-----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, L3RwoPF1OtDHZj9JemL9KfWSf24zd3qNxe/lQHdeduv7DpD0UIx55f5sHEPzd2js 3JA831HNwY+Ms36mhWjDaQ== 0001144204-06-051635.txt : 20061207 0001144204-06-051635.hdr.sgml : 20061207 20061207152114 ACCESSION NUMBER: 0001144204-06-051635 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20060930 FILED AS OF DATE: 20061207 DATE AS OF CHANGE: 20061207 EFFECTIVENESS DATE: 20061207 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: 061262481 BUSINESS ADDRESS: STREET 1: 303 BROADWAY STREET 2: SUITE 1100 CITY: CINCINNATI STATE: OH ZIP: 45202-4203 BUSINESS PHONE: 5133628000 MAIL ADDRESS: STREET 1: 303 BROADWAY STREET 2: SUITE 1100 CITY: CINCINNATI STATE: OH ZIP: 45202-4203 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 0000711080 S000003123 Large Cap Growth Fund C000008460 Large Cap Growth Fund Class Y C000008461 Large Cap Growth Fund Class A TEQAX C000008462 Large Cap Growth Fund Class B TEQBX C000008463 Large Cap Growth Fund Class C TEQCX 0000711080 S000003124 Mid Cap Growth Fund C000008464 Mid Cap Growth Fund Class A TEGAX C000008465 Mid Cap Growth Fund Class B TBEGX C000008466 Mid Cap Growth Fund Class C TOECX 0000711080 S000003125 Growth Opportunities Fund C000008467 Growth Opportunities Fund Class A TGVFX C000008468 Growth Opportunities Fund Class B TGVBX C000008469 Growth Opportunities Fund Class C TGVCX 0000711080 S000003126 Large Cap Core Equity Fund C000008470 Large Cap Core Equity Fund Class A TENAX C000008472 Large Cap Core Equity Fund Class C TENCX 0000711080 S000003127 Micro Cap Growth Fund C000008473 Micro Cap Growth Fund Class A TAMCX C000008474 Micro Cap Growth Fund Class C TCMCX C000008475 Micro Cap Growth Fund Class Y TIMCX 0000711080 S000003128 Small Cap Growth Fund C000008476 Small Cap Growth Fund Class Y C000008477 Small Cap Growth Fund Class A TESAX C000008478 Small Cap Growth Fund Class B TESBX C000008479 Small Cap Growth Fund Class C TESCX 0000711080 S000012181 Large Cap Value Fund C000033227 Large Cap Value Fund Class A TLCAX C000033228 Large Cap Value Fund Class C TVCCX 0000711080 S000013004 Diversified Small Cap Growth Fund C000035145 Class A C000035146 Class Y N-CSRS 1 v058825_ncsrs.txt 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) 303 Broadway, Cincinnati, Ohio 45202 - -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Jill T. McGruder, 303 Broadway, 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: 3/31/07 -------------------------------------------------------- Date of reporting period: 9/30/06 ------------------------------------------------------- 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, 100 F. Street, N.E., Washington, DC 20549. 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 SEPTEMBER 30, 2006 (UNAUDITED) Semi-Annual Report - -------------------------------------------------------------------------------- Touchstone Diversified Small Cap Growth Fund Touchstone Growth Opportunities Fund Touchstone Large Cap Core Equity Fund Touchstone Large Cap Growth Fund Touchstone Large Cap Value Fund Touchstone Micro Cap Growth Fund Touchstone Mid Cap Growth Fund Touchstone Small Cap Growth Fund [LOGO] TOUCHSTONE(R) INVESTMENTS Table of Contents Page - -------------------------------------------------------------------------------- Tabular Presentation of Portfolios of Investments 3-4 - -------------------------------------------------------------------------------- Statements of Assets and Liabilities 5-8 - -------------------------------------------------------------------------------- Statements of Operations 9-10 - -------------------------------------------------------------------------------- Statements of Changes in Net Assets 11-14 - -------------------------------------------------------------------------------- Financial Highlights 15-34 - -------------------------------------------------------------------------------- Notes to Financial Statements 35-51 - -------------------------------------------------------------------------------- Portfolios of Investments: - -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund 52-54 - -------------------------------------------------------------------------------- Growth Opportunities Fund 55-58 - -------------------------------------------------------------------------------- Large Cap Core Equity Fund 59-60 - -------------------------------------------------------------------------------- Large Cap Growth Fund 61-62 - -------------------------------------------------------------------------------- Large Cap Value Fund 63-65 - -------------------------------------------------------------------------------- Micro Cap Growth Fund 66-69 - -------------------------------------------------------------------------------- Mid Cap Growth Fund 70-74 - -------------------------------------------------------------------------------- Small Cap Growth Fund 75-78 - -------------------------------------------------------------------------------- Other Items 79-82 - -------------------------------------------------------------------------------- 2 Tabular Presentation of Portfolios of Investments As of September 30, 2006 (Unaudited) The illustrations below provide each Fund's sector allocation. We hope it will be useful to shareholders as it summarizes key information about each Fund's investments. DIVERSIFIED SMALL CAP GROWTH FUND - -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Health Care 23.3 Consumer Discretionary 20.6 Technology 19.1 Financial Services 10.6 Producer Durables 10.0 Energy 5.8 Autos and Transportation 4.6 Materials and Processing 2.9 Consumer Staples 1.1 Other 1.0 Investment Funds 0.7 Other Assets/Liabilities (net) 0.3 ------ 100.0 ------ LARGE CAP CORE EQUITY FUND - -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Technology 20.4 Financial Services 19.8 Consumer Discretionary 16.5 Producer Durables 15.9 Health Care 9.3 Consumer Staples 6.2 Utilities 3.5 Materials and Processing 3.3 Energy 3.1 Investment Funds 1.6 Other Assets/Liabilities (net) 0.4 ------ 100.0 ------ GROWTH OPPORTUNITIES FUND - -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Health Care 25.2 Technology 21.8 Energy 11.7 Consumer Discretionary 9.9 Financial Services 9.3 Producer Durables 7.3 Materials and Processing 7.3 Autos and Transportation 3.9 Utilities 1.6 Consumer Staples 1.3 Investment Funds 1.0 Other Assets/Liabilities (net) (0.3) ------ 100.0 ------ LARGE CAP GROWTH FUND - -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Materials and Processing 16.2 Health Care 15.8 Financial Services 15.1 Technology 13.9 Consumer Discretionary 9.8 Producer Durables 9.1 Consumer Staples 7.1 Utilities 6.3 Autos and Transportation 4.2 Energy 2.7 Investment Funds 0.1 Other Assets/Liabilities (net) (0.3) ------ 100.0 ------ 3 Tabular Presentation of Portfolios of Investments (Continued) LARGE CAP VALUE FUND - -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Financial Services 32.2 Producer Durables 17.1 Technology 8.3 Utilities 7.3 Health Care 7.0 Autos and Transportation 5.4 Other 5.3 Consumer Staples 5.0 Materials and Processing 2.9 Energy 2.5 Consumer Discretionary 2.3 Investment Funds 10.0 Other Assets/Liabilities (net) (5.3) ------ 100.0 ------ MID CAP GROWTH FUND - -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Technology 20.7 Health Care 20.0 Consumer Discretionary 16.6 Financial Services 15.4 Producer Durables 14.6 Energy 5.7 Materials and Processing 2.3 Autos and Transportation 1.5 Consumer Staples 0.6 Investment Funds 20.1 Other Assets/Liabilities (net) (17.5) ------ 100.0 ------ MICRO CAP GROWTH FUND - -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Technology 24.6 Consumer Discretionary 20.9 Producer Durables 13.2 Health Care 11.2 Financial Services 11.0 Materials and Processing 8.9 Autos and Transportation 3.7 Energy 3.6 Consumer Staples 2.0 Utilities 0.6 Investment Funds 28.6 Other Assets/Liabilities (net) (28.3) ------ 100.0 ------ SMALL CAP GROWTH FUND - -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Producer Durables 24.7 Technology 23.5 Health Care 15.5 Consumer Discretionary 12.1 Financial Services 11.7 Energy 7.3 Materials and Processing 2.7 Consumer Staples 0.9 Autos and Transportation 0.7 Utilities 0.6 Investment Funds 18.8 Other Assets/Liabilities (net) (18.5) ------ 100.0 ------ 4 - -------------------------------------------------------------------------------- Statements of Assets and Liabilities September 30, 2006 (Unaudited) - --------------------------------------------------------------------------------
DIVERSIFIED LARGE SMALL CAP GROWTH CAP CORE LARGE CAP GROWTH OPPORTUNITIES EQUITY GROWTH FUND FUND FUND FUND - --------------------------------------------------------------------------------------------------------------------- ASSETS Investment securities: At cost $ 9,956,855 $ 61,022,727 $ 83,412,663 $ 1,018,635,454 ===================================================================================================================== Affiliated securities at market value $ 73,657 $ 615,991 $ 1,525,831 $ 660,150 Non-affiliated securities at market value 9,995,923 63,163,985 92,318,629 1,086,446,938 - --------------------------------------------------------------------------------------------------------------------- At market value 10,069,580 63,779,976 93,844,460 1,087,107,088 Dividends and interest receivable 1,293 29,581 117,753 1,435,804 Receivable for capital shares sold -- 114,613 436,016 4,296,109 Receivable for securities sold 82,626 2,732,851 -- -- Receivable from Advisor 2,339 -- -- -- Other assets 467 19,413 8,114 89,111 - --------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 10,156,305 66,676,434 94,406,343 1,092,928,112 - --------------------------------------------------------------------------------------------------------------------- LIABILITIES Payable for securities purchased 45,584 2,536,109 -- -- Payable for capital shares redeemed -- 418,945 60,015 8,252,504 Payable to Advisor -- 51,416 47,314 628,327 Payable to other affiliates 4,951 25,808 7,754 97,617 Payable to Trustees 734 -- -- -- Other accrued expenses and liabilities 4,805 71,366 35,758 369,162 - --------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 56,074 3,103,644 150,841 9,347,610 - --------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 10,100,231 $ 63,572,790 $ 94,255,502 $ 1,083,580,502 ===================================================================================================================== NET ASSETS CONSIST OF: Paid-in capital $ 10,005,000 $ 111,774,403 $ 85,152,787 $ 1,118,358,350 Accumulated net investment income (loss) (7,092) (577,248) 105,640 (2,124,437) Accumulated net realized losses from security transactions (10,402) (50,381,614) (1,434,722) (101,125,045) Net unrealized appreciation on investments 112,725 2,757,249 10,431,797 68,471,634 - --------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 10,100,231 $ 63,572,790 $ 94,255,502 $ 1,083,580,502 ===================================================================================================================== PRICING OF CLASS A SHARES Net assets attributable to Class A shares $ 5,049,701 $ 44,970,954 $ 90,762,127 $ 781,264,769 ===================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 500,250 2,334,296 8,348,089 37,615,104 ===================================================================================================================== Net asset value and redemption price per share $ 10.09 $ 19.27 $ 10.87 $ 20.77 ===================================================================================================================== Maximum offering price per share $ 10.71 $ 20.45 $ 11.53 $ 22.04 ===================================================================================================================== PRICING OF CLASS B SHARES Net assets attributable to Class B shares $ -- $ 2,494,257 $ -- $ 26,459,556 ===================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) -- 138,660 -- 1,306,354 ===================================================================================================================== Net asset value, offering price and redemption price per share* $ -- $ 17.99 $ -- $ 20.25 =====================================================================================================================
5 - -------------------------------------------------------------------------------- Statements of Assets and Liabilities (Continued) - --------------------------------------------------------------------------------
DIVERSIFIED LARGE SMALL CAP GROWTH CAP CORE LARGE CAP GROWTH OPPORTUNITIES EQUITY GROWTH FUND FUND FUND FUND - --------------------------------------------------------------------------------------------------------------------- PRICING OF CLASS C SHARES Net assets attributable to Class C shares $ -- $ 16,107,579 $ 3,493,375 $ 199,486,123 ===================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) -- 884,270 323,234 9,821,389 ===================================================================================================================== Net asset value, offering price and redemption price per share* $ -- $ 18.22 $ 10.81 $ 20.31 PRICING OF CLASS I SHARES Net assets attributable to Class I shares $ 5,050,530 $ -- $ -- $ 76,370,054 ===================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 500,250 -- -- 3,658,858 ===================================================================================================================== Net asset value, offering price and redemption price per share $ 10.10 $ -- $ -- $ 20.87 =====================================================================================================================
* Redemption price per share varies by length of time shares are held. See accompanying notes to financial statements. 6
LARGE CAP MICRO CAP MID CAP SMALL CAP VALUE GROWTH GROWTH GROWTH FUND FUND FUND FUND - --------------------------------------------------------------------------------------------------------------------- ASSETS Investment securities: At cost $ 27,173,610 $ 90,472,924 $ 1,059,039,706 $ 86,313,918 ===================================================================================================================== Affiliated securities at market value $ 2,631,246 $ 23,273,548 $ 206,978,005 $ 14,963,411 Non-affiliated securities at market value 24,960,675 81,033,045 1,000,989,122 79,192,263 - --------------------------------------------------------------------------------------------------------------------- At market value - including $1,570,948, $21,729,587, $166,892,505 and $13,961,795 of securities loaned for the Large Cap Value Fund, Micro Cap Growth Fund, Mid Cap Growth Fund and Small Cap Growth Fund, respectively 27,591,921 104,306,593 1,207,967,127 94,155,674 Dividends and interest receivable 39,112 30,874 712,528 39,165 Receivable for capital shares sold 294,254 98,801 4,154,300 130,384 Receivable for securities sold 228,323 2,018,716 -- 1,517,940 Receivable for securities lending income 935 20,178 -- 23,407 Other assets 22,804 23,531 40,113 46,109 - --------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 28,177,349 106,498,693 1,212,874,068 95,912,679 - --------------------------------------------------------------------------------------------------------------------- LIABILITIES Bank Overdrafts -- 228,377 -- 2,389 Payable upon return of securities loaned 1,655,615 22,801,789 171,728,841 14,127,810 Payable for securities purchased 282,795 1,596,977 9,198,451 1,251,928 Payable for capital shares redeemed 3,226 402,834 2,163,089 957,880 Payable to Advisor 15,327 81,415 668,106 68,096 Payable to other affiliates 7,389 19,695 170,435 22,245 Payable to Trustees 4,170 625 611 -- Other accrued expenses and liabilities 13,508 43,806 680,291 873 - --------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 1,982,030 25,175,518 184,609,824 16,431,221 - --------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 26,195,319 $ 81,323,175 $ 1,028,264,244 $ 79,481,458 ===================================================================================================================== NET ASSETS CONSIST OF: Paid-in capital $ 25,340,535 $ 75,988,789 $ 819,839,319 $ 98,343,784 Accumulated net investment income (loss) 78,102 (691,411) (4,659,826) (1,642,478) Accumulated net realized gains (losses) from security transactions 358,371 (7,807,872) 64,157,330 (25,061,604) Net unrealized appreciation on investments 418,311 13,833,669 148,927,421 7,841,756 - --------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 26,195,319 $ 81,323,175 $ 1,028,264,244 $ 79,481,458 - --------------------------------------------------------------------------------------------------------------------- PRICING OF CLASS A SHARES Net assets attributable to Class A shares $ 19,611,865 $ 51,143,834 $ 634,310,179 $ 37,232,978 ===================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 1,883,644 4,348,969 26,752,068 2,388,735 ===================================================================================================================== Net asset value and redemption price per share $ 10.41 $ 11.76 $ 23.71 $ 15.59 ===================================================================================================================== Maximum offering price per share $ 11.05 $ 12.48 $ 25.16 $ 16.54 ===================================================================================================================== PRICING OF CLASS B SHARES Net assets attributable to Class B shares $ -- $ -- $ 72,729,746 $ 6,991,292 ===================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) -- -- 3,440,558 461,256 ===================================================================================================================== Net asset value, offering price and redemption price per share* $ -- $ -- $ 21.14 $ 15.16 =====================================================================================================================
7 - -------------------------------------------------------------------------------- Statements of Assets and Liabilities (Continued) - --------------------------------------------------------------------------------
LARGE CAP MICRO CAP MID CAP SMALL CAP VALUE GROWTH GROWTH GROWTH FUND FUND FUND FUND - --------------------------------------------------------------------------------------------------------------------- PRICING OF CLASS C SHARES Net assets attributable to Class C shares $ 6,583,454 $ 29,376,341 $ 321,224,319 $ 13,492,436 ===================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 634,926 2,539,566 15,182,276 889,431 ===================================================================================================================== Net asset value, offering price and redemption price per share* $ 10.37 $ 11.57 $ 21.16 $ 15.17 ===================================================================================================================== PRICING OF CLASS I SHARES Net assets attributable to Class I shares $ -- $ 803,000 $ -- $ 21,764,752 ===================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) -- 67,228 -- 1,381,545 ===================================================================================================================== Net asset value, offering price and redemption price per share $ -- $ 11.94 $ -- $ 15.75 =====================================================================================================================
* Redemption price per share varies by length of time shares are held. See accompanying notes to financial statements. 8 - -------------------------------------------------------------------------------- Statements of Operations For the Six Months Ended September 30, 2006 (Unaudited) - --------------------------------------------------------------------------------
DIVERSIFIED LARGE SMALL CAP GROWTH CAP CORE LARGE CAP GROWTH OPPORTUNITIES EQUITY GROWTH FUND (B) FUND FUND FUND - --------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends from affiliated securities $ 453 $ 14,282 $ 20,377 $ 537,184 Dividends from non-affiliated securities (A) 733 287,582 450,078 4,526,473 Interest 107 2,907 4 2,886 - --------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT INCOME 1,293 304,771 470,459 5,066,543 ===================================================================================================================== EXPENSES Investment advisory fees 6,911 410,243 149,008 3,991,443 Distribution expenses, Class A 823 80,790 53,450 1,053,839 Distribution expenses, Class B -- 14,176 6,116 136,148 Distribution expenses, Class C -- 94,721 9,325 987,633 Transfer agent fees, Class A 1,398 51,519 6,017 202,556 Transfer agent fees, Class B -- 6,000 4,373 19,445 Transfer agent fees, Class C -- 27,509 6,000 83,138 Transfer agent fees, Class I 1,398 -- -- 6,000 Administration fees -- 23,579 12,608 223,794 Registration fees, Class A 117 5,765 6,709 42,199 Registration fees, Class B -- 3,170 7,415 6,771 Registration fees, Class C -- 6,078 6,197 13,072 Registration fees, Class I 117 -- -- 7,018 Accounting services fees 2,141 23,500 19,250 38,250 Custodian fees 361 15,781 2,064 74,903 Reports to shareholders 582 19,397 1,737 35,573 Postage and supplies 961 17,052 5,853 29,855 Sponsor fees 1,316 -- 45,849 -- Professional fees 2,051 10,170 8,791 18,329 Trustees' fees and expenses 734 4,139 3,077 3,350 Registration fees -- 125 65 2,833 Compliance fees and expenses 14 251 60 1,880 Other expenses 851 68,054 2,226 237,623 - --------------------------------------------------------------------------------------------------------------------- TOTAL EXPENSES 19,775 882,019 356,190 7,215,652 Sponsor fees waived (1,316) -- (40,120) -- Fees waived and/or expenses reimbursed by the Advisor (10,074) -- (41,322) -- Fees reduced by Custodian -- -- -- (24,672) - --------------------------------------------------------------------------------------------------------------------- NET EXPENSES 8,385 882,019 274,748 7,215,652 - --------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS) (7,092) (577,248) 195,711 (2,124,437) - --------------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS Net realized gains (losses) from security transactions (10,402) 3,806,856 1,580,197 (71,905,890) Net change in unrealized appreciation/ depreciation on investments 112,725 (14,846,873) 3,641,071 (63,496,441) - --------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS 102,323 (11,040,017) 5,221,268 (135,402,331) - --------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 95,231 $ (11,617,265) $ 5,416,979 $ (137,526,768) ===================================================================================================================== (A) Net of foreign tax withholding of: $ -- $ -- $ -- $ 7,337
(B) Represents the period from commencement of operations (September 6, 2006) through September 30, 2006. See accompanying notes to financial statements. 9 - -------------------------------------------------------------------------------- Statements of Operations (Continued) - --------------------------------------------------------------------------------
LARGE CAP MICRO CAP MID CAP SMALL CAP VALUE GROWTH GROWTH GROWTH FUND FUND FUND FUND - --------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends from affiliated securities $ 30,399 $ 29,517 $ 782,365 $ 418,644 Dividends from non-affiliated securities (A) 171,138 99,199 3,563,246 397,439 Interest 237 288 84,296 45,039 Income from securities loaned 6,520 139,318 -- 353,603 - --------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT INCOME 208,294 268,322 4,429,907 1,214,725 ===================================================================================================================== EXPENSES Investment advisory fees 71,161 540,953 4,059,067 2,117,021 Distribution expenses, Class A 19,466 68,273 775,516 52,356 Distribution expenses, Class B -- -- 375,344 41,187 Distribution expenses, Class C 17,017 155,687 1,596,424 87,794 Sponsor fees 18,976 86,553 1,014,776 338,726 Transfer agent fees, Class A 6,000 37,560 332,159 53,104 Transfer agent fees, Class B -- -- 68,168 8,524 Transfer agent fees, Class C 6,000 19,618 228,596 17,989 Transfer agent fees, Class I -- 6,000 -- 7,731 Administration fees 5,218 23,801 202,652 80,176 Reports to shareholders 2,969 9,569 125,048 39,423 Registration fees, Class A 8,869 8,568 16,930 6,480 Registration fees, Class B -- -- 7,154 5,693 Registration fees, Class C 8,839 6,458 11,530 6,310 Registration fees, Class I -- 5,725 -- 18,901 Accounting services fees 15,750 22,500 34,500 38,426 Postage and supplies 9,483 6,219 69,022 12,082 Custodian fees 2,067 12,446 60,416 39,421 Professional fees 8,779 9,299 26,980 12,071 Trustees' fees and expenses 4,211 4,067 4,053 3,132 Registration fees 87 3,589 1,436 1,421 Compliance fees and expenses 60 150 1,980 626 Other expenses 3,912 33,441 334,545 51,885 - --------------------------------------------------------------------------------------------------------------------- TOTAL EXPENSES 208,864 1,060,476 9,346,296 3,040,479 Sponsor fees waived (18,976) (76,705) (256,564) (116,095) Fees waived and/or expenses reimbursed by the Advisor (49,035) (13,876) -- (42,269) Fees reduced by Custodian -- (10,162) -- (24,912) - --------------------------------------------------------------------------------------------------------------------- NET EXPENSES 140,853 959,733 9,089,732 2,857,203 - --------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS) 67,441 (691,411) (4,659,825) (1,642,478) - --------------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS Net realized gains (losses) from security transactions 300,894 (4,970,895) 34,127,342 (20,325,425) Net change in unrealized appreciation/ depreciation on investments 283,325 (7,183,111) (44,439,937) (71,316,224) - --------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS 584,219 (12,154,006) (10,312,595) (91,641,649) - --------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 651,660 $ (12,845,417) $ (14,972,420) $ (93,284,127) ===================================================================================================================== (A) Net of foreign tax withholding of: $ 471 $ -- $ 7,352 $ --
