-----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, JLPyCUE8qKIfxm829AVqhxpJHFc+w2CbL+s4IRsCvM9ire4UTnJKHjXwGTrKsrln RtQ0EsHJ7Cpu6C4+ry8Qdw== 0001093801-03-001541.txt : 20031208 0001093801-03-001541.hdr.sgml : 20031208 20031208114134 ACCESSION NUMBER: 0001093801-03-001541 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20030930 FILED AS OF DATE: 20031208 EFFECTIVENESS DATE: 20031208 FILER: COMPANY DATA: COMPANY CONFORMED NAME: TOUCHSTONE STRATEGIC TRUST CENTRAL INDEX KEY: 0000711080 IRS NUMBER: 311276717 STATE OF INCORPORATION: MA FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-03651 FILM NUMBER: 031041855 BUSINESS ADDRESS: STREET 1: 221 EAST FOURTH STREET STREET 2: SUITE 300 CITY: CINCINNATI STATE: OH ZIP: 45202 BUSINESS PHONE: 5133628000 MAIL ADDRESS: STREET 1: 221 EAST FOURTH STREET STREET 2: SUITE 300 CITY: CINCINNATI STATE: OH ZIP: 45202 FORMER COMPANY: FORMER CONFORMED NAME: COUNTRYWIDE STRATEGIC TRUST DATE OF NAME CHANGE: 19970303 FORMER COMPANY: FORMER CONFORMED NAME: MIDWEST STRATEGIC TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: FINANCIAL INDEPENDENCE TRUST DATE OF NAME CHANGE: 19900604 N-CSRS 1 ncsrs-1203.txt TOUCHSTONE STRATEGIC TRUST UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-3651 -------------------------------------------- Touchstone Strategic Trust - ------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 221 East Fourth Street, Cincinnati, Ohio 45202 - ------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Patrick T. Bannigan, 221 East Fourth Street, Cincinnati, Ohio 45202 - ------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (513) 362-8000 ---------------------------- Date of fiscal year end: 3/31/04 -------------------- Date of reporting period: 9/30/03 ------------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORTS TO STOCKHOLDERS. Semiannual Report [GRAPHIC OMITTED] SEPTEMBER 30, 2003 (UNAUDITED) - -------------------------------------------------------------------------------- [LOGO] TOUCHSTONE INVESTMENTS - -------------------------------------------------------------------------------- SEMI-ANNUAL REPORT - -------------------------------------------------------------------------------- TOUCHSTONE EMERGING GROWTH FUND TOUCHSTONE ENHANCED 30 FUND TOUCHSTONE GROWTH OPPORTUNITIES FUND TOUCHSTONE LARGE CAP GROWTH FUND TOUCHSTONE SMALL CAP GROWTH FUND TOUCHSTONE VALUE PLUS FUND RESEARCH o DESIGN o SELECT o MONITOR - -------------------------------------------------------------------------------- CAPITAL APPRECIATION o TOTAL RETURN - -------------------------------------------------------------------------------- TABLE OF CONTENTS ================================================================================ Page - -------------------------------------------------------------------------------- Statements of Assets and Liabilities 3-6 - -------------------------------------------------------------------------------- Statements of Operations 7-8 - -------------------------------------------------------------------------------- Statements of Changes in Net Assets 9-11 - -------------------------------------------------------------------------------- Financial Highlights 12-29 - -------------------------------------------------------------------------------- Notes to Financial Statements 30-41 - -------------------------------------------------------------------------------- Portfolios of Investments: - -------------------------------------------------------------------------------- Emerging Growth Fund 42-46 - -------------------------------------------------------------------------------- Enhanced 30 Fund 47-48 - -------------------------------------------------------------------------------- Growth Opportunities Fund 49-50 - -------------------------------------------------------------------------------- Large Cap Growth Fund 51-52 - -------------------------------------------------------------------------------- Small Cap Growth Fund 53-55 - -------------------------------------------------------------------------------- Value Plus Fund 56-58 - -------------------------------------------------------------------------------- 2 STATEMENTS OF ASSETS AND LIABILITIES SEPTEMBER 30, 2003 (UNAUDITED)
============================================================================================================ EMERGING GROWTH GROWTH ENHANCED 30 OPPORTUNITIES FUND FUND FUND - ------------------------------------------------------------------------------------------------------------ ASSETS Investment securities: At cost .................................. $ 420,902,940 $ 9,349,918 $ 162,930,382 ====================================================== At market value - including $33,397,467 and $14,032,409 of securities loaned for the Emerging Growth Fund and the Growth Opportunities Fund, respectively ....... $ 480,597,690 $ 9,459,200 $ 151,818,493 Cash ....................................... 30,283,621 352,908 404 Dividends and interest receivable .......... 72,994 13,442 24,696 Receivable for capital shares sold ......... 5,183,870 72,398 302,218 Receivable for securities sold ............. 4,695,371 -- -- Receivable from Adviser .................... -- 4,431 -- Other assets ............................... 44,496 13,519 27,226 ------------------------------------------------------ TOTAL ASSETS ............................... 520,878,042 9,915,898 152,173,037 ------------------------------------------------------ LIABILITIES Payable for securities loaned .............. 35,552,758 -- 14,541,900 Dividends payable .......................... -- 234 -- Payable for securities purchased ........... 2,994,434 -- -- Payable for capital shares redeemed ........ 1,129,982 280 275,833 Payable to Adviser ......................... 305,433 -- 107,493 Payable to affiliates ...................... 56,863 7,081 46,775 Other accrued expenses and liabilities ..... 354,910 15,872 132,232 ------------------------------------------------------ TOTAL LIABILITIES .......................... 40,394,380 23,467 15,104,233 ------------------------------------------------------ NET ASSETS ................................. $ 480,483,662 $ 9,892,431 $ 137,068,804 ====================================================== NET ASSETS CONSIST OF: Paid-in capital ............................ $ 454,856,188 $ 11,524,953 $ 215,811,668 Accumulated net investment income (loss) ... (2,669,290) -- (1,008,179) Accumulated net realized losses from security transactions .................... (31,397,986) (1,741,804) (64,622,796) Net unrealized appreciation (depreciation) on investments ........................... 59,694,750 109,282 (13,111,889) ------------------------------------------------------ NET ASSETS ................................. $ 480,483,662 $ 9,892,431 $ 137,068,804 ====================================================== PRICING OF CLASS A SHARES Net assets attributable to Class A shares .. $ 271,366,373 $ 7,345,284 $ 107,611,503 ====================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) ............................ 14,830,809 908,207 6,870,560 ====================================================== Net asset value and redemption price per share .......................... $ 18.30 $ 8.09 $ 15.66 ====================================================== Maximum offering price per share ........... $ 19.42 $ 8.58 $ 16.62 ====================================================== 3 STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) ============================================================================================================ EMERGING GROWTH GROWTH ENHANCED 30 OPPORTUNITIES FUND FUND FUND - ------------------------------------------------------------------------------------------------------------ PRICING OF CLASS B SHARES Net assets attributable to Class B shares .. $ 45,686,116 $ 1,152,599 $ 3,122,185 ====================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) ............................ 2,699,618 143,092 208,060 ====================================================== Net asset value, offering price and redemption price per share ............... $ 16.92 $ 8.05 $ 15.01 ====================================================== PRICING OF CLASS C SHARES Net assets attributable to Class C shares .. $ 163,431,173 $ 1,394,548 $ 26,335,116 ====================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) ............................ 9,648,804 172,271 1,748,558 ====================================================== Net asset value, offering price and redemption price per share ............... $ 16.94 $ 8.10 $ 15.06 ======================================================
See accompanying notes to financial statements. 4 STATEMENTS OF ASSETS AND LIABILITIES SEPTEMBER 30, 2003 (UNAUDITED)
============================================================================================================ LARGE CAP SMALL CAP VALUE PLUS GROWTH FUND GROWTH FUND FUND - ------------------------------------------------------------------------------------------------------------ ASSETS Investment securities: At cost .................................. $ 39,182,613 $ 40,155,879 $ 54,609,430 ====================================================== At market value - Including $6,771,341 of securities loaned for the Small Cap Growth Fund .............................. $ 38,984,352 $ 49,356,376 $ 54,943,321 Cash ....................................... 967 1,712,077 2,851,822 Dividends and interest receivable .......... 29,181 29,284 65,920 Receivable for capital shares sold ......... 13,487 479,320 18,701 Receivable for securities sold ............. -- 414,009 -- Other assets ............................... 29,347 26,141 13,707 ------------------------------------------------------ TOTAL ASSETS ............................... 39,057,334 52,017,207 57,893,471 ------------------------------------------------------ LIABILITIES Payable for securities loaned .............. -- 7,074,596 -- Dividends payable .......................... -- -- 9,351 Payable for securities purchased ........... -- 1,351,884 192,836 Payable for capital shares redeemed ........ 6,659 50,681 30,698 Payable to Adviser ......................... 23,100 44,282 35,369 Payable to affiliates ...................... 9,405 7,993 10,446 Other accrued expenses and liabilities ..... 37,527 45,875 48,658 ------------------------------------------------------ TOTAL LIABILITIES .......................... 76,691 8,575,311 327,358 ------------------------------------------------------ NET ASSETS ................................. $ 38,980,643 $ 43,441,896 $ 57,566,113 ====================================================== NET ASSETS CONSIST OF: Paid-in capital ............................ $ 74,552,604 $ 33,852,067 $ 73,964,391 Accumulated net investment income (loss) ... (75,558) (231,933) 84,216 Accumulated net realized gains (losses) from security transactions .................... (35,298,142) 621,265 (16,816,385) Net unrealized appreciation (depreciation) on investments ........................... (198,261) 9,200,497 333,891 ------------------------------------------------------ NET ASSETS ................................. $ 38,980,643 $ 43,441,896 $ 57,566,113 ====================================================== PRICING OF CLASS A SHARES Net assets attributable to Class A shares .. $ 37,803,265 $ 30,732,924 $ 55,203,237 ====================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) ............................ 4,152,030 2,179,906 6,250,366 ====================================================== Net asset value and redemption price per share .................................... $ 9.10 $ 14.10 $ 8.83 ====================================================== Maximum offering price per share ........... $ 9.66 $ 14.96 $ 9.37 ====================================================== See accompanying notes to financial statements. 5 STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) ============================================================================================================ LARGE CAP SMALL CAP VALUE PLUS GROWTH FUND GROWTH FUND FUND - ------------------------------------------------------------------------------------------------------------ PRICING OF CLASS B SHARES Net assets attributable to Class B shares .. $ 168,578 $ 4,638,153 $ 612,502 ====================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) ............................ 19,779 330,657 72,152 ====================================================== Net asset value, offering price and redemption price per share ............... $ 8.52 $ 14.03 $ 8.49 ====================================================== PRICING OF CLASS C SHARES Net assets attributable to Class C shares .. $ 1,008,800 $ 8,070,819 $ 1,750,374 ====================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) ............................ 118,577 575,658 205,114 ====================================================== Net asset value, offering price and redemption price per share ............... $ 8.51 $ 14.02 $ 8.53 ======================================================
See accompanying notes to financial statements. 6 STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2003 (UNAUDITED)
============================================================================================================ EMERGING GROWTH GROWTH ENHANCED 30 OPPORTUNITIES FUND FUND FUND - ------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME Dividends .................................. $ 800,476 $ 76,793 $ 225,973 Interest ................................... 69,287 339 16,312 ------------------------------------------------------ TOTAL INVESTMENT INCOME .................... 869,763 77,132 242,285 ------------------------------------------------------ EXPENSES Investment advisory fees ................... 1,546,380 29,949 593,690 Distribution expenses, Class A ............. 270,183 8,896 126,083 Distribution expenses, Class B ............. 184,527 4,975 14,740 Distribution expenses, Class C ............. 667,717 6,185 129,028 Transfer agent fees, Class A ............... 159,147 6,000 106,657 Transfer agent fees, Class B ............... 39,601 6,000 6,246 Transfer agent fees, Class C ............... 100,255 6,000 65,302 Sponsor fees ............................... 386,599 9,349 -- Postage and supplies ....................... 178,471 4,645 90,793 Custodian fees ............................. 35,819 4,638 17,158 Accounting services fees ................... 33,500 19,500 25,500 Administration fees ........................ 91,791 2,929 34,911 Reports to shareholders .................... 16,184 1,221 12,979 Registration fees, Class A ................. 10,262 3,669 6,785 Registration fees, Class B ................. 6,263 3,487 4,656 Registration fees, Class C ................. 10,214 4,127 5,698 Professional fees .......................... 6,110 3,312 4,884 Trustees' fees and expenses ................ 3,828 3,831 3,760 Other expenses ............................. 7,899 557 1,594 ------------------------------------------------------ TOTAL EXPENSES ............................. 3,754,750 129,270 1,250,464 Sponsor fees waived ........................ (215,697) (9,349) -- Fees waived and/or expenses reimbursed by the Adviser ........................... -- (64,878) -- ------------------------------------------------------ NET EXPENSES ............................... 3,539,053 55,043 1,250,464 ------------------------------------------------------ NET INVESTMENT INCOME (LOSS) ............... (2,669,290) 22,089 (1,008,179) ------------------------------------------------------ REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS Net realized gains (losses) from security transactions .................... 15,851,935 (80,215) (1,321,588) Net change in unrealized appreciation/ depreciation on investments .............. 85,733,460 1,690,753 26,802,529 ------------------------------------------------------ NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS ........................... 101,585,395 1,610,538 25,480,941 ------------------------------------------------------ NET INCREASE IN NET ASSETS FROM OPERATIONS .......................... $ 98,916,105 $ 1,632,627 $ 24,472,762 ======================================================
See accompanying notes to financial statements. 7 STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2003 (UNAUDITED)
============================================================================================================ LARGE CAP SMALL CAP VALUE PLUS GROWTH FUND GROWTH FUND FUND - ------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME Dividends .................................. $ 168,317 $ 58,599 $ 573,134 Interest ................................... 4,204 46,034 3,046 ------------------------------------------------------ TOTAL INVESTMENT INCOME .................... 172,521 104,633 576,180 ------------------------------------------------------ EXPENSES Investment advisory fees ................... 144,756 194,635 209,844 Distribution expenses, Class A ............. 46,808 28,162 67,103 Distribution expenses, Class B ............. 587 15,217 2,643 Distribution expenses, Class C ............. 5,116 27,844 8,737 Sponsor fees ............................... -- 31,142 55,959 Accounting services fees ................... 19,500 19,500 22,500 Transfer agent fees, Class A ............... 10,839 6,344 18,104 Transfer agent fees, Class B ............... 6,000 6,000 6,000 Transfer agent fees, Class C ............... 6,000 6,000 6,000 Registration fees, Class A ................. 4,402 8,639 4,340 Registration fees, Class B ................. 3,819 8,870 3,496 Registration fees, Class C ................. 3,467 8,805 3,366 Custodian fees ............................. 8,607 12,684 9,485 Postage and supplies ....................... 13,914 8,796 13,395 Reports to shareholders .................... 2,859 1,424 2,856 Administration fees ........................ 12,185 8,564 15,388 Professional fees .......................... 8,139 3,789 4,264 Trustees' fees and expenses ................ 3,793 3,829 3,794 Other expenses ............................. 274 2,626 3,273 ------------------------------------------------------ TOTAL EXPENSES ............................. 301,065 402,870 460,547 Sponsor fees waived ........................ -- (31,142) (55,959) Fees waived and/or expenses reimbursed by the Adviser ........................... (52,986) (35,162) (33,374) ------------------------------------------------------ NET EXPENSES ............................... 248,079 336,566 371,214 ------------------------------------------------------ NET INVESTMENT INCOME (LOSS) ............... (75,558) (231,933) 204,966 ------------------------------------------------------ REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS Net realized gains (losses) from security transactions .................... (203,384) 1,668,950 (1,790,822) Net change in unrealized appreciation/ depreciation on investments .............. 4,878,383 8,578,769 10,679,586 ------------------------------------------------------ NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS ........................... 4,674,999 10,247,719 8,888,764 ------------------------------------------------------ NET INCREASE IN NET ASSETS FROM OPERATIONS .......................... $ 4,599,441 $ 10,015,786 $ 9,093,730 ======================================================
