,297 GNMA Pool #211231 8.500% 05-15-17 109.187 19,978 7.78% 19,867 GNMA Pool #212601 8.500% 06-15-17 109.187 21,692 7.78% 1,417 GNMA Pool #218420 8.500% 11-15-21 108.563 1,538 7.83% 75,111 GNMA Pool #219335 8.000% 05-15-17 108.175 81,251 7.40% 124,410 GNMA Pool #220703 8.000% 05-15-17 108.175 134,581 7.40% 9,925 GNMA Pool #220917 8.500% 04-15-17 109.187 10,837 7.78% 198,594 GNMA Pool #222112 8.000% 01-15-22 107.875 214,233 7.42% 23,469 GNMA Pool #223126 10.000% 08-15-17 112.875 26,491 8.86% 26,569 GNMA Pool #223133 9.500% 07-15-17 110.750 29,425 8.58% 11,256 GNMA Pool #223348 10.000% 07-15-18 113.957 12,827 8.78% 3,881 GNMA Pool #223588 10.000% 02-15-18 112.875 4,381 8.86% 4,606 GNMA Pool #224078 10.000% 07-15-18 112.875 5,199 8.86% 629,570 GNMA Pool #2268 7.500% 08-20-26 105.344 663,214 7.12% 18,387 GNMA Pool #228308 10.000% 01-15-19 112.875 20,754 8.86% 10,405 GNMA Pool #228483 9.500% 09-15-19 111.687 11,621 8.51% 12,658 GNMA Pool #230223 9.500% 04-15-18 110.750 14,019 8.58% 15,454 GNMA Pool #245580 9.500% 07-15-18 111.375 17,212 8.53% 6,743 GNMA Pool #247473 10.000% 09-15-18 110.130 7,426 9.08% 31,169 GNMA Pool #247681 9.000% 11-15-19 110.031 34,296 8.18% 11,961 GNMA Pool #247872 10.000% 09-15-18 112.875 13,501 8.86% 15,345 GNMA Pool #250412 8.000% 03-15-18 108.175 16,599 7.40% 12,121 GNMA Pool #251241 9.500% 06-15-18 110.615 13,408 8.59% 14,989 GNMA Pool #258911 9.500% 09-15-18 111.375 16,694 8.53% 16,449 GNMA Pool #260999 9.500% 09-15-18 111.375 18,320 8.53% 16,532 GNMA Pool #263439 10.000% 02-15-19 112.875 18,660 8.86% 14,643 GNMA Pool #265267 9.500% 08-15-20 111.375 16,309 8.53% 11,469 GNMA Pool #266983 10.000% 02-15-19 112.875 12,946 8.86% 6,643 GNMA Pool #273690 9.500% 08-15-19 111.063 7,378 8.55% 7,538 GNMA Pool #274489 9.500% 12-15-19 111.687 8,419 8.51% 2,488 GNMA Pool #275456 9.500% 08-15-19 111.687 2,779 8.51% 5,346 GNMA Pool #275538 9.500% 01-15-20 111.687 5,971 8.51% 6,525 GNMA Pool #277205 9.000% 12-15-19 110.031 7,180 8.18% 50,242 GNMA Pool #285744 9.000% 05-15-20 109.406 54,968 8.23% 20,805 GNMA Pool #286556 9.000% 03-15-20 109.406 22,762 8.23% 22,705 GNMA Pool #289092 9.000% 04-15-20 109.406 24,841 8.23% 295,028 GNMA Pool #2897 8.000% 03-20-30 106.063 312,916 7.54% 5,912 GNMA Pool #290700 9.000% 08-15-20 109.406 6,468 8.23% 836,354 GNMA Pool #2909 8.000% 04-20-30 106.063 887,062 7.54% 5,241 GNMA Pool #293666 8.500% 06-15-21 108.563 5,690 7.83% 280 GNMA Pool #294209 9.000% 07-15-21 109.531 307 8.22% 4,721 GNMA Pool #297345 8.500% 08-15-20 108.718 5,133 7.82% 1,019,084 GNMA Pool #3011 7.500% 12-20-30 