See accompanying notes to financial statements. 10 - -------------------------------------------------------------------------------- Statements of Changes in Net Assets - --------------------------------------------------------------------------------
DIVERSIFIED GROWTH SMALL CAP OPPORTUNITIES GROWTH FUND FUND - -------------------------------------------------------------------------------------------- PERIOD SIX MONTHS ENDED ENDED YEAR SEPT. 30, SEPT. 30, ENDED 2006 (A) 2006 MARCH 31, (UNAUDITED) (UNAUDITED) 2006 - -------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment loss $ (7,092) $ (577,248) $ (1,474,605) Net realized gains (losses) from security transactions (10,402) 3,806,856 11,406,421 Net change in unrealized appreciation/ depreciation on investments 112,725 (14,846,873) 10,683,651 - -------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 95,231 (11,617,265) 20,615,467 - -------------------------------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold 5,002,500 5,366,853 21,208,137 Payments for shares redeemed -- (49,718,335) (20,506,533) - -------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS 5,002,500 (44,351,482) 701,604 - -------------------------------------------------------------------------------------------- CLASS B Proceeds from shares sold -- 79,131 212,449 Payments for shares redeemed -- (435,392) (597,425) - -------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS -- (356,261) (384,976) - -------------------------------------------------------------------------------------------- CLASS C Proceeds from shares sold -- 566,825 1,780,414 Payments for shares redeemed -- (4,314,962) (5,233,525) - -------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS -- (3,748,137) (3,453,111) - -------------------------------------------------------------------------------------------- CLASS I Proceeds from shares sold 5,002,500 -- -- Payments for shares redeemed -- -- -- - -------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CLASS I SHARE TRANSACTIONS 5,002,500 -- -- - -------------------------------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS 10,100,231 (60,073,145) 17,478,984 NET ASSETS Beginning of period -- 123,645,935 106,166,951 - -------------------------------------------------------------------------------------------- End of period $ 10,100,231 $ 63,572,790 $ 123,645,935 ============================================================================================ ACCUMULATED NET INVESTMENT LOSS $ (7,092) $ (577,248) $ -- ============================================================================================
(A) Represents the period from commencement of operations (September 6, 2006) through September 30, 2006. See accompanying notes to financial statements. 11 - -------------------------------------------------------------------------------- Statements of Changes in Net Assets (Continued) - --------------------------------------------------------------------------------
LARGE CAP CORE LARGE CAP EQUITY FUND GROWTH FUND - ------------------------------------------------------------------------------------------------------------------------------ SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2006 MARCH 31, 2006 MARCH 31, (UNAUDITED) 2006 (UNAUDITED) 2006 - ------------------------------------------------------------------------------------------------------------------------------ FROM OPERATIONS Net investment income (loss) $ 195,711 $ 184,134 $ (2,124,437) $ (1,803,898) Net realized gains (losses) from security transactions 1,580,197 (107,665) (71,905,890) 31,472,152 Net change in unrealized appreciation/ depreciation on investments 3,641,071 2,459,434 (63,496,441) 86,612,989 - ------------------------------------------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 5,416,979 2,535,903 (137,526,768) 116,281,243 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income, Class A (262,592) (18,047) -- -- From net investment income, Class B (6,537) (1,229) -- -- From net investment income, Class C (5,077) (883) -- -- - ------------------------------------------------------------------------------------------------------------------------------ DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS (274,206) (20,159) -- -- - ------------------------------------------------------------------------------------------------------------------------------ FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold 1,444,072 14,836,971 261,092,956 568,379,032 Reinvested distributions 261,037 17,934 -- -- Proceeds from shares issued in connection with acquisition 59,728,074 -- -- -- Payments for shares redeemed (1,398,200) (725,593) (214,893,216) (92,877,929) - ------------------------------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS 60,034,983 14,129,312 46,199,740 475,501,103 - ------------------------------------------------------------------------------------------------------------------------------ CLASS B Proceeds from shares sold 104,544 140,037 4,566,481 16,436,489 Reinvested distributions 5,697 1,059 -- -- Payments for shares redeemed (1,780,230) (254,100) (2,549,700) (2,160,230) - ------------------------------------------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS (1,669,989) (113,004) 2,016,781 14,276,259 - ------------------------------------------------------------------------------------------------------------------------------ CLASS C Proceeds from shares sold 503,129 497,532 54,239,777 133,078,009 Reinvested distributions 4,228 694 -- -- Proceeds from shares issued in connection with acquisition 1,712,923 -- -- -- Payments for shares redeemed (277,344) (893,879) (19,700,638) (8,919,886) - ------------------------------------------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS 1,942,936 (395,653) 34,539,139 124,158,123 - ------------------------------------------------------------------------------------------------------------------------------ CLASS I Proceeds from shares sold -- -- 31,260,879 26,164,019 Payments for shares redeemed -- -- (14,275,570) (11,438,736) - ------------------------------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS FROM CLASS I SHARE TRANSACTIONS -- -- 16,985,309 14,725,283 - ------------------------------------------------------------------------------------------------------------------------------ TOTAL INCREASE (DECREASE) IN NET ASSETS 65,450,703 16,136,399 (37,785,799) 744,942,011 NET ASSETS Beginning of period 28,804,799 12,668,400 1,121,366,301 376,424,290 - ------------------------------------------------------------------------------------------------------------------------------ End of period $ 94,255,502 $ 28,804,799 $1,083,580,502 $1,121,366,301 ============================================================================================================================== ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 105,640 $ 184,135 $ (2,124,437) $ -- ==============================================================================================================================
See accompanying notes to financial statements. 12
LARGE CAP MICRO CAP VALUE FUND GROWTH FUND - ------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED PERIOD ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2006 MARCH 31, 2006 MARCH 31, (UNAUDITED) 2006 (A) (UNAUDITED) 2006 - ------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment income (loss) $ 67,441 $ 10,661 $ (691,411) $ (893,698) Net realized gains (losses) from security transactions 300,894 57,477 (4,970,895) (55,796) Net change in unrealized appreciation/ depreciation on investments 283,325 134,985 (7,183,111) 14,612,858 - ------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 651,660 203,123 (12,845,417) 13,663,364 - ------------------------------------------------------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold 7,976,514 11,482,648 7,391,654 31,959,289 Payments for shares redeemed (535,335) -- (10,120,358) (11,352,679) - ------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS 7,441,179 11,482,648 (2,728,704) 20,606,610 - ------------------------------------------------------------------------------------------------------------------- CLASS C Proceeds from shares sold 5,907,508 559,096 4,614,587 15,256,655 Payments for shares redeemed (49,895) -- (3,859,096) (2,837,606) - ------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS 5,857,613 559,096 755,491 12,419,049 - ------------------------------------------------------------------------------------------------------------------- CLASS I Proceeds from shares sold -- -- 296,560 620,735 Payments for shares redeemed -- -- (55,424) (11,089) - ------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CLASS I SHARE TRANSACTIONS -- -- 241,136 609,646 - ------------------------------------------------------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS 13,950,452 12,244,867 (14,577,494) 47,298,669 NET ASSETS Beginning of period 12,244,867 -- 95,900,669 48,602,000 - ------------------------------------------------------------------------------------------------------------------- End of period $ 26,195,319 $ 12,244,867 $ 81,323,175 $ 95,900,669 =================================================================================================================== ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 78,102 $ 10,661 $ (691,411) $ -- ===================================================================================================================
(A) Represents the period from commencement of operations (March 6, 2006) through March 31, 2006. See accompanying notes to financial statements. 13 - -------------------------------------------------------------------------------- Statements of Changes in Net Assets (Continued) - --------------------------------------------------------------------------------
MID CAP SMALL CAP GROWTH FUND GROWTH FUND - ------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2006 MARCH 31, 2006 MARCH 31, (UNAUDITED) 2006 (UNAUDITED) 2006 - ------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment loss $ (4,659,825) $ (8,207,217) $ (1,642,478) $ (2,478,495) Net realized gains (losses) from security transactions 34,127,342 110,218,729 (20,325,425) (2,306,993) Net change in unrealized appreciation/ depreciation on investments (44,439,937) 87,621,113 (71,316,224) 63,629,222 - ------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (14,972,420) 189,632,625 (93,284,127) 58,843,734 - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS From net realized gains on security transactions, Class A -- (48,278,538) -- -- From net realized gains on security transactions, Class B -- (6,904,962) -- -- From net realized gains on security transactions, Class C -- (27,469,527) -- -- - ------------------------------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS -- (82,653,027) -- -- - ------------------------------------------------------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold 94,792,449 182,193,772 6,903,596 16,421,249 Reinvested distributions -- 40,192,341 -- -- Payments for shares redeemed (91,972,373) (227,066,281) (10,859,670) (13,567,855) - ------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS 2,820,076 (4,680,168) (3,956,074) 2,853,394 - ------------------------------------------------------------------------------------------------------------------- CLASS B Proceeds from shares sold 2,382,623 5,341,975 129,899 530,205 Reinvested distributions -- 5,214,041 -- -- Payments for shares redeemed (7,757,332) (10,398,008) (1,435,215) (1,277,366) - ------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS (5,374,709) 158,008 (1,305,316) (747,161) - ------------------------------------------------------------------------------------------------------------------- CLASS C Proceeds from shares sold 29,582,818 64,491,763 1,218,754 3,804,161 Reinvested distributions -- 17,374,992 -- -- Payments for shares redeemed (30,711,893) (69,103,989) (5,290,423) (5,269,759) - ------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS (1,129,075) 12,762,766 (4,071,669) (1,465,598) - ------------------------------------------------------------------------------------------------------------------- CLASS I Proceeds from shares sold -- -- 100,456,765 243,795,484 Payments for shares redeemed -- -- (348,200,005) (21,642,746) - ------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS I SHARE TRANSACTIONS -- -- (247,743,240) 222,152,738 - ------------------------------------------------------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS (18,656,128) 115,220,204 (350,360,426) 281,637,107 NET ASSETS Beginning of period 1,046,920,372 931,700,168 429,841,884 148,204,777 - ------------------------------------------------------------------------------------------------------------------- End of period $1,028,264,244 $1,046,920,372 $ 79,481,458 $ 429,841,884 =================================================================================================================== ACCUMULATED NET INVESTMENT LOSS $ (4,659,826) $ -- $ (1,642,478) $ -- ===================================================================================================================
See accompanying notes to financial statements. 14 - -------------------------------------------------------------------------------- Financial Highlights - -------------------------------------------------------------------------------- DIVERSIFIED SMALL CAP GROWTH FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD - ----------------------------------------------------------------------- PERIOD ENDED SEPT. 30, 2006(A) - ----------------------------------------------------------------------- Net asset value at beginning of period $ 10.00 - ----------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.01) Net realized and unrealized gains on investments 0.10 - ----------------------------------------------------------------------- Total from investment operations 0.09 - ----------------------------------------------------------------------- Net asset value at end of period $ 10.09 ======================================================================= Total return(B) 0.90% ======================================================================= Net assets at end of period (000's) $ 5,050 ======================================================================= Ratio of net expenses to average net assets 1.40% (C) Ratio of net investment loss to average net assets (1.20%)(C) Portfolio turnover rate 167% (C) (A) Represents the period from commencement of operations (September 6, 2006) through September 30, 2006. (B) Total returns shown exclude the effect of applicable sales loads and are not annualized. (C) Annualized. DIVERSIFIED SMALL CAP GROWTH FUND--CLASS I PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD - ----------------------------------------------------------------------- PERIOD ENDED SEPT. 30, 2006(A) - ----------------------------------------------------------------------- Net asset value at beginning of period $ 10.00 - ----------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.01) Net realized and unrealized gains on investments 0.11 - ----------------------------------------------------------------------- Total from investment operations 0.10 - ----------------------------------------------------------------------- Net asset value at end of period $ 10.10 ======================================================================= Total return 1.00% (B) ======================================================================= Net assets at end of period (000's) $ 5,050 ======================================================================= Ratio of net expenses to average net assets 1.15% (C) Ratio of net investment loss to average net assets (0.95%)(C) Portfolio turnover rate 167% (C) (A) Represents the period from commencement of operations (September 6, 2006) through September 30, 2006. (B) Not annualized. (C) Annualized. See accompanying notes to financial statements. 15 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- GROWTH OPPORTUNITIES FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2006 --------------------------------------------------------------------- (UNAUDITED) 2006 2005 2004 2003 2002 - ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 21.57 $ 17.92 $ 18.06 $ 12.70 $ 18.18 $ 19.97 - ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.15) (0.21) (0.24) (0.21) (0.19) (0.18) Net realized and unrealized gains (losses) on investments (2.15) 3.86 0.10 5.57 (5.29) (1.61) - ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (2.30) 3.65 (0.14) 5.36 (5.48) (1.79) - ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 19.27 $ 21.57 $ 17.92 $ 18.06 $ 12.70 $ 18.18 ==================================================================================================================================== Total return(A) (10.66%)(B) 20.37% (0.78%) 42.20% (30.14%) (8.96%) ==================================================================================================================================== Net assets at end of period (000's) $ 44,971 $ 98,004 $ 81,313 $ 117,605 $ 84,472 $ 121,791 ==================================================================================================================================== Ratio of net expenses to average net assets 1.79% (C) 1.64% 1.68% 1.60% 1.83% 1.49% Ratio of net investment loss to average net assets (1.10%)(C) (1.09%) (1.14%) (1.23%) (1.40%) (0.98%) Portfolio turnover rate 216% (C) 80% 35% 47% 39% 52% 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 n/a n/a n/a $ 242 $ 24 Average daily number of capital shares outstanding during the period (000's)(D) n/a n/a n/a n/a 8,916 8,481 Average amount of debt per share during the period (D) n/a n/a n/a n/a $ 0.03 $ --(E)
(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. 16 GROWTH OPPORTUNITIES FUND--CLASS B PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS ENDED PERIOD SEPT. 30, YEAR ENDED MARCH 31, ENDED 2006 -------------------------------------------------- MARCH 31, (UNAUDITED) 2006 2005 2004 2003 2002(A) - ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 20.39 $ 16.97 $ 17.31 $ 12.13 $ 17.78 $ 22.74 - ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.24) (0.46) (0.43) (0.38) (0.36) (0.17) Net realized and unrealized gains (losses) on investments (2.16) 3.88 0.09 5.56 (5.29) (4.79) - ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (2.40) 3.42 (0.34) 5.18 (5.65) (4.96) - ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 17.99 $ 20.39 $ 16.97 $ 17.31 $ 12.13 $ 17.78 ==================================================================================================================================== Total return(B) (11.77%)(C) 20.15% (1.96%) 42.70% (31.78%) (21.81%)(C) ==================================================================================================================================== Net assets at end of period (000's) $ 2,494 $ 3,230 $ 3,064 $ 3,608 $ 2,463 $ 3,380 ==================================================================================================================================== Ratio of net expenses to average net assets 3.07% (D) 2.97% 2.95% 2.84% 3.16% 2.37% (D) Ratio of net investment loss to average net assets (2.32%)(D) (2.39%) (2.38%) (2.45%) (2.71%) (1.93%)(D) Portfolio turnover rate 216% (D) 80% 35% 47% 39% 52% (D) 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)(E) n/a n/a n/a n/a $ 242 $ 24 Average daily number of capital shares outstanding during the period (000's)(E) n/a n/a n/a n/a 8,916 8,481 Average amount of debt per share during the period(E) n/a n/a n/a 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. 17 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- GROWTH OPPORTUNITIES FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2006 -------------------------------------------------------------- (UNAUDITED) 2006 2005 2004 2003 2002 - ----------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 20.60 $ 17.11 $ 17.39 $ 12.17 $ 17.78 $ 19.74 - ----------------------------------------------------------------------------------------------------------------------------- tions: Net investment loss Net investment loss (0.22) (0.40) (0.40) (0.37) (0.36) (0.32) Net realized and unrealized gains (losses) on investments (2.16) 3.89 0.12 5.59 (5.25) (1.64) - ----------------------------------------------------------------------------------------------------------------------------- Total from investment operations (2.38) 3.49 (0.28) 5.22 (5.61) (1.96) - ----------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 18.22 $ 20.60 $ 17.11 $ 17.39 $ 12.17 $ 17.78 ============================================================================================================================= Total return(A) (11.55%)(B) 20.40% (1.61%) 42.89% (31.55%) (9.93%) ============================================================================================================================= Net assets at end of period (000's) $ 16,108 $ 22,412 $ 21,789 $ 28,470 $ 21,727 $ 40,967 ============================================================================================================================= Ratio of net expenses to average net assets 2.77% (C) 2.57% 2.61% 2.60% 2.87% 2.31% Ratio of net investment loss to average net assets (2.03%)(C) (2.01%) (2.04%) (2.21%) (2.42%) (1.78%) Portfolio turnover rate 216% (C) 80% 35% 47% 39% 52% 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 n/a n/a $ n/a $ 242 $ 24 Average daily number of capital shares outstanding during the period (000's)(D) n/a n/a n/a n/a 8,916 8,481 Average amount of debt per share during the period (D) n/a n/a n/a $ n/a $ 0.03 $ --(E)
(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 LARGE CAP CORE EQUITY FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2006 ------------------------------------------------------------- (UNAUDITED) 2006 2005 2004 2003 2002 - ------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 10.49 $ 9.48 $ 9.10 $ 6.71 $ 9.19 $ 8.90 - ------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income 0.05 0.06 0.11 0.07 0.06 0.06 Net realized and unrealized gains (losses) on investments 0.44 0.96 0.38 2.37 (2.46) 0.28 - ------------------------------------------------------------------------------------------------------------------------- Total from investment operations 0.49 1.02 0.49 2.44 (2.40) 0.34 - ------------------------------------------------------------------------------------------------------------------------- Dividends from net investment income (0.11) (0.01) (0.11) (0.05) (0.08) (0.05) - ------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 10.87 $ 10.49 $ 9.48 $ 9.10 $ 6.71 $ 9.19 ========================================================================================================================= Total return(A) 4.71%(B) 10.74% 5.32% 36.41% (26.19%) 3.86% ========================================================================================================================= Net assets at end of period (000's) $ 90,762 $ 25,693 $ 9,328 $ 8,783 $ 6,109 $ 7,561 ========================================================================================================================= Ratio of net expenses to average net assets 1.15%(C) 1.00% 1.00% 0.97%(D) 1.00% 1.00% Ratio of net investment income to average net assets 0.97%(C) 1.03% 1.18% 0.85%(D) 0.90% 0.70% Portfolio turnover rate 7%(C) 6% 7% 10% 29% 9%