See accompanying notes to financial statements. 8
STATEMENTS OF CHANGES IN NET ASSETS ============================================================================================================================== EMERGING GROWTH FUND ENHANCED 30 FUND - ------------------------------------------------------------------------------------------------------------------------------ SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2003 MARCH 31, 2003 MARCH 31, (UNAUDITED) 2003 (UNAUDITED) 2003 - ------------------------------------------------------------------------------------------------------------------------------ FROM OPERATIONS Net investment income (loss) ............ $ (2,669,290) $ (3,683,881) $ 22,089 $ 63,336 Net realized gains (losses) from security transactions ................. 15,851,935 (47,063,902) (80,215) (1,537,329) Net change in unrealized appreciation/ depreciation on investments ........... 85,733,460 (45,404,160) 1,690,753 (1,241,619) ----------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ............ 98,916,105 (96,151,943) 1,632,627 (2,715,612) ----------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income, Class A ..... -- -- (22,089) (70,665) From net investment income, Class B ..... -- -- -- (254) From net investment income, Class C ..... -- -- -- (977) From net realized gains on security transactions, Class A ........ (11) (2,200,015) -- -- From net realized gains on security transactions, Class B ........ -- (368,104) -- -- From net realized gains on security transactions, Class C ........ -- (1,412,057) -- -- ----------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS ....................... (11) (3,980,176) (22,089) (71,896) ----------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold ............... 110,609,982 153,227,453 344,498 2,116,692 Reinvested distributions ................ -- 1,662,500 21,666 67,181 Payments for shares redeemed ............ (45,513,997) (112,900,182) (378,261) (1,431,828) ----------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS ...... 65,095,985 41,989,771 (12,097) 752,045 ----------------------------------------------------------------------- CLASS B Proceeds from shares sold ............... 11,631,399 23,072,337 371,071 510,318 Reinvested distributions ................ -- 281,399 -- 177 Payments for shares redeemed ............ (2,042,429) (4,171,405) (102,315) (370,643) ----------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS .................... 9,588,970 19,182,331 268,756 139,852 ----------------------------------------------------------------------- CLASS C Proceeds from shares sold ............... 40,497,683 82,033,404 392,800 936,253 Reinvested distributions ................ -- 795,733 -- 648 Payments for shares redeemed ............ (10,831,050) (19,116,468) (126,156) (603,826) ----------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS ............ 29,666,633 63,712,669 266,644 333,075 ----------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS . 203,267,682 24,752,652 2,133,841 (1,562,536) NET ASSETS Beginning of period ..................... 277,215,980 252,463,328 7,758,590 9,321,126 ----------------------------------------------------------------------- End of period ........................... $ 480,483,662 $ 277,215,980 $ 9,892,431 $ 7,758,590 =======================================================================
See accompanying notes to financial statements. 9
STATEMENTS OF CHANGES IN NET ASSETS ============================================================================================================================== GROWTH OPPORTUNITIES FUND LARGE CAP GROWTH FUND - ------------------------------------------------------------------------------------------------------------------------------ SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2003 MARCH 31, 2003 MARCH 31, (UNAUDITED) 2003 (UNAUDITED) 2003 - ------------------------------------------------------------------------------------------------------------------------------ FROM OPERATIONS Net investment loss ..................... $ (1,008,179) $ (1,981,977) $ (75,558) $ (331,606) Net realized losses from security transactions ................. (1,321,588) (26,776,581) (203,384) (17,826,641) Net change in unrealized appreciation/ depreciation on investments ........... 26,802,529 (20,227,956) 4,878,383 (3,787,802) ----------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ....................... 24,472,762 (48,986,514) 4,599,441 (21,946,049) ----------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold ............... 27,698,873 61,144,588 1,815,938 4,505,442 Payments for shares redeemed ............ (23,293,055) (63,343,223) (1,965,917) (17,162,070) ----------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS ....... 4,405,818 (2,198,635) (149,979) (12,656,628) ----------------------------------------------------------------------- CLASS B Proceeds from shares sold ............... 282,862 948,542 85,898 67,768 Payments for shares redeemed ............ (197,818) (696,286) (3,037) (7,791) ----------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS .................... 85,044 252,256 82,861 59,977 ----------------------------------------------------------------------- CLASS C Proceeds from shares sold ............... 1,975,572 3,276,197 64,701 259,541 Payments for shares redeemed ............ (2,532,925) (9,818,401) (162,443) (535,013) ----------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS ....... (557,353) (6,542,204) (97,742) (275,472) ----------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS . 28,406,271 (57,475,097) 4,434,581 (34,818,172) NET ASSETS Beginning of period ..................... 108,662,533 166,137,630 34,546,062 69,364,234 ----------------------------------------------------------------------- End of period ........................... $ 137,068,804 $ 108,662,533 $ 38,980,643 $ 34,546,062 =======================================================================
See accompanying notes to financial statements. 10
STATEMENTS OF CHANGES IN NET ASSETS ============================================================================================================================== SMALL CAP VALUE PLUS GROWTH FUND FUND - ------------------------------------------------------------------------------------------------------------------------------ SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2003 MARCH 31, 2003 MARCH 31, (UNAUDITED) 2003(A) (UNAUDITED) 2003 - ------------------------------------------------------------------------------------------------------------------------------ FROM OPERATIONS Net investment income (loss) ............ $ (231,933) $ (120,954) $ 204,966 $ 358,000 Net realized gains (losses) from security transactions ................. 1,668,950 (1,047,685) (1,790,822) (14,294,879) Net change in unrealized appreciation/ depreciation on investments ........... 8,578,769 621,728 10,679,586 (10,053,000) ----------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ....................... 10,015,786 (546,911) 9,093,730 (23,989,879) ----------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income, Class A ..... -- -- (200,347) (290,370) From net investment income, Class B ..... -- -- (1,118) (2,133) From net investment income, Class C ..... -- -- (3,497) -- ----------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS ......... -- -- (204,962) (292,503) ----------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold ............... 9,994,776 16,109,642 2,640,298 6,839,769 Reinvested distributions ................ -- -- 198,205 287,400 Payments for shares redeemed ............ (1,819,711) (485,209) (2,284,792) (30,766,383) ----------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS ....... 8,175,065 15,624,433 553,711 (23,639,214) ----------------------------------------------------------------------- CLASS B Proceeds from shares sold ............... 2,482,957 1,485,272 202,877 349,616 Reinvested distributions ................ -- -- 978 1,748 Payments for shares redeemed ............ (183,902) (46,685) (33,500) (18,628) ----------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS ............ 2,299,055 1,438,587 170,355 332,736 ----------------------------------------------------------------------- CLASS C Proceeds from shares sold ............... 3,855,275 3,452,483 95,573 274,722 Reinvested distributions ................ -- -- 3,109 -- Payments for shares redeemed ............ (560,211) (311,666) (137,441) (585,691) ----------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS ............ 3,295,064 3,140,817 (38,759) (310,969) ----------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS . 23,784,970 19,656,926 9,574,075 (47,899,829) NET ASSETS Beginning of period ..................... 19,656,926 -- 47,992,038 95,891,867 ----------------------------------------------------------------------- End of period ........................... $ 43,441,896 $ 19,656,926 $ 57,566,113 $ 47,992,038 =======================================================================
(A) Represents the period from commencement of operations (October 21, 2002) through March 31, 2003. See accompanying notes to financial statements. 11
EMERGING GROWTH FUND-CLASS A FINANCIAL HIGHLIGHTS ================================================================================================================================= PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS THREE ENDED YEAR YEAR MONTHS YEAR YEAR YEAR SEPT. 30, ENDED ENDED ENDED ENDED ENDED ENDED 2003 MARCH 31, MARCH 31, MARCH 31, DEC. 31, DEC. 31, DEC. 31, (UNAUDITED) 2003 2002 2001(A) 2000 1999 1998 - --------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period ....... $ 13.89 $ 19.52 $ 15.96 $ 17.93 $ 16.96 $ 13.40 $ 13.85 -------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss ....... (0.08) (0.14) (0.14) -- (0.06) (0.09) (0.04) Net realized and unrealized gains (losses) on investments ............. 4.49 (5.29) 3.76 (1.97) 4.16 6.18 0.37 -------------------------------------------------------------------------------------------------- Total from investment operations ................ 4.41 (5.43) 3.62 (1.97) 4.10 6.09 0.33 -------------------------------------------------------------------------------------------------- Distributions from net realized gains ........ -- (0.20) (0.06) -- (3.13) (2.53) (0.78) -------------------------------------------------------------------------------------------------- Net asset value at end of period ............. $ 18.30 $ 13.89 $ 19.52 $ 15.96 $ 17.93 $ 16.96 $ 13.40 ================================================================================================== Total return(B) ............. 31.75%(C) (27.90%) 22.72% (10.99%)(C) 25.92% 45.85% 2.57% ================================================================================================== Net assets at end of period (000's) ............ $271,367 $153,247 $169,781 $ 19,141 $ 15,304 $ 10,743 $ 8,335 ================================================================================================== Ratio of net expenses to average net assets ........ 1.50%(D) 1.50% 1.50% 1.50%(D) 1.50% 1.50% 1.50% Ratio of net investment loss to average net assets ........ (1.06%)(D) (1.07%) (1.02%) (0.10%)(D) (0.40%) (0.66%) (0.41%) Portfolio turnover .......... 70%(D) 62% 73% 68%(D) 98% 97% 78%
(A) Effective after the close of business on March 31, 2001, the Fund changed its fiscal year-end to March 31. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. See accompanying notes to financial statements. 12
EMERGING GROWTH FUND-CLASS B FINANCIAL HIGHLIGHTS ============================================================================================= PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR PERIOD SEPT. 30, ENDED ENDED 2003 MARCH 31, MARCH 31, (UNAUDITED) 2003 2002(A) - --------------------------------------------------------------------------------------------- Net asset value at beginning of period ..... $ 12.53 $ 18.25 $ 16.45 --------------------------------------------- Income (loss) from investment operations: Net investment loss ...................... (0.12) (0.14) (0.09) Net realized and unrealized gains (losses) on investments ......................... 4.51 (5.38) 1.95 --------------------------------------------- Total from investment operations ........... 4.39 (5.52) 1.86 --------------------------------------------- Distributions from net realized gains ...... -- (0.20) (0.06) --------------------------------------------- Net asset value at end of period ........... $ 16.92 $ 12.53 $ 18.25 ============================================= Total return(B) ............................ 35.04%(C) (30.34%) 11.35%(C) ============================================= Net assets at end of period (000's) ........ $ 45,686 $ 26,226 $ 15,335 ============================================= Ratio of net expenses to average net assets 2.25%(D) 2.25% 2.25%(D) Ratio of net investment loss to average net assets ............................... (1.78%)(D) (1.77%) (1.90%)(D) Portfolio turnover rate .................... 70%(D) 62% 73%(D)
(A) Represents the period from commencement of operations (May 1, 2001) through March 31, 2002. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. See accompanying notes to financial statements. 13
EMERGING GROWTH FUND-CLASS C FINANCIAL HIGHLIGHTS =============================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS THREE ENDED YEAR YEAR MONTHS YEAR YEAR SEPT. 30, ENDED ENDED ENDED ENDED ENDED 2003 MARCH 31, MARCH 31, MARCH 31, DEC. 31, DEC. 31, (UNAUDITED) 2003 2002 2001(A) 2000 1999(B) - ------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period ........................... $ 12.55 $ 18.26 $ 15.01 $ 16.87 $ 16.29 $ 13.04 ------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income (loss) ........ (0.12) (0.13) 0.01 (0.02) (0.17) (0.19) Net realized and unrealized gains (losses) on investments ........... 4.51 (5.38) 3.30 (1.84) 3.88 5.97 ------------------------------------------------------------------------------------ Total from investment operations ...... 4.39 (5.51) 3.31 (1.86) 3.71 5.78 ------------------------------------------------------------------------------------ Less distributions: Dividends from net investment income ............................ -- -- -- -- (3.13) (2.53) Distributions from net realized gains -- (0.20) (0.06) -- -- -- ------------------------------------------------------------------------------------ Total distributions ................... -- (0.20) (0.06) -- (3.13) (2.53) ------------------------------------------------------------------------------------ Net asset value at end of period ...... $ 16.94 $ 12.55 $ 18.26 $ 15.01 $ 16.87 $ 16.29 ==================================================================================== Total return(C) ....................... 34.98%(D) (30.27%) 22.09% (11.03%)(D) 24.58% 44.86% ==================================================================================== Net assets at end of period (000's) ... $163,431 $ 97,743 $ 67,347 $ 7,600 $ 5,466 $ 3,964 ==================================================================================== Ratio of net expenses to average net assets .................. 2.25%(E) 2.25% 2.25% 2.25%(E) 2.25% 2.25% Ratio of net investment loss to average net assets .................. (1.78%)(E) (1.77%) (1.61%) (0.63%)(E) (1.15%) (1.41%) Portfolio turnover .................... 70%(E) 62% 73% 68%(E) 98% 97%
(A) Effective after the close of business on March 31, 2001, the Fund changed its fiscal year-end to March 31. (B) Represents the period from the commencement of operations (January 1, 1999) through December 31, 1999. (C) Total returns shown exclude the effect of applicable sales loads. (D) Not annualized. (E) Annualized. See accompanying notes to financial statements. 14
