N-CSRS 1 v095976_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) 878-4066 ----------------------------- Date of fiscal year end: 3/31/07 -------------------------------------------------------- Date of reporting period: 9/30/07 ------------------------------------------------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORTS TO STOCKHOLDERS. -------------------------------------------------------------------------------- SEPTEMBER 30, 2007 (UNAUDITED) Semi-Annual Report -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TOUCHSTONE STRATEGIC TRUST 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 15-30 -------------------------------------------------------------------------------- Notes to Financial Statements 31-45 -------------------------------------------------------------------------------- Portfolios of Investments: -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund 46-47 -------------------------------------------------------------------------------- Growth Opportunities Fund 48 -------------------------------------------------------------------------------- Large Cap Core Equity Fund 49 -------------------------------------------------------------------------------- Large Cap Growth Fund 50 -------------------------------------------------------------------------------- Large Cap Value Fund 51 -------------------------------------------------------------------------------- Micro Cap Growth Fund 52-53 -------------------------------------------------------------------------------- Mid Cap Growth Fund 54-55 -------------------------------------------------------------------------------- Small Cap Growth Fund 56-58 -------------------------------------------------------------------------------- Other Items 59-61 -------------------------------------------------------------------------------- 2 -------------------------------------------------------------------------------- Tabular Presentation of Portfolios of Investments (Unaudited) September 30, 2007 -------------------------------------------------------------------------------- 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 25.9 Technology 21.3 Consumer Discretionary 19.5 Financial Services 10.8 Producer Durables 10.1 Energy 4.5 Materials & Processing 3.6 Autos & Transportation 2.7 Utilities 0.6 Investment Funds 19.4 Other Assets/Liabilities (net) (18.4) ------- 100.0 ------- -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- LARGE CAP CORE EQUITY FUND -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Financial Services 17.5 Technology 17.3 Energy 15.9 Producer Durables 15.4 Consumer Discretionary 11.3 Health Care 10.8 Utilities 4.0 Materials & Processing 3.4 Consumer Staples 3.2 Investment Funds 1.3 Other Assets/Liabilities (net) (0.1) ------- 100.0 ------- -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- LARGE CAP VALUE FUND -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Financial Services 38.8 Technology 14.5 Producer Durables 12.6 Energy 8.3 Utilities 6.2 Health Care 4.7 Materials & Processing 2.8 Consumer Staples 2.5 Exchange Traded Funds 2.0 Autos & Transportation 0.7 Investment Funds 23.6 Other Assets/Liabilities (net) (16.7) ------- 100.0 ------- -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- GROWTH OPPORTUNITIES FUND -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Health Care 30.7 Consumer Discretionary 15.4 Energy 12.1 Technology 11.2 Materials & Processing 9.6 Producer Durables 8.3 Financial Services 7.9 Consumer Staples 1.8 Utilities 1.1 Investment Funds 12.9 Other Assets/Liabilities (net) (11.0) ------- 100.0 ------- -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- LARGE CAP GROWTH FUND -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Producer Durables 14.9 Technology 14.6 Consumer Discretionary 14.1 Materials & Processing 13.2 Utilities 11.1 Health Care 8.3 Energy 7.7 Financial Services 7.4 Consumer Staples 4.2 Autos & Transportation 2.3 Investment Funds 10.9 Other Assets/Liabilities (net) (8.7) ------- 100.0 ------- -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- MICRO CAP GROWTH FUND -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Technology 22.8 Producer Durables 18.7 Health Care 17.1 Consumer Discretionary 13.3 Financial Services 8.9 Materials & Processing 7.5 Autos & Transportation 5.8 Energy 4.6 Consumer Staples 0.6 Utilities 0.3 Investment Funds 19.5 Other Assets/Liabilities (net) (19.1) ------- 100.0 ------- -------------------------------------------------------------------------------- 3 -------------------------------------------------------------------------------- Tabular Presentation of Portfolios of Investments (Continued) September 30, 2007 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- MID CAP GROWTH FUND -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Technology 17.7 Health Care 17.7 Producer Durables 17.5 Consumer Discretionary 16.1 Financial Services 11.6 Energy 11.3 Materials & Processing 3.7 Consumer Staples 1.1 Utilities 1.0 Autos & Transportation 0.6 Investment Funds 11.5 Other Assets/Liabilities (net) (9.8) ------- 100.0 ------- -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- SMALL CAP GROWTH FUND -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Health Care 22.8 Technology 20.0 Consumer Discretionary 16.8 Producer Durables 12.6 Financial Services 9.3 Energy 4.9 Materials & Processing 3.7 Exchange Traded Funds 2.6 Autos & Transportation 2