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. (D) Absent voluntary expense reimbursements, the ratio of net expenses to average neet assets would have been 1.00% and the ratio of net investment income to average net assets would have been 0.82%. See accompanying notes to financial statements. 19 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- LARGE CAP CORE EQUITY FUND--CLASS B PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
PERIOD ENDED PERIOD AUG. 11, YEAR ENDED MARCH 31, ENDED 2006(A) ---------------------------------------------------- MARCH 31, (UNAUDITED) 2006 2005 2004 2003 2002(B) - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 10.35 $ 9.42 $ 9.04 $ 6.69 $ 9.13 $ 9.50 - ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income 0.01 0.03 0.04 0.01 0.01 0.02 Net realized and unrealized gains (losses) on investments (0.24) 0.91 0.37 2.36 (2.45) (0.37) - ----------------------------------------------------------------------------------------------------------------------------------- Total from investment operations (0.23) 0.94 0.41 2.37 (2.44) (0.35) - ----------------------------------------------------------------------------------------------------------------------------------- Dividends from net investment income (0.04) (0.01) (0.03) (0.02) -- (C) (0.02) - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 10.08 $ 10.35 $ 9.42 $ 9.04 $ 6.69 $ 9.13 =================================================================================================================================== Total return(D) (2.22%)(E) 9.95% 4.55% 35.37% (26.70%) (3.60%)(E) =================================================================================================================================== Net assets at end of period (000's) $ 1,639 $ 1,713 $ 1,665 $ 1,456 $ 729 $ 860 =================================================================================================================================== Ratio of net expenses to average net assets 1.90% (F) 1.75% 1.75% 1.72%(G) 1.75% 1.75%(F) Ratio of net investment income to average net assets 0.30% (F) 0.26% 0.46% 0.10%(G) 0.18% 0.03%(F) Portfolio turnover rate 7% (F) 6% 7% 10% 29% 9%(F)
(A) On August 11, 2006, Class B shares were merged into Class A shares in connection with an Agreement and Plan of Reorganization approved by shareholders (see Note 8). (B) Represents the period from the commencement of operations (May 1, 2001) through March 31, 2002. (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 (G) Absent voluntary expense reimbursements, the ratio of net expenses to average neet assets would have been 1.75% and the ratio of net investment income to average net assets would have been 0.07%. See accompanying notes to financial statements. 20 LARGE CAP CORE EQUITY FUND--CLASS C
PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - -------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2006 --------------------------------------------------------------- (UNAUDITED) 2006 2005 2004 2003 2002 - ---------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 10.39 $ 9.46 $ 9.08 $ 6.72 $ 9.13 $ 8.88 - ---------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income (loss) (0.04) 0.03 0.04 0.01 0.01 0.01 Net realized and unrealized gains (losses) on investments 0.50 0.91 0.37 2.37 (2.41) 0.25 - ---------------------------------------------------------------------------------------------------------------------------- Total from investment operations 0.46 0.94 0.41 2.38 (2.40) 0.26 - ---------------------------------------------------------------------------------------------------------------------------- Dividends from net investment income (0.04) (0.01) (0.03) (0.02) (0.01) (0.01) - ---------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 10.81 $ 10.39 $ 9.46 $ 9.08 $ 6.72 $ 9.13 ============================================================================================================================ Total return(A) 4.45% (B) 9.91% 4.52% 35.38% (26.32%) 3.00% ============================================================================================================================ Net assets at end of period (000's) $ 3,494 $ 1,399 $ 1,675 $ 2,260 $ 920 $ 900 ============================================================================================================================ Ratio of net expenses to average net assets 1.90% (C) 1.75% 1.75% 1.72%(D) 1.74% 1.75% Ratio of net investment income (loss) to average net assets (1.45%)(C) 0.26% 0.41% 0.13%(D) 0.18% (0.05%) Portfolio turnover rate 7% (C) 6% 7% 10% 29% 9%
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. (D) Absent voluntary expense reimbursements, the ratio of net expenses to average neet assets would have been 1.75% and the ratio of net investment income to average net assets would have been 0.10%. See accompanying notes to financial statements. 21 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- LARGE CAP GROWTH FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS THREE ENDED YEAR ENDED MONTHS SEPT. 30, MARCH 31, ENDED YEAR ENDED DECEMBER 31, 2006 ---------------------- MARCH 31, ------------------------------------- (UNAUDITED) 2006 2005 2004(A) 2003 2002 2001 - ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 23.26 $ 19.84 $ 17.31 $ 16.53 $ 12.19 $ 16.63 $ 21.73 - ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.03) (0.02) (0.02) (0.03) (0.07) (0.12) (0.13) Net realized and unrealized gains (losses) on investments (2.46) 3.44 2.55 0.81 4.41 (4.32) (4.97) - ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (2.49) 3.42 2.53 0.78 4.34 (4.44) (5.10) - ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 20.77 $ 23.26 $ 19.84 $ 17.31 $ 16.53 $ 12.19 $ 16.63 ==================================================================================================================================== Total return(B) (10.70%)(C) 17.24% 14.62% 4.72% (C) 35.60% (26.70%) (23.47%) ==================================================================================================================================== Net assets at end of period (000's) $ 781,265 $ 838,120 $ 274,121 $ 69,860 $ 62,187 $ 13,831$ 20,835 ==================================================================================================================================== Ratio of net expenses to average net assets 1.12% (D) 1.17% 1.26% 1.30% (D) 1.39% 1.49% 1.49% Ratio of net investment loss to average net assets (0.24%)(D) (0.13%) (0.23%) (0.78%)(D) (0.93%) (0.82%) (0.62%) Portfolio turnover 129% (D) 104% 127% 60% (D) 60% 115% 124%
(A) Effective after the close of business on December 31, 2003, 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. 22 LARGE CAP GROWTH FUND--CLASS B PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS THREE ENDED YEAR ENDED MONTHS PERIOD SEPT. 30, MARCH 31, ENDED ENDED 2006 ---------------------- MARCH 31, DEC. 31, (UNAUDITED) 2006 2005 2004(A) 2003(B) - ------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 22.83 $ 19.60 $ 17.24 $ 16.50 $ 15.45 - ------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.11) (0.15) (0.12) (0.03) (0.06) Net realized and unrealized gains (losses) on investments (2.47) 3.38 2.48 0.77 1.11 - ------------------------------------------------------------------------------------------------------------------- Total from investment operations (2.58) 3.23 2.36 0.74 1.05 - ------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 20.25 $ 22.83 $ 19.60 $ 17.24 $ 16.50 =================================================================================================================== Total return(C) (11.30%)(D) 16.48% 13.69% 4.48% (D) 6.80% (D) =================================================================================================================== Net assets at end of period (000's) $ 26,460 $ 27,781 $ 10,579 $ 1,897 $ 1,003 =================================================================================================================== Ratio of net expenses to average net assets 2.01% (E) 2.08% 2.25% 2.25% (E) 2.22% (E) Ratio of net investment loss to average net assets (1.11%)(E) (1.02%) (1.23%) (1.71%)(E) (1.80%)(E) Portfolio turnover rate 129% (E) 104% 127% 60% (E) 60% (E)
(A) Effective after the close of business on December 31, 2003, the Fund changed its fiscal year end to March 31. (B) Represents the period from commencement of operations (October 4, 2003) through December 31, 2003. (C) Total returns shown exclude the effect of applicable sales loads. (D) Not annualized. (E) Annualized. See accompanying notes to financial statements. 23 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- LARGE CAP GROWTH FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS THREE ENDED YEAR ENDED MONTHS PERIOD SEPT. 30, MARCH 31, ENDED ENDED 2006 ---------------------- MARCH 31, DEC. 31, (UNAUDITED) 2006 2005 2004(A) 2003(B) - ------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 22.88 $ 19.62 $ 17.24 $ 16.50 $ 15.45 - ------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.10) (0.11) (0.08) (0.04) (0.05) Net realized and unrealized gains (losses) on investments (2.47) 3.37 2.46 0.78 1.10 - ------------------------------------------------------------------------------------------------------------------- Total from investment operations (2.57) 3.26 2.38 0.74 1.05 - ------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 20.31 $ 22.88 $ 19.62 $ 17.24 $ 16.50 =================================================================================================================== Total return(C) (11.23%)(D) 16.62% 13.81% 4.48% (D) 6.80% (D) =================================================================================================================== Net assets at end of period (000's) $ 199,486 $ 188,810 $ 48,446 $ 4,310 $ 2,465 =================================================================================================================== Ratio of net expenses to average net assets 1.91% (E) 1.98% 2.03% 2.25% (E) 2.21% (E) Ratio of net investment loss to average net assets (1.01%)(E) (0.93%) (0.97%) (1.70%)(E) (1.78%)(E) Portfolio turnover rate 129% (E) 104% 127% 60% (E) 60% (E)
(A) Effective after the close of business on December 31, 2003, the Fund changed its fiscal year end to March 31. (B) Represents the period from commencement of operations (October 4, 2003) through December 31, 2003. (C) Total returns shown exclude the effect of applicable sales loads. (D) Not annualized. (E) Annualized. LARGE CAP GROWTH FUND--CLASS I PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - -------------------------------------------------------------------------------- SIX MONTHS YEAR PERIOD SEPT. 30, ENDED ENDED 2006 MARCH 31, MARCH 31, (Unaudited) 2006 2005(A) - -------------------------------------------------------------------------------- Net asset value at beginning of period $ 23.33 $ 19.86 $ 18.34 - -------------------------------------------------------------------------------- Income from investment operations: Net investment income --(B) 0.03 0.01 Net realized and unrealized gains (losses) on investments (2.46) 3.44 1.51 - -------------------------------------------------------------------------------- Total from investment operations (2.46) 3.47 1.52 - -------------------------------------------------------------------------------- Net asset value at end of period $ 20.87 $ 23.33 $ 19.86 ================================================================================ Total return (10.54%)(C) 17.47% 8.29%(C) ================================================================================ Net assets at end of period (000's) $ 76,370 $ 66,655 $ 43,279 ================================================================================ Ratio of net expenses to average net assets 0.85%(D) 0.93% 1.01%(D) Ratio of net investment income to average net assets 0.06%(D) 0.12% 0.21%(D) Portfolio turnover rate 129%(D) 104% 127%(D) (A) Represents the period from commencement of operations (November 10, 2004) through March 31, 2005. (B) Amount rounds to less than $0.01 per share. (C) Not annualized. (D) Annualized. See accompanying notes to financial statements. 24 LARGE CAP VALUE FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS ENDED PERIOD SEPT. 30, ENDED 2006 MARCH 31, (UNAUDITED) 2006(A) - -------------------------------------------------------------------------------- Net asset value at beginning of period $ 10.19 $ 10.00 - -------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.03 0.01 Net realized and unrealized gains on investments 0.19 0.18 - -------------------------------------------------------------------------------- Total from investment operations 0.22 0.19 - -------------------------------------------------------------------------------- Net asset value at end of period $ 10.41 $ 10.19 ================================================================================ Total return (B) 2.16% 1.90% ================================================================================ Net assets at end of period (000's) $ 19,612 $ 11,684 ================================================================================ Ratio of net expenses to average net assets 1.35%(C) 1.30%(C) Ratio of net investment income to average net assets 0.84%(C) 1.34%(C) Portfolio turnover rate 56%(C) 68%(C)
(A) Represents the period from commencement of operations (March 6, 2006) through March 31, 2006. (B) Total returns shown exclude the effect of applicable sales loads and are not annualized. (C) Annualized. LARGE CAP VALUE FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - -------------------------------------------------------------------------------- SIX MONTHS ENDED PERIOD SEPT. 30, ENDED 2006 MARCH 31, (UNAUDITED) 2006(A) - -------------------------------------------------------------------------------- Net asset value at beginning of period $ 10.18 $ 10.00 - -------------------------------------------------------------------------------- Income from investment operations: Net investment income --(B) --(B) Net realized and unrealized gains on investments 0.19 0.18 - -------------------------------------------------------------------------------- Total from investment operations 0.19 0.18 - -------------------------------------------------------------------------------- Net asset value at end of period $ 10.37 $ 10.18 ================================================================================ Total return (C) 1.87% 1.80% ================================================================================ Net assets at end of period (000's) $ 6,583 $ 561 ================================================================================ Ratio of net expenses to average net assets 2.10%(D) 1.89%(D) Ratio of net investment income to average net assets 0.11%(D) 0.25%(D) Portfolio turnover rate 56%(D) 68%(D) (A) Represents the period from commencement of operations (March 6, 2006) through March 31, 2006. (B) Amount rounds to less than $0.01 per share. (C) Total returns shown exclude the effect of applicable sales loads and are not annualized. (D) Annualized. See accompanying notes to financial statements. 25 Financial Highlights (Continued) MICRO CAP GROWTH FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR PERIOD SEPT. 30, ENDED ENDED 2006 MARCH 31, MARCH 31, (UNAUDITED) 2006 2005(A) - ------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 13.50 $ 11.07 $ 10.00 - ------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.08) (0.10) (0.06) Net realized and unrealized gains (losses) on investments (1.66) 2.53 1.13 - ------------------------------------------------------------------------------------------ Total from investment operations (1.74) 2.43 1.07 - ------------------------------------------------------------------------------------------ Net asset value at end of period $ 11.76 $ 13.50 $ 11.07 ========================================================================================== Total return (B) (12.89%)(C) 21.95% 10.70% (C) ========================================================================================== Net assets at end of period (000's) $ 51,144 $ 61,915 $ 32,378 ========================================================================================== Ratio of net expenses to average net assets 1.95% (D) 1.95% 1.95% (D) Ratio of net investment loss to average net assets (1.33%)(D) (1.08%) (1.27%)(D) Portfolio turnover rate 119% (D) 90% 101% (D)
(A) Represents the period from commencement of operations (June 22, 2004) through March 31, 2005. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not Annualized. (D) Annualized. MICRO CAP GROWTH FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR PERIOD SEPT. 30, ENDED ENDED 2006 MARCH 31, MARCH 31, (UNAUDITED) 2006 2005(A) - ------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 13.33 $ 11.01 $ 10.00 - ------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.13) (0.17) (0.08) Net realized and unrealized gains (losses) on investments (1.63) 2.49 1.09 - ------------------------------------------------------------------------------------------ Total from investment operations (1.76) 2.32 1.01 - ------------------------------------------------------------------------------------------ Net asset value at end of period $ 11.57 $ 13.33 $ 11.01 ========================================================================================== Total return(B) (13.20%)(C) 21.07% 10.10% (C) ========================================================================================== Net assets at end of period (000's) $ 29,376 $ 33,310 $ 16,224 ========================================================================================== Ratio of net expenses to average net assets 2.70% (D) 2.70% 2.70% (D) Ratio of net investment loss to average net assets (2.08%)(D) (1.84%) (2.07%)(D) Portfolio turnover rate 119% (D) 90% 101% (D)
(A) Represents the period from commencement of operations (June 22, 2004) through March 31, 2005. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not Annualized. (D) Annualized. See accompanying notes to financial statements. 26 MICRO CAP GROWTH FUND--CLASS I PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR PERIOD SEPT. 30, ENDED ENDED 2006 MARCH 31, MARCH 31, (UNAUDITED) 2006 2005(A) - ------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 13.70 $ 11.16 $ 9.89 - ------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.06) (0.03) (0.13) Net realized and unrealized gains (losses) on investments (1.70) 2.57 1.40 - ------------------------------------------------------------------------------------------ Total from investment operations (1.76) 2.54 1.27 - ------------------------------------------------------------------------------------------ Net asset value at end of period $ 11.94 $ 13.70 $ 11.16 ========================================================================================== Total return (12.85%)(B) 22.76% 12.84% (B) ========================================================================================== Net assets at end of period (000's) $ 803 $ 676 $ -- (C) ========================================================================================== Ratio of net expenses to average net assets 1.70% (D) 1.55% 1.55% (D) Ratio of net investment loss to average net assets (1.07%)(D) (0.77%) (2.34%)(D) Portfolio turnover rate 119% (D) 90% 101% (D)
(A) Represents the period from commencement of operations (October 4, 2004) through March 31, 2005. (B) Not Annualized. (C) Amount rounds to less than $1,000. (D) Annualized. See accompanying notes to financial statements. 27 Financial Highlights (Continued) MID CAP GROWTH FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2006 --------------------------------------------------------------- (UNAUDITED) 2006 2005 2004 2003 2002 - -------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 24.02 $ 21.42 $ 21.73 $ 13.89 $ 19.52 $ 15.96 - -------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.07) (0.12) (0.16) (0.13) (0.14) (0.14) Net realized and unrealized gains (losses) on investments (0.24) 4.70 1.03 7.97 (5.29) 3.76 - -------------------------------------------------------------------------------------------------------------------------- Total from investment operations (0.31) 4.58 0.87 7.84 (5.43) 3.62 - -------------------------------------------------------------------------------------------------------------------------- Distributions from net realized gains -- (1.98) (1.18) -- (0.20) (0.06) - -------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 23.71 $ 24.02 $ 21.42 $ 21.73 $ 13.89 $ 19.52 ========================================================================================================================== Total return(A) (1.29%)(B) 22.21% 4.13% 56.44% (27.90%) 22.72% ========================================================================================================================== Net assets at end of period (000's) $ 634,310 $ 639,501 $ 574,855 $ 458,524 $ 153,247 $ 169,781 ========================================================================================================================== Ratio of net expenses to average net assets 1.50% (C) 1.50% 1.50% 1.49% (D) 1.50% 1.50% Ratio of net investment loss to average net assets (0.63%)(C) (0.57%) (0.84%) (0.93%)(D) (1.07%) (1.02%) Portfolio turnover 60% (C) 69% 85% 79% 62% 73%
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. (D) Absent voluntary expense reimbursements, the ratio of net expenses to average net assets would have been 1.50% and the ratio of net investment loss to average net assets would have been (0.94%). See accompanying notes to financial statements. 28 MID CAP GROWTH FUND--CLASS B PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS ENDED PERIOD SEPT. 30, YEAR ENDED MARCH 31, ENDED 2006 ------------------------------------------------------- MARCH 31, (UNAUDITED) 2006 2005 2004 2003 2002(A) - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 21.49 $ 19.50 $ 20.03 $ 12.53 $ 18.25 $ 16.45 - ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.15) (0.26) (0.29) (0.25) (0.14) (0.09) Net realized and unrealized gains (losses) on investments (0.20) 4.23 0.94 7.75 (5.38) 1.95 - ----------------------------------------------------------------------------------------------------------------------------------- Total from investment operations (0.35) 3.97 0.65 7.50 (5.52) 1.86 - ----------------------------------------------------------------------------------------------------------------------------------- Distributions from net realized gains -- (1.98) (1.18) -- (0.20) (0.06) - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 21.14 $ 21.49 $ 19.50 $ 20.03 $ 12.53 $ 18.25 =================================================================================================================================== Total return(B) (1.63%)(C) 21.24% 3.37% 59.86% (30.34%) 11.35%(C) =================================================================================================================================== Net assets at end of period (000's) $ 72,730 $ 79,552 $ 71,879 $ 64,918 $ 26,226 $ 15,335 =================================================================================================================================== Ratio of net expenses to average net assets 2.25% (D) 2.25% 2.25% 2.24% (E) 2.25% 2.25% (D) Ratio of net investment loss to average net assets (1.38%)(D) (1.32%) (1.60%) (1.68%)(E) (1.77%) (1.90%)(D) Portfolio turnover rate 60% (D) 69% 85% 79% 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. (E) Absent voluntary epxense reimbursements, the ratio of net expenses to average net assets would have been 2.25% and the ratio of net investment loss to average net assets would have been (1.69%). See accompanying notes to financial statements. 29 Financial Highlights (Continued) MID CAP GROWTH FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2006 ---------------------------------------------------------------------------- (UNAUDITED) 2006 2005 2004 2003 2002 - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 21.51 $ 19.51 $ 20.04 $ 12.55 $ 18.26 $ 15.01 - ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income (loss) (0.14) (0.25) (0.30) (0.23) (0.13) 0.01 Net realized and unrealized gains (losses) on investments (0.21) 4.23 0.95 7.72 (5.38) 3.30 - ----------------------------------------------------------------------------------------------------------------------------------- Total from investment operations (0.35) 3.98 0.65 7.49 (5.51) 3.31 - ----------------------------------------------------------------------------------------------------------------------------------- Distributions from net realized gains -- (1.98) (1.18) -- (0.20) (0.06) - ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 21.16 $ 21.51 $ 19.51 $ 20.04 $ 12.55 $ 18.26 =================================================================================================================================== Total return(A) (1.63%)(B) 21.28% 3.36% 59.68% (30.27%) 22.09% =================================================================================================================================== Net assets at end of period (000's) $ 321,224 $ 327,867 $ 284,966 $ 252,021 $ 97,743 $ 67,347 =================================================================================================================================== Ratio of net expenses to average net assets 2.25% (C) 2.25% 2.25% 2.24% (D) 2.25% 2.25% Ratio of net investment loss to average net assets (1.38%)(C) (1.32%) (1.60%) (1.68%)(D) (1.77%) (1.61%) Portfolio turnover 60% (C) 69% 85% 79% 62% 73%