ENHANCED 30 FUND-CLASS A FINANCIAL HIGHLIGHTS ============================================================================================================ PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ------------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED YEAR YEAR PERIOD SEPT. 30, ENDED ENDED ENDED 2003 MARCH 31, MARCH 31, MARCH 31, (UNAUDITED) 2003 2002 2001(A) - ------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period .... $ 6.71 $ 9.19 $ 8.90 $ 10.00 ------------------------------------------------------------- Income (loss) from investment operations: Net investment income ................... 0.02 0.06 0.06 0.05 Net realized and unrealized gains (losses) on investments ............... 1.38 (2.46) 0.28 (1.10) ------------------------------------------------------------- Total from investment operations .......... 1.40 (2.40) 0.34 (1.05) ------------------------------------------------------------- Dividends from net investment income ...... (0.02) (0.08) (0.05) (0.05) ------------------------------------------------------------- Net asset value at end of period .......... $ 8.09 $ 6.71 $ 9.19 $ 8.90 ============================================================= Total return(B) ........................... 20.93%(C) (26.19%) 3.86% (10.57%)(C) ============================================================= Net assets at end of period (000's) ....... $ 7,345 $ 6,109 $ 7,561 $ 6,208 ============================================================= Ratio of net expenses to average net assets 1.00%(D) 1.00% 1.00% 1.00%(D) Ratio of net investment income to average net assets ...................... 0.65%(D) 0.90% 0.70% 0.54%(D) Portfolio turnover rate ................... 4%(D) 29% 9% 3%(D)
(A) Represents the period from the commencement of operations (May 1, 2000) through March 31, 2001. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. See accompanying notes to financial statements. 15
ENHANCED 30 FUND-CLASS B FINANCIAL HIGHLIGHTS ============================================================================================= PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR PERIOD SEPT. 30, ENDED ENDED 2003 MARCH 31, MARCH 31, (UNAUDITED) 2003 2002(A) - --------------------------------------------------------------------------------------------- Net asset value at beginning of period ..... $ 6.69 $ 9.13 $ 9.50 ============================================= Income (loss) from investment operations: Net investment income .................... --(B) 0.01 0.02 Net realized and unrealized gains (losses) on investments ................ 1.36 (2.45) (0.37) --------------------------------------------- Total from investment operations ........... 1.36 (2.44) (0.35) --------------------------------------------- Dividends from net investment income ....... -- --(B) (0.02) --------------------------------------------- Net asset value at end of period ........... $ 8.05 $ 6.69 $ 9.13 ============================================= Total return(C) ............................ 20.33%(D) (26.70%) (3.60%)(D) ============================================= Net assets at end of period (000's) ........ $ 1,153 $ 729 $ 860 ============================================= Ratio of net expenses to average net assets ................................... 1.75%(E) 1.75% 1.75%(E) Ratio of net investment income (loss) to average net assets ....................... (0.09%)(E) 0.18% 0.03%(E) Portfolio turnover rate .................... 4%(E) 29% 9%(E)
(A) Represents the period from the commencement of operations (May 1, 2001) through March 31, 2002. (B) Amount rounds to less than $0.01 per share. (C) Total returns shown exclude the effect of applicable sales loads. (D) Not annualized. (E) Annualized. See accompanying notes to financial statements. 16
ENHANCED 30 FUND-CLASS C FINANCIAL HIGHLIGHTS ============================================================================================================ PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ------------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED YEAR YEAR PERIOD SEPT. 30, ENDED ENDED ENDED 2003 MARCH 31, MARCH 31, MARCH 31, (UNAUDITED) 2003 2002 2001(A) - ------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period .... $ 6.72 $ 9.13 $ 8.88 $ 10.00 ------------------------------------------------------------- Income (loss) from investment operations: Net investment income ................... --(B) 0.01 0.01 0.01 Net realized and unrealized gains (losses) on investments ............... 1.38 (2.41) 0.25 (1.12) ------------------------------------------------------------- Total from investment operations .......... 1.38 (2.40) 0.26 (1.11) ------------------------------------------------------------- Dividends from net investment income ...... -- (0.01) (0.01) (0.01) ------------------------------------------------------------- Net asset value at end of period .......... $ 8.10 $ 6.72 $ 9.13 $ 8.88 ============================================================= Total return(C) ........................... 20.54%(D) (26.32%) 3.00% (11.12%)(D) ============================================================= Net assets at end of period (000's) ....... $ 1,394 $ 920 $ 900 $ 128 ============================================================= Ratio of net expenses to average net assets 1.75%(E) 1.74% 1.75% 1.73%(E) Ratio of net investment income (loss) to average net assets ...................... (0.09%)(E) 0.18% (0.05%) (0.46%)(E) Portfolio turnover rate ................... 4%(E) 29% 9% 3%(E)
(A) Represents the period from the commencement of operations (May 16, 2000) through March 31, 2001. (B) Amount rounds to less than $0.01 per share. (C) Total returns shown exclude the effect of applicable sales loads. (D) Not annualized. (E) Annualized. See accompanying notes to financial statements. 17
GROWTH OPPORTUNITIES FUND-CLASS A FINANCIAL HIGHLIGHTS =============================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2003 ------------------------------------------------------------------- (UNAUDITED) 2003 2002 2001 2000 1999 - ------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 12.70 $ 18.18 $ 19.97 $ 32.43 $ 17.50 $ 16.30 ------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss ................. (0.10) (0.19) (0.18) (0.13) (0.16) (0.17) Net realized and unrealized gains (losses) on investments ........... 3.06 (5.29) (1.61) (12.33) 15.51 4.84 ------------------------------------------------------------------------------------ Total from investment operations ...... 2.96 (5.48) (1.79) (12.46) 15.35 4.67 ------------------------------------------------------------------------------------ Distributions from net realized gains . -- -- -- -- (0.42) (3.47) ------------------------------------------------------------------------------------ Net asset value at end of period ...... $ 15.66 $ 12.70 $ 18.18 $ 19.97 $ 32.43 $ 17.50 ==================================================================================== Total return(A) ....................... 23.31%(B) (30.14%) (8.96%) (38.42%) 88.88% 29.89% ==================================================================================== Net assets at end of period (000's) ... $107,612 $ 84,472 $121,791 $107,435 $ 79,066 $ 24,664 ==================================================================================== Ratio of net expenses to average net assets .................. 1.68%(C) 1.83% 1.49% 1.54% 1.52% 1.66% Ratio of net investment loss to average net assets .................. (1.31%)(C) (1.40%) (0.98%) (0.66%) (1.05%) (0.93%) Portfolio turnover rate ............... 75%(C) 39% 52% 35% 44% 59% Amount of debt outstanding at end of period (000's) ............... n/a $ -- $ -- n/a n/a n/a Average daily amount of debt outstanding during the period (000's)(D) ................... n/a $ 242 $ 24 n/a n/a n/a Average daily number of capital shares outstanding during the period (000's)(D) ............... n/a 8,916 8,481 n/a n/a n/a Average amount of debt per share during the period(D) ................ n/a $ 0.03 $ --(E) n/a n/a n/a
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. (D) Based on fund level shares outstanding. (E) Amount rounds to less than $0.01 per share. See accompanying notes to financial statements. 18
GROWTH OPPORTUNITIES FUND-CLASS B FINANCIAL HIGHLIGHTS ============================================================================================= PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR PERIOD SEPT. 30, ENDED ENDED 2003 MARCH 31, MARCH 31, (UNAUDITED) 2003 2002(A) - --------------------------------------------------------------------------------------------- Net asset value at beginning of period ..... $ 12.13 $ 17.78 $ 22.74 --------------------------------------------- Income (loss) from investment operations: Net investment loss ...................... (0.18) (0.36) (0.17) Net realized and unrealized gains (losses) on investments ......................... 3.06 (5.29) (4.79) --------------------------------------------- Total from investment operations ........... 2.88 (5.65) (4.96) --------------------------------------------- Net asset value at end of period ........... $ 15.01 $ 12.13 $ 17.78 ============================================= Total return(B) ............................ 23.74%(C) (31.78%) (21.81%)(C) ============================================= Net assets at end of period (000's) ........ $ 3,122 $ 2,463 $ 3,380 ============================================= Ratio of net expenses to average net assets ................................... 2.96%(D) 3.16% 2.37%(D) Ratio of net investment loss to average net assets ............................... (2.57%)(D) (2.71%) (1.93%)(D) Portfolio turnover rate .................... 75%(D) 39% 52%(D) Amount of debt outstanding at end of period (000's) ........................... n/a $ -- $ -- Average daily amount of debt outstanding during the period (000's)(E) ............. n/a $ 242 $ 24 Average daily number of capital shares outstanding during the period (000's)(E) . n/a 8,916 8,481 Average amount of debt per share during the period(E) ................................ n/a $ 0.03 $ --(F)
(A) Represents the period from the commencement of operations (May 1, 2001) through March 31, 2002. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. (E) Based on fund level shares outstanding. (F) Amount rounds to less than $0.01 per share. See accompanying notes to financial statements. 19
GROWTH OPPORTUNITIES FUND-CLASS C FINANCIAL HIGHLIGHTS ========================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - -------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR YEAR YEAR PERIOD SEPT. 30, ENDED ENDED ENDED ENDED 2003 MARCH 31, MARCH 31, MARCH 31, MARCH 31, (UNAUDITED) 2003 2002 2001 2000(A) - -------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period .. $ 12.17 $ 17.78 $ 19.74 $ 32.30 $ 18.65 ----------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss ................... (0.18) (0.36) (0.32) (0.19) (0.11) Net realized and unrealized gains (losses) on investments ............. 3.07 (5.25) (1.64) (12.37) 14.18 ----------------------------------------------------------------------------- Total from investment operations ........ 2.89 (5.61) (1.96) (12.56) 14.07 ----------------------------------------------------------------------------- Dividends from net investment income .... -- -- -- -- (0.42) ----------------------------------------------------------------------------- Net asset value at end of period ........ $ 15.06 $ 12.17 $ 17.78 $ 19.74 $ 32.30 ============================================================================= Total return(B) ......................... 23.75%(C) (31.55%) (9.93%) (38.89%) 76.52%(C) ============================================================================= Net assets at end of period (000's) ..... $ 26,335 $ 21,727 $ 40,967 $ 36,475 $ 10,794 ============================================================================= Ratio of net expenses to average net assets .................... 2.77%(D) 2.87% 2.31% 2.19% 2.33%(D) Ratio of net investment loss to average net assets .................... (2.38%)(D) (2.42%) (1.78%) (1.31%) (1.77%)(D) Portfolio turnover rate ................. 75%(D) 39% 52% 35% 44%(D) Amount of debt outstanding at end of period (000's) ................. n/a $ -- $ -- n/a n/a Average daily amount of debt outstanding during the period (000's)(E) .......... n/a $ 242 $ 24 n/a n/a Average daily number of capital shares outstanding during the period (000's)(E) ..................... n/a 8,916 8,481 n/a n/a Average amount of debt per share during the period(E) .................. n/a $ 0.03 $ --(F) n/a n/a
(A) Represents the period from the commencement of operations (August 2, 1999) through March 31, 2000. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. (E) Based on fund level shares outstanding. (F) Amount rounds to less than $0.01 per share. See accompanying notes to financial statements. 20
LARGE CAP GROWTH FUND-CLASS A FINANCIAL HIGHLIGHTS =============================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2003 ------------------------------------------------------------------- (UNAUDITED) 2003 2002 2001 2000 1999 - ------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 8.03 $ 12.11 $ 12.69 $ 22.93 $ 22.12 $ 19.38 ------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income (loss) ........ (0.01) (0.07) (0.10) (0.18) (0.05) 0.04 Net realized and unrealized gains (losses) on investments ........... 1.08 (4.01) (0.48) (9.14) 4.60 2.73 ------------------------------------------------------------------------------------ Total from investment operations ...... 1.07 (4.08) (0.58) (9.32) 4.55 2.77 ------------------------------------------------------------------------------------ Less distributions: Dividends from net investment income ............................ -- -- -- -- -- (0.03) Distributions from net realized gains -- -- -- (0.92) (3.74) -- ------------------------------------------------------------------------------------ Total distributions ................... -- -- -- (0.92) (3.74) (0.03) ------------------------------------------------------------------------------------ Net asset value at end of period ...... $ 9.10 $ 8.03 $ 12.11 $ 12.69 $ 22.93 $ 22.12 ==================================================================================== Total return(A) ....................... 13.33%(B) (33.69%) (4.57%) (41.73%) 20.60% 14.30% ==================================================================================== Net assets at end of period (000's) ... $ 37,803 $ 33,484 $ 67,461 $ 24,634 $ 65,274 $ 55,561 ==================================================================================== Ratio of net expenses to average net assets .......................... 1.25%(C) 1.30% 1.30% 1.25% 1.26% 1.31% Ratio of net investment income (loss) to average net assets ............... (0.36%)(C) (0.73%) (0.82%) (0.61%) (0.24%) 0.18% Portfolio turnover rate ............... 50%(C) 81% 85% 99% 78% 10%
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. See accompanying notes to financial statements. 21
LARGE CAP GROWTH FUND-CLASS B FINANCIAL HIGHLIGHTS ============================================================================================= PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------------------- SIX MONTHS YEAR PERIOD SEPT. 30, ENDED ENDED 2003 MARCH 31, MARCH 31, (UNAUDITED) 2003 2002(A) - --------------------------------------------------------------------------------------------- Net asset value at beginning of period ..... $ 7.55 $ 11.55 $ 13.60 --------------------------------------------- Income (loss) from investment operations: Net investment loss ...................... (0.04) (0.09) (0.08) Net realized and unrealized gains (losses) on investments ......................... 1.01 (3.91) (1.97) --------------------------------------------- Total from investment operations ........... 0.97 (4.00) (2.05) --------------------------------------------- Net asset value at end of period ........... $ 8.52 $ 7.55 $ 11.55 ============================================= Total return(B) ............................ 12.85%(C) (34.63%) (15.07%)(C) ============================================= Net assets at end of period (000's) ........ $ 169 $ 77 $ 34 ============================================= Ratio of net expenses to average net assets 2.40%(D) 2.42% 2.43%(D) Ratio of net investment loss to average net assets ............................... (1.48%)(D) (1.75%) (1.97%)(D) Portfolio turnover rate .................... 50%(D) 81% 85%(D)
(A) Represents the period from the commencement of operations (May 1, 2001) through March 31, 2002. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. See accompanying notes to financial statements. 22
LARGE CAP GROWTH FUND-CLASS C FINANCIAL HIGHLIGHTS =============================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2003 ------------------------------------------------------------------- (UNAUDITED) 2003 2002 2001 2000 1999 - ------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 7.56 $ 11.50 $ 12.19 $ 22.32 $ 21.86 $ 19.34 ------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss ................. (0.07) (0.17) (0.26) (0.30) (0.28) (0.19) Net realized and unrealized gains (losses) on investments ........... 1.02 (3.77) (0.43) (8.91) 4.48 2.71 ------------------------------------------------------------------------------------ Total from investment operations ...... 0.95 (3.94) (0.69) (9.21) 4.20 2.52 ------------------------------------------------------------------------------------ Distributions from net realized gains . -- -- -- (0.92) (3.74) -- ------------------------------------------------------------------------------------ Net asset value at end of period ...... $ 8.51 $ 7.56 $ 11.50 $ 12.19 $ 22.32 $ 21.86 ==================================================================================== Total return(A) ....................... 12.57%(B) (34.26%) (5.66%) (42.39%) 19.24% 13.03% ==================================================================================== Net assets at end of period (000's) ... $ 1,009 $ 985 $ 1,869 $ 2,178 $ 3,618 $ 3,146 ==================================================================================== Ratio of net expenses to average net assets .......................... 2.41%(C) 2.43% 2.51% 2.32% 2.68% 2.41% Ratio of net investment loss to average net assets ............... (1.52%)(C) (1.81%) (2.05%) (1.68%) (1.34%) (0.92%) Portfolio turnover rate ............... 50%(C) 81% 85% 99% 78% 10%