104.969 1,069,722 7.14% 17,953 GNMA Pool #301366 8.500% 06-15-21 108.563 19,490 7.83% 7,478 GNMA Pool #302713 9.000% 02-15-21 109.531 8,191 8.22% 4,184 GNMA Pool #302723 8.500% 05-15-21 108.563 4,542 7.83% 11,522 GNMA Pool #302781 8.500% 06-15-21 108.563 12,509 7.83% 19,224 GNMA Pool #302933 8.500% 06-15-21 108.563 20,870 7.83% 80,403 GNMA Pool #304512 8.500% 05-15-21 108.563 87,288 7.83% 126,324 GNMA Pool #305091 9.000% 07-15-21 109.531 138,364 8.22% 36,071 GNMA Pool #306693 8.500% 09-15-21 108.563 39,160 7.83% 12,758 GNMA Pool #308792 9.000% 07-15-21 109.531 13,974 8.22% 13,088 GNMA Pool #311087 8.500% 07-15-21 108.563 14,209 7.83% 5,937 GNMA Pool #314222 8.500% 04-15-22 108.312 6,430 7.85% 10,458 GNMA Pool #314581 9.500% 10-15-21 112.281 11,742 8.46% 77,100 GNMA Pool #315187 8.000% 06-15-22 107.875 83,172 7.42% 221,722 GNMA Pool #315388 8.000% 02-15-22 107.875 239,183 7.42% 18,137 GNMA Pool #315754 8.000% 01-15-22 107.875 19,565 7.42% 157,467 GNMA Pool #316240 8.000% 01-15-22 107.875 169,868 7.42% 92,185 GNMA Pool #317069 8.500% 12-15-21 108.563 100,079 7.83% 93,073 GNMA Pool #317351 8.000% 05-15-22 107.875 100,402 7.42% 26,387 GNMA Pool #317358 8.000% 05-15-22 107.875 28,465 7.42% 52,227 GNMA Pool #318776 8.000% 02-15-22 107.875 56,340 7.42% 1,428 GNMA Pool #318793 8.500% 02-15-22 108.312 1,547 7.85% 82,973 GNMA Pool #319441 8.500% 04-15-22 108.312 89,870 7.85% 50,930 GNMA Pool #321806 8.000% 05-15-22 107.875 54,941 7.42% 147,713 GNMA Pool #321807 8.000% 05-15-22 107.875 159,345 7.42% 73,741 GNMA Pool #321976 8.500% 01-15-22 108.563 80,055 7.83% 205,785 GNMA Pool #323226x 8.000% 06-15-22 107.875 221,991 7.42% 165,115 GNMA Pool #323929 8.000% 02-15-22 107.875 178,118 7.42% 99,542 GNMA Pool #325165 8.000% 06-15-22 107.875 107,381 7.42% 48,034 GNMA Pool #325651 8.000% 06-15-22 107.875 51,817 7.42% 172,201 GNMA Pool #329540 7.500% 08-15-22 106.343 183,124 7.05% 538,717 GNMA Pool #329982 7.500% 02-15-23 106.343 572,888 7.05% 46,693 GNMA Pool #331361 8.000% 11-15-22 107.875 50,370 7.42% 103,777 GNMA Pool #335746 8.000% 10-15-22 107.875 111,949 7.42% 116,662 GNMA Pool #335950 8.000% 10-15-22 107.875 125,849 7.42% 817,830 GNMA Pool #336488 7.000% 08-15-23 104.406 853,864 6.70% 803,414 GNMA Pool #348103 7.000% 06-15-23 104.406 838,812 6.70% 488,917 GNMA Pool #348213 6.500% 08-15-23 102.749 502,357 6.33% 412,741 GNMA Pool #350372 7.000% 04-15-23 104.406 430,926 6.70% 273,111 GNMA Pool #350659 7.500% 06-15-23 106.343 290,434 7.05% 720,364 GNMA Pool #350938 6.500% 08-15-23 102.749 740,167 6.33% 741,271 GNMA Pool #352001 6.500% 12-15-23 