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. (D) Absent voluntary expense reimbursements, the ratio of net expenses to average net assets would have been 2.25% and the ratio of net investment loss to average net assets would have been (1.69%). See accompanying notes to financial statements. 30 SMALL CAP GROWTH FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS ENDED PERIOD SEPT. 30, YEAR ENDED MARCH 31, ENDED 2006 ------------------------------------------ MARCH 31, (UNAUDITED) 2006 2005 2004 2003(A) - ------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 18.37 $ 15.25 $ 16.05 $ 9.78 $ 10.00 - ------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.10) (0.18) (0.25) (0.14) (0.06) Net realized and unrealized gains (losses) on investments (2.68) 3.30 (0.14) 6.78 (0.16) - ------------------------------------------------------------------------------------------------------------------ Total from investment operations (2.78) 3.12 (0.39) 6.64 (0.22) - ------------------------------------------------------------------------------------------------------------------ Distributions from net realized gains -- -- (0.41) (0.37) -- - ------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 15.59 $ 18.37 $ 15.25 $ 16.05 $ 9.78 ================================================================================================================== Total return(B) (15.13%)(C) 20.46% (2.43%) 68.02% (2.20%)(C) ================================================================================================================== Net assets at end of period (000's) $ 37,233 $ 48,697 $ 37,675 $ 53,064 $ 15,230 ================================================================================================================== Ratio of net expenses to average net assets 1.95% (D) 1.95% 1.95% 1.89% (E) 1.95% (D) Ratio of net investment loss to average net assets (1.19%)(D) (1.18%) (1.40%) (1.34%)(E) (1.61%)(D) Portfolio turnover 280% (D) 109% 114% 133% 128% (D)
(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. (C) Not annualized. (D) Annualized. (E) Absent voluntary expense reimbursements, the ratio of net expenses to average net assets would have been 1.95% and ratio of net investment loss to average net assets would have been (1.40%). See accompanying notes to financial statements. 31 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- SMALL CAP GROWTH FUND--CLASS B PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS ENDED PERIOD SEPT. 30, YEAR ENDED MARCH 31, ENDED 2006 --------------------------------------- MARCH 31, (UNAUDITED) 2006 2005 2004 2003(A) - ----------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 17.99 $ 14.99 $ 15.90 $ 9.75 $ 10.00 - ----------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.17) (0.31) (0.29) (0.21) (0.06) Net realized and unrealized gains (losses) on investments (2.66) 3.31 (0.21) 6.73 (0.19) - ----------------------------------------------------------------------------------------------------------------------- Total from investment operations (2.83) 3.00 (0.50) 6.52 (0.25) - ----------------------------------------------------------------------------------------------------------------------- Distributions from net realized gains -- -- (0.41) (0.37) -- - ----------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 15.16 $ 17.99 $ 14.99 $ 15.90 $ 9.75 ======================================================================================================================= Total return(B) (15.73%)(C) 20.01% (3.15%) 66.99% (2.50%)(C) ======================================================================================================================= Net assets at end of period (000's) $ 6,991 $ 9,858 $ 8,908 $ 7,831 $ 1,399 ======================================================================================================================= Ratio of net expenses to average net assets 2.70% (D) 2.70% 2.70% 2.63% (E) 2.69% (D) Ratio of net investment loss to average net assets (1.93%)(D) (1.92%) (2.13%) (2.09%)(E) (2.38%)(D) Portfolio turnover 280% (D) 109% 114% 133% 128% (D)
(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. (C) Not annualized. (D) Annualized. (E) Absent voluntary expense reimbursements, the ratio of net expenses to average net assets would have been 2.70% and the ratio of net investment loss to average neet assets would have been (2.16%). See accompanying notes to financial statements. 32 SMALL CAP GROWTH FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS ENDED PERIOD SEPT. 30, YEAR ENDED MARCH 31, ENDED 2006 ------------------------------------------ MARCH 31, (UNAUDITED) 2006 2005 2004 2003(A) - -------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 18.01 $ 15.00 $ 15.91 $ 9.74 $ 10.00 - -------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.19) (0.32) (0.29) (0.21) (0.07) Net realized and unrealized gains (losses) on investments (2.65) 3.33 (0.21) 6.75 (0.19) - -------------------------------------------------------------------------------------------------------------------------- Total from investment operations (2.84) 3.01 (0.50) 6.54 (0.26) - -------------------------------------------------------------------------------------------------------------------------- Distributions from net realized gains -- -- (0.41) (0.37) -- - -------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 15.17 $ 18.01 $ 15.00 $ 15.91 $ 9.74 ========================================================================================================================== Total return(B) (15.77%)(C) 20.07% (3.15%) 67.26% (2.60%)(C) ========================================================================================================================== Net assets at end of period (000's) $ 13,492 $ 20,964 $ 18,776 $ 14,596 $ 3,029 ========================================================================================================================== Ratio of net expenses to average net assets 2.70% (D) 2.70% 2.70% 2.63% (E) 2.69% (D) Ratio of net investment loss to average net assets (1.93%)(D) (1.92%) (2.12%) (2.09%)(E) (2.39%)(D) Portfolio turnover 280% (D) 109% 114% 133% 128% (D)
(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. (C) Not annualized. (D) Annualized. (E) Absent voluntary expense reimbursements, the ratio of net expenses to average net assets would have been 2.70% and the ratio of net investment loss to average net assets would have been (2.16%). See accompanying notes to financial statements. 33 - -------------------------------------------------------------------------------- Financial Highlights (Continued) - -------------------------------------------------------------------------------- SMALL CAP GROWTH FUND--CLASS I PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD - --------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR PERIOD SEPT. 30, ENDED ENDED 2006 MARCH 31, MARCH 31, (UNAUDITED) 2006 2005(A) - --------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 18.49 $ 15.31 $ 15.37 - --------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.82) (0.07) (0.05) Net realized and unrealized gains (losses) on investments (1.92) 3.25 0.40 - --------------------------------------------------------------------------------------------- Total from investment operations (2.74) 3.18 0.35 - --------------------------------------------------------------------------------------------- Distributions from net realized gains -- -- (0.41) - --------------------------------------------------------------------------------------------- Net asset value at end of period $ 15.75 $ 18.49 $ 15.31 ============================================================================================= Total return (14.82%)(B) 20.77% 2.29% (B) ============================================================================================= Net assets at end of period (000's) $ 21,765 $ 350,323 $ 82,846 ============================================================================================= Ratio of net expenses to average net assets 1.55% (C) 1.55% 1.55% (C) Ratio of net investment loss to average net assets (0.85%)(C) (0.77%) (0.95%)(C) Portfolio turnover 280% (C) 109% 114% (C)
(A) Represents the period from commencement of operations (May 5, 2004) through March 31, 2005. (B) Not annualized. (C) Annualized. See accompanying notes to financial statements. 34 - -------------------------------------------------------------------------------- Notes to Financial Statements September 30, 2006 (Unaudited) - -------------------------------------------------------------------------------- 1. ORGANIZATION The Diversified Small Cap Growth Fund, Growth Opportunities Fund, Large Cap Core Equity Fund, Large Cap Growth Fund, Large Cap Value Fund, Micro Cap Growth Fund, Mid Cap Growth Fund, and Small Cap Growth 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. Prior to October 4, 2003, the Large Cap Growth Fund was a series of the Navellier Funds. Effective October 4, 2003, the Navellier Performance Large Cap Growth Portfolio and the Navellier Millennium Large Cap Growth Portfolio were merged into the Large Cap Growth Fund. The accounting and performance history of the Navellier Performance Large Cap Growth Portfolio was carried forward. The Large Cap Growth Fund was the legal and tax survivor. Effective January 1, 2004, the Fund changed its fiscal year end from December 31 to March 31. The Diversified Small Cap Growth Fund seeks long-term growth of capital. Under normal circumstances, the Fund will invest at least 80% of its assets in common stocks of small cap companies. 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 domestic growth companies that the sub-advisor believes have a demonstrated record of achievement with excellent prospects for earnings growth over a 1 to 3 year period. The Large Cap Core Equity Fund seeks long-term capital appreciation as its primary goal by investing at least 80% of its total assets in common stocks of large cap companies. Income is a secondary goal. 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 common stocks of large cap companies. The Large Cap Value Fund seeks long-term growth of capital and income. Under normal circumstances, the Fund will invest at least 80% of its assets in common stocks of large cap companies. The Micro Cap Growth Fund seeks long-term growth of capital. Under normal circumstances, the Fund will invest at least 80% of its assets in the common stocks of U.S. companies whose total market capitalization at the time of investment is generally between $30 million and $500 million, referred to as micro cap companies, and which, in the opinion of the sub-advisor, have superior earnings growth characteristics. The Mid Cap 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 80% of its assets) in common stocks of mid cap companies. 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 common stocks of small cap companies. 35 The Diversified Small Cap Growth Fund, Large Cap Core Equity Fund, and Large Cap Value Fund offer two 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%), and Class C shares, except Diversified Small Cap Growth Fund (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), and Class I shares of Diversified Small Cap Growth Fund (sold without a distribution fee or sales charge, but offered only through selected dealers and subject to a higher minimum initial investment). The Growth Opportunities Fund, Micro Cap Growth Fund, and Mid Cap Growth Fund offer three classes of shares: Class A shares (described above), Class B shares, except Micro Cap Growth Fund, (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), Class C shares (described above), and Class I shares (described above) of Micro Cap Growth Fund. The Large Cap Growth Fund and Small Cap Growth Fund offer four classes of shares: Class A shares, Class B shares, Class C shares and Class I shares (all described above). Each Class A, Class B, Class C and Class I 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, 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 and Class I 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. Notes to Financial Statements (Continued) 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 are valued at the last sale price and portfolio securities quoted by NASDAQ are valued at the NASDAQ Official Closing Price (NOCP). 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 or the NOCP are not readily available are valued based on fair value as determined by or under the direction of the Board of Trustees. Money market instruments and other debt securities with a remaining maturity of less than 60 days are valued at amortized cost, which approximates market. Shares of open-end mutual funds in which the Funds invest are valued at their respective net asset values as reported by the underlying funds. In September 2006, the Financial Accounting Standards Board (FASB) issued Statement on Financial Accounting Standards (SFAS) No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of September 30, 2006, the Trust does not believe the adoption of SFAS No. 157 will impact the amounts reported in the financial statements, however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements reported on the statement of changes in net assets for a fiscal period. Portfolio Securities Loaned -- Each Fund may lend its portfolio securities. Lending portfolio securities exposes a Fund to the risk that the borrower may fail to return the loaned securities or may not be able to provide additional collateral or that the Fund may experience delays in recovery of the loaned securities or loss of rights in the collateral if the borrower fails financially. To minimize these risks, the borrower must agree to maintain collateral marked to market daily, in the form of cash and/or liquid securities, with the Fund's custodian in an amount at least equal to the market value of the loaned securities. 36 As of September 30, 2006, the following Funds loaned common stocks and received collateral as follows: FAIR VALUE VALUE OF OF COMMON COLLATERAL STOCKS LOANED RECEIVED - ------------------------------------------------------------------------ Large Cap Value Fund $ 1,570,948 $ 1,655,615 Micro Cap Growth Fund $ 21,729,587 $ 22,801,789 Mid Cap Growth Fund $ 166,892,505 $ 171,728,841 Small Cap Growth Fund $ 13,961,795 $ 14,127,810 - ------------------------------------------------------------------------ All collateral received as cash and securities is received, held and administered by the Funds' custodian for the benefit of the Funds in the applicable custody account or other account established for the purpose of holding collateral. Funds participating in securities lending receive compensation in the form of fees, or retain a portion of interest or dividends 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 valued at least equal, at all times, to the fair value of the securities loaned plus accrued interest. Unrealized gain or loss on the fair value of the securities loaned that may occur during the term of the loan are recognized by the Funds. The Funds have the right under the lending agreement to recover the securities from the borrower on demand. 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, Class C and Class I 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 is 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 5.00% and 1.00%, 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 recorded on an accrual basis. Distributions to shareholders -- Dividends arising from net investment income, if any, are declared and paid to shareholders annually for each 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. 37 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- Security transactions -- Security transactions are accounted for on the trade date. Securities sold are determined on a specific identification basis. Estimates -- The preparation of financial statements in conformity with U.S. generally accepted accounting principles 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 year ended March 31, 2006 was as follows: GROWTH LARGE CAP LARGE CAP OPPORTUNITIES CORE EQUITY GROWTH FUND FUND FUND - -------------------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED MARCH 31, MARCH 31, MARCH 31, 2006 2006 2006 - -------------------------------------------------------------------------------- From ordinary income $ -- $ 20,159 $ -- - -------------------------------------------------------------------------------- From long-term capital gains -- -- -- - -------------------------------------------------------------------------------- $ -- $ 20,159 $ -- - -------------------------------------------------------------------------------- LARGE CAP MICRO CAP VALUE GROWTH FUND FUND - -------------------------------------------------------------------------------- YEAR ENDED YEAR ENDED MARCH 31, MARCH 31, 2006 2006 - -------------------------------------------------------------------------------- From ordinary income $ -- $ -- - -------------------------------------------------------------------------------- From long-term capital gains $ -- $ -- - -------------------------------------------------------------------------------- $ -- $ -- - -------------------------------------------------------------------------------- MID CAP SMALL CAP GROWTH GROWTH FUND FUND - -------------------------------------------------------------------------------- YEAR ENDED YEAR ENDED MARCH 31, MARCH 31, 2006 2006 - -------------------------------------------------------------------------------- From ordinary income $ 15,608,776 $ -- - -------------------------------------------------------------------------------- From long-term capital gains 67,044,251 -- - -------------------------------------------------------------------------------- $ 82,653,027 $ -- - -------------------------------------------------------------------------------- 38 The following information is computed on a tax basis for each item as of March 31, 2006:
GROWTH LARGE CAP LARGE CAP LARGE CAP OPPORTUNITIES CORE EQUITY GROWTH VALUE FUND FUND FUND FUND - ---------------------------------------------------------------------------------------------------------- Tax cost of portfolio investments $ 113,323,506 $ 24,641,380 $ 1,030,413,761 $ 12,146,094 - ---------------------------------------------------------------------------------------------------------- Gross unrealized appreciation 25,437,423 4,828,330 145,986,417 285,912 Gross unrealized depreciation (7,833,301) (664,216) (15,227,097) (150,927) - ---------------------------------------------------------------------------------------------------------- Net unrealized appreciation 17,604,122 4,164,114 130,759,320 134,985 Capital loss carryforward (54,188,470) (1,683,856) (28,010,400) -- Undistributed ordinary income -- 184,135 -- 68,138 - ---------------------------------------------------------------------------------------------------------- Accumulated earnings (deficit) $ (36,584,348) $ 2,664,393 $ 102,748,920 $ 203,123 ==========================================================================================================
MICRO CAP MID CAP SMALL CAP GROWTH GROWTH GROWTH FUND FUND FUND - ---------------------------------------------------------------------------------------- Tax cost of portfolio investments $ 97,919,302 $ 993,428,565 $ 454,288,822 - ---------------------------------------------------------------------------------------- Gross unrealized appreciation 23,474,703 210,831,960 89,776,425 Gross unrealized depreciation (2,497,178) (21,242,066) (11,446,665) - ---------------------------------------------------------------------------------------- Net unrealized appreciation 20,977,525 189,589,894 78,329,760 Post-October losses -- -- (2,485,372) Capital loss carryforward (2,797,723) -- (1,422,586) Undistributed ordinary income -- 5,814,391 -- Undistributed long-term capital gains -- 27,993,060 -- - ---------------------------------------------------------------------------------------- Accumulated earnings $ 18,179,802 $ 223,397,345 $ 74,421,802 ========================================================================================
As of September 30, 2006, the Funds had the following gross unrealized appreciation, gross unrealized depreciation and Federal tax cost:
GROSS GROSS NET FEDERAL UNREALIZED UNREALIZED UNREALIZED TAX APPRECIATION DEPRECIATION APPRECIATION COST - --------------------------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ 396,591 $ (283,866) $ 112,725 $ 9,956,855 - --------------------------------------------------------------------------------------------------- Growth Opportunities Fund $ 4,672,449 $ (1,915,200) $ 2,757,249 $ 61,022,727 - --------------------------------------------------------------------------------------------------- Large Cap Core Equity Fund $ 11,060,017 $ (712,022) $ 10,347,995 $ 83,496,465 - --------------------------------------------------------------------------------------------------- Large Cap Growth Fund $ 103,307,506 $ (36,044,627) $ 67,262,879 $1,019,844,209 - --------------------------------------------------------------------------------------------------- Large Cap Value Fund $ 1,321,007 $ (902,696) $ 418,311 $ 27,173,610 - --------------------------------------------------------------------------------------------------- Micro Cap Growth Fund $ 17,646,028 $ (3,851,613) $ 13,794,415 $ 90,512,178 - --------------------------------------------------------------------------------------------------- Mid Cap Growth Fund $ 169,604,857 $ (24,430,612) $ 145,174,245 $1,062,792,882 - --------------------------------------------------------------------------------------------------- Small Cap Growth Fund $ 10,337,469 $ (3,323,933) $ 7,013,536 $ 87,142,138 - ---------------------------------------------------------------------------------------------------
The difference between the tax cost of portfolio investments and the financial statement cost is primarily due to wash sales. 39 Notes to Financial Statements (Continued) As of March 31, 2006, the Funds had the following capital loss carryforwards for federal income tax purposes. EXPIRES FUND AMOUNT MARCH 31, - --------------------------------------------------------------------- Growth Opportunities Fund $ 13,138,578 2010 21,975,058 2011 17,098,132 2012 1,976,702 2013 -------------- 54,188,470 -------------- Large Cap Core Equity Fund $ 99,480 2009 24,780 2010 414,728 2011 1,025,778 2012 11,425 2013 107,665 2014 -------------- 1,683,856 -------------- Large Cap Growth Fund* $ 12,837,110 2009 2,396,670 2010 7,655,647 2011 3,322,314 2012 1,798,659 2013 -------------- 28,010,400 -------------- Micro Cap Growth Fund $ 1,123,992 2013 1,673,731 2014 -------------- 2,797,723 -------------- Small Cap Growth Fund $ 1,422,586 2013 - --------------------------------------------------------------------- * A portion of these capital loss carryforwards may be limited under tax regulations. During the year ended March 31, 2006, the following funds utilized capital loss carryforwards: AMOUNT - --------------------------------------------------------- Growth Opportunities Fund $ 11,315,372 Large Cap Growth Fund 30,083,248 Small Cap Growth Fund 530,203 - --------------------------------------------------------- The capital loss carryforwards and Post-October losses may be utilized in future years to offset net realized capital gains, if any, prior to distributing such gains to shareholders. 40 Certain reclassifications, the result of permanent differences between financial statement and income tax reporting requirements have been made to the components of capital of the Funds. These reclassifications have no impact on the net assets or net asset value per share of the Funds and are designed to present the Fund's capital accounts on a tax basis. The following reclassification of net investment loss have been made to the following Funds for the year ended March 31, 2006: ACCUMULATED ACCUMULATED PAID-IN NET INVESTMENT NET REALIZED CAPITAL INCOME (LOSS) GAINS (LOSSES) - -------------------------------------------------------------------------------- Growth Opportunities Fund $ (1,474,605) $ 1,474,605 $ -- Large Cap Growth Fund (1,803,898) 1,803,898 -- Micro Cap Growth Fund (893,698) 893,698 -- Mid Cap Growth Fund -- 8,207,217 (8,207,217) Small Cap Growth Fund (2,478,495) 2,478,495 -- - -------------------------------------------------------------------------------- On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Funds' tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Management is in the process of determining the impact of adoption. 3. INVESTMENT TRANSACTIONS Investment transactions (excluding short-term investments and U.S. Government securities) were as follows for the six months ended September 30, 2006:
DIVERSIFIED SMALL CAP GROWTH LARGE CAP LARGE CAP GROWTH OPPORTUNITIES CORE EQUITY GROWTH FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------- Purchases of investment securities $ 10,466,232 $ 91,736,337 $ 66,652,282 $ 855,898,681 Proceeds from sales and maturities $ 572,631 $ 140,952,223 $ 10,151,805 $ 721,560,855 - --------------------------------------------------------------------------------------------------------------
LARGE CAP MICRO CAP MID CAP SMALL CAP VALUE GROWTH GROWTH GROWTH FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------- Purchases of investment securities $ 18,169,631 $ 51,413,727 $ 301,260,368 $ 448,256,396 Proceeds from sales and maturities $ 4,993,965 $ 53,613,609 $ 314,104,456 $ 702,988,984 - --------------------------------------------------------------------------------------------------------------
41 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- 4. TRANSACTIONS WITH AFFILIATES Certain officers of the Trust are also officers of Touchstone Advisors, Inc. (the Advisor), the Trust's investment advisor, Touchstone Securities, Inc. (the Underwriter), the Trust's principal underwriter, or Integrated Investment Services, Inc. (Integrated), formerly Integrated Fund Serivces, Inc., the Trust's administrator, transfer agent and accounting services agent. The Advisor, the Underwriter and Integrated are each wholly-owned, indirect subsidiaries of The Western and Southern Life Insurance Company. MANAGEMENT AGREEMENTS The Advisor provides general investment supervisory services for the Funds, under the terms of an Advisory Agreement. Under the Advisory Agreement, the Funds pay the Advisor a fee, which is computed and accrued daily and paid monthly, at an annual rate based on average daily net assets as follows:
- ---------------------------------------------------------------------------------------- Diversified Small Cap Growth Fund 1.05% - ---------------------------------------------------------------------------------------- Growth Opportunities Fund 1.00% on the first $50 million 0.90% on the next $50 million 0.80% on the next $100 million 0.75% of such assets in excess of $200 million - ---------------------------------------------------------------------------------------- Large Cap Core Equity Fund 0.65% on the first $100 million 0.60% on the next $100 million 0.55% on the next $100 million 0.50% of such assets in excess of $300 million - ---------------------------------------------------------------------------------------- Large Cap Growth Fund 0.75% on the first $200 million 0.70% on the next $800 million 0.65% of such assets in excess of $1 billion - ---------------------------------------------------------------------------------------- Large Cap Value Fund 0.75% - ---------------------------------------------------------------------------------------- Micro Cap Growth Fund 1.25% - ---------------------------------------------------------------------------------------- Mid Cap Growth Fund 0.80% - ---------------------------------------------------------------------------------------- Small Cap Growth Fund 1.25% - ----------------------------------------------------------------------------------------
During the six months ended September 30, 2006, the Advisor waived investment advisory fees and/or reimbursed expenses of the Funds as follows: INVESTMENT OTHER OPERATING ADVISORY EXPENSES FEES WAIVED REIMBURSED - -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ 6,911 $ 3,163 Large Cap Core Equity Fund $ -- $ 41,322 Large Cap Value Fund $ 12,552 $ 36,483 Micro Cap Growth Fund -- $ 13,876 Small Cap Growth Fund -- $ 42,269 - -------------------------------------------------------------------------------- The Advisor has retained various Sub-Advisors to manage the investments of the Funds under the terms of a Sub-Advisory Agreement. The Advisor (not the Funds) pays the Sub-Advisors a fee for these services. Fort Washington Investment Advisors, Inc. (Fort Washington), an affiliate of the Advisor, has been retained by the Advisor to manage the investments of the Diversified Small Cap Growth Fund. 42 Westfield Capital Management Company, LLC (Westfield) has been retained by the Advisor to manage the investments of the Growth Opportunities Fund. Todd Investment Advisors, Inc. (Todd), an affiliate of the Advisor, has been retained by the Advisor to manage the investments of the Large Cap Core Equity Fund. Navellier & Associates, Inc. (Navellier) has been retained by the Advisor to manage the investments of the Large Cap Growth Fund. JS Asset Management, LLC (JSAM) has been retained by the Advisor to manage the investments of the Large Cap Value Fund. Bjurman, Barry & Associates (Bjurman) has been retained by the Advisor to manage the investments of the Micro Cap Growth Fund. TCW Investment Management Company (TCW) and Westfield have been retained by the Advisor to manage the investments of the Mid Cap Growth Fund. Longwood Investment Advisors, Inc. (Longwood) and Bjurman have been retained by the Advisor to manage the investments of the Small Cap Growth Fund. EXPENSE LIMITATION AGREEMENT The Advisor has entered into an Expense Limitation Agreement to contractually limit operating expenses of the Large Cap Growth Fund. The maximum operating expense limit in any year with respect to the Fund is based on a percentage of the average daily net assets of the Fund. The Advisor has agreed to waive advisory fees and reimburse expenses in order to maintain expense limitations for the Fund as follows: 1.30% for Class A shares, 2.25% for Class B shares, 2.25% for Class C shares and 1.05% for Class I shares. These expense limitations shall remain in effect until March 31, 2007. SPONSOR AGREEMENT Pursuant to a Sponsor Agreement between the Advisor and the Trust, the Advisor has been retained to provide certain management and supervisory services to the Diversified Small Cap Growth Fund, Large Cap Core Equity Fund, Large Cap Value Fund, Micro Cap Growth Fund, Mid Cap Growth Fund and Small Cap Growth Fund in exchange for the payment of a sponsor fee by the Funds equal to an annual rate of 0.20% of a Fund's average daily net assets. The Advisor provides the Funds with general office facilities and oversees the provision of administrative/non-investment services to the Trust, including the provision of services to the Trust by the Trust's administrator and fund accounting agent, transfer agent and custodian, including: (i) the updating of corporate organizational documents, and the negotiation of contracts and fees with, and the monitoring and coordination of performance and billings of, the Trust's custodian and other independent contractors and agents; (ii) the preparation and filing of all documents required for compliance by the Trust with applicable laws and regulations, including registration statements, prospectuses, and statements of additional information, and semi-annual and annual reports to shareholders; (iii) reviewing, (including coordinating the preparing of, but not preparing) tax returns; (iv) preparing agendas and supporting documents for, and minutes of meetings of, the Trustees, committees of the Trustees, and preparation of notices, proxy statements and minutes of meetings of shareholders of the Trust or of one or more of the Funds; (v) the maintenance of books and records of the Trust; (vi) telephone coverage to respond to shareholder inquiries; (vii) the provision of monitoring reports and assistance regarding compliance with federal securities and tax laws including compliance with the 1940 Act and Subchapter M of the Internal Revenue Code of 1986, as amended; (viii) the dissemination of yield and other performance information to newspapers and tracking services, (ix) the preparation of annual renewals for fidelity bond and errors and omissions insurance coverage, (x) the development of a budget for the Trust, the establishment of rate of expense accruals and the arrangement of the payment of all fixed and management expenses and (xi) the determination of each Fund's net asset value and the provision of all other fund accounting services to the Funds. The Advisor also provides persons satisfactory to the Board of Trustees of the Trust to serve as officers of the Trust. Such officers, as well as certain other employees and Trustees of the Trust, may be directors, officers, or employees of the Advisor or its affiliates. 43 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- Under the Sponsor Agreement, the Advisor has agreed to waive its fees and reimburse expenses in order to limit each Fund's annual expenses as follows: FUND CLASS A CLASS B CLASS C CLASS I - -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund 1.40% -- -- 1.15% Large Cap Core Equity Fund 1.15% -- 1.90% -- Large Cap Value Fund 1.35% -- 2.10% -- Micro Cap Growth Fund 1.95% -- 2.70% 1.70% Mid Cap Growth Fund 1.50% 2.25% 2.25% -- Small Cap Growth Fund 1.95% 2.70% 2.70% 1.55% - -------------------------------------------------------------------------------- The fee waivers and expense reimbursements will remain in effect until at least March 31, 2007 for all Funds except the Diversified Small Cap Growth Fund. The fee waivers and expense reimbursements for the Diversified Small Cap Growth Fund will remain in effect until at least August 1, 2007. During the six months ended September 30, 2006, the Advisor waived Sponsor fees as follows: Diversified Small Cap Growth Fund $ 1,316 Large Cap Core Equity Fund $ 40,120 Large Cap Value Fund $ 18,976 Micro Cap Growth Fund $ 76,705 Mid Cap Growth Fund $256,564 Small Cap Growth Fund $116,095 - -------------------------------------------------------------------------------- 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. 44 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 of each Fund. 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 the following from underwriting and broker commissions on the sale of shares of the following Funds for the six months ended September 30, 2006: Growth Opportunities Fund $ 7,447 Large Cap Core Equity Fund $ 2,671 Large Cap Growth Fund $ 112,020 Large Cap Value Fund $ 17,933 Micro Cap Growth Fund $ 25,268 Mid Cap Growth Fund $ 74,703 Small Cap Growth Fund $ 7,948 In addition, the Underwriter collected the following contingent deferred sales charges on the redemption of Class B and Class C shares of the following Funds during the six months ended September 30, 2006: Growth Opportunities Fund $ 5,391 Large Cap Core Equity Fund $ 3,604 Large Cap Growth Fund $ 82,599 Large Cap Value Fund $ 426 Micro Cap Growth Fund $ 3,449 Mid Cap Growth Fund $ 97,429 Small Cap Growth Fund $ 12,930 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 Advisor or the Underwriter 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 Advisor or the Underwriter 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. 45 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - -------------------------------------------------------------------------------- COMPLIANCE SERVICES AGREEMENT Under the terms of the Compliance Services Agreement between the Trust and Integrated, Integrated provides certain compliance services to the Trust for a fee, including developing and assisting in implementing a compliance program for Integrated on behalf of the Funds and providing administrative support services to the Funds' Compliance Program and Chief Compliance Officer. AFFILIATED TRANSACTIONS Each Fund may invest in the Touchstone Institutional Money Market Fund, subject to compliance with the several conditions set forth in an order received by the Trust from the Securities and Exchange Commission. To the extent that the other Touchstone Funds are invested in the Touchstone Institutional Money Market Fund, the Advisor and Administrator will be paid additional fees from the Touchstone Institutional Money Market Fund that will not be waived or reimbursed. A summary of each Fund's investment in the Touchstone Institutional Money Market Fund, if any, for the six months ended September 30, 2006, is noted below:
SHARE ACTIVITY ------------------------------------------------------- BALANCE BALANCE VALUE 03/31/06 PURCHASES SALES 09/30/06 DIVIDENDS 09/30/06 - ------------------------------------------------------------------------------------------------------------------------ TOUCHSTONE DIVERSIFIED SMALL CAP GROWTH FUND Touchstone Institutional Money Market Fund -- 351,744 (278,087) 73,657 $ 453 $ 73,657 - ------------------------------------------------------------------------------------------------------------------------ TOUCHSTONE GROWTH OPPORTUNITIES FUND Touchstone Institutional Money Market Fund -- 38,209,743 (37,593,752) 615,991 $ 14,591 $ 615,991 - ------------------------------------------------------------------------------------------------------------------------ TOUCHSTONE LARGE CAP CORE EQUITY FUND Touchstone Institutional Money Market Fund 751,420 10,516,457 (9,742,046) 1,525,831 $ 40,668 $ 1,525,831 - ------------------------------------------------------------------------------------------------------------------------ TOUCHSTONE LARGE CAP GROWTH FUND Touchstone Institutional Money Market Fund 34,295,318 394,596,288 (428,231,456) 660,150 $ 539,125 $ 660,150 - ------------------------------------------------------------------------------------------------------------------------ TOUCHSTONE LARGE CAP VALUE FUND Touchstone Institutional Money Market Fund 1,080,290 9,128,725 (9,233,384) 975,631 $ 30,399 $ 975,631 - ------------------------------------------------------------------------------------------------------------------------ TOUCHSTONE MICRO CAP GROWTH FUND Touchstone Institutional Money Market Fund 1,178,273 20,592,387 (21,298,901) 471,759 $ 29,517 $ 471,759 - ------------------------------------------------------------------------------------------------------------------------ TOUCHSTONE MID CAP GROWTH FUND Touchstone Institutional Money Market Fund 23,334,941 199,081,937 (187,167,714) 35,249,164 $ 784,345 $ 35,249,164 - ------------------------------------------------------------------------------------------------------------------------ TOUCHSTONE SMALL CAP GROWTH FUND Touchstone Institutional Money Market Fund 18,705,475 222,692,293 (240,562,167) 835,601 $ 418,644 $ 835,601 - ------------------------------------------------------------------------------------------------------------------------
46 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:
DIVERSIFIED GROWTH SMALL CAP OPPORTUNITIES GROWTH FUND FUND - ---------------------------------------------------------------------------------------------------- PERIOD SIX MONTHS ENDED ENDED YEAR SEPT. 30, SEPT. 30, ENDED 2006 (A) 2006 MARCH 31, (UNAUDITED) (UNAUDITED) 2006 - ---------------------------------------------------------------------------------------------------- CLASS A Shares sold 500,250 263,246 1,048,184 Shares redeemed -- (2,472,332) (1,042,828) - ---------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding 500,250 (2,209,086) 5,356 Shares outstanding, beginning of period -- 4,543,382 4,538,026 - ---------------------------------------------------------------------------------------------------- Shares outstanding, end of period 500,250 2,334,296 4,543,382 ==================================================================================================== CLASS B Shares sold -- 4,287 11,088 Shares redeemed -- (24,032) (33,222) - ---------------------------------------------------------------------------------------------------- Net decrease in shares outstanding -- (19,745) (22,134) Shares outstanding, beginning of period -- 158,405 180,539 - ---------------------------------------------------------------------------------------------------- Shares outstanding, end of period -- 138,660 158,405 ==================================================================================================== CLASS C Shares sold -- 30,115 95,020 Shares redeemed -- (233,980) (280,735) - ---------------------------------------------------------------------------------------------------- Net decrease in shares outstanding -- (203,865) (185,715) Shares outstanding, beginning of period -- 1,088,135 1,273,850 - ---------------------------------------------------------------------------------------------------- Shares outstanding, end of period -- 884,270 1,088,135 ==================================================================================================== CLASS I Shares sold 500,250 -- -- Shares redeemed -- -- -- - ---------------------------------------------------------------------------------------------------- Net increase in shares outstanding 500,250 -- -- Shares outstanding, beginning of period -- -- -- - ---------------------------------------------------------------------------------------------------- Shares outstanding, end of period 500,250 -- -- ====================================================================================================
(A) Represents the period from commencement of operations (September 6, 2006) through September 30, 2006. 47 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - --------------------------------------------------------------------------------
LARGE CAP LARGE CAP CORE EQUITY GROWTH FUND FUND - ------------------------------------------------------------------------------------------------------------------------ SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2006 MARCH 31, 2006 MARCH 31, (UNAUDITED) 2006 (UNAUDITED) 2006 - ------------------------------------------------------------------------------------------------------------------------ CLASS A Shares sold 136,116 1,536,234 11,769,541 26,450,482 Shares reinvested 25,541 1,791 -- -- Shares issued in connection with acquisition 7,087,773 -- -- -- Shares redeemed (1,350,567) (73,004) (10,190,535) (4,230,877) - ------------------------------------------------------------------------------------------------------------------------ Net increase in shares outstanding 5,898,863 1,465,021 1,579,006 22,219,605 Shares outstanding, beginning of period 2,449,226 984,205 36,036,098 13,816,493 - ------------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period 8,348,089 2,449,226 37,615,104 36,036,098 ======================================================================================================================== CLASS B Shares sold 10,252 14,503 212,890 776,573 Shares reinvested 563 106 -- -- Shares redeemed (176,272) (25,936) (123,250) (99,555) - ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in shares outstanding (165,457) (11,327) 89,640 677,018 Shares outstanding, beginning of period 165,457 176,784 1,216,714 539,696 - ------------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period -- 165,457 1,306,354 1,216,714 ======================================================================================================================== CLASS C Shares sold 47,591 49,650 2,527,600 6,193,819 Shares reinvested 416 70 -- -- Shares issued in connection with acquisition 167,611 -- -- -- Shares redeemed (27,007) (92,093) (958,420) (410,287) - ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in shares outstanding 188,611 (42,373) 1,569,180 5,783,532 Shares outstanding, beginning of period 134,623 176,996 8,252,209 2,468,677 - ------------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period 323,234 134,623 9,821,389 8,252,209 ======================================================================================================================== CLASS I Shares sold -- -- 1,460,644 1,200,669 Shares redeemed -- -- (658,702) (522,724) - ------------------------------------------------------------------------------------------------------------------------ Net increase in shares outstanding -- -- 801,942 677,945 Shares outstanding, beginning of period -- -- 2,856,916 2,178,971 - ------------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period -- -- 3,658,858 2,856,916 ========================================================================================================================
48
LARGE CAP VALUE MICRO CAP GROWTH FUND FUND - ----------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED PERIOD ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2006 MARCH 31, 2006 MARCH 31, (UNAUDITED) 2006(A) (UNAUDITED) 2006 - ----------------------------------------------------------------------------------------------------------------------- CLASS A Shares sold 790,011 1,146,707 603,281 2,621,786 Shares redeemed (53,074) -- (839,818) (962,416) - ----------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding 736,937 1,146,707 (236,537) 1,659,370 Shares outstanding, beginning of period 1,146,707 -- 4,585,506 2,926,136 - ----------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period 1,883,644 1,146,707 4,348,969 4,585,506 ======================================================================================================================= CLASS C Shares sold 584,847 55,071 373,117 1,263,948 Shares redeemed (4,992) -- (331,894) (239,256) - ----------------------------------------------------------------------------------------------------------------------- Net increase in shares outstanding 579,855 55,071 41,223 1,024,692 Shares outstanding, beginning of period 55,071 -- 2,498,343 1,473,651 - ----------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period 634,926 55,071 2,539,566 2,498,343 ======================================================================================================================= CLASS I Shares sold -- -- 22,638 50,305 Shares redeemed -- -- (4,773) (952) - ----------------------------------------------------------------------------------------------------------------------- Net increase in shares outstanding -- -- 17,865 49,353 Shares outstanding, beginning of period -- -- 49,363 10 - ----------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period -- -- 67,228 49,363 =======================================================================================================================
(A) Represents the period from commencement of operations (March 6, 2006) through March 31, 2006. 49 - -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) - --------------------------------------------------------------------------------