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. See accompanying notes to financial statements. 23 SMALL CAP GROWTH FUND-CLASS A FINANCIAL HIGHLIGHTS =========================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------- SIX MONTHS ENDED PERIOD SEPT. 30, ENDED 2003 MARCH 31, (UNAUDITED) 2003(A) - --------------------------------------------------------------------------- Net asset value at beginning of period ..... $ 9.78 $ 10.00 --------------------------- Loss from investment operations: Net investment loss ...................... (0.07) (0.06) Net realized and unrealized gains (losses) on investments ........................ 4.39 (0.16) --------------------------- Total from investment operations ........... 4.32 (0.22) --------------------------- Net asset value at end of period ........... $ 14.10 $ 9.78 =========================== Total return(B) ............................ 44.17% (2.20%) =========================== Net assets at end of period (000's) ........ $ 30,733 $ 15,230 =========================== Ratio of net expenses to average net assets 1.95%(C) 1.95%(C) Ratio of net investment loss to average net assets ............................... (1.27%)(C) (1.61%)(C) Portfolio turnover ......................... 162%(C) 128%(C) (A) Represents the period from commencement of operations (October 21, 2002) through March 31, 2003. (B) Total returns shown exclude the effect of applicable sales loads and are not annulized. (C) Annualized. See accompanying notes to financial statements. 24 SMALL CAP GROWTH FUND-CLASS B FINANCIAL HIGHLIGHTS =========================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------- SIX MONTHS ENDED PERIOD SEPT. 30, ENDED 2003 MARCH 31, (UNAUDITED) 2003(A) - --------------------------------------------------------------------------- Net asset value at beginning of period ..... $ 9.75 $ 10.00 --------------------------- Income (loss) from investment operations: Net investment loss ...................... (0.09) (0.06) Net realized and unrealized gains (losses) on investments ........................ 4.37 (0.19) --------------------------- Total from investment operations ........... 4.28 (0.25) --------------------------- Net asset value at end of period ........... $ 14.03 $ 9.75 =========================== Total return(B) ............................ 43.90% (2.50%) =========================== Net assets at end of period (000's) ........ $ 4,638 $ 1,399 =========================== Ratio of net expenses to average net assets 2.70%(C) 2.69%(C) Ratio of net investment loss to average net assets ............................... (2.03%)(C) (2.38%)(C) Portfolio turnover ......................... 162%(C) 128%(C) (A) Represents the period from commencement of operations (October 21, 2002) through March 31, 2003. (B) Total returns shown exclude the effect of applicable sales loads and are not annulized. (C) Annualized. See accompanying notes to financial statements. 25 SMALL CAP GROWTH FUND-CLASS C FINANCIAL HIGHLIGHTS =========================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------- SIX MONTHS ENDED PERIOD SEPT. 30, ENDED 2003 MARCH 31, (UNAUDITED) 2003(A) - --------------------------------------------------------------------------- Net asset value at beginning of period ..... $ 9.74 $ 10.00 --------------------------- Income (loss) from investment operations: Net investment loss ...................... (0.10) (0.07) Net realized and unrealized gains (losses) on investments ........................ 4.38 (0.19) --------------------------- Total from investment operations ........... 4.28 (0.26) --------------------------- Net asset value at end of period ........... $ 14.02 $ 9.74 =========================== Total return(B) ............................ 43.94% (2.60%) =========================== Net assets at end of period (000's) ........ $ 8,071 $ 3,029 =========================== Ratio of net expenses to average net assets 2.70%(C) 2.69%(C) Ratio of net investment loss to average net assets ............................... (2.03%)(C) (2.39%)(C) Portfolio turnover ......................... 162%(C) 128%(C) (A) Represents the period from commencement of operations (October 21, 2002) through March 31, 2003. (B) Total returns shown exclude the effect of applicable sales loads and are not annulized. (C) Annualized. See accompanying notes to financial statements. 26
VALUE PLUS FUND-CLASS A FINANCIAL HIGHLIGHTS ================================================================================================================================= PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS THREE ENDED YEAR YEAR MONTHS YEAR YEAR PERIOD SEPT. 30, ENDED ENDED ENDED ENDED ENDED ENDED 2003 MARCH 31, MARCH 31, MARCH 31, DEC. 31, DEC. 31, DEC. 31, (UNAUDITED) 2003 2002 2001(A) 2000 1999 1998(B) - --------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period ....... $ 7.45 $ 10.49 $ 10.27 $ 10.74 $ 11.77 $ 10.41 $ 10.00 ------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income ..... 0.03 0.05 0.02 0.01 0.06 0.01 0.02 Net realized and unrealized gains (losses) on investments ............. 1.38 (3.05) 0.22 (0.47) 0.12 1.60 0.41 ------------------------------------------------------------------------------------------------ Total from investment operations ................ 1.41 (3.00) 0.24 (0.46) 0.18 1.61 0.43 ------------------------------------------------------------------------------------------------ Less distributions: Dividends from net investment income ....... (0.03) (0.04) (0.02) (0.01) (0.06) (0.01) (0.02) Distributions from net realized gains ...... -- -- -- -- (0.92) (0.24) -- Return of capital ......... -- -- -- -- (0.23) -- --(C) ------------------------------------------------------------------------------------------------ Total distributions ......... (0.03) (0.04) (0.02) (0.01) (1.21) (0.25) (0.02) ------------------------------------------------------------------------------------------------ Net asset value at end of period ............. $ 8.83 $ 7.45 $ 10.49 $ 10.27 $ 10.74 $ 11.77 $ 10.41 ================================================================================================ Total return(D) ............. 18.96%(E) (28.59%) 2.34% (4.29%)(E) 1.91% 15.51% 4.29%(E) ================================================================================================ Net assets at end of period (000's) ................... $ 55,203 $ 46,113 $ 93,214 $ 51,442 $ 49,807 $ 31,808 $ 27,068 ================================================================================================ Ratio of net expenses to average net assets ........ 1.30%(F) 1.30% 1.30% 1.30%(F) 1.30% 1.30% 1.30%(F) Ratio of net investment income to average net assets ................ 0.76%(F) 0.58% 0.23% 0.37%(F) 0.51% 0.08% 0.25%(F) Portfolio turnover .......... 46%(F) 58% 33% 48%(F) 83% 60% 34%(F)
(A) Effective after the close of business on March 31, 2001, the Fund changed its fiscal year-end to March 31. (B) The Fund commenced operations May 1, 1998. (C) Amount rounds to less than $0.01 per share. (D) Total returns shown exclude the effect of applicable sales loads. (E) Not annualized. (F) Annualized. See accompanying notes to financial statements. 27
VALUE PLUS FUND-CLASS B FINANCIAL HIGHLIGHTS ============================================================================================= PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR PERIOD SEPT. 30, ENDED ENDED 2003 MARCH 31, MARCH 31, (UNAUDITED) 2003 2002(A) - --------------------------------------------------------------------------------------------- Net asset value at beginning of period ..... $ 7.18 $ 10.18 $ 10.72 ---------------------------------------------- Income (loss) from investment operations: Net investment income (loss) ............. --(B) --(B) (0.01) Net realized and unrealized gains (losses) on investments ......................... 1.33 (2.96) (0.53) ---------------------------------------------- Total from investment operations ........... 1.33 (2.96) (0.54) ---------------------------------------------- Dividends from net investment income ....... (0.02) (0.04) -- ---------------------------------------------- Net asset value at end of period ........... $ 8.49 $ 7.18 $ 10.18 ============================================== Total return(C) ............................ 18.50%(D) (29.05%) (5.01%)(D) ============================================== Net assets at end of period (000's) ........ $ 613 $ 367 $ 130 ============================================== Ratio of net expenses to average net assets 2.05%(E) 2.05% 2.05%(E) Ratio of net investment loss to average net assets ............................... (0.02%)(E) (0.06%) (0.77%)(E) Portfolio turnover rate .................... 46%(E) 58% 33%(E)
(A) Represents the period from the commencement of operations (May 1, 2001) through March 31, 2002. (B) Amount rounds to less than $0.01 per share. (C) Total returns shown exclude the effect of applicable sales loads. (D) Not annualized. (E) Annualized. See accompanying notes to financial statements. 28
VALUE PLUS FUND-CLASS C FINANCIAL HIGHLIGHTS =============================================================================================================================== PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - ------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS THREE ENDED YEAR YEAR MONTHS YEAR YEAR SEPT. 30, ENDED ENDED ENDED ENDED ENDED 2003 MARCH 31, MARCH 31, MARCH 31, DEC. 31, DEC. 31, (UNAUDITED) 2003 2002 2001(A) 2000 1999(B) - ------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period ........................... $ 7.22 $ 10.18 $ 10.02 $ 10.50 $ 11.48 $ 10.26 ------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income (loss) ........ 0.08 (0.02) (0.04) (0.01) (0.02) (0.07) Net realized and unrealized gains (losses) on investments ........... 1.25 (2.94) 0.20 (0.47) 0.19 1.53 ------------------------------------------------------------------------------------ Total from investment operations ...... 1.33 (2.96) 0.16 (0.48) 0.17 1.46 ------------------------------------------------------------------------------------ Less distributions: Dividends from net investment income ............................ (0.02) -- -- -- -- -- Distributions from net realized gains -- -- -- -- (0.92) (0.24) Return of capital ................... -- -- -- -- (0.23) -- ------------------------------------------------------------------------------------ Total distributions ................... (0.02) -- -- -- (1.15) (0.24) ------------------------------------------------------------------------------------ Net asset value at end of period ...... $ 8.53 $ 7.22 $ 10.18 $ 10.02 $ 10.50 $ 11.48 ==================================================================================== Total return(C) ....................... 18.38%(D) (29.08%) 1.60% (4.57%)(D) 1.87% 14.24% ==================================================================================== Net assets at end of period (000's) ... $ 1,750 $ 1,512 $ 2,548 $ 1,705 $ 2,011 $ 548 ==================================================================================== Ratio of net expenses to average net assets .................. 2.05%(E) 2.05% 2.05% 2.05%(E) 2.05% 2.05% Ratio of net investment loss to average net assets .................. 0.02%(E) (0.15%) (0.51%) (0.33%)(E) (0.21%) (0.65%) Portfolio turnover .................... 46%(E) 58% 33% 48%(E) 83% 60%
(A) Effective after the close of business on March 31, 2001, the Fund changed its fiscal year-end to March 31. (B) Represents the period from the commencement of operations (January 1, 1999) through December 31, 1999. (C) Total returns shown exclude the effect of applicable sales loads. (D) Not annualized. (E) Annualized. See accompanying notes to financial statements. 29 NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2003 (UNAUDITED) ================================================================================ 1. ORGANIZATION The Emerging Growth Fund, Enhanced 30 Fund, Growth Opportunities Fund, Large Cap Growth Fund, Small Cap Growth Fund and Value Plus Fund (individually, a Fund, and collectively, the Funds) are each a series of Touchstone Strategic Trust (the Trust). The Trust is registered under the Investment Company Act of 1940, as amended (the Act), as an open-end management investment company. The Trust was established as a Massachusetts business trust under a Declaration of Trust dated November 18, 1982. The Declaration of Trust, as amended, permits the Trustees to issue an unlimited number of shares of each Fund. Effective May 1, 2001, Class B shares commenced operations for the Funds. Small Cap Growth Fund Class A, B and C shares commenced operations October 21, 2002. Prior to May 1, 2000, the Emerging Growth Fund and Value Plus Fund were part of the Touchstone Series Trust, a Massachusetts business trust organized on February 7, 1994 and registered under the Act as an open-end management investment company. Effective May 1, 2000, the Funds were merged into separate series of the Trust and their fiscal year ends were subsequently changed from December 31 to March 31. The Emerging Growth Fund seeks to increase the value of Fund shares as a primary goal and to earn income as a secondary goal by investing primarily (at least 65% of its assets) in emerging growth companies. The Enhanced 30 Fund seeks to achieve a total return that is higher than the total return of the Dow Jones Industrial Average. The Fund's portfolio is based on the 30 stocks that comprise the Dow Jones Industrial Average. The Growth Opportunities Fund seeks long-term capital appreciation primarily through equity investments in companies whose valuation may not reflect the prospects for accelerated earnings/cash flow growth. The Fund invests primarily in stocks of mid to large cap domestic growth companies that the portfolio manager believes have a demonstrated record of achievement with excellent prospects for earnings and/or cash flow growth over a 3 to 5 year period. The Large Cap Growth Fund seeks long-term growth of capital. Under normal circumstances, the Fund will invest at least 80% of its assets in a diversified portfolio of common stocks of large cap companies. Effective October 6, 2003, the Fund will invest at least 80% of its assets in a non-diversified portfolio of common stocks of large cap companies. See Note 8. The Small Cap Growth Fund seeks long-term growth of capital. Under normal circumstances, the Fund will invest at least 80% of its assets in equity securities of small cap companies. The Value Plus Fund seeks to increase the value of Fund shares over the long-term by investing primarily (at least 65% of its assets) in common stocks of larger companies that the portfolio manager believes are undervalued. Each Fund offers three classes of shares: Class A shares (currently sold subject to a maximum front-end sales load of 5.75% and a maximum distribution fee of up to 0.25%), Class B shares (sold subject to a maximum contingent deferred sales load of 5.00% for a one-year period and incrementally reduced over time and a maximum distribution fee of up to 1.00% of average daily net assets) and Class C shares (effective May 1, 2001 sold subject to a 1.00% contingent deferred sales load for a one-year period and a maximum distribution fee of up to 1.00% of average daily net assets). Each Class A, Class B and Class C share of a Fund represents identical interests in the investment portfolio of such Fund and has the same rights, except that (i) Class B and Class C shares bear the expenses of higher distribution fees, 30 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ which is expected to cause Class B and Class C shares to have a higher expense ratio and to pay lower dividends than Class A shares; (ii) certain other class specific expenses will be borne solely by the class to which such expenses are attributable; and (iii) each class has exclusive voting rights with respect to matters relating to its own distribution arrangements. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of the Funds' significant accounting policies: Security valuation - The Funds' portfolio securities are valued as of the close of the regular session of trading on the New York Stock Exchange (currently 4:00 p.m., Eastern time). Portfolio securities traded on stock exchanges or quoted by NASDAQ are valued at the NASDAQ official closing price. Securities quoted in foreign currencies are translated into U.S. dollars at the current exchange rate. Securities not traded on a particular day, or for which the last sale price is not readily available, are valued at their last broker-quoted bid prices as obtained from one or more of the major market makers for such securities by an independent pricing service. Securities for which market quotations are not readily available are valued at their fair value as determined in good faith in accordance with consistently applied procedures established by and under the general supervision of the Board of Trustees. Portfolio Securities Loaned - As of September 30, 2003, the Emerging Growth Fund, Growth Opportunities Fund and the Small Cap Growth Fund loaned common stocks having a fair value of approximately $33,397,467, $14,032,409 and $6,771,341 and received collateral of $35,552,758, $14,541,900 and $7,074,596 for the loans, respectively. All collateral received as cash and securities is received, held and administered by the Fund's Custodian for the benefit of the Funds in the applicable custody account or other account established for the purpose of holding collateral. The Emerging Growth Fund, Growth Opportunities Fund and the Small Cap Growth Fund receive compensation in the form of fees, or retain a portion of interest on the investment of any cash received as collateral. The Funds also continue to receive interest or dividends on the securities loaned. The loans are secured by collateral at least equal, at all times, to the fair value of the securities loaned plus accrued interest. Gain or loss in the fair value of the securities loaned that may occur during the term of the loan will be for the account of the Funds. The Funds have the right under the lending agreement to recover the securities from the borrower on demand. Foreign currency value translation - The accounting records of the Funds are maintained in U.S. dollars. The market value of investment securities, other assets and liabilities and forward contracts denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rates at the end of the period. Purchases and sales of securities, income receipts and expense payments are translated at the exchange rate prevailing on the respective dates of such transactions. Reported net realized gains and losses on foreign currency transactions represent net gains and losses from sales and maturities of forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. Forward foreign currency and spot contracts - The Emerging Growth Fund and Value Plus Fund may enter into forward foreign currency and spot contracts to protect securities and related receivables and payables against fluctuations in foreign currency rates. A forward contract is an agreement to buy or sell currencies of different countries on a specified future date at a specified rate. 31 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ Risks associated with such contracts include the movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. The market value of the contract will fluctuate with changes in currency exchange rates. Contracts are valued daily based on procedures established by and under the general supervision of the Board of Trustees of the Trust and the change in the market value is recorded by the Funds as unrealized appreciation and depreciation of forward foreign currency contracts. Repurchase agreements - Repurchase agreements, which are collateralized by U.S. Government obligations, are valued at cost, which, together with accrued interest, approximates market. At the time each Fund enters into a repurchase agreement, the seller agrees that the value of the underlying securities, including accrued interest, will at all times be equal to or exceed the face amount of the repurchase agreement. Share valuation - The net asset value per share of each class of shares of each Fund is calculated daily by dividing the total value of a Fund's assets attributable to that class, less liabilities attributable to that class, by the number of outstanding shares of that class. The maximum offering price per share of Class A shares of the Funds is equal to the net asset value per share plus a sales load equal to 6.10% of the net asset value (or 5.75% of the offering price). The maximum offering price per share of Class B and Class C shares of the Funds is equal to the net asset value per share. The redemption price per share of each class of shares of the Funds equal to the net asset value per share. However, Class B and Class C shares of the Funds are subject to a contingent deferred sales load of 5% and 1%, respectively, of the original purchase price if redeemed within a one-year period from the date of purchase. The contingent deferred sales load for Class B shares will be incrementally reduced over time. After the 6th year, there is no contingent deferred sales load for Class B shares. Investment income - Interest income is accrued as earned. Dividend income is recorded on the ex-dividend date. Discounts and premiums on securities purchased are amortized in accordance with income tax regulations, which approximate generally accepted accounting principles. Distributions to shareholders - Dividends arising from net investment income, if any, are declared and paid to shareholders quarterly for the Enhanced 30 Fund, Large Cap Growth Fund, and Value Plus Fund and annually for the Emerging Growth Fund, Growth Opportunities Fund, and Small Cap Growth Fund. With respect to each Fund, net realized short-term capital gains, if any, may be distributed throughout the year and net realized long-term capital gains, if any, are distributed at least once each year. Income dividends and capital gain distributions are determined in accordance with income tax regulations. Allocations - Investment income earned, realized capital gains and losses, and unrealized appreciation and depreciation for the Funds are allocated daily to each class of shares based upon its proportionate share of total net assets of the Fund. Class specific expenses are charged directly to the class incurring the expense. Common expenses, which are not attributable to a specific class, are allocated daily to each class of shares based upon its proportionate share of total net assets of the Fund. Expenses not directly billed to a Fund are allocated proportionally among all Funds daily in relation to net assets of each Fund or another reasonable measure. Security transactions - Security transactions are accounted for on the trade date. Securities sold are determined on a specific identification basis. 32 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ Estimates - The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. Federal income tax - It is each Fund's policy to comply with the special provisions of the Internal Revenue Code applicable to regulated investment companies. As provided therein, in any fiscal year in which a Fund so qualifies and distributes at least 90% of its taxable net income, the Fund (but not the shareholders) will be relieved of federal income tax on the income distributed. Accordingly, no provision for income taxes has been made. In order to avoid imposition of the excise tax applicable to regulated investment companies, it is also each Fund's intention to declare and pay as dividends in each calendar year at least 98% of its net investment income (earned during the calendar year) and 98% of its net realized capital gains (earned during the twelve months ending October 31) plus undistributed amounts from prior years. The tax character of distributions paid for the years ended March 31, 2003 and 2002 was as follows:
- --------------------------------------------------------------------------------------------------------------------- EMERGING GROWTH GROWTH ENHANCED 30 OPPORTUNITIES FUND FUND FUND - --------------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, 2003 2002 2003 2002 2003 2002 - --------------------------------------------------------------------------------------------------------------------- From ordinary income .......... $3,671,302 $ 30,646 $ 71,896 $ 38,704 $ -- $ -- From long-term capital gains .. 308,874 391,279 -- -- -- -- -------------------------------------------------------------------------------- $3,980,176 $ 421,925 $ 71,896 $ 38,704 $ -- $ -- ================================================================================ - --------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------- LARGE CAP SMALL CAP GROWTH GROWTH VALUE PLUS FUND FUND FUND - ------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, 2003 2002 2003 2003 2002 - ------------------------------------------------------------------------------------------------------- From ordinary income .......... $ -- $ -- $ -- $ 292,503 $ 151,108 From long-term capital gains .. -- -- -- -- -- ------------------------------------------------------------------ $ -- $ -- $ -- $ 29,250 $ 151,108 ================================================================== - -------------------------------------------------------------------------------------------------------
33 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ The following information is computed on a tax basis for each item as of March 31, 2003:
- ---------------------------------------------------------------------------------------------- EMERGING GROWTH GROWTH ENHANCED 30 OPPORTUNITIES FUND FUND FUND - ---------------------------------------------------------------------------------------------- Cost of portfolio investments .......... $ 290,648,232 $ 9,338,002 $ 148,959,255 ================================================== Gross unrealized appreciation .......... 18,269,910 333,454 6,064,847 Gross unrealized depreciation .......... (47,231,050) (1,998,728) (45,979,265) -------------------------------------------------- Net unrealized appreciation/depreciation (28,961,140) (1,665,274) (39,914,418) ================================================== Post October losses .................... (20,172,400) (1,038,798) (16,871,671) ================================================== Capital loss carryforward .............. (24,155,186) (538,988) (46,429,008) ================================================== Undistributed ordinary income .......... -- 342 -- ================================================== Accumulated earnings (deficit) ....... $ (73,288,726) $ (3,242,718) $ (103,215,097) ================================================== - ----------------------------------------------------------------------------------------------
34 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================
- ---------------------------------------------------------------------------------------------- LARGE CAP SMALL CAP GROWTH GROWTH VALUE PLUS FUND FUND FUND - ---------------------------------------------------------------------------------------------- Cost of portfolio investments .......... $ 40,366,529 $ 17,997,642 $ 60,146,174 ================================================== Gross unrealized appreciation .......... 1,110,731 1,429,277 1,567,822 Gross unrealized depreciation .......... (6,815,918) (890,978) (14,514,174) -------------------------------------------------- Net unrealized appreciation/depreciation (5,705,187) 538,299 (12,946,352) ================================================== Post October losses .................... (3,175,121) (922,934) (6,389,522) ================================================== Capital loss carryforward .............. (31,291,094) (41,322) (6,035,382) ================================================== Undistributed ordinary income .......... -- -- 84,212 ================================================== Accumulated earnings (deficit) ....... $ (40,171,402) $ (425,957) $ (25,287,044) ================================================== - ----------------------------------------------------------------------------------------------
The difference between the tax cost of portfolio investments and the financial statement cost is primarily due to wash sales. As of March 31, 2003, the Funds had the following capital loss carryforwards for federal income tax purposes. - -------------------------------------------------------------------------------- EXPIRES FUND AMOUNT MARCH 31, - -------------------------------------------------------------------------------- Emerging Growth Fund ......... $ 24,155,186 2011 ============ Enhanced 30 Fund ............. $ 99,480 2009 24,780 2010 414,728 2011 ------------ 538,988 ============ Growth Opportunities Fund .... $ 2,005,441 2009 22,448,509 2010 21,975,058 2011 ------------ 46,429,008 ============ Large Cap Growth Fund ........ $ 12,172,049 2010 19,119,045 2011 ------------ 31,291,094 ============ Small Cap Growth Fund ........ $ 41,322 2011 ============ Value Plus Fund .............. $ 209,088 2009 5,826,294 2011 ------------ 6,035,382 ============ - -------------------------------------------------------------------------------- The capital loss carryforwards may be utilized in the current and future years to offset net realized capital gains, if any, prior to distributing such gains to shareholders. 35 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ 3. INVESTMENT TRANSACTIONS Investment transactions (excluding short-term investments) were as follows for the period ended September 30, 2003:
- ---------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------- EMERGING GROWTH GROWTH ENHANCED 30 OPPORTUNITIES FUND FUND FUND - ---------------------------------------------------------------------------------------------- Purchases of investment securities ..... $ 208,913,878 $ 358,861 $ 49,992,198 -------------------------------------------------- Proceeds from sales and maturities of investment securities ............. $ 127,141,434 $ 182,927 $ 47,144,507 -------------------------------------------------- - ---------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------- LARGE CAP SMALL CAP GROWTH GROWTH VALUE PLUS FUND FUND FUND - ---------------------------------------------------------------------------------------------- Purchases of investment securities ..... $ 9,386,251 $ 37,555,140 $ 12,338,648 -------------------------------------------------- Proceeds from sales and maturities of investment securities ............. $ 9,979,003 $ 24,057,020 $ 13,483,913 -------------------------------------------------- - ----------------------------------------------------------------------------------------------
4. TRANSACTIONS WITH AFFILIATES Certain officers of the Trust are also officers of Touchstone Advisors, Inc. (the Adviser), the Trust's investment adviser, or Touchstone Securities, Inc. (the Underwriter), the Trust's principal underwriter, and Integrated Fund Services, Inc. (Integrated), the Trust's administrator, transfer agent and accounting services agent. The Adviser, the Underwriter and Integrated are each wholly-owned, indirect subsidiaries of The Western and Southern Life Insurance Company. MANAGEMENT AGREEMENTS The Adviser provides general investment supervisory services for the Funds, under the terms of a Management Agreement. Under the Management Agreement, the Enhanced 30 Fund pays the Adviser a fee, which is computed and accrued daily and paid monthly, at an annual rate of 0.65% on the first $100 million of average daily net assets; 0.60% of the next $100 million of average daily net assets; 0.55% of the next $100 million of average daily net assets; and 0.50% of such assets in excess of $300 million. The Growth Opportunities Fund pays the Adviser a fee, which is computed and accrued daily and paid monthly, at an annual rate of 1.00% on the first $50 million of average daily net assets; 0.90% of the next $50 million of average daily net assets; 0.80% of the next $100 million of average daily net assets; and 0.75% of such assets in excess of $200 million. The Large Cap Growth Fund pays the Adviser a fee, which is computed and accrued daily and paid monthly, at an annual rate of 0.75% on the first $200 million of average daily net assets; 0.70% of the next $300 million of average daily net assets; and 0.50% of such assets in excess of $500 million. The Value Plus Fund pays the Adviser a fee, which is computed and accrued daily and paid monthly, at an annual rate of 0.75% on the first $100 million of average daily net assets; 0.70% of the next $100 million of average daily net assets; 0.65% of the next $100 million of average daily net assets; and 0.60% of such assets in excess of $300 million. The Emerging Growth Fund and Small Cap Growth Fund each pay the Adviser a fee, which is 36 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ computed and accrued daily and paid monthly, at an annual rate of 0.80% and 1.25%, respectively, of average daily net assets. TCW Investment Management Company (TCW) and Westfield Capital Management Company, Inc. (Westfield) have been retained by the Adviser to manage the investments of the Emerging Growth Fund. The Adviser (not the Fund) pays TCW and Westfield a fee for these services. Todd Investment Advisors, Inc. (Todd) has been retained by the Adviser to manage the investments of the Enhanced 30 Fund. The Adviser (not the Fund) pays Todd a fee for these services. Mastrapasqua Asset Management, Inc. (Mastrapasqua) has been retained by the Adviser to manage the investments of the Growth Opportunities Fund. The Adviser (not the Fund) pays Mastrapasqua a fee for these services. Fort Washington Investment Advisors, Inc. (Fort Washington) has been retained by the Adviser to manage the investments of the Large Cap Growth Fund and Value Plus Fund. The Adviser (not the Funds) pays Fort Washington a fee for these services. Longwood Investment Advisors, Inc. (Longwood) and Bjurman, Barry & Associates (Bjurman) have been retained by the Adviser to manage the investments of the Small Cap Growth Fund. The Adviser (not the Fund) pays Longwood and Bjurman a fee for these services. The Adviser has entered into an agreement to contractually limit operating expenses of certain Funds. The maximum operating expense limit in any year with respect to a Fund is based on a percentage of the average daily net assets of the Fund. The Adviser has agreed to waive advisory fees and reimburse expenses in order to maintain expense limitations for the Large Cap Growth Fund as follows: 1.30% for Class A shares, 2.25% for Class B shares, and 2.25% for Class C shares. These expense limitations shall remain in effect until October 6, 2005. Pursuant to a Sponsor Agreement, between the Adviser and the Trust, the Adviser has agreed to waive its fees and reimburse expenses in order to limit certain Fund's annual expenses as follows: Emerging Growth Fund - 1.50% for Class A shares, 2.25% for Class B and Class C shares; Enhanced 30 Fund - 1.00% for Class A shares, 1.75% for Class B and Class C shares; Small Cap Growth Fund - 1.95% for Class A shares, 2.70% for Class B and Class C shares; Value Plus Fund - 1.30% for Class A shares, 2.05% for Class B and Class C shares. These fee waivers and expense limitations shall remain in effect until March 31, 2004. ADMINISTRATION AGREEMENT Under the terms of an Administration Agreement, Integrated supplies executive and regulatory compliance services, supervises the preparation of tax returns, and coordinates the preparation of reports to shareholders and reports to and filings with the Securities and Exchange Commission and state securities authorities and materials for meetings of the Board of Trustees. For these services, Integrated receives a monthly fee from each Fund. TRANSFER AGENT AGREEMENT Under the terms of the Transfer Agent Agreement between the Trust and Integrated, Integrated maintains the records of each shareholder's account, answers shareholders' inquiries concerning their accounts, processes purchases and redemptions of each Fund's shares, acts as dividend and distribution disbursing agent and performs other shareholder service functions. For these services, Integrated receives a monthly fee per shareholder account from each Fund, subject to a minimum monthly fee for each Fund, or for each class of shares of a Fund, as applicable. In addition, each Fund pays Integrated out-of-pocket expenses including, but not limited to, postage and supplies. 