102.749 761,649 6.33% 478,702 GNMA Pool #352110 7.000% 08-15-23 104.406 499,794 6.70% 361,382 GNMA Pool #363429 7.000% 08-15-23 104.406 377,305 6.70% 531,274 GNMA Pool #367414 6.000% 11-15-23 100.500 533,930 5.97% 714,865 GNMA Pool #367806 6.500% 09-15-23 102.749 734,517 6.33% 682,042 GNMA Pool #368238 7.000% 12-15-23 104.406 712,093 6.70% 1,122,747 GNMA Pool #368502 7.000% 02-15-24 104.375 1,171,867 6.71% 1,445,656 GNMA Pool #372050 6.500% 02-15-24 102.78 1,485,846 6.32% 233,339 GNMA Pool #372379 8.000% 10-15-26 107.000 249,673 7.48% 411,083 GNMA Pool #372468 6.500% 12-15-27 102.406 420,974 6.35% 1,069,607 GNMA Pool #376218 7.500% 08-15-25 106.437 1,138,458 7.05% 486,508 GNMA Pool #376400 6.500% 02-15-24 102.749 499,882 6.33% 602,443 GNMA Pool #387189 7.000% 02-15-24 104.375 628,800 6.71% 154,266 GNMA Pool #394805 7.500% 02-15-26 106.437 164,196 7.05% 222,993 GNMA Pool #398251 7.500% 09-15-25 106.437 237,347 7.05% 403,576 GNMA Pool #405558 7.500% 01-15-26 106.437 429,555 7.05% 956,507 GNMA Pool #410215 7.500% 12-15-25 106.437 1,018,077 7.05% 1,718,502 GNMA Pool #413152 8.000% 10-15-25 107.000 1,838,798 7.48% 197,893 GNMA Pool #414736 7.500% 11-15-25 106.437 210,632 7.05% 186,035 GNMA Pool #417225 7.500% 01-15-26 106.437 198,010 7.05% 481,252 GNMA Pool #417276 7.000% 02-15-26 104.250 501,706 6.71% 1,695,897 GNMA Pool #420707 7.000% 02-15-26 104.250 1,767,973 6.71% 305,502 GNMA Pool #421829 7.500% 04-15-26 106.281 324,691 7.06% 58,685 GNMA Pool #423114 7.000% 10-15-27 104.031 61,051 6.73% 256,363 GNMA Pool #424173 7.500% 03-15-26 106.281 272,466 7.06% 321,294 GNMA Pool #427199 7.000% 12-15-27 104.031 334,245 6.73% 960,341 GNMA Pool #430279 7.000% 10-15-27 104.031 999,052 6.73% 111,102 GNMA Pool #431036 8.000% 07-15-26 107.000 118,879 7.48% 772,230 GNMA Pool #434505 7.500% 08-15-29 105.469 814,464 7.11% 515,681 GNMA Pool #436214 6.500% 02-15-13 104.655 539,686 6.21% 422,374 GNMA Pool #436723 7.500% 11-15-26 106.281 448,904 7.06% 1,462,312 GNMA Pool #436777 7.000% 04-15-27 104.031 1,521,258 6.73% 931,347 GNMA Pool #440166 7.000% 02-15-27 104.250 970,929 6.71% 540,779 GNMA Pool #442063 7.000% 10-15-26 104.250 563,762 6.71% 213,615 GNMA Pool #442190 8.000% 12-15-26 107.000 228,569 7.48% 221,527 GNMA Pool #442193 7.500% 12-15-26 106.281 235,442 7.06% 596,188 GNMA Pool #442996 6.000% 06-15-13 102.781 612,768 5.84% 297,114 GNMA Pool #446943 7.000% 04-15-27 104.031 309,091 6.73% 1,158,184 GNMA Pool #448490 7.500% 03-15-27 106.094 1,228,764 7.07% 904,970 GNMA Pool #449176 6.500% 07-15-28 102.375 926,463 6.35% 1,107,146 GNMA Pool #457100 6.500% 11-15-28 102.375 1,133,441 6.35% 716,324 GNMA Pool #458712 7.000% 11-15-27 104.031 745,199 6.73% 1,530,387 GNMA Pool #458762 6.500% 01-15-28 102.406 1,567,208 6.35% 313,097 GNMA Pool #460698 7.000% 10-15-27 104.031 325,718 6.73% 917,827 GNMA Pool #460726 6.500% 12-15-27 102.406 939,910 6.35% 734,303 GNMA Pool #462623 6.500% 03-15-28 102.375 751,743 6.35% 637,594 GNMA Pool #468173 7.000% 08-15-28 103.937 662,696 6.73% 562,338 GNMA Pool #469226 6.500% 03-15-28 102.375 575,694 6.35% 1,351,878 GNMA Pool #469615 6.500% 10-15-28 102.375 1,383,986 6.35% 1,339,848 GNMA Pool #472028 6.500% 05-15-28 102.375 1,371,669 6.35% 992,771 GNMA Pool #480030 6.500% 06-15-28 102.375 1,016,349 6.35% 1,384,463 GNMA Pool #484195 6.500% 08-15-28 102.375 1,417,344 6.35% 2,208,062 GNMA Pool #486482 6.500% 09-15-28 102.375 2,260,504 6.35% 510,632 GNMA Pool #510083 7.000% 07-15-29 103.812 530,098 6.74% 1,967,389 GNMA Pool #523002 6.500% 02-15-32 102.000 2,006,737 6.37% 1,203,005 GNMA Pool #538314 7.000% 02-15-32 103.781 1,248,491 6.74% 953 GNMA Pool #5466 8.500% 03-15-05 105.212 1,003 8.08% 1,198,878 GNMA Pool #547605 6.500% 01-15-31 102.000 1,222,856 6.37% 1,241,843 GNMA Pool #552393 6.500% 02-15-32 102.000 1,266,681 6.37% 960,162 GNMA Pool #554203 7.000% 12-15-31 103.781 996,466 6.74% 125 GNMA Pool #5561 8.500% 04-15-05 103.162 129 8.24% 408 GNMA Pool #5687 7.250% 02-15-05 104.536 427 6.94% 1,497,142 GNMA Pool #570141 6.500% 12-15-31 102.000 1,527,085 6.37% 588 GNMA Pool #5910 7.250% 02-15-05 104.536 615 6.94% 4,052 GNMA Pool #7003 8.000% 07-15-05 106.235 4,305 7.53% 249 GNMA Pool #7319 6.500% 10-15-04 101.517 253 6.40% 718,917 GNMA Pool #780429 7.500% 09-15-26 106.281 764,072 7.06% 395,186 GNMA Pool #780518 7.000% 06-15-26 104.250 411,981 6.71% 1,521 GNMA Pool #9106 8.250% 05-15-06 107.505 1,635 7.67% 1,996 GNMA Pool #9889 7.250% 02-15-06 105.692 2,110 6.86% 2,997,167 GNSF Pool #587080 6.500% 05-15-32 102.000 3,057,111 6.37% ----------- Total Government Interests (identified cost, $67,270,981) - 92.6% $ 69,604,013 ----------- Reserve Funds -- 6.7% Face Amount 3,740,000 American Express Corp. (at cost) 1.970% 07/01/02 100.000 $ 3,740,000 1.97% 1,260,000 GE Cap Corp. (at cost) 1.870% 07/01/02 100.000 $ 1,260,000 1.87% ----------- Total Commercial Paper $ 5,000,000 ----------- TOTAL INVESTMENTS (identified cost, $72,270,981) - 99.3% $ 74,604,013 Other Assets, less Liabilities - 0.7% 539,729 ----------- Net Assets - 100.0% $ 75,143,742 ============ See notes to financial statements
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