MID CAP GROWTH SMALL CAP GROWTH FUND FUND - ------------------------------------------------------------------------------------------------------------------------ SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2006 MARCH 31, 2006 MARCH 31, (UNAUDITED) 2006 (UNAUDITED) 2006 - ------------------------------------------------------------------------------------------------------------------------ CLASS A Shares sold 4,054,329 8,058,028 420,713 1,014,623 Shares reinvested -- 1,818,658 -- -- Shares redeemed (3,926,442) (10,087,013) (683,080) (833,383) - ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in shares outstanding 127,887 (210,327) (262,367) 181,240 Shares outstanding, beginning of period 26,624,181 26,834,508 2,651,102 2,469,862 - ------------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period 26,752,068 26,624,181 2,388,735 2,651,102 ======================================================================================================================== CLASS B Shares sold 112,899 263,600 8,044 33,538 Shares reinvested -- 263,051 -- -- Shares redeemed (373,478) (512,011) (94,601) (79,806) - ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in shares outstanding (260,579) 14,640 (86,557) (46,268) Shares outstanding, beginning of period 3,701,137 3,686,497 547,813 594,081 - ------------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period 3,440,558 3,701,137 461,256 547,813 ======================================================================================================================== CLASS C Shares sold 1,411,580 3,167,553 74,429 242,061 Shares reinvested -- 875,756 -- -- Shares redeemed (1,468,353) (3,407,041) (349,201) (329,173) - ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in shares outstanding (56,773) 636,268 (274,772) (87,112) Shares outstanding, beginning of period 15,239,049 14,602,781 1,164,203 1,251,315 - ------------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period 15,182,276 15,239,049 889,431 1,164,203 ======================================================================================================================== CLASS I Shares sold -- -- 6,058,633 14,841,702 Shares redeemed -- -- (23,627,869) (1,303,361) - ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in shares outstanding -- -- (17,569,236) 13,538,341 Shares outstanding, beginning of period -- -- 18,950,781 5,412,440 - ------------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period -- -- 1,381,545 18,950,781 ========================================================================================================================
6. CUSTODY OFFSET ARRANGEMENT For financial reporting purposes for the six months ended September 30, 2006, Custodian fees reduced by the Custodian were $24,672, $10,162 and $24,912 for the Large Cap Growth Fund, Micro Cap Growth Fund and the Small Cap Growth Fund, respectively. There was no effect on net investment income. 7. COMMITMENTS AND CONTINGENCIES The Funds indemnify the Trust's Officers and Trustees for certain liabilities that might arise from their performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. 50 8. ACQUISITIONS On August 7, 2006, a Special Meeting of Shareholders was held to approve or disapprove an Agreement and Plan of Reorganization providing for the transfer of the assets and liabilities of the Value Plus Fund to the Large Cap Core Equity Fund in exchange for shares of the Large Cap Core Equity Fund and the subsequent liquidation of the Value Plus Fund. The Agreement and Plan of Reorganization was approved. In conjunction with this acquisition, Class B shares of the Touchstone Large Cap Core Equity Fund were exchanged for Class A shares of the Touchstone Large Cap Core Equity Fund. The merger was approved as follows: NUMBER OF VOTES - -------------------------------------------------------------------------------- FOR AGAINST ABSTAIN 4,429,186 5,466 5,646 The following is a summary of shares outstanding, net assets, net asset value per share, unrealized appreciation (depreciation) and realized gain (loss) immediately before and after the reorganization:
BEFORE AFTER REORGANIZATION REORGANIZATION - ------------------------------------------------------------------------------------------- LARGE CAP LARGE CAP VALUE PLUS CORE EQUITY CORE EQUITY FUND FUND FUND - ------------------------------------------------------------------------------------------- Shares: Class A $ 5,011,592 $ 2,476,201 $ 8,346,327 Class B $ 72,300 $ 162,531 $ -- Class C $ 155,427 $ 126,416 $ 294,026 Net Assets: Class A $ 57,316,122 $ 25,210,063 $ 82,526,185 Class B $ 789,845 $ 1,638,631 $ -- Class C $ 1,695,765 $ 1,280,059 $ 2,975,824 Net Asset Value: Class A $ 11.44 $ 10.18 $ 10.18 Class B $ 10.92 $ 10.08 $ -- Class C $ 10.91 $ 10.13 $ 10.13 Unrealized Appreciation (Depreciation) $ 2,542,809 $ 3,630,641 $ 6,173,450 Accumulated Net Realized Gain (Loss) $ (1,247,261) $ (1,806,407) $ (3,053,668)
51 - -------------------------------------------------------------------------------- Portfolio of Investments Diversified Small Cap Growth Fund - September 30, 2006 (Unaudited) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 98.0% SHARES VALUE - -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 17.4% BJ'S Restaurants, Inc.* 5,540 $ 121,935 Bright Horizons Family Solutions, Inc.* 2,740 114,340 Chipotle Mexican Grill, Inc.* 2,205 109,522 Claire's Stores, Inc. 4,075 118,827 Coldwater Creek, Inc.* 4,420 127,119 DSW, Inc.* 3,825 120,488 Guitar Center, Inc.* 2,410 107,679 LIFE TIME FITNESS, Inc.* 2,615 121,048 Morningstar, Inc.* 3,280 121,032 Penn National Gaming, Inc.* 3,210 117,229 PetMed Express, Inc.* 9,440 98,554 Phillips-Van Heusen Corp. 3,075 128,443 Quiksilver, Inc.* 9,460 114,939 Sonic Corp.* 5,410 122,320 Steiner Leisure Ltd.* 2,800 117,740 - -------------------------------------------------------------------------------- 1,761,215 - -------------------------------------------------------------------------------- CONSUMER STAPLES -- 1.6% Flower Foods, Inc. 2,060 55,373 The Andersons, Inc. 1,335 45,590 Wild Oats Market, Inc.* 3,470 56,110 - -------------------------------------------------------------------------------- 157,073 - -------------------------------------------------------------------------------- ENERGY -- 7.1% Cabot Oil & Gas Corp. 1,645 78,845 Global Industries, Ltd.* 7,759 120,730 Helix Energy Solutions Group, Inc.* 1,265 42,251 Helmerich & Payne, Inc. 4,350 100,181 SEACOR Holdings, Inc.* 405 33,413 Superior Energy Services, Inc.* 1,320 34,663 Tessera Technologies, Inc.* 3,835 133,380 Trico Marine Services, Inc.* 2,325 78,469 W-H Energy Services, Inc.* 2,260 93,722 - -------------------------------------------------------------------------------- 715,654 - -------------------------------------------------------------------------------- FINANCIAL -- 7.7% Affiliated Managers Group, Inc.* 1,190 119,131 Boston Private Financial Holdings, Inc. 2,310 64,403 East West Bancorp, Inc. 3,860 152,894 Jefferies Group, Inc. 4,355 124,118 LaSalle Hotel Properties 3,390 146,923 Portfolio Recovery Associates, Inc.* 3,815 167,363 - -------------------------------------------------------------------------------- 774,832 - -------------------------------------------------------------------------------- 52 MARKET COMMON STOCKS -- 98.0% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- HEALTH CARE -- 23.0% Amylin Pharmaceuticals, Inc.* 2,640 $ 116,345 ArthroCare Corp.* 3,145 147,375 Community Health Services, Inc.* 765 28,573 CV Therapeutics* 6,365 70,906 ev3, Inc.* 10,720 182,347 Genomic Health, Inc.* 14,365 207,718 Gen-Probe, Inc.* 2,690 126,134 Hologic, Inc.* 4,790 208,461 Intuitive Surgical, Inc.* 1,390 146,576 Kyphon, Inc.* 5,010 187,474 LCA-Vision, Inc. 2,855 117,940 PerkinElmer, Inc. 5,390 102,033 Pharmion Corp.* 7,595 163,672 Progenics Pharmaceuticals, Inc.* 5,155 120,936 Radiation Therapy Services, Inc.* 5,845 170,849 Sierra Health Services, Inc.* 595 22,515 Ventana Medical Systems, Inc.* 4,915 200,679 - -------------------------------------------------------------------------------- 2,320,533 - -------------------------------------------------------------------------------- INDUSTRIALS -- 15.1% AAR CORP.* 5,238 124,874 Astec Industries, Inc.* 3,045 76,886 Bucyrus International, Inc. 2,810 119,200 Crane Co. 3,340 139,613 EnPro Industries, Inc.* 4,300 129,258 Forward Air Corp. 3,835 126,900 Graco, Inc. 2,530 98,822 Hub Group, Inc.* 4,195 95,562 Labor Ready, Inc.* 4,615 73,517 NCI Building Systems, Inc.* 2,185 127,101 Wabtec Corp. 4,455 120,864 Watson Wyatt Worldwide, Inc. 1,635 66,904 WESCO International, Inc.* 2,330 135,210 Woodward Governor Co. 2,735 91,732 - -------------------------------------------------------------------------------- 1,526,443 - -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 24.9% Alexion Pharmaceuticals, Inc.* 4,080 138,638 Amphenol Corp.* 2,530 156,683 Arris Group, Inc.* 11,150 127,779 Avnet, Inc.* 6,145 120,565 Digital Insight Corp.* 3,570 104,672 Digital River, Inc.* 3,155 161,284 53 - -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund (Continued) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 98.0% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 24.9% (CONTINUED) eCollege.com* 2,730 $ 43,653 Emulex Corp.* 2,510 45,607 Euronet Worldwide, Inc.* 2,710 66,531 F5 Networks, Inc.* 1,510 81,117 Hyperion Solutions* 1,465 50,513 j2 Global Communications, Inc.* 4,765 129,465 MEMC Electronic Materials, Inc.* 3,585 131,319 Microsemi Corp.* 5,030 94,816 NETGEAR, Inc.* 3,995 82,257 Nuance Communications, Inc.* 7,070 57,762 Parametric Technology Corp.* 7,684 134,163 Secure Computing Corp.* 11,025 69,788 Sonic Solutions* 6,415 97,765 Transaction Systems Architects, Inc.* 2,810 96,439 Ultra Clean Holdings, Inc.* 12,435 132,806 ValueClick, Inc.* 8,950 165,932 WebEx Communications, Inc.* 4,235 165,250 Western Digital Corp.* 3,760 68,056 - -------------------------------------------------------------------------------- 2,522,860 - -------------------------------------------------------------------------------- MATERIALS -- 1.2% Brush Engineered Materials, Inc.* 2,975 73,988 Reliance Steel & Aluminum Co. 1,320 42,425 - -------------------------------------------------------------------------------- 116,413 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 9,895,023 - -------------------------------------------------------------------------------- EXCHANGE TRADED FUNDS -- 1.0% iShares Russell 2000 Growth Index Fund 1,395 $ 100,900 - -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 0.7% Touchstone Institutional Money Market Fund^ 73,657 $ 73,657 - -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 99.7% (Cost $9,956,855) $ 10,069,580 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.3% 30,651 - -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 10,100,231 ================================================================================ * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. See accompanying notes to financial statements. 54 - -------------------------------------------------------------------------------- Portfolio of Investments Growth Opportunities Fund - September 30, 2006 (Unaudited) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 99.3% SHARES VALUE - -------------------------------------------------------------------------------- PHARMACEUTICALS -- 13.4% Elan Corp. plc* 122,800 $ 1,888,664 Genzyme Corp.* 19,600 1,322,412 Novartis AG 16,000 935,040 Santarus, Inc.* 100,000 742,000 Schering-Plough Corp. 46,300 1,022,767 Shire PLC - ADR 19,800 977,922 Wyeth 32,100 1,631,964 - -------------------------------------------------------------------------------- 8,520,769 - -------------------------------------------------------------------------------- COMPUTER SOFTWARE & PROCESSING -- 11.2% Alliance Data Systems Corp.* 16,200 894,078 Amdocs Ltd.* 25,200 997,920 Business Objects S.A. - ADR* 37,700 1,285,193 CheckFree Corp.* 28,900 1,194,148 Cognos, Inc.* 42,000 1,533,000 Symantec Corp.* 57,000 1,212,960 - -------------------------------------------------------------------------------- 7,117,299 - -------------------------------------------------------------------------------- SEMICONDUCTORS -- 9.9% Atmel Corp.* 167,200 1,009,888 Integrated Device Technology, Inc.* 63,000 1,011,780 Maxim Integrated Products, Inc. 30,600 858,942 Power Integrations, Inc.* 18,500 362,600 Qimonda AG - ADR* 127,600 2,169,200 Xilinx, Inc. 40,100 880,195 - -------------------------------------------------------------------------------- 6,292,605 - -------------------------------------------------------------------------------- OIL & GAS -- 9.7% BJ Services Co. 26,700 804,471 ConocoPhillips 13,200 785,796 Hess Corp. 13,000 538,460 Marathon Oil Corp. 10,000 769,000 National-Oilwell Varco, Inc.* 14,700 860,685 Occidental Petroleum Corp. 17,200 827,492 Smith International, Inc. 20,400 791,520 Suncor Energy, Inc. 11,200 806,960 - -------------------------------------------------------------------------------- 6,184,384 - -------------------------------------------------------------------------------- INDUSTRIAL -- 8.5% American Standard Companies, Inc. 21,800 914,946 General Electric Co. 26,600 938,980 Hexcel Corp.* 58,600 829,190 IDEX Corp. 20,200 869,610 55 - -------------------------------------------------------------------------------- Growth Opportunities Fund (Continued) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 99.3% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- INDUSTRIAL -- 8.5% (CONTINUED) ITT Corp. 18,100 $ 927,987 Phelps Dodge Corp. 11,200 948,640 - -------------------------------------------------------------------------------- 5,429,353 - -------------------------------------------------------------------------------- FINANCIAL SERVICES -- 6.1% Allstate Corp. 10,400 652,392 American Express Co. 17,000 953,360 T. Rowe Price Group, Inc. 24,500 1,172,325 The Charles Schwab Corp. 60,200 1,077,580 - -------------------------------------------------------------------------------- 3,855,657 - -------------------------------------------------------------------------------- BIOTECHNOLOGY -- 4.8% Celgene Corp.* 70,200 3,039,660 - -------------------------------------------------------------------------------- RETAIL -- 4.3% O'Reilly Automotive, Inc.* 30,200 1,002,942 Tiffany & Co. 28,000 929,600 Walgreen Co. 18,500 821,215 - -------------------------------------------------------------------------------- 2,753,757 - -------------------------------------------------------------------------------- HEALTH CARE -- 2.8% Biogen Idec, Inc.* 39,400 1,760,392 - -------------------------------------------------------------------------------- TRANSPORTATION -- 2.6% Canadian Pacific Railway Ltd. 18,500 920,190 Norfolk Southern Corp. 17,100 753,255 - -------------------------------------------------------------------------------- 1,673,445 - -------------------------------------------------------------------------------- COAL -- 2.0% Arch Coal, Inc. 24,400 705,404 Massey Energy Co. 26,200 548,628 - -------------------------------------------------------------------------------- 1,254,032 - -------------------------------------------------------------------------------- IT CONSULTING -- 1.7% Satyam Computer Services Ltd. - ADR 27,500 1,063,975 - -------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT -- 1.6% Polycom, Inc.* 41,800 1,025,354 - -------------------------------------------------------------------------------- CONSUMER PRODUCTS -- 1.6% Newell Rubbermaid, Inc. 35,600 1,008,192 - -------------------------------------------------------------------------------- 56 MARKET COMMON STOCKS -- 99.3% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- TECHNOLOGY -- 1.6% Comcast Corp.* 27,000 $ 994,950 - -------------------------------------------------------------------------------- HEALTH TECHNOLOGY -- 1.5% Gilead Sciences, Inc.* 14,300 982,410 - -------------------------------------------------------------------------------- CHEMICALS -- 1.5% Praxair, Inc. 16,400 970,224 - -------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 1.5% Corning, Inc.* 39,400 961,754 - -------------------------------------------------------------------------------- MATERIALS - AGRICULTURAL/CHEMICALS -- 1.5% Monsanto Co. 20,400 959,004 - -------------------------------------------------------------------------------- HOTELS & MOTELS -- 1.5% Hilton Hotels Corp. 33,900 944,115 - -------------------------------------------------------------------------------- MEDIA/ENTERTAINMENT -- 1.4% The Walt Disney Co. 29,700 918,027 - -------------------------------------------------------------------------------- ELECTRONICS -- 1.4% AMETEK, Inc. 20,600 897,130 - -------------------------------------------------------------------------------- HEALTH CARE PROVIDERS -- 1.4% Community Health Systems, Inc.* 23,900 892,665 - -------------------------------------------------------------------------------- DISTRIBUTION -- 1.3% MSC Industrial Direct Co., Inc. 20,900 851,466 - -------------------------------------------------------------------------------- HEALTH CARE DISTRIBUTORS -- 1.3% Omnicare, Inc. 18,600 801,474 - -------------------------------------------------------------------------------- COURIER SERVICES -- 1.2% United Parcel Service, Inc. - Class B 10,900 784,146 - -------------------------------------------------------------------------------- BUSINESS SERVICES -- 1.1% Yahoo!, Inc.* 26,800 677,504 - -------------------------------------------------------------------------------- AEROSPACE & DEFENSE -- 0.9% DRS Technologies, Inc. 12,600 550,242 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 63,163,985 - -------------------------------------------------------------------------------- 57 - -------------------------------------------------------------------------------- Growth Opportunities Fund (Continued) - -------------------------------------------------------------------------------- MARKET SHARES VALUE - ------------------------------------------------------------------------------- INVESTMENT FUNDS -- 1.0% Touchstone Institutional Money Market Fund^ 615,991 $ 615,991 - ------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 100.3% (Cost $61,022,727) $ 63,779,976 LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.3%) (207,186) - ------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 63,572,790 =============================================================================== * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. ADR - American Depository Receipt See accompanying notes to financial statements. 58 - -------------------------------------------------------------------------------- Portfolio of Investments Large Cap Core Equity Fund - September 30, 2006 (Unaudited) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 98.0% SHARES VALUE - -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 20.4% Cisco Systems, Inc.* 165,080 $ 3,796,839 Computer Sciences Corp.* 57,014 2,800,528 Hewlett-Packard Co. 91,249 3,347,926 Intel Corp. 149,344 3,072,006 International Business Machines Corp. (IBM) 37,170 3,045,710 Microsoft Corp. 116,715 3,189,821 - -------------------------------------------------------------------------------- 19,252,830 - -------------------------------------------------------------------------------- FINANCIAL SERVICES -- 16.4% Allstate Corp. 51,403 3,224,509 American Express Co. 55,245 3,098,140 Bank of America Corp. 58,491 3,133,363 Citigroup, Inc. 59,839 2,972,203 Wells Fargo 82,548 2,986,587 - -------------------------------------------------------------------------------- 15,414,802 - -------------------------------------------------------------------------------- INDUSTRIAL -- 15.9% 3M Co. 40,583 3,020,187 Caterpillar, Inc. 41,680 2,742,544 General Electric Co. 87,197 3,078,054 Honeywell International, Inc. 74,789 3,058,870 United Technologies Corp. 48,727 3,086,856 - -------------------------------------------------------------------------------- 14,986,511 - -------------------------------------------------------------------------------- CONSUMER STAPLES -- 12.8% Altria Group, Inc. 36,720 2,810,916 Kimberly-Clark Corp. 47,371 3,096,169 Procter & Gamble Co. 48,795 3,024,314 Wal-Mart Stores, Inc. 63,802 3,146,714 - -------------------------------------------------------------------------------- 12,078,113 - -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 9.9% Best Buy Co., Inc. 61,671 3,303,099 Home Depot, Inc. 79,557 2,885,532 The Walt Disney Co. 101,698 3,143,485 - -------------------------------------------------------------------------------- 9,332,116 - -------------------------------------------------------------------------------- HEALTH CARE -- 9.3% Cardinal Health, Inc. 43,254 2,843,518 Johnson & Johnson 45,329 2,943,665 WellPoint, Inc.* 38,157 2,939,997 - -------------------------------------------------------------------------------- 8,727,180 - -------------------------------------------------------------------------------- 59 - -------------------------------------------------------------------------------- Large Cap Core Equity Fund (Continued) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 98.0% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICE -- 3.5% AT&T, Inc. 100,584 $ 3,275,015 - -------------------------------------------------------------------------------- FINANCIAL -- 3.4% JP Morgan Chase & Co. 68,927 3,236,812 - -------------------------------------------------------------------------------- MATERIALS -- 3.3% Du Pont (E.I.) DE Nemours 72,001 3,084,523 - -------------------------------------------------------------------------------- ENERGY -- 3.1% Exxon Mobil Corp. 43,677 2,930,727 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 92,318,629 - -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 1.6% Touchstone Institutional Money Market Fund^ 1,525,831 $ 1,525,831 - -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 99.6% (Cost $83,412,663) $ 93,844,460 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.4% 411,042 - -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 94,255,502 ================================================================================ * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. See accompanying notes to financial statements. 60 - -------------------------------------------------------------------------------- Portfolio of Investments Large Cap Growth Fund - September 30, 2006 (Unaudited) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 100.2% SHARES VALUE - -------------------------------------------------------------------------------- ELECTRONIC TECHNOLOGY -- 26.9% Apple Computer, Inc.* 356,590 $ 27,468,128 Cognizant Technology Solutions Corp.* 280,365 20,763,832 Garmin Ltd. 497,300 24,258,294 International Game Technology 510,070 21,167,905 Intuit, Inc.* 894,095 28,691,509 Lockheed Martin Corp. 450,920 38,806,176 NVIDIA Corp.* 1,093,280 32,350,155 Qwest Communications International, Inc.* 2,485,810 21,676,263 Raytheon Co. 430,405 20,663,744 SanDisk Corp.* 392,034 20,989,500 The Boeing Co. 452,465 35,676,865 - -------------------------------------------------------------------------------- 292,512,371 - -------------------------------------------------------------------------------- FINANCE/INSURANCE -- 15.1% Chicago Mercantile Exchange Holdings, Inc. 79,715 38,123,699 E*TRADE Financial Corp.* 1,534,875 36,714,210 Lehman Brothers Holdings 471,200 34,802,832 Principal Financial Group, Inc. 540,975 29,364,123 State Street Corp. 404,755 25,256,712 - -------------------------------------------------------------------------------- 164,261,576 - -------------------------------------------------------------------------------- HEALTH TECHNOLOGY -- 9.8% AstraZeneca PLC ADR 392,620 24,538,750 Celgene Corp.* 623,000 26,975,900 Gilead Sciences, Inc.* 480,915 33,038,860 Glaxosmithkline PLC - ADR 399,665 21,274,168 - -------------------------------------------------------------------------------- 105,827,678 - -------------------------------------------------------------------------------- CONSUMER PRODUCTS -- 9.5% Archer-Daniels-Midland Co. 683,875 25,905,185 Colgate-Palmolive Co. 384,450 23,874,345 Ecolab, Inc. 693,290 29,686,677 Reynolds American, Inc. 378,380 23,448,209 - -------------------------------------------------------------------------------- 102,914,416 - -------------------------------------------------------------------------------- HEALTH SERVICES -- 6.1% Caremark Rx, Inc. 575,605 32,619,535 Express Scripts, Inc.* 150,960 11,395,970 Quest Diagnostics, Inc. 354,310 21,669,600 - -------------------------------------------------------------------------------- 65,685,105 - -------------------------------------------------------------------------------- RETAIL TRADE -- 5.5% Office Depot, Inc.* 734,165 29,146,351 Starbucks Corp.* 879,900 29,960,595 - -------------------------------------------------------------------------------- 59,106,946 - -------------------------------------------------------------------------------- 61 - -------------------------------------------------------------------------------- Large Cap Growth Fund (Continued) - --------------------------------------------------------------------------------
MARKET COMMON STOCKS -- 100.2% (CONTINUED) SHARES VALUE - ------------------------------------------------------------------------------------ ENERGY MINERALS -- 5.1% Anglo American PLC ADR 1,237,490 $ 26,111,039 Schlumberger Ltd. 476,375 29,549,541 - ------------------------------------------------------------------------------------ 55,660,580 - ------------------------------------------------------------------------------------ NON-ENERGY MINERALS -- 4.7% Cameco Corp. 721,100 26,370,627 Cemex S.A. - ADR* 830,414 24,978,853 - ------------------------------------------------------------------------------------ 51,349,480 - ------------------------------------------------------------------------------------ COMMUNICATION -- 4.3% America Movil S.A. - ADR 1,178,180 46,384,947 - ------------------------------------------------------------------------------------ TRANSPORTATION -- 4.2% CSX Corp. 803,310 26,372,667 Expeditors International of Washington, Inc. 428,055 19,082,692 - ------------------------------------------------------------------------------------ 45,455,359 - ------------------------------------------------------------------------------------ PROCESS INDUSTRIES -- 3.8% Nucor Corporation 325,425 16,105,283 Praxair, Inc. 425,030 25,144,775 - ------------------------------------------------------------------------------------ 41,250,058 - ------------------------------------------------------------------------------------ CONSUMER, NON-CYCLICAL -- 2.8% PepsiCo, Inc. 459,135 29,963,150 - ------------------------------------------------------------------------------------ TECHNOLOGY SERVICES -- 2.4% Google, Inc.* 64,880 26,075,272 - ------------------------------------------------------------------------------------ TOTAL COMMON STOCKS $ 1,086,446,938 - ------------------------------------------------------------------------------------ INVESTMENT FUNDS -- 0.1% Touchstone Institutional Money Market Fund^ 660,150 $ 660,150 - ------------------------------------------------------------------------------------ TOTAL INVESTMENT SECURITIES -- 100.3% (Cost $1,018,635,454) $ 1,087,107,088 LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.3%) (3,526,586) - ------------------------------------------------------------------------------------ NET ASSETS -- 100.0% $ 1,083,580,502 ====================================================================================
* Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. ADR American Depository Receipt. See accompanying notes to financial statements. 62 - -------------------------------------------------------------------------------- Portfolio of Investments Large Cap Value Fund - September 30, 2006 (Unaudited) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 90.0% SHARES VALUE - -------------------------------------------------------------------------------- FINANCIALS & INSURERS -- 17.7% Countrywide Financial Corp. 36,400 $ 1,275,456 Fannie Mae 26,400 1,476,024 Freddie Mac 22,500 1,492,425 MGIC Investment Corp. 6,100 365,817 - -------------------------------------------------------------------------------- 4,609,722 - -------------------------------------------------------------------------------- BANKS -- 14.5% Citigroup, Inc. 24,700 1,226,849 JP Morgan Chase & Co. 25,600 1,202,176 Washington Mutual, Inc. 31,600 1,373,652 - -------------------------------------------------------------------------------- 3,802,677 - -------------------------------------------------------------------------------- TECHNOLOGY -- 8.3% AU Optronics Corp. - ADR 43,672 622,326 Avnet, Inc.* 34,400 674,928 BearingPoint, Inc.* 2,500 19,650 Dell, Inc.* 20,200 461,368 Sanmina-SCI Corp.* 108,200 404,668 - -------------------------------------------------------------------------------- 2,182,940 - -------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT -- 8.2% Alcatel - ADR* + 100,400 1,222,872 Nortel Networks Corp.* 407,100 936,330 - -------------------------------------------------------------------------------- 2,159,202 - -------------------------------------------------------------------------------- HEALTH CARE -- 7.0% Sanofi-Aventis - ADR 22,800 1,013,916 Tenet Healthcare Corp.* 102,100 831,094 - -------------------------------------------------------------------------------- 1,845,010 - -------------------------------------------------------------------------------- INDUSTRIALS -- 6.6% General Electric Co. 9,100 321,230 Honeywell International, Inc. 4,400 179,960 Tyco International Ltd. 43,400 1,214,766 - -------------------------------------------------------------------------------- 1,715,956 - -------------------------------------------------------------------------------- OTHER ENERGY -- 5.5% Mirant Corp.* 29,400 802,914 Reliant Energy, Inc.* 52,700 648,737 - -------------------------------------------------------------------------------- 1,451,651 - -------------------------------------------------------------------------------- 63 - -------------------------------------------------------------------------------- Large Cap Value Fund (Continued) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 90.0% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- AUTOS & TRANSPORTATION -- 5.4% AMR Corp.* 15,700 $ 363,298 Lear Corp.* 31,000 641,700 UAL Corp.* 15,000 398,550 - -------------------------------------------------------------------------------- 1,403,548 - -------------------------------------------------------------------------------- CONSUMER STAPLES -- 5.0% Altria Group, Inc. 2,700 206,685 Safeway, Inc. 9,500 288,325 Tyson Foods, Inc. 51,400 816,232 - -------------------------------------------------------------------------------- 1,311,242 - -------------------------------------------------------------------------------- TELECOMMUNICATIONS -- 4.3% Embarq Corp. 8,300 401,471 Sprint Nextel Corp. 41,700 715,155 - -------------------------------------------------------------------------------- 1,116,626 - -------------------------------------------------------------------------------- MATERIALS & PROCESSING -- 2.9% Abitibi-Consolidated, Inc. - ADR* + 306,800 757,796 - -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 2.3% Federated Department Stores, Inc. 11,600 501,236 Gannett Co., Inc. 1,900 107,977 - -------------------------------------------------------------------------------- 609,213 - -------------------------------------------------------------------------------- PRODUCER DURABLES -- 2.3% D.R. Horton, Inc. 25,100 601,145 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 23,566,728 - -------------------------------------------------------------------------------- EXCHANGE TRADED FUNDS -- 4.1% iShares Russell 1000 Value Index Fund 14,100 $ 1,086,828 - -------------------------------------------------------------------------------- DEPOSITORY RECEIPT -- 1.2% SPDR Trust Series 1 2,300 $ 307,119 - -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 10.0% Touchstone Institutional Money Market Fund^** 2,631,246 $ 2,631,246 - -------------------------------------------------------------------------------- 64 TOTAL INVESTMENT SECURITIES -- 105.3% (Cost $27,173,610) $ 27,591,921 LIABILITIES IN EXCESS OF OTHER ASSETS -- (5.3%) (1,396,602) - ------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 26,195,319 =============================================================================== * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2006, was $1,570,948. ** As of September 30, 2006, $1,655,615 represents collateral for securities loaned. ADR American Depository Receipt. See accompanying notes to financial statements. 65 - -------------------------------------------------------------------------------- Portfolio of Investments Micro Cap Growth Fund - September 30, 2006 (Unaudited) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 99.7% SHARES VALUE - -------------------------------------------------------------------------------- ELECTRONIC TECHNOLOGY -- 29.6% Actuate Corp.* 159,600 $ 705,432 Aehr Test Systems* 25,700 190,180 Anaren, Inc.* 43,800 922,866 Art Technology Group, Inc.* 385,100 985,856 Bitstream, Inc.* 69,300 646,569 BTU International, Inc.* + 20,400 245,412 Captaris, Inc.* 28,100 164,666 Comtech Group, Inc.* + 76,700 1,148,199 CyberSource Corp.* 95,000 1,123,850 Datalink Corp.* 122,100 1,129,425 Frequency Electronics, Inc.* 55,200 715,944 Gilat Satellite Networks Ltd.* 44,800 407,680 Hauppauge Digital, Inc.* 35,200 189,728 Hi-Shear Technology Corp. 48,400 389,620 Internet Commerce Corp.* + 133,000 521,360 KVH Industries, Inc.* 69,500 886,125 LMI Aerospace, Inc.* 40,300 745,550 Micronetics, Inc.* + 11,800 91,922 Mikron Infrared, Inc.* 71,900 872,866 Netopia, Inc.* 72,000 403,920 PC-Tel, Inc.* 74,200 779,100 Pemstar, Inc.* + 172,600 629,990 Pericom Semiconductor Corp.* 57,300 558,675 Radyne Corp.* 8,700 106,488 Rainmaker Systems, Inc.* 57,800 330,616 Silicom Ltd.* 78,800 539,780 SimpleTech, Inc.* 105,100 957,461 Sirenza Microdevices, Inc.* + 59,000 466,100 Smith Micro Software, Inc.* + 155,300 2,233,213 Stellent, Inc. 64,800 702,432 Stratex Networks, Inc.* 274,200 1,217,448 TeleCommunication Systems, Inc.* + 32,000 86,080 TESSCO Technologies, Inc.* 32,902 969,293 TTI Team Telecom International Ltd.* + 32,900 116,137 Ultra Clean Holdings, Inc.* 73,800 788,184 Video Display Corp.* + 51,450 385,361 VSE Corp. 21,700 653,170 - -------------------------------------------------------------------------------- 24,006,698 - -------------------------------------------------------------------------------- PRODUCER MANUFACTURING -- 15.0% AAON, Inc. 5,600 127,736 Amerigon, Inc.* 171,500 1,474,900 Ampco-Pittsburgh Corp. 12,600 389,718 AZZ, Inc.* 6,000 219,000 66 MARKET COMMON STOCKS -- 99.7% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- PRODUCER MANUFACTURING -- 15.0% (CONTINUED) Dynamic Materials Corp. + 40,000 $ 1,296,800 Fuel-Tech N.V.* 82,850 1,233,637 Insteel Industries, Inc. 49,000 973,630 Kadant, Inc.* 30,400 746,624 K-Tron International, Inc.* 19,800 1,251,756 Smith & Wesson Holding Corp.* + 160,450 2,227,046 Spartan Motors, Inc. 66,900 1,259,727 Tat Technologies, Ltd. 68,000 941,120 - -------------------------------------------------------------------------------- 12,141,694 - -------------------------------------------------------------------------------- HEALTH CARE -- 12.2% Air Methods Corp.* 37,700 889,720 Avigen, Inc.* 86,100 445,137 Bovie Medical Corp.* + 111,900 787,776 Continucare Corp.* + 49,000 122,500 Encore Medical Corp.* 70,800 446,040 First Consulting Group, Inc.* 89,000 867,750 HealthStream, Inc.* 128,100 444,507 HMS Holdings Corp.* 108,700 1,371,794 IntegraMed America, Inc.* 59,625 565,841 Medical Action Industires, Inc.* 32,900 884,681 Mesa Laboratories, Inc. 24,900 427,035 New Brunswick Scientific Co., Inc.* 54,700 428,301 Sun Healthcare Group, Inc.* 70,600 758,244 ZEVEX International, Inc.* 65,500 588,845 Zoll Medical Corp.* 25,700 922,373 - -------------------------------------------------------------------------------- 9,950,544 - -------------------------------------------------------------------------------- COMMERCIAL/INDUSTRIAL SERVICES -- 12.0% ADDvantage Technologies Group, Inc.* 24,200 101,640 Allis-Chambers Energy, Inc.* 9,400 137,616 American Ecology Corp. 7,800 153,972 Concur Technologies, Inc.* + 54,900 798,795 Electronic Clearing House, Inc.* 14,200 255,600 Home Solutions of America, Inc.* + 134,600 737,608 Matrix Service Co.* + 64,500 844,305 Medical Staffing Network Holdings, Inc.* 23,600 146,792 Perficient, Inc.* 129,800 2,035,264 Standard Parking Corp.* 11,400 357,732 SumTotal Systems, Inc.* 145,400 1,083,230 The Goldfield Corp.* + 258,900 277,023 TheStreet.com, Inc. 201,500 2,143,960 Thomas Group, Inc. 70,300 721,981 - -------------------------------------------------------------------------------- 9,795,518 - -------------------------------------------------------------------------------- 67 - -------------------------------------------------------------------------------- Micro Cap Growth Fund (Continued) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 99.7% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- FINANCE -- 6.6% Affirmative Insurance Holdings, Inc. 25,500 $ 373,575 American Physicians Capital, Inc.* 25,000 1,209,500 EMC Insurance Group, Inc. + 14,000 403,760 International Assets Holding Corp.* + 28,700 670,145 James River Group, Inc.* 12,100 355,135 Marlin Business Services, Inc.* 28,100 587,290 Mercer Insurance Group, Inc. 28,700 741,608 Preferred Bank 8,700 521,739 U.S. Global Investors, Inc.* + 21,200 520,884 - -------------------------------------------------------------------------------- 5,383,636 - -------------------------------------------------------------------------------- RETAIL TRADE -- 5.6% Books-A-Million, Inc. + 14,000 249,900 Casual Male Retail Group, Inc.* + 85,200 1,169,796 Medifast, Inc.* 8,350 72,478 Mothers Work, Inc.* + 16,500 793,980 PC Connection, Inc.* 69,700 805,035 United Retail Group, Inc.* 50,100 915,828 Zones, Inc.* 54,200 559,344 - -------------------------------------------------------------------------------- 4,566,361 - -------------------------------------------------------------------------------- CONSUMER NON-DURABLES -- 5.4% Jones Soda Co.* + 91,400 818,030 National Beverage Corp. + 64,400 767,004 Steven Madden Ltd. 46,950 1,842,318 True Religion Apparel, Inc.* + 44,800 945,728 - -------------------------------------------------------------------------------- 4,373,080 - -------------------------------------------------------------------------------- BASIC MATERIALS -- 5.2% Cuisine Solutions, Inc.* 5,400 30,996 Culp, Inc.* 11,700 64,935 MGP Ingredients, Inc. + 80,500 1,712,235 Multi-Color Corp. 28,100 807,875 PW Eagle, Inc. + 28,300 849,283 Wheeling-Pittsburgh Corp.* + 43,800 749,418 - -------------------------------------------------------------------------------- 4,214,742 - -------------------------------------------------------------------------------- CONSUMER SERVICES -- 4.2% American Medical Alert Corp.* 80,100 442,953 Interstate Hotels & Resorts, Inc.* 140,000 1,509,200 McCormick & Schmick's Seafood Restaurants, Inc.* 54,600 1,227,954 New Frontier Media, Inc.* 30,800 254,100 - -------------------------------------------------------------------------------- 3,434,207 - -------------------------------------------------------------------------------- 68 MARKET COMMON STOCKS -- 99.7% (CONTINUED) SHARES VALUE - ------------------------------------------------------------------------------- ENERGY -- 2.5% American Oil & Gas, Inc.* + 95,400 $ 488,448 Dawson Geophysical Co.* + 20,900 620,730 ICO, Inc.* 107,600 712,312 TGC Industries, Inc.* 16,400 134,480 Xanser Corp.* 16,300 95,355 - ------------------------------------------------------------------------------- 2,051,325 - ------------------------------------------------------------------------------- UTILITIES -- 0.6% Eschelon Telecom, Inc.* 29,600 502,904 - ------------------------------------------------------------------------------- CONSUMER DURABLES -- 0.4% U.S. Home Systems, Inc.* + 34,000 321,640 - ------------------------------------------------------------------------------- TRANSPORTATION -- 0.4% P.A.M. Transportation Services, Inc.* 11,600 290,696 - ------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 81,033,045 - ------------------------------------------------------------------------------- INVESTMENT FUNDS -- 28.6% Touchstone Institutional Money Market Fund^** 23,273,548 $ 23,273,548 - ------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 128.3% (Cost $90,472,924) $ 104,306,593 LIABILITIES IN EXCESS OF OTHER ASSETS -- (28.3%) (22,983,418) - ------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 81,323,175 =============================================================================== * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2006, was $21,729,587. ** As of September 30, 2006, $22,801,789 represents collateral for securities loaned. See accompanying notes to financial statements. 69 - -------------------------------------------------------------------------------- Portfolio of Investments Mid Cap Growth Fund - September 30, 2006 (Unaudited) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 97.4% SHARES VALUE - -------------------------------------------------------------------------------- SEMICONDUCTORS -- 12.8% Analog Devices, Inc. 441,300 $ 12,969,807 Atmel Corp.* 2,029,300 12,256,972 Cypress Semiconductor Corp.* + 363,000 6,450,510 Integrated Device Technology, Inc.* 321,300 5,160,078 International Rectifier Corp.* 209,800 7,309,432 LSI Logic Corp.* + 983,600 8,085,192 Micron Technology, Inc.* 1,078,700 18,769,379 National Semiconductor Corp. 319,935 7,528,071 Novellus Systems, Inc.* 430,600 11,910,396 NVIDIA Corp.* 439,200 12,995,928 Qimonda AG - ADR* 1,010,900 17,185,300 Teradyne, Inc.* 879,250 11,570,930 - -------------------------------------------------------------------------------- 132,191,995 - -------------------------------------------------------------------------------- PHARMACEUTICALS -- 5.0% Elan Corp. PLC - ADR* + 1,111,800 17,099,483 Hospira, Inc.* 262,940 10,062,714 Shire Pharmaceuticals Group PLC - ADR 328,700 16,234,493 Valeant Pharmaceuticals International 402,200 7,955,516 - -------------------------------------------------------------------------------- 51,352,206 - -------------------------------------------------------------------------------- OIL & GAS -- 4.9% BJ Services Co. 297,700 8,969,701 Cameron International Corp.* 94,700 4,574,957 Chesapeake Energy Corp. + 292,300 8,470,854 Hess Corp. + 204,100 8,453,822 Murphy Oil Corp. 100,620 4,784,481 Smith International, Inc. 286,800 11,127,839 Weatherford International Ltd.* 96,800 4,038,496 - -------------------------------------------------------------------------------- 50,420,150 - -------------------------------------------------------------------------------- FINANCIAL SERVICES -- 4.7% E*TRADE Financial Corp.* 341,800 8,175,856 Federated Investors, Inc. - Class B 315,800 10,677,198 Investors Financial Services Corp. + 185,800 8,004,264 Marshall & Llsley Corp. + 209,600 10,098,528 T. Rowe Price Group, Inc. 241,800 11,570,130 - -------------------------------------------------------------------------------- 48,525,976 - -------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT -- 4.6% Cytyc Corp.* 337,100 8,252,208 Fisher Scientific International, Inc.* 207,600 16,242,624 Thermo Electron Corp.* + 592,250 23,293,193 - -------------------------------------------------------------------------------- 47,788,025 - -------------------------------------------------------------------------------- 70 MARKET COMMON STOCKS -- 97.4% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- BANKING -- 4.5% Commerce Bancorp, Inc. + 456,730 $ 16,766,557 New York Community Bancorp, Inc. + 110,007 1,801,915 People's Bank 249,150 9,868,832 SVB Financial Group* 175,767 7,846,239 Zions Bancorporation 128,400 10,247,604 - -------------------------------------------------------------------------------- 46,531,147 - -------------------------------------------------------------------------------- HEALTH CARE PROVIDERS -- 4.4% Community Health Systems, Inc.* 240,400 8,978,940 Coventry Health Care, Inc.* 195,150 10,054,128 HEALTHSOUTH Corp.* + 1,584,300 7,842,285 Manor Care, Inc. 201,800 10,550,104 Triad Hospitals, Inc.* 175,700 7,736,071 - -------------------------------------------------------------------------------- 45,161,528 - -------------------------------------------------------------------------------- INSURANCE -- 3.6% Arthur J. Gallagher & Co. + 342,400 9,131,808 Assurant, Inc. 182,580 9,751,598 Old Republic International Corp. 338,750 7,503,313 Willis Group Holdings Ltd. 266,830 10,139,539 - -------------------------------------------------------------------------------- 36,526,258 - -------------------------------------------------------------------------------- APPAREL RETAILERS -- 3.4% Federated Department Stores, Inc. 300,474 12,983,482 Gap, Inc. 612,500 11,606,875 Jones Apparel Group, Inc. 333,280 10,811,603 - -------------------------------------------------------------------------------- 35,401,960 - -------------------------------------------------------------------------------- BIOTECHNOLOGY -- 3.4% Celgene Corp.* 556,700 24,105,110 Invitrogen Corp.* 169,500 10,747,995 - -------------------------------------------------------------------------------- 34,853,105 - -------------------------------------------------------------------------------- COMPUTERS & INFORMATION -- 3.3% Business Objects S.A. - ADR* + 392,000 13,363,280 Diebold, Inc. + 215,110 9,363,738 McAfee, Inc.* 441,700 10,803,982 - -------------------------------------------------------------------------------- 33,531,000 - -------------------------------------------------------------------------------- ELECTRONICS -- 3.1% AMETEK, Inc. 325,100 14,158,105 Tektronix, Inc. 198,270 5,735,951 Vishay Intertechnology, Inc.* + 833,370 11,700,515 - -------------------------------------------------------------------------------- 31,594,571 - -------------------------------------------------------------------------------- 71 - -------------------------------------------------------------------------------- Mid Cap Growth Fund (Continued) - --------------------------------------------------------------------------------
MARKET COMMON STOCKS -- 97.4% (CONTINUED) SHARES VALUE - --------------------------------------------------------------------------------------- MEDICAL SUPPLIES -- 3.1% Bausch & Lomb, Inc. + 211,800 $ 10,617,534 Beckman Coulter, Inc. 109,100 6,279,796 Edwards Lifesciences Corp.* 133,650 6,226,754 Hillenbrand Industries, Inc. 148,200 8,444,436 - --------------------------------------------------------------------------------------- 31,568,520 - --------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY - DATA PROCESSING SERVICES -- 2.8% Alliance Data Systems Corp.* 204,900 11,308,431 Alliant Techsystems, Inc.* + 103,850 8,418,081 CheckFree Corp.* 220,500 9,111,060 - --------------------------------------------------------------------------------------- 28,837,572 - --------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT -- 2.7% ADC Telecommunications, Inc.* 647,200 9,708,000 Comverse Technology, Inc.* 273,400 5,861,696 Polycom, Inc.* 505,400 12,397,462 - --------------------------------------------------------------------------------------- 27,967,158 - --------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY - APPLICATION SOFTWARE -- 2.4% Amdocs Ltd.* 254,000 10,058,400 Cognos, Inc.* 391,400 14,286,100 - --------------------------------------------------------------------------------------- 24,344,500 - --------------------------------------------------------------------------------------- RESTAURANTS -- 1.8% Panera Bread Co.* + 137,400 8,003,550 The Cheesecake Factory, Inc.* 402,100 10,933,099 - --------------------------------------------------------------------------------------- 18,936,649 - --------------------------------------------------------------------------------------- HEALTH CARE DISTRIBUTORS -- 1.8% Omnicare, Inc. + 423,400 18,244,306 - --------------------------------------------------------------------------------------- CHEMICALS -- 1.7% Cytec Industries, Inc. 132,310 7,355,113 International Flavors & Fragrances, Inc. 253,000 10,003,620 - --------------------------------------------------------------------------------------- 17,358,733 - --------------------------------------------------------------------------------------- HEAVY MACHINERY -- 1.7% Dover Corp. 178,090 8,448,590 Pentair, Inc. 333,600 8,736,984 - --------------------------------------------------------------------------------------- 17,185,574 - --------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - SPECIALTY STORES -- 1.6% Dick's Sporting Goods, Inc.* + 266,800 12,144,736 Tiffany & Co. + 142,000 4,714,400 - --------------------------------------------------------------------------------------- 16,859,136 - ---------------------------------------------------------------------------------------
72
MARKET COMMON STOCKS -- 97.4% (CONTINUED) SHARES VALUE - ------------------------------------------------------------------------------------- INDUSTRIALS - INDUSTRIAL MACHINERY -- 1.6% IDEX Corp. 207,600 $ 8,937,180 ITT Industries, Inc. 147,500 7,562,325 - ------------------------------------------------------------------------------------- 16,499,505 - ------------------------------------------------------------------------------------- TRANSPORTATION -- 1.5% Canadian Pacific Railway Ltd. + 192,000 9,550,080 Kirby Corp.* 174,800 5,476,484 - ------------------------------------------------------------------------------------- 15,026,564 - ------------------------------------------------------------------------------------- INDUSTRIAL -- 1.4% SPX Corp. 156,740 8,376,186 Teleflex, Inc. 110,797 6,164,745 - ------------------------------------------------------------------------------------- 14,540,931 - ------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - ELECTRONICS RETAIL -- 1.4% GameStop Corp.* + 303,200 14,032,096 - ------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - HOME FURNISHING RETAIL -- 1.3% Leggett & Platt, Inc. 230,900 5,779,427 Williams-Sonoma, Inc. 248,300 8,042,437 - ------------------------------------------------------------------------------------- 13,821,864 - ------------------------------------------------------------------------------------- RETAILERS -- 1.0% Regis Corp. 288,600 10,346,310 - ------------------------------------------------------------------------------------- MATERIALS - AGRICULTURAL/CHEMICALS -- 1.0% Monsanto Co. 213,000 10,013,130 - ------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - AUTOMOTIVE RETAIL -- 0.9% O'Reilly Automotive, Inc.* 289,600 9,617,616 - ------------------------------------------------------------------------------------- DISTRIBUTION -- 0.9% MSC Industrial Direct Co., Inc. 235,200 9,582,048 - ------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS -- 0.9% Stanley Works + 188,180 9,380,773 - ------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 0.9% Sun Microsystems* 1,856,900 9,228,793 - ------------------------------------------------------------------------------------- EMPLOYMENT SERVICES -- 0.9% Monster Worldwide, Inc.* 254,000 9,192,260 - ------------------------------------------------------------------------------------- HEALTH CARE -- 0.9% Varian, Inc.* 192,480 8,829,058 - -------------------------------------------------------------------------------------