37 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ ACCOUNTING SERVICES AGREEMENT Under the terms of the Accounting Services Agreement between the Trust and Integrated, Integrated calculates the daily net asset value per share and maintains the financial books and records. For these services, Integrated receives a monthly fee, based on current net asset levels from each Fund. In addition, each Fund pays Integrated certain out-of-pocket expenses incurred by Integrated in obtaining valuations of such Fund's portfolio securities. UNDERWRITING AGREEMENT The Underwriter is the Funds' principal underwriter and, as such, acts as the exclusive agent for distribution of the Funds' shares. Under the terms of the Underwriting Agreement between the Trust and Underwriter, the Underwriter earned $89,252, $1,133, $7,061, $754, $11,656, and $1,489 from underwriting and broker commissions on the sale of shares of the Emerging Growth Fund, Enhanced 30 Fund, Growth Opportunities Fund, Large Cap Growth Fund, Small Cap Growth Fund, and Value Plus Fund, respectively, during the period ended September 30, 2003. In addition, the Underwriter collected $61,985, $2,827, $6,564, $3, $4,736, and $285 of contingent deferred sales loads on the redemption of Class B and Class C shares of the Emerging Growth Fund, Enhanced 30 Fund, Growth Opportunities Fund, Large Cap Growth Fund, Small Cap Growth Fund and Value Plus Fund, respectively. PLANS OF DISTRIBUTION The Trust has a Plan of Distribution (Class A Plan) under which Class A shares of each Fund may directly incur or reimburse the Adviser for expenses related to the distribution and promotion of shares. The annual limitation for payment of such expenses under the Class A Plan is 0.25% of average daily net assets attributable to such shares. The Trust also has a Plan of Distribution (Class B and Class C Plan) under which Class B and Class C shares of each Fund may directly incur or reimburse the Adviser for expenses related to the distribution and promotion of shares. The annual limitation for payment of such expenses under the Class B and Class C Plan is 1.00% of average daily net assets attributable to Class B and Class C shares. SPONSOR AGREEMENT The Trust, on behalf of the Emerging Growth Fund, Enhanced 30 Fund, Small Cap Growth Fund, and Value Plus Fund, has entered into a Sponsor Agreement with the Adviser. The Adviser provides oversight of the various service providers to the Funds, including the Funds' administrator, custodian and transfer agent. The Adviser receives a fee from each Fund equal on an annual basis to 0.20% of the average daily net assets of that Fund. The Adviser agreed to waive all fees until March 31, 2004, as needed to maintain each Fund's expenses at a set level. The Sponsor Agreement may be terminated by the Adviser, the Board of Trustees or the vote of a majority of the outstanding voting securities of each Fund with 30 days written notice. 38 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ 5. CAPITAL SHARE TRANSACTIONS Proceeds and payments on capital shares as shown in the Statements of Changes in Net Assets are the result of the following capital share transactions for the periods shown:
- ----------------------------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------------------------- EMERGING GROWTH GROWTH ENHANCED 30 OPPORTUNITIES FUND FUND FUND - ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR ENDED YEAR SEPTEMBER 30, ENDED SEPTEMBER 30, ENDED SEPTEMBER 30, ENDED 2003 MARCH 31, 2003 MARCH 31, 2003 MARCH 31, (UNAUDITED) 2003 (UNAUDITED) 2003 (UNAUDITED) 2003 - ----------------------------------------------------------------------------------------------------------------------------------- CLASS A Shares sold ................................. 6,528,175 9,611,435 43,322 286,492 1,826,273 4,692,700 Shares reinvested ........................... -- 110,981 2,700 9,547 -- -- Shares redeemed ............................. (2,729,575) (7,387,223) (47,728) (209,119) (1,606,873) (4,740,449) ---------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding 3,798,600 2,335,193 (1,706) 86,920 219,400 (47,749) Shares outstanding, beginning of period ..... 11,032,209 8,697,016 909,913 822,993 6,651,160 6,698,909 ---------------------------------------------------------------------------------- Shares outstanding, end of period ........... 14,830,809 11,032,209 908,207 909,913 6,870,560 6,651,160 ================================================================================== CLASS B Shares sold ................................. 737,194 1,551,627 48,379 67,375 19,403 67,258 Shares reinvested ........................... -- 20,616 -- 26 -- -- Shares redeemed ............................. (130,278) (319,901) (14,217) (52,640) (14,390) (54,304) ---------------------------------------------------------------------------------- Net increase in shares outstanding .......... 606,916 1,252,342 34,162 14,761 5,013 12,954 Shares outstanding, beginning of period ..... 2,092,702 840,360 108,930 94,169 203,047 190,093 ---------------------------------------------------------------------------------- Shares outstanding, end of period ........... 2,699,618 2,092,702 143,092 108,930 208,060 203,047 ================================================================================== CLASS C Shares sold ................................. 2,567,957 5,488,550 51,254 131,520 137,156 240,662 Shares reinvested ........................... -- 58,253 -- 93 -- -- Shares redeemed ............................. (709,324) (1,445,076) (15,829) (93,364) (173,419) (759,693) ---------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding 1,858,633 4,101,727 35,425 38,249 (36,263) (519,031) Shares outstanding, beginning of period ..... 7,790,171 3,688,444 136,846 98,597 1,784,821 2,303,852 ---------------------------------------------------------------------------------- Shares outstanding, end of period ........... 9,648,804 7,790,171 172,271 136,846 1,748,558 1,784,821 ================================================================================== - -----------------------------------------------------------------------------------------------------------------------------------
39 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================
- ----------------------------------------------------------------------------------------------------------------------------------- LARGE CAP SMALL CAP GROWTH GROWTH VALUE PLUS FUND FUND FUND - ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR ENDED YEAR SEPTEMBER 30, ENDED SEPTEMBER 30, ENDED SEPTEMBER 30, ENDED 2003 MARCH 31, 2003 MARCH 31, 2003 MARCH 31, (UNAUDITED) 2003 (UNAUDITED) 2003(A) (UNAUDITED) 2003 - ----------------------------------------------------------------------------------------------------------------------------------- CLASS A Shares sold ................................. 202,820 511,005 761,479 1,605,827 304,286 819,488 Shares reinvested ........................... -- -- -- -- 22,692 37,132 Shares redeemed ............................. (218,410) (1,912,165) (139,276) (48,124) (263,971) (3,553,400) ---------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (15,590) 1,401,160 622,203 1,557,703 63,007 (2,696,780) Shares outstanding, beginning of period ..... 4,167,620 5,568,780 1,557,703 -- 6,187,359 8,884,139 ---------------------------------------------------------------------------------- Shares outstanding, end of period ........... 4,152,030 4,167,620 2,179,906 1,557,703 6,250,366 6,187,359 ================================================================================== CLASS B Shares sold ................................. 9,998 8,051 195,402 148,131 24,794 40,736 Shares reinvested ........................... -- -- -- -- 116 233 Shares redeemed ............................. (350) (890) (8,178) (4,698) (3,904) (2,533) ---------------------------------------------------------------------------------- Net increase in shares outstanding .......... 9,648 7,161 187,224 143,433 21,006 38,436 Shares outstanding, beginning of period ..... 10,131 2,970 143,433 -- 51,146 12,710 ---------------------------------------------------------------------------------- Shares outstanding, end of period ........... 19,779 10,131 330,657 143,433 72,152 51,146 ================================================================================== CLASS C Shares sold ................................. 7,610 32,199 310,929 341,792 11,407 34,029 Shares reinvested ........................... -- -- -- -- 368 -- Shares redeemed ............................. (19,469) (64,219) (46,063) (31,000) (16,159) (74,724) ---------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (11,859) (32,020) 264,866 310,792 (4,384) (40,695) Shares outstanding, beginning of period ..... 130,436 162,456 310,792 -- 209,498 250,193 ---------------------------------------------------------------------------------- Shares outstanding, end of period ........... 118,577 130,436 575,658 310,792 205,114 209,498 ================================================================================== - -----------------------------------------------------------------------------------------------------------------------------------
(A) Represents the period from commencement of operations (October 31, 2002) through March 31, 2003. 40 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ================================================================================ 6. RISKS ASSOCIATED WITH FOREIGN SECURITIES Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments, which could adversely affect investments in those countries. Certain countries may also impose substantial restrictions on investments in their capital markets by foreign entities, including restrictions on investments in issuers or industries deemed sensitive to relevant national interests. These factors may limit the investment opportunities available to a Funds or result in a lack of liquidity and high price volatility with respect to securities of issuers from developing countries. 7. RISKS ASSOCIATED WITH SMALL CAPITALIZATION INVESTING Emerging growth funds and small cap funds typically carry additional risks since smaller companies generally have a higher risk of failure. Historically, smaller companies have experienced a greater degree than average of market volatility. 8. SUBSEQUENT EVENTS On April 3, 2003, the Board of Trustees of the Trust approved the proposal of an Agreement and Plan of Reorganization between the Navellier Millennium Large Cap Growth Portfolio, the Navellier Performance Large Cap Growth Portfolio (the 'Navellier Portfolios') and the Large Cap Growth Fund series of the Touchstone Strategic Trust, whereby the Navellier Portfolios would transfer to the Large Cap Growth Fund all of their assets, subject to their liabilities, in exchange for shares of the Large Cap Growth Fund. On October 3, 2003 the Navellier Millennium Large Cap Growth Portfolio and the Navellier Performance Large Cap Growth Portfolio merged into the Touchstone Large Cap Growth Fund. The Navellier Performance Large Cap Growth Fund's performance and accounting history was carried forward and the Large Cap Growth Fund's historical tax information was carried forward. The Board of Trustees also approved the Large Cap Growth Fund change its status from a diversified to a non-diversified series. 41 EMERGING GROWTH FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2003 (UNAUDITED) ================================================================================ MARKET COMMON STOCKS - 92.6% SHARES VALUE - -------------------------------------------------------------------------------- MEDICAL SUPPLIES - 9.5% Apogent Technologies Inc.* ...................... 295,900 $ 6,172,474 Beckman Coulter Inc. ............................ 90,400 4,116,816 C. R. Bard, Inc. ................................ 18,900 1,341,900 Integra LifeSciences Holdings* .................. 89,300 2,526,297 PolyMedica Corp. ................................ 113,600 3,010,400 Quest Diagnostics Inc.* ......................... 68,800 4,172,032 Quinton Cardiology Systems Inc.* ................ 172,300 1,245,729 Tektronix Inc. .................................. 223,200 5,524,200 Teradyne Inc.* .................................. 424,700 7,899,420 Thermo Electron* ................................ 61,800 1,341,060 Waters Corp* .................................... 107,500 2,948,725 Wright Medical Group Inc.* ...................... 236,800 5,986,304 ------------ 46,285,357 ------------ ELECTRONICS - 8.3% Arrow Electronics Inc.* ......................... 188,300 3,462,837 Celestica, Inc.* ................................ 243,000 3,853,980 KLA-Tencor Corp.* ............................... 21,600 1,110,240 LSI Logic* ...................................... 559,300 5,028,107 National Semiconductor Corp.* ................... 187,400 6,051,146 Power Integrations Inc.* ........................ 75,500 2,509,620 Semtech Corp.* .................................. 238,600 4,404,556 Synopsys, Inc.* ................................. 43,800 1,347,726 Varian Semiconductor Equipment Associates Inc.* . 125,100 4,684,995 Vishay Intertechnology Inc.* .................... 389,500 6,824,040 White Electronic Designs Corp.* ................. 113,400 1,219,050 ------------ 40,496,297 ------------ BANKING - 7.1% Banknorth Group Inc. ............................ 195,800 5,525,476 East West Bancorp Inc. .......................... 75,400 3,223,350 Investors Financial Services Corp.* ............. 122,800 3,855,920 North Fork Bancorporation ....................... 128,600 4,468,850 Silicon Valley Bancshares* ...................... 83,500 2,307,105 Southwest Bancorp of Texas ...................... 97,500 3,559,725 UCBH Holdings Inc. .............................. 168,200 5,084,686 Valley National Bancorp ......................... 57,923 1,612,576 Zions Bancorporation ............................ 85,000 4,747,250 ------------ 34,384,938 ------------ COMMERCIAL SERVICES - 6.3% Alexander & Baldwin Inc. ........................ 105,400 2,959,632 Anixter International Inc.* ..................... 125,300 2,853,081 Career Education Corp.* ......................... 131,200 5,943,360 Navigant Consulting, Inc.* ...................... 182,000 2,240,420 PerkinElmer Inc. ................................ 617,610 9,455,609 Sylvan Learning Systems Inc.* ................... 201,300 5,491,464 University of Phoenix Online* ................... 24,400 1,624,552 ------------ 30,568,118 ------------ 42 EMERGING GROWTH FUND (CONTINUED) ================================================================================ MARKET COMMON STOCKS - 92.6%(CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- OIL & GAS - 6.3% Chesapeake Energy Corp. ......................... 495,900 $ 5,345,802 Copper Cameron Corp.* ........................... 82,100 3,793,841 Devon Energy Corp. .............................. 47,800 2,303,482 ENSCO International Inc. ........................ 75,100 2,014,182 Helmerich & Payne Inc. .......................... 126,100 3,296,254 Pride International Inc.* ....................... 118,000 2,000,100 Superior Energy Services* ....................... 361,100 3,538,780 Transocean Inc.* ................................ 213,600 4,272,000 Varco International Inc.* ....................... 68,100 1,151,571 W-H Energy Services, Inc.* ...................... 131,100 2,333,580 ------------ 30,049,592 ------------ COMPUTERS & INFORMATION - 5.8% Emulex Corp.* ................................... 195,000 4,966,650 Maxtor Corp.* ................................... 280,900 3,418,553 Polycom Inc.* ................................... 246,600 4,096,026 RSA Security Inc.* .............................. 111,900 1,597,932 Symbol Technologies Inc. ........................ 190,400 2,275,280 The Reynolds & Reynolds Company - Class A ....... 117,500 3,237,125 Unisys Corp.* ................................... 272,100 3,681,513 Verint Systems Inc.* ............................ 89,100 1,906,740 Verity, Inc.* ................................... 190,000 2,483,300 ------------ 27,663,119 ------------ RETAILERS - 5.3% Cost Plus Inc.* ................................. 114,700 4,234,724 Dollar Tree Stores, Inc.* ....................... 38,500 1,289,750 Guitar Center Inc.* ............................. 154,100 4,955,856 J.C. Penny Company Inc. ......................... 296,800 6,342,616 Tech Data Corp.* ................................ 73,600 2,270,560 Tiffany & Co. ................................... 37,500 1,399,875 Williams-Sonoma Inc.* ........................... 176,900 4,772,762 ------------ 25,266,143 ------------ HEALTH CARE PROVIDERS - 4.5% Cross Country Healthcare, Inc.* ................. 192,500 2,712,325 Express Scripts, Inc. - Class A* ................ 18,100 1,106,815 Health Management Associates, Inc. - Class A .... 167,900 3,661,899 Health Net Inc.* ................................ 147,550 4,672,909 Humana, Inc.* ................................... 80,800 1,458,440 Manor Care ...................................... 213,200 6,396,000 PSS World Medical Inc.* ......................... 170,900 1,515,883 ------------ 21,524,271 ------------ HEAVY MACHINERY - 3.3% Dover Corp. ..................................... 120,800 4,272,696 Pall Corp. ...................................... 117,400 2,634,456 Phelps Dodge Corp.* ............................. 103,600 4,848,480 York International Corp. ........................ 120,200 4,157,718 ------------ 15,913,350 ------------ 43 EMERGING GROWTH FUND (CONTINUED) ================================================================================ MARKET COMMON STOCKS - 92.6%(CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- COMPUTER SOFTWARE & PROCESSING - 3.1% Aspen Technology, Inc.* ......................... 536,600 $ 2,092,740 CheckFree Corp.* ................................ 159,200 3,184,000 Macromedia Inc.* ................................ 121,850 3,014,569 Network Associates Inc.* ........................ 467,100 6,427,296 ------------ 14,718,605 ------------ APPAREL RETAILERS - 3.0% Abercrombie & Fitch Co.* ........................ 40,600 1,125,026 American Eagle Outfitters Inc.* ................. 260,700 3,874,002 Chico's FAS Inc.* ............................... 167,800 5,141,392 The Talbots Inc.* ............................... 122,300 4,262,155 ------------ 14,402,575 ------------ PHARMACEUTICALS - 2.9% Caremark Rx, Inc.* .............................. 51,600 1,166,160 Celgene Corp.* .................................. 83,600 3,622,388 Elan Corp. plc* ................................. 861,500 4,557,335 QLT Inc.* ....................................... 177,500 2,834,675 United Therapeutics Corp.* ...................... 70,600 1,594,854 ------------ 13,775,412 ------------ TECHNOLOGY - 2.8% ASM International N.V.* ......................... 79,200 1,168,200 Concur Technologies, Inc.* ...................... 122,200 1,449,292 Keane, Inc. ..................................... 292,400 3,736,872 Lam Research Corp.* ............................. 207,000 4,585,050 SkillSoft PLC - ADR* ............................ 328,400 2,446,580 ------------ 13,385,994 ------------ ADVERTISING - 2.2% DoubleClick, Inc.* .............................. 373,600 4,023,672 Monster Worldwide Inc.* ......................... 64,400 1,621,592 The Interpublic Group of Companies, Inc.* ....... 341,800 4,826,216 ------------ 10,471,480 ------------ INSURANCE - 1.9% Philadelphia Consolidated Holding Corp.* ........ 88,900 4,107,180 Platinum Underwriters Holdings Ltd. ............. 129,300 3,633,330 RenaissanceRe Holdings Ltd. ..................... 34,700 1,583,361 ------------ 9,323,871 ------------ MEDIA - BROADCASTING & PUBLISHING - 1.7% E.W. Scripps Co. ................................ 15,900 1,353,090 Entravision Communications Corp. - Class A* ..... 234,200 2,224,900 Meredith Corp. .................................. 41,200 1,902,204 Readers Digest Association, Inc. - Class A ...... 179,300 2,508,407 ------------ 7,988,601 ------------ WASTE DISPOSAL - 1.7% Republic Services Inc. .......................... 144,600 3,273,744 Waste Connections Inc.* ......................... 134,100 4,705,569 ------------ 7,979,313 ------------ APPAREL AND ACCESSORIES - 1.5% Jones Apparel Group, Inc. ....................... 235,030 7,034,448 ------------ 44 EMERGING GROWTH FUND (CONTINUED) ================================================================================ MARKET COMMON STOCKS - 92.6%(CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS - 1.5% Leggett & Platt, Inc. ........................... 116,200 $ 2,513,406 Maytag Corp. .................................... 85,500 2,134,935 Rohm and Haas Company ........................... 71,200 2,381,640 ------------ 7,029,981 ------------ COMMUNICATIONS - 1.4% Advanced Fibre Communication, Inc.* ............. 192,900 4,045,113 Openwave Systems, Inc.* ......................... 596,200 2,515,964 ------------ 6,561,077 ------------ BIOTECHNOLOGY - 1.4% Biogen, Inc.* ................................... 32,000 1,223,360 Charles River Laboratories International, Inc.* . 112,500 3,452,625 Transkaryotic Therapies, Inc.* .................. 175,700 1,836,065 ------------ 6,512,050 ------------ FINANCIAL SERVICES - 1.1% Countrywide Financial Corp. ..................... 47,800 3,741,784 The Corporate Executive Board Company* .......... 35,100 1,647,945 ------------ 5,389,729 ------------ DATA PROCESSING SCHOOLS - 1.1% NDCHealth Corp. ................................. 252,100 5,281,495 ------------ CONSTRUCTION - 1.1% Hovnanian Enterprises, Inc.* .................... 78,400 5,046,608 ------------ AIRLINES - 0.9% Southwest Airlines Co. .......................... 247,800 4,386,060 ------------ AEROSPACE & DEFENSE - 0.9% Alliant Techsystems Inc.* ....................... 70,700 3,397,135 Teledyne Technologies Inc.* ..................... 67,000 974,850 ------------ 4,371,985 ------------ ENGINEERING SERVICES - 0.9% EMCOR Group, Inc.* .............................. 100,600 4,280,530 ------------ ENTERTAINMENT & LEISURE - 0.8% Metro-Goldwyn-Mayer Inc.* ....................... 266,100 4,081,974 ------------ CHEMICALS - 0.8% Agrium Inc. ..................................... 307,300 3,859,688 ------------ ELECTRICAL EQUIPMENT - 0.8% Wilson Greatbatch Technologies, Inc.* ........... 102,200 3,684,310 ------------ DATA PROCESSING SERVICES - 0.6% Ceridian Corp.* ................................. 72,700 1,353,674 SRA International, Inc. - Class A* .............. 40,000 1,497,200 ------------ 2,850,874 ------------ COSMETICS & TOILETRIES - 0.5% Estee Lauder Companies - Class A ................ 76,000 2,591,600 ------------ 45 EMERGING GROWTH FUND (CONTINUED) ================================================================================ MARKET COMMON STOCKS - 92.6%(CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- TOYS - 0.5% Leapfrog Enterprises Inc.* ...................... 44,200 $ 1,679,600 Mattel, Inc. .................................... 38,700 733,752 ------------ 2,413,352 ------------ COTTON - 0.4% Delta and Pine Land Co. ......................... 90,200 2,075,502 ------------ RESTAURANTS - 0.4% P.F. Chang's China Bistro, Inc.* ................ 39,400 1,786,790 ------------ DEEP SEA PASSENGER TRANSPORTATION - 0.3% Royal Caribbean Cruises Ltd. .................... 51,800 1,456,098 ------------ RAILROAD EQUIPMENT - 0.0% Wabtec Corp. .................................... 9,700 153,745 ------------ TOTAL COMMON STOCKS (Cost $385,350,182) ......... $445,044,932 ------------ CASH EQUIVALENTS - 7.4% Brown Brothers Security Lending Investment Fund . 35,552,758 35,552,758 ------------ TOTAL INVESTMENT SECURITIES - 100% (Cost $420,902,940) ........................... $480,597,690 LIABILITIES IN EXCESS OF OTHER ASSETS - 0.0% .... (114,028) ------------ NET ASSETS - 100.0% ............................. $480,483,662 ============ * Non-income producing security. ADR - American Depository Receipt See accompanying notes to financial statements. 46 ENHANCED 30 FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2003 (UNAUDITED) ================================================================================ MARKET COMMON STOCKS - 95.6% SHARES VALUE - -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY - 20.2% Cisco Systems, Inc.* ............................ 18,300 $ 357,582 Computer Sciences Corp.* ........................ 8,000 300,560 Hewlett-Packard Co. ............................. 13,700 265,232 Intel Corp. ..................................... 13,800 379,638 International Business Machines Corp. (IBM) ..... 3,800 335,654 Microsoft Corp. ................................. 13,000 361,270 ------------ 1,999,936 ------------ INDUSTRIAL - 16.2% 3M Co. .......................................... 5,000 345,350 Boeing Co. ...................................... 8,300 284,939 General Electric Co. ............................ 10,600 315,986 Honeywell International, Inc. ................... 11,800 310,930 United Technologies Corp. ....................... 4,400 340,032 ------------ 1,597,237 ------------ CONSUMER STAPLES - 15.3% Altria Group, Inc. .............................. 7,400 324,120 Coca-Cola Co. ................................... 6,400 274,944 Kimberly-Clark Corp. ............................ 5,700 292,524 Procter & Gamble Co. ............................ 3,500 324,870 Wal-Mart Stores, Inc. ........................... 5,400 301,590 ------------ 1,518,048 ------------ CONSUMER DISCRETIONARY - 14.1% Best Buy Co., Inc.* ............................. 7,400 351,648 Home Depot, Inc. ................................ 10,800 343,980 McDonald's Corp. ................................ 15,800 371,932 The Walt Disney Co. ............................. 16,300 328,771 ------------ 1,396,331 ------------ HEALTH - 11.3% Cardinal Health, Inc. ........................... 4,600 268,594 Johnson & Johnson ............................... 6,000 297,120 Merck & Co., Inc. ............................... 4,900 248,038 WellPoint Health Networks, Inc.* ................ 4,000 308,320 ------------ 1,122,072 ------------ FINANCIAL SERVICES - 10.0% American Express Co. ............................ 7,500 337,950 Bank of America Corp. ........................... 3,900 304,356 Citigroup, Inc. ................................. 7,516 342,053 ------------ 984,359 ------------ ENERGY - 3.0% Exxon Mobil Corp. ............................... 8,000 292,800 ------------ TELECOMMUNICATION SERVICE - 2.8% SBC Communications, Inc. ........................ 12,600 280,350 ------------ MATERIALS - 2.7% Du Pont (E.I.) DE Nemours ....................... 6,700 268,067 ------------ 47 ENHANCED 30 FUND (CONTINUED) ================================================================================ MARKET COMMON STOCKS - 95.6% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $9,349,918) ........... $ 9,459,200 ------------ OTHER ASSETS IN EXCESS OF LIABILITIES - 4.4% .... 433,231 ------------ NET ASSETS - 100.0% ............................. $ 9,892,431 ============ * Non-income producing security. See accompanying notes to financial statements. 48 GROWTH OPPORTUNITIES FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2003 (UNAUDITED) ================================================================================ MARKET COMMON STOCKS - 99.3% SHARES VALUE - -------------------------------------------------------------------------------- TECHNOLOGY - 32.2% Analog Devices, Inc.* ........................... 90,000 $ 3,421,800 Cephalon Inc.* .................................. 60,000 2,755,200 EMC Corp.* ...................................... 366,500 4,628,895 Intel Corp. ..................................... 145,000 3,988,950 Jabil Circuit, Inc.* ............................ 150,000 3,907,500 Novellus Systems, Inc.* ......................... 80,000 2,700,000 Oracle Corp.* ................................... 353,000 3,960,660 Seagate Technology .............................. 150,000 4,080,000 Sun Microsystems, Inc.* ......................... 650,000 2,151,500 Symantec Corp.* ................................. 74,000 4,663,481 Texas Instruments, Inc. ......................... 153,000 3,488,400 VERITAS Software Corp.* ......................... 138,000 4,333,200 ------------ 44,079,586 ------------ HEALTH - 26.6% Affymetrix, Inc.* ............................... 150,000 3,148,500 Alcon Inc. ...................................... 33,000 1,852,950 Amgen, Inc.* .................................... 68,700 4,435,959 Fisher Scientific International Inc.* ........... 91,000 3,611,790 Genentech, Inc.* ................................ 67,100 5,377,394 Genzyme Corp.* .................................. 85,000 3,931,250 IDEC Pharmaceuticals Corp.* ..................... 100,000 3,315,000 Invitrogen Corp.* ............................... 80,765 4,683,562 MedImmune, Inc.* ................................ 87,000 2,871,870 Waters Corp.* ................................... 118,000 3,236,740 ------------ 36,465,015 ------------ TRANSPORTATION - 9.7% Carnival Corp. .................................. 95,000 3,124,550 Expeditors International of Washington, Inc. .... 105,000 3,613,050 FedEx Corp. ..................................... 50,000 3,221,500 Ryder Systems, Inc. ............................. 115,000 3,371,800 ------------ 13,330,900 ------------ RETAIL - 8.0% Home Depot, Inc. ................................ 122,000 3,885,700 Target Corp. .................................... 100,000 3,763,000 The Gap, Inc. ................................... 195,000 3,338,400 ------------ 10,987,100 ------------ MEDIA - 7.3% Comcast Corp. - Class A* ........................ 105,000 3,101,700 Fox Entertainment Group, Inc. - Class A* ........ 120,000 3,358,800 Walt Disney Company ............................. 176,000 3,549,920 ------------ 10,010,420 ------------ FINANCIAL SERVICES - 4.9% Goldman Sachs Group, Inc. ....................... 32,000 2,684,800 Merrill Lynch & Co., Inc. ....................... 74,000 3,961,220 ------------ 6,646,020 ------------ 49 GROWTH OPPORTUNITIES FUND (CONTINUED) ================================================================================ MARKET COMMON STOCKS - 99.3% SHARES/UNIT VALUE - -------------------------------------------------------------------------------- TELECOMMUNICATIONS - 3.9% Cisco Systems, Inc.* ............................ 272,000 $ 5,314,880 ------------ RESTAURANTS - 2.6% Wendy's International, Inc. ..................... 112,000 3,617,600 ------------ TELEVISION BROADCASTING STATIONS- 2.2% Interactive Corp.* .............................. 90,000 2,974,500 ------------ OIL & GAS - 1.9% Enbridge Energy Management, LLC ................. 1 44 Schlumberger Limited ............................ 55,000 2,662,000 ------------ 2,662,044 ------------ TOTAL COMMON STOCKS (Cost $149,199,954) ......... $136,088,065 ------------ CASH EQUIVALENTS - 11.5% Merrill Lynch Premier Money Market - Institutional ................................. 1,188,528 1,188,528 Brown Brothers Security Lending Investment Fund . 14,541,900 14,541,900 ------------ TOTAL CASH EQUIVALENTS .......................... 15,730,428 ------------ TOTAL INVESTMENT SECURITIES - 110.8% (Cost $150,388,482) ............................. $151,818,493 LIABILITIES IN EXCESS OF OTHER ASSETS - (10.8%) . (14,749,689) ------------ NET ASSETS- 100.0% .............................. $137,068,804 ============ * Non-income producing security. See accompanying notes to financial statements. 50 LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2003 (UNAUDITED) ================================================================================ MARKET COMMON STOCKS - 97.7% SHARES VALUE - -------------------------------------------------------------------------------- TECHNOLOGY - 28.3% Affliated Computer Services, Inc. - Class A* .... 28,675 $ 1,396,186 Cisco Systems, Inc.* ............................ 92,900 1,815,266 Dell Computer Corp* ............................. 29,900 998,361 First Data Corp. ................................ 15,000 599,400 Intel Corp. ..................................... 52,300 1,438,773 Microsoft Corp. ................................. 71,000 1,973,089 QLogic Corp.* ................................... 16,950 796,820 STMicroelectronics N.V .......................... 25,400 610,870 SunGard Data Systems, Inc.* ..................... 26,550 698,531 VERITAS Software Corp.* ......................... 23,000 722,200 ------------ 11,049,496 ------------ HEALTH - 24.5% Amgen* .......................................... 16,900 1,091,233 Boston Scientific Corp. ......................... 5,800 370,040 Eli Lilly & Company ............................. 8,850 525,690 Forest Laboratories, Inc.* ...................... 13,325 685,571 Johnson & Johnson ............................... 31,025 1,536,358 MedImmune, Inc.* ................................ 28,500 940,785 Medtronic, Inc. ................................. 18,450 865,674 Merck & Co., Inc. ............................... 17,500 885,850 Pfizer, Inc. .................................... 72,700 2,208,626 Zimmer Holdings, Inc.* .......................... 7,650 421,515 ------------ 9,531,342 ------------ CONSUMER, CYCLICAL - 16.2% Comcast Corp. - Class A Special* ................ 53,375 1,576,698 Home Depot, Inc. ................................ 19,925 634,611 Kohl's Corp.* ................................... 14,700 786,450 Lowe's Companies, Inc. .......................... 4,800 249,120 Staples, Inc.* .................................. 38,500 914,375 Viacom, Inc. - Class A .......................... 12,500 480,000 Wal-Mart Stores, Inc. ........................... 29,825 1,665,726 ------------ 6,306,980 ------------ FINANCIAL SERVICES - 10.5% American International Group, Inc. .............. 13,950 804,915 Bank of New York Co., Inc. ...................... 28,800 838,368 Fifth Third Bancorp ............................. 15,300 845,631 Freddie Mac ..................................... 16,950 887,333 Goldman Sachs Group, Inc. ....................... 8,750 734,125 ------------ 4,110,372 ------------ CAPITAL GOODS - 10.1% 3M Co. .......................................... 5,000 345,350 General Electric Co. ............................ 88,340 2,633,415 Ingersoll-Rand Co. - Class A .................... 17,850 953,904 ------------ 3,932,669 ------------ 51 LARGE CAP GROWTH FUND (CONTINUED) ================================================================================ MARKET COMMON STOCKS - 97.7% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- CONSUMER, NON-CYCLICAL - 6.2% Anheuser-Busch Companies, Inc. .................. 7,500 $ 370,050 Colgate-Palmolive Co. ........................... 6,875 384,244 PepsiCo, Inc. ................................... 8,850 405,596 Procter & Gamble Co. ............................ 8,750 812,174 Whole Foods Market, Inc.* ....................... 7,750 427,645 ------------ 2,399,709 ------------ OIL & GAS - 1.9% Noble Drilling Corp.* ........................... 10,900 370,491 Weatherford International Ltd.* ................. 10,050 379,689 ------------ 750,180 ------------ TOTAL COMMON STOCKS (Cost $38,279,009) .......... $ 38,080,748 ------------ MONEY MARKETS - 2.3% Merrill Lynch Premier Money Market - Institutional ................................. 903,604 903,604 ------------ TOTAL INVESTMENT SECURITIES - 100.0% (Cost $39,182,613) ............................ $ 38,984,352 LIABILITIES IN EXCESS OF OTHER ASSETS - 0.0% .... (3,709) ------------ NET ASSETS - 100.0% ............................. $ 38,980,643 ============ * Non-income producing security. See accompanying notes to financial statements. 52 SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2003 (UNAUDITED) ================================================================================ MARKET COMMON STOCKS - 97.3% SHARES VALUE - -------------------------------------------------------------------------------- TECHNOLOGY - 19.3% Ask Jeeves, Inc* ................................ 14,400 $ 250,560 CIBER, Inc.* .................................... 48,450 368,220 CNET Networks, Inc.* ............................ 90,900 643,572 Entrust, Inc.* .................................. 89,450 439,200 Epicor Software Corp.* .......................... 28,000 250,320 Evolving Systems, Inc.* ......................... 20,000 235,000 F5 Networks, Inc.* .............................. 14,000 269,360 GlobespanVirata, Inc.* .......................... 122,200 882,283 Magma Design Automation, Inc.* .................. 12,900 253,098 Maxtor Corp.* ................................... 94,800 1,153,715 Network Equipment Technologies, Inc.* ........... 50,150 458,873 OmniVision Technologies, Inc.* .................. 7,200 304,128 Perceptron, Inc.* ............................... 32,300 174,420 SafeNet, Inc.* .................................. 7,100 256,523 SkillSoft PLC* .................................. 78,409 584,147 SS & C Technologies, Inc. ....................... 15,000 299,850 Stratasys, Inc.* ................................ 9,000 383,580 Taser International, Inc.* ...................... 14,800 388,944 TranSwitch Corp.* ............................... 142,250 352,780 Verint Systems Inc.* ............................ 7,000 149,800 Zygo Corp.* ..................................... 17,900 293,560 ------------ 8,391,933 ------------ INDUSTRIAL PRODUCTS & SERVICES - 13.8% BorgWarner, Inc. ................................ 9,050 614,043 Crown Holdings, Inc.* ........................... 88,650 598,388 FindWhat.com* ................................... 13,000 224,640 Fuel-Tech N.V.* ................................. 31,676 169,467 Gevity HR, Inc. ................................. 13,000 190,840 Harris Interactive Inc.* ........................ 46,200 325,248 Impact Energy Inc.* ............................. 330,350 313,348 Laidlaw International Inc.* ..................... 55,250 544,213 Matrix Service Company* ......................... 10,200 181,152 Rofin-Sinar Technologies, Inc.* ................. 12,000 251,880 SupportSoft, Inc.* .............................. 88,250 987,517 ValueClick, Inc.* ............................... 87,150 732,931 Veeco Instruments Inc.* ......................... 33,050 659,677 World Fuel Services Corp. ....................... 8,000 224,560 ------------ 6,017,904 ------------ COMMUNICATIONS - 11.8% Comtech Telecommunications Corp* ................ 12,000 286,920 Crown Castle International Corp.* ............... 68,853 647,907 Foundry Networks, Inc.* ......................... 50,900 1,094,859 j2 Global Communications, Inc.* ................. 10,000 378,300 McDATA Corp.* ................................... 73,100 875,007 NII Holdings, Inc. - Class B* ................... 19,450 1,160,970 Sierra Wireless* ................................ 37,100 481,187 Standard Microsystems Corporation* .............. 8,000 215,840 ------------ 5,140,990 ------------ 53 SMALL CAP GROWTH FUND (CONTINUED) ================================================================================ MARKET COMMON STOCKS - 97.3% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- AIRLINES - 7.3% Airtran Holdings, Inc.* ......................... 96,750 $ 1,620,562 America West Holdings Corp. - Class B* .......... 70,500 685,965 AMR Corp.* ...................................... 75,215 861,212 ------------ 3,167,739 ------------ OIL & GAS - 7.0% Brigham Exploration Company* .................... 30,500 207,400 Hydril Company* ................................. 29,350 594,631 KCS Energy, Inc.* ............................... 47,900 325,720 Varco International, Inc.* ...................... 48,553 821,031 Westport Resources Corp.* ....................... 46,200 1,087,548 ------------ 3,036,330 ------------ FINANCIAL SERVICES - 5.5% Friedman, Billings, Ramsey Group, Inc. .......... 66,300 1,143,675 Raymond James Financial, Inc. ................... 35,050 1,274,068 ------------ 2,417,743 ------------ MEDICAL SUPPLIES - 5.4% Advanced Neuromodulation Systems, Inc.* ......... 6,000 239,400 Candela Corp.* .................................. 14,000 178,640 Exactech, Inc.* ................................. 14,000 228,900 Fisher Scientific International Inc.* ........... 9,500 377,055 Interpore International Inc.* ................... 16,600 254,976 Kensey Nash Corp.* .............................. 8,000 187,840 Synovis Life Technologies, Inc.* ................ 10,300 251,835 The Cooper Companies, Inc. ...................... 15,350 625,513 ------------ 2,344,159 ------------ PHARMACEUTICALS - 5.0% Bradley Pharmaceuticals, Inc.* .................. 11,000 299,750 Columbia Laboratories, Inc.* .................... 42,250 510,380 Flamel Technologies S.A. - SP ADR* .............. 19,850 669,144 Maxim Pharmaceuticals, Inc.* .................... 67,900 432,523 The Medicines Company* .......................... 10,286 267,436 ------------ 2,179,233 ------------ HEALTHCARE - 4.1% American Healthways, Inc.* ...................... 6,500 272,935 Centene Corp.* .................................. 9,000 273,510 eResearch Technology, Inc.* ..................... 13,500 470,205 Horizon Health Corp.* ........................... 11,200 220,080 VistaCare, Inc. - Class A* ...................... 9,000 281,700 Vital Images, Inc.* ............................. 14,000 262,066 ------------ 1,780,496 ------------ CONSUMER NON-DURABLES - 4.1% Central European Distribution Corp.* ............ 7,950 217,433 Peet's Coffee & Tea Inc.* ....................... 10,000 195,500 Sylvan Learning Systems, Inc.* .................. 39,350 1,073,468 USANA Health Sciences, Inc.* .................... 5,700 275,025 ------------ 1,761,426 ------------ PRODUCER MANUFACTURING - 3.2% Gundle/SLT Environmental, Inc.* ................. 10,500 161,175 Nam Tai Electronics, Inc.* ...................... 15,900 431,367 54 SMALL CAP GROWTH FUND (CONTINUED) ================================================================================ MARKET COMMON STOCKS - 97.3% (CONTINUED) SHARES/UNIT VALUE - -------------------------------------------------------------------------------- PRODUCER MANUFACTURING - 3.2% (CONTINUED) Stake Technology Ltd.* .......................... 32,300 $ 299,098 Ultralife Batteries, Inc.* ...................... 19,700 282,695 White Elecronic Designs Corp.* .................. 20,000 215,000 ------------ 1,389,335 ------------ MEDIA - 2.9% Avocent Corp.* .................................. 40,900 1,238,861 ------------ BIOTECHNOLOGY - 2.8% Gen-Probe Inc.* ................................. 22,700 1,229,659 ------------ CONSUMER DURABLES - 1.9% Concord Camera Corp.* ........................... 20,300 216,195 Keystone Automotive Industries, Inc.* ........... 14,000 303,800 Select Comfort Corp.* ........................... 12,000 318,000 ------------ 837,995 ------------ RETAIL - 0.9% The Bombay Company, Inc.* ....................... 10,600 104,410 The Finish Line, Inc.* .......................... 10,400 273,520 ------------ 377,930 ------------ ELECTRONIC TECHNOLOGY - 0.9% Metrologic Instruments, Inc.* ................... 10,500 377,895 ------------ BASIC MATERIALS - 0.7% Ceradyne, Inc.* ................................. 11,000 284,570 ------------ AEROPSACE/DEFENSE - 0.6% KVH Industries, Inc.* ........................... 9,700 244,537 ------------ CONSUMER SERVICES - 0.1% Concorde Career Colleges, Inc.* ................. 2,700 63,045 ------------ TOTAL COMMON STOCKS (Cost $33,081,283) .......... $ 42,281,780 ------------ CASH EQUIVALENTS -16.3% Brown Brothers Security Lending Investment Fund . 7,074,596 7,074,596 ------------ TOTAL INVESTMENT SECURITIES - 113.6% (Cost $40,155,879) ............................ $ 49,356,376 LIABILITIES IN EXCESS OF OTHER ASSETS - 13.6% ... (5,914,480) ------------ NET ASSETS - 100.0% ............................. $ 43,441,896 ============ * Non-income producing security. ADR - American Depository Receipt See accompanying notes to financial statements. 55 VALUE PLUS FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2003 (UNAUDITED) ================================================================================ MARKET COMMON STOCKS - 95.4% SHARES VALUE - -------------------------------------------------------------------------------- BANKING - 9.6% Bank of America ................................. 20,465 $ 1,597,088 Bank One Corp. .................................. 29,820 1,152,543 Citigroup ....................................... 33,677 1,532,640 JP Morgan Chase ................................. 36,670 1,258,881 ------------ 5,541,152 ------------ OIL & GAS - 8.6% Baker Hughes, Inc. .............................. 17,935 530,697 ChevronTexaco ................................... 14,320 1,023,164 ConocoPhillips .................................. 26,188 1,433,792 Exxon Mobil ..................................... 33,738 1,234,811 Noble Corp.* .................................... 21,895 744,211 ------------ 4,966,675 ------------ PHARMACEUTICALS - 8.4% Bristol-Myers Squibb ............................ 31,955 819,965 Merck ........................................... 24,575 1,243,987 Pfizer .......................................... 47,730 1,450,036 WellPoint Health Networks* ...................... 17,525 1,350,827 ------------ 4,864,815 ------------ BEVERAGES, FOOD & TOBACCO - 7.2% Anheuser Busch .................................. 27,540 1,358,824 Darden Restaurants .............................. 48,530 922,070 McDonald's ...................................... 79,600 1,873,784 ------------ 4,154,678 ------------ COMPUTERS & INFORMATION - 6.2% Hewlett-Packard ................................. 91,785 1,776,958 International Business Machines ................. 7,530 665,125 Lexmark International Group, Class A* ........... 18,145 1,143,316 ------------ 3,585,399 ------------ RETAILERS - 5.9% CVS ............................................. 45,595 1,416,181 Federated Department Stores ..................... 8,160 341,904 Home Depot ...................................... 50,870 1,620,209 ------------ 3,378,294 ------------ INDUSTRIAL - DIVERSIFIED - 5.9% General Electric ................................ 31,145 928,432 Ingersoll-Rand .................................. 25,900 1,384,097 Tyco International .............................. 52,110 1,064,607 ------------ 3,377,136 ------------ INSURANCE - 5.6% Chubb ........................................... 18,635 1,209,039 Lincoln National ................................ 32,415 1,146,843 Radian Group, Inc. .............................. 19,395 861,138 ------------ 3,217,020 ------------ ELECTRONICS - 4.8% Analog Devices* ................................. 16,955 644,629 Flextronics International* ...................... 59,785 847,751 56 VALUE PLUS FUND (CONTINUED) ================================================================================ MARKET COMMON STOCKS - 95.4% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- ELECTRONICS - 4.8% (CONTINUED) Intel ........................................... 34,420 $ 946,895 STMicroelectronics N.V .......................... 13,260 318,903 ------------ 2,758,178 ------------ FINANCIAL SERVICES - 4.4% Fannie Mae ...................................... 14,920 1,047,384 Freddie Mac ..................................... 13,195 690,758 Lehman Brothers Holdings ........................ 11,600 801,328 ------------ 2,539,470 ------------ TELEPHONE SYSTEMS - 4.3% Alltell ......................................... 21,400 991,676 SBC Communications .............................. 38,280 851,730 Verizon Communications .......................... 18,855 611,656 ------------ 2,455,062 ------------ ELECTRIC UTILITIES - 4.1% Cinergy ......................................... 21,830 801,161 Dominion Resources .............................. 25,020 1,548,738 ------------ 2,349,899 ------------ FOREST PRODUCTS AND PAPER - 2.6% Kimberly-Clark .................................. 28,835 1,479,812 ------------ TRANSPORTATION - 2.5% Union Pacific Corp.* ............................ 25,150 1,462,976 ------------ BUILDING PRODUCTS - 2.5% Masco ........................................... 58,100 1,422,288 ------------ HEAVY MACHINERY - 2.0% Caterpiller ..................................... 16,860 1,160,642 ------------ MEDIA - BROADCASTING & PUBLISHING - 1.9% AOL Time Warner* ................................ 73,980 1,117,838 ------------ AUTOMOTIVE - 1.9% Magna International, Class A .................... 15,470 1,116,161 ------------ HEALTH CARE - 1.7% HCA Inc. ........................................ 25,800 950,988 ------------ HOUSEHOLD PRODUCTS- 1.6% International Paper Company ..................... 23,480 916,190 ------------ CHEMICALS - 1.5% Du Pont (E.I.) DE Nemours ....................... 21,490 859,815 ------------ METALS - 1.3% Alcoa ........................................... 28,125 735,750 ------------ 57 VALUE PLUS FUND (CONTINUED) ================================================================================ MARKET COMMON STOCKS - 95.4% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- MEDICAL SUPPLIES- 0.9% Johnson & Johnson ............................... 10,765 $ 533,083 ------------ TOTAL COMMON STOCKS - 95.4%(Cost $54,609,430) ... $ 54,943,321 OTHER ASSETS IN EXCESS OF LIABILITIES - 4.6% .... 2,622,792 ------------ NET ASSETS - 100.0% ............................. $ 57,566,113 ============ * Non-income producing security. See accompanying notes to financial statements. 58 TOUCHSTONE INVESTMENTS DISTRIBUTOR Touchstone Securities, Inc. 221 East Fourth Street Cincinnati, Ohio 45202-4094 800.638.8194 www.touchstoneinvestments.com INVESTMENT ADVISOR Touchstone Advisors, Inc. 221 East Fourth Street Cincinnati, Ohio 45202-4094 TRANSFER AGENT Integrated Fund Services, Inc. P.O. Box 5354 Cincinnati, Ohio 45201-5354 SHAREHOLDER SERVICE 800.543.0407 A Member of Western & Southern Financial Group(R) ITEM 2. CODE OF ETHICS. Not required for Semiannual Reports. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not required for Semiannual Reports. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable to Semiannual Reports for the period ended September 30, 2003. ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable ITEM 6. RESERVED ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. RESERVED ITEM 9. CONTROLS AND PROCEDURES. (a) Based on an evaluation of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) the registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosures and procedures are effective as of a date within 90 days of the filing date of this report. (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 10. EXHIBITS. (a)(2) Certifications required by Item 10(a)(2) of Form N-CSR are filed herewith. (b) Certification required by Item 10(b) of Form N-CSR is filed herewith. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Touchstone Strategic Trust ------------------------------------------------------------------- By (Signature and Title) /s/ Patrick T. Bannigan - ------------------------------------------------------------------------------ Patrick T. Bannigan President Date: December 5, 2003 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title) /s/ Patrick T. Bannigan - ------------------------------------------------------------------------------- Patrick T. Bannigan President Date: December 5, 2003 /s/ Terrie A. Wiedenheft - ------------------------------------------------------------------------------ Terrie A. Wiedenheft Controller & Treasurer Date: December 5, 2003 EX-99.CERT 3 ex99302cert-1203.txt CERTIFICATION PURSUANT TO SECTION 302 Exhibit 99.CERT CERTIFICATIONS I, Patrick T. Bannigan, certify that: 1. I have reviewed this report on Form N-CSR of Touchstone Strategic Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any changes in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: December 5, 2003 /s/ Patrick T. Bannigan ---------------------- ---------------------------------- Patrick T. Bannigan, President CERTIFICATIONS I, Terrie A. Wiedenheft certify that: 1. I have reviewed this report on Form N-CSR of Touchstone Strategic Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any changes in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: December 5, 2003 /s/ Terrie A. Wiedenheft ------------------------------- --------------------------------------- Terrie A. Wiedenheft, Controller & Treasurer EX-99.906CERT 4 ex99906cert-1203.txt CERTIFICATION PURSUANT TO SECTION 906 Exhibit 99.906CERT CERTIFICATION Patrick T. Bannigan, Chief Executive Officer, and Terrie A. Wiedenheft, Chief Financial Officer of Touchstone Strategic Trust (the "Registrant"), each certify to the best of his or her knowledge that: 1. The Registrant's periodic report on Form N-CSR for the period ended September 30, 2003 (the "Form N-CSR") fully complies with the requirements of Sections 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Chief Executive Officer Chief Financial Officer Touchstone Strategic Trust Touchstone Strategic Trust /s/ Patrick T. Bannigan /s/ Terrie A. Wiedenheft - --------------------------- --------------------------- Patrick T. Bannigan Terrie A. Wiedenheft Date: December 5, 2003 Date: December 5, 2003 A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the "Commission") or its staff upon request. This certification is being furnished to the Commission solely pursuant to 18 U.S.C. ss. 1350 and is not being filed as part of the Form N-CSR filed with the Commission. -----END PRIVACY-ENHANCED MESSAGE-----