73 - -------------------------------------------------------------------------------- Mid Cap Growth Fund (Continued) - --------------------------------------------------------------------------------
MARKET COMMON STOCKS -- 97.4% (CONTINUED) SHARES VALUE - ------------------------------------------------------------------------------------------ COAL -- 0.8% CONSOL Energy, Inc. 245,800 $ 7,799,234 - ------------------------------------------------------------------------------------------ HOTELS & MOTELS -- 0.7% Gaylord Entertainment Co.* 158,400 6,945,840 - ------------------------------------------------------------------------------------------ COMPUTER SOFTWARE & PROCESSING -- 0.7% Activision, Inc.* 443,465 6,696,322 - ------------------------------------------------------------------------------------------ CONSUMER STAPLES -- 0.6% Molson Coors Brewing Co. 95,000 6,545,500 - ------------------------------------------------------------------------------------------ INDUSTRIALS - BUILDING PRODUCTS -- 0.6% American Standard Companies, Inc. 155,700 6,534,729 - ------------------------------------------------------------------------------------------ MEDIA - BROADCASTING & PUBLISHING -- 0.6% Dow Jones & Company, Inc. + 178,430 5,984,542 - ------------------------------------------------------------------------------------------ IT CONSULTING -- 0.6% Satyam Computer Services Ltd. - ADR + 152,100 5,884,749 - ------------------------------------------------------------------------------------------ INFORMATION TECHNOLOGY - ELECTRONIC EQUIPMENT -- 0.5% Mettler-Toledo International, Inc.* 76,200 5,040,630 - ------------------------------------------------------------------------------------------ AEROSPACE & DEFENSE -- 0.4% DRS Technologies, Inc. 97,700 4,266,559 - ------------------------------------------------------------------------------------------ TOTAL COMMON STOCKS $ 1,000,989,122 - ------------------------------------------------------------------------------------------ INVESTMENT FUNDS -- 20.1% Touchstone Institutional Money Market Fund^** 206,978,005 $ 206,978,005 - ------------------------------------------------------------------------------------------ TOTAL INVESTMENT SECURITIES -- 117.5% (Cost $1,059,039,706) $ 1,207,967,127 LIABILITIES IN EXCESS OF OTHER ASSETS -- (17.5%) (179,702,883) - ------------------------------------------------------------------------------------------ NET ASSETS -- 100.0% $ 1,028,264,244 ==========================================================================================
* Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2006, was $166,892,505. ** As of September 30, 2006, $171,728,841 represents collateral for securities loaned. ADR American Depository Receipt. See accompanying notes to financial statements. 74 - -------------------------------------------------------------------------------- Portfolio of Investments Small Cap Growth Fund - September 30, 2006 (Unaudited) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 99.7% SHARES VALUE - -------------------------------------------------------------------------------- ELECTRONIC TECHNOLOGY -- 23.2% Actuate Corp.* 141,153 $ 623,896 Aehr Test Systems* 17,300 128,020 Anaren, Inc.* 18,000 379,260 Art Technology Group, Inc.* 143,512 367,391 CyberSource Corp.* 36,700 434,161 Datalink Corp.* + 37,400 345,950 Frequency Electronics 34,500 447,465 Hauppage Digital, Inc.* 6,100 32,879 Hi-Shear Technology Corp. 14,400 115,920 Informatica Corp.* 76,050 1,033,520 Internet Commerce Corp.* + 94,900 372,008 Intevac, Inc.* 130,000 2,183,999 Keane, Inc.* 190,650 2,747,266 Mikron Infrared, Inc.* 36,600 444,324 Opsware, Inc.* 176,750 1,592,518 Parametric Technology Corp.* 73,450 1,282,437 Rainmaker Systems, Inc.* 25,400 145,288 Sirenza Microdevices, Inc.* + 22,400 176,960 Smith Micro Software, Inc.* + 24,000 345,120 Stellent, Inc. 141,450 1,533,318 Stratex Networks, Inc.* 117,000 519,480 TESSCO Technologies, Inc.* 21,400 630,444 TTI Team Telecom International Ltd.* 24,400 86,132 Ultra Clean Holdings, Inc.* 35,900 383,412 Xyratex Ltd.* 109,750 2,091,834 - -------------------------------------------------------------------------------- 18,443,002 - -------------------------------------------------------------------------------- HEALTH CARE -- 19.9% Avigen, Inc.* 69,900 361,383 Bio-Reference Laboratories, Inc.* 75,000 1,683,750 Continucare Corp.* + 32,600 81,500 Enzon Pharmaceuticals, Inc.* + 94,700 781,275 First Consulting Group, Inc.* 46,100 449,475 Herbalife Ltd. - ADR* 80,600 3,053,127 HMS Holdings Corp.* 31,800 401,316 Hologic, Inc.* 25,000 1,088,000 IntegraMed America, Inc.* 42,575 404,037 Kyphon, Inc.* 39,150 1,464,993 Medical Action Industries, Inc.* 16,700 449,063 Mesa Laboratories, Inc. 16,800 288,120 New Brunswick Scientific Co., Inc.* 51,300 401,679 Sun Healthcare Group, Inc.* 28,900 310,386 Viasys Healthcare, Inc.* 102,750 2,798,910 75 - -------------------------------------------------------------------------------- Small Cap Growth Fund (Continued) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 99.7% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- HEALTH CARE -- 19.9% (CONTINUED) WellCare Health Plans, Inc.* 25,100 $ 1,421,413 Zoll Medical Corp.* 10,050 360,695 - -------------------------------------------------------------------------------- 15,799,122 - -------------------------------------------------------------------------------- COMMERCIAL/INDUSTRIAL SERVICES -- 15.9% Asyst Technologies, Inc.* 225,250 1,522,690 Axcelis Technologies, Inc.* 370,000 2,612,200 Concur Technologies, Inc.* + 31,600 459,780 Electronic Clearing House, Inc.* 17,000 306,000 Home Solutions of America, Inc.* + 30,800 168,784 Ixia* 41,800 372,438 Matrix Service Co.* + 31,300 409,717 Perficient, Inc.* 35,385 554,837 Standard Parking Corp.* 10,800 338,904 SumTotal Systems, Inc.* 80,300 598,235 Teledyne Technologies, Inc.* 69,850 2,766,060 TheStreet.com, Inc. + 38,200 406,448 Thomas Group, Inc. 15,300 157,131 Varian, Inc.* 42,600 1,954,062 - -------------------------------------------------------------------------------- 12,627,286 - -------------------------------------------------------------------------------- PRODUCER MANUFACTURING -- 7.5% AAON, Inc. 7,800 177,918 Amerigon, Inc.* 33,400 287,240 Dynamic Materials Corp. 11,750 380,935 Fuel-Tech N.V.* 37,800 562,842 Insteel Industries, Inc. 12,100 240,427 Kadant, Inc.* 17,700 434,712 K-Tron International, Inc.* 7,100 448,862 Smith & Wesson Holding Corp.* + 45,000 624,600 Tat Technologies Ltd. 28,000 387,520 Watts Water Technologies, Inc. 76,600 2,432,816 - -------------------------------------------------------------------------------- 5,977,872 - -------------------------------------------------------------------------------- ENERGY -- 6.8% American Oil & Gas, Inc.* + 67,100 343,552 ICO, Inc.* 73,600 487,232 InterOil Corp.* + 179,800 3,403,614 PetroQuest Energy, Inc.* 29,000 302,470 TETRA Technologies, Inc.* 35,150 849,224 TGC Industries, Inc.* 4,300 35,260 - -------------------------------------------------------------------------------- 5,421,352 - -------------------------------------------------------------------------------- 76 MARKET COMMON STOCKS -- 99.7% (CONTINUED) SHARES VALUE - -------------------------------------------------------------------------------- COMMUNICATIONS -- 6.3% Arris Group, Inc.* 230,850 $ 2,645,541 SBA Communications Corp. - Class A* 98,450 2,395,289 - -------------------------------------------------------------------------------- 5,040,830 - -------------------------------------------------------------------------------- FINANCIAL SERVICES -- 3.8% Investment Technology Group, Inc.* 39,850 1,783,288 Thomas Weisel Partners Group, Inc.* 68,300 1,096,215 U.S. Global Investors, Inc.* 6,700 164,619 - -------------------------------------------------------------------------------- 3,044,122 - -------------------------------------------------------------------------------- FINANCE -- 3.7% American Physicians Capital, Inc.* 8,100 391,878 EMC Insurance Group, Inc. 10,800 311,472 International Assets Holding Corp.* + 20,700 483,345 James River Group, Inc.* 15,100 443,185 Marlin Business Services, Inc.* 19,000 397,100 Mercer Insurance Group, Inc. 19,000 490,960 Preferred Bank 6,600 395,802 - -------------------------------------------------------------------------------- 2,913,742 - -------------------------------------------------------------------------------- RETAIL TRADE -- 2.7% Books-A-Million, Inc. + 19,000 339,150 Casual Male Retail Group, Inc.* + 34,500 473,685 Mothers Work, Inc.* + 11,000 529,320 United Retail Group, Inc.* 23,900 436,892 Zones, Inc.* 37,200 383,904 - -------------------------------------------------------------------------------- 2,162,951 - -------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUST -- 2.7% Redwood Trust, Inc. + 42,250 2,128,133 - -------------------------------------------------------------------------------- CONSUMER NON-DURABLES -- 2.0% Jones Soda Co.* + 47,400 424,230 National Beverage Corp. + 23,100 275,121 Steven Madden Ltd.* 11,300 443,412 True Religion Apparel, Inc.* + 19,700 415,867 - -------------------------------------------------------------------------------- 1,558,630 - -------------------------------------------------------------------------------- BASIC MATERIALS -- 1.7% MGP Ingredients, Inc. + 18,800 399,876 Multi-Color Corp. 12,900 370,875 PW Eagle, Inc. + 9,600 288,096 Wheeling-Pittsburgh Corp.* + 18,200 311,402 - -------------------------------------------------------------------------------- 1,370,249 - -------------------------------------------------------------------------------- 77 - -------------------------------------------------------------------------------- Small Cap Growth Fund (Continued) - -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 99.7% (CONTINUED) SHARES VALUE - ------------------------------------------------------------------------------- CONSUMER SERVICES -- 1.1% American Medical Alert Corp.* 83,100 $ 459,543 Interstate Hotels & Resorts, Inc.* 38,500 415,030 - ------------------------------------------------------------------------------- 874,573 - ------------------------------------------------------------------------------- TECHNOLOGY -- 0.9% Atheros Communications* + 40,000 725,200 - ------------------------------------------------------------------------------- UTILITIES -- 0.6% Eschelon Telecom, Inc.* 26,100 443,439 - ------------------------------------------------------------------------------- CONSUMER DURABLES -- 0.5% U.S. Home Systems, Inc.* + 37,900 358,534 - ------------------------------------------------------------------------------- TRANSPORTATION -- 0.4% P.A.M. Transportation Services, Inc.* 12,100 303,226 - ------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 79,192,263 - ------------------------------------------------------------------------------- INVESTMENT FUNDS -- 18.8% Touchstone Institutional Money Market Fund^** 14,963,411 $ 14,963,411 - ------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 118.5% (Cost $86,313,918) $ 94,155,674 LIABILITIES IN EXCESS OF OTHER ASSETS -- (18.5%) (14,674,216) - ------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 79,481,458 =============================================================================== * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2006, was $13,961,795. ** As of September 30, 2006, $14,127,810 represents collateral for securities loaned. ADR American Depository Receipt. See accompanying notes to financial statements. 78 - -------------------------------------------------------------------------------- Other Items (Unaudited) - -------------------------------------------------------------------------------- PROXY VOTING The Sub-Advisors are responsible for exercising the voting rights associated with the securities purchased and held by the Funds. A description of the policies and procedures that the Sub-Advisors use in fulfilling this responsibility and information regarding how those proxies were voted during the twelve month period ended June 30 are available without charge upon request by calling toll free 1.800.543.0407. These items are also available on the Securities and Exchange Commission's (the Commission) Website at http://www.sec.gov. QUARTERLY PORTFOLIO DISCLOSURE The Trust files a complete listing of portfolio holdings for each Fund as of the end of the first and third quarters of each fiscal year on Form N-Q. The complete listing (i) is available on the Commission's Website; (ii) may be reviewed and copied at the Commission's Public Reference Room in Washington, DC; and (iii) will be made available to shareholders upon request by calling 1.800.543.0407. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. SUBSEQUENT EVENT A Special Meeting of the Board of Trustees of the Trust was held on October 12, 2006, during which the following items were approved by the Board: (i) Effective November 20, 2006, Class I shares of the Large Cap Growth Fund, the Small Cap Growth Fund, the Micro Cap Growth Fund and the Diversified Small Cap Growth Fund be redesignated as Class Y shares and the minimum initial investment will be $250,000; (ii) Termination of the Sponsor Agreements between Touchstone Advisors, Inc. and the Trust effective December 31 ,2006; (iii) Termination of the Administration and Accounting Services Agreements between the Trust and Integrated effective December 31, 2006; (iv) Amended Expense Limitation Agreement effective January 1, 2007 to include the Growth Opportunities Fund whose expenses will be contractually limited to 1.55% for Class A shares and 2.30% for Class B and Class C shares. The Large Cap Growth Fund's expense limitations will be lowered to 1.25% for Class A shares, 2.00% for Class B and Class C shares, and 1.00% for Class I shares; (v) Effective January 1, 2007, the appointment of Touchstone Advisors, Inc. as the Administrator of the Trust. The Amended Agreement permits the Advisor to appoint a sub-administrator to perform certain of the administrative services provided by the Amended Agreement. The Advisor will appoint Integrated Investment Services, Inc. (Integrated) as the sub-administrator and will pay Integrated's sub-administration fee out of the proceeds of its administration fee; (vi) Amended Transfer Agency Agreement with Integrated, effective January 1, 2007. The compensation structure will be standardized among all Funds at a per account rate of $25.00 for direct accounts, including omnibus, $15.00 for networked accounts and $5.00 for closed accounts; (vii) Amended Compliance Services Agreement with Integrated, effective November 20, 2006 whereby, the annual compliance administration fee for the Trust will be $25,000. 79 - -------------------------------------------------------------------------------- Other Items (Continued) - -------------------------------------------------------------------------------- SPECIAL MEETING OF SHAREHOLDERS On November 10, 2006, a Special Meeting of Shareholders of the Growth Opportunities Fund was held to approve or disapprove the following two proposals: (1) to amend the fee schedule for the Fund's Investment Advisory Agreement; and (2) to amend the Fund's investment goal. The two proposals were approved as follows: Proposal 1: Amend the fee schedule for the Fund's Investment Advisory Agreement: FOR AGAINST ABSTAIN - -------------------------------------------------------------------------------- 1,576,673 139,754 69,240 Proposal 2: Amend the Fund's investment goal: FOR AGAINST ABSTAIN - -------------------------------------------------------------------------------- 1,590,870 131,485 63,312 SCHEDULE OF SHAREHOLDER EXPENSES As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including reinvested dividends or other distributions; and (2) ongoing costs, including investment advisory fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. ACTUAL EXPENSES The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the deading entitled "Expenses Paid During the Six Months Ended September 30, 2006" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. 80 - -------------------------------------------------------------------------------- SCHEDULE OF SHAREHOLDER EXPENSES (CONTINUED) - --------------------------------------------------------------------------------
EXPENSES NET EXPENSE BEGINNING ENDING PAID DURING RATIO ACCOUNT ACCOUNT THE SIX MONTHS ANNUALIZED VALUE VALUE ENDED SEPTEMBER 30, APRIL 1, SEPTEMBER 30, SEPTEMBER 30, 2006 2006* 2006 2006** - ---------------------------------------------------------------------------------------------------- DIVERSIFIED SMALL CAP GROWTH FUND Class A Actual 1.40% $ 1,000.00 $ 1,009.00 $ 0.92 Class A Hypothetical 1.40% $ 1,000.00 $ 1,002.37 $ 0.92 Class I Actual 1.15% $ 1,000.00 $ 1,010.00 $ 0.76 Class I Hypothetical 1.15% $ 1,000.00 $ 1,002.53 $ 0.76 GROWTH OPPORTUNITIES FUND Class A Actual 1.79% $ 1,000.00 $ 893.40 $ 8.51 Class A Hypothetical 1.79% $ 1,000.00 $ 1,016.08 $ 9.06 Class B Actual 3.07% $ 1,000.00 $ 882.30 $ 14.50 Class B Hypothetical 3.07% $ 1,000.00 $ 1,009.66 $ 15.48 Class C Actual 2.77% $ 1,000.00 $ 884.50 $ 13.09 Class C Hypothetical 2.77% $ 1,000.00 $ 1,011.17 $ 13.97 LARGE CAP CORE EQUITY FUND Class A Actual 1.15% $ 1,000.00 $ 1,047.10 $ 5.90 Class A Hypothetical 1.15% $ 1,000.00 $ 1,019.31 $ 5.82 Class C Actual 1.90% $ 1,000.00 $ 1,044.50 $ 9.73 Class C Hypothetical 1.90% $ 1,000.00 $ 1,015.55 $ 9.60 LARGE CAP GROWTH FUND Class A Actual 1.12% $ 1,000.00 $ 893.00 $ 5.33 Class A Hypothetical 1.12% $ 1,000.00 $ 1,019.43 $ 5.69 Class B Actual 2.01% $ 1,000.00 $ 887.00 $ 9.51 Class B Hypothetical 2.01% $ 1,000.00 $ 1,014.99 $ 10.16 Class C Actual 1.91% $ 1,000.00 $ 887.70 $ 9.06 Class C Hypothetical 1.91% $ 1,000.00 $ 1,015.47 $ 9.67 Class I Actual 0.85% $ 1,000.00 $ 894.60 $ 4.05 Class I Hypothetical 0.85% $ 1,000.00 $ 1,020.79 $ 4.32
81 - -------------------------------------------------------------------------------- Other Items (Continued) - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- SCHEDULE OF SHAREHOLDER EXPENSES (CONTINUED) - --------------------------------------------------------------------------------
EXPENSES NET EXPENSE BEGINNING ENDING PAID DURING RATIO ACCOUNT ACCOUNT THE SIX MONTHS ANNUALIZED VALUE VALUE ENDED SEPTEMBER 30, APRIL 1, SEPTEMBER 30, SEPTEMBER 30, 2006 2006* 2006 2006** - ------------------------------------------------------------------------------------------------ LARGE CAP VALUE FUND Class A Actual 1.35% $ 1,000.00 $ 1,021.60 $ 6.82 Class A Hypothetical 1.35% $ 1,000.00 $ 1,018.32 $ 6.81 Class C Actual 2.10% $ 1,000.00 $ 1,018.70 $ 10.63 Class C Hypothetical 2.10% $ 1,000.00 $ 1,014.54 $ 10.61 MICRO CAP GROWTH FUND Class A Actual 1.95% $ 1,000.00 $ 871.10 $ 9.16 Class A Hypothetical 1.95% $ 1,000.00 $ 1,015.28 $ 9.86 Class C Actual 2.70% $ 1,000.00 $ 868.00 $ 12.65 Class C Hypothetical 2.70% $ 1,000.00 $ 1,011.52 $ 13.62 Class I Actual 1.70% $ 1,000.00 $ 871.50 $ 7.95 Class I Hypothetical 1.70% $ 1,000.00 $ 1,016.57 $ 8.57 MID CAP GROWTH FUND Class A Actual 1.50% $ 1,000.00 $ 987.10 $ 7.47 Class A Hypothetical 1.50% $ 1,000.00 $ 1,017.55 $ 7.58 Class B Actual 2.25% $ 1,000.00 $ 983.70 $ 11.21 Class B Hypothetical 2.25% $ 1,000.00 $ 1,013.76 $ 11.38 Class C Actual 2.25% $ 1,000.00 $ 983.70 $ 11.19 Class C Hypothetical 2.25% $ 1,000.00 $ 1,013.78 $ 11.36 SMALL CAP GROWTH FUND Class A Actual 1.95% $ 1,000.00 $ 848.70 $ 9.05 Class A Hypothetical 1.95% $ 1,000.00 $ 1,015.28 $ 9.87 Class B Actual 2.70% $ 1,000.00 $ 842.70 $ 12.47 Class B Hypothetical 2.70% $ 1,000.00 $ 1,011.53 $ 13.62 Class C Actual 2.70% $ 1,000.00 $ 842.30 $ 12.47 Class C Hypothetical 2.70% $ 1,000.00 $ 1,011.53 $ 13.62 Class I Actual 1.55% $ 1,000.00 $ 851.80 $ 7.20 Class I Hypothetical 1.55% $ 1,000.00 $ 1,017.30 $ 7.84
* The example is based on an investment of $1,000 invested at the beginning of the period (April 1, 2006 for the Growth Opportunities Fund, Large Cap Core Equity Fund, Large Cap Growth Fund, Large Cap Value Fund, Micro Cap Growth Fund, Mid Cap Growth Fund and the Small Cap Growth Fund; September 6, 2006 for the Diversified Small Cap Growth Fund and held for the entire period through September 30, 2006). ** Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by [number of days in most recent fiscal half-year/365 [or366]] (to reflect the one-half year period). 82 This page intentionally left blank. TOUCHSTONE INVESTMENTS Distributor Touchstone Securities, Inc. 303 Broadway Cincinnati, Ohio 45202-4203 800.638.8194 www.touchstoneinvestments.com Investment Advisor Touchstone Advisors, Inc. 303 Broadway Cincinnati, Ohio 45202-4203 Transfer Agent Integrated Investment Services, Inc. P.O. Box 5354 Cincinnati, Ohio 45201-5354 Shareholder Service 800.543.0407 A Member of Western & Southern Financial Group(R) - -------------------------------------------------------------------------------- [LOGO] TOUCHSTONE(R) INVESTMENTS 303 Broadway, Suite 1100 Cincinnati, OH 45202-4203 TSF-158-0609 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 required for Semiannual Reports. Item 5. Audit Committee of Listed Registrants. Not applicable Item 6. Schedule of Investments. The Schedule of Investments in securities of unaffiliated issuers is included in the Semiannual Report. Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. Not applicable. Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable. Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable. Item 10. Submission of Matters to a Vote of Security Holders. The registrant does not have procedures by which shareholders may recommend nominees to its Board of Trustees. Item 11. 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 disclosure controls 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 second fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 12. Exhibits. (a)(2) Certifications required by Item 12(a)(2) of Form N-CSR are filed herewith. (b) Certification required by Item 11(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/ Jill T. McGruder - -------------------------------------------------------------------------------- Jill T. McGruder President Date: December 6, 2006 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/ Jill T. McGruder - -------------------------------------------------------------------------------- Jill T. McGruder President Date: December 6, 2006 /s/ Terrie A. Wiedenheft - -------------------------------------------------------------------------------- Terrie A. Wiedenheft Controller & Treasurer Date: December 6, 2006 EX-99.CERT 2 v058825_ex99-cert.txt Exhibit 99.CERT CERTIFICATIONS I, Jill T. McGruder, 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 change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; 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 6, 2006 /s/ Jill T. McGruder ---------------------- ------------------------------ Jill T. McGruder President Exhibit 99.CERT 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 change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; 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 6, 2006 /s/ Terrie A. Wiedenheft ---------------------- ------------------------------ Terrie A. Wiedenheft, Controller & Treasurer EX-99.906CERT 3 v058825_ex99-906cert.txt Exhibit 99.906CERT CERTIFICATION Jill T. McGruder, 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, 2006 (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/ Jill T. McGruder /s/ Terrie A. Wiedenheft - --------------------------------- --------------------------------- Jill T. McGruder Terrie A. Wiedenheft Date: December 6, 2006 Date: December 6, 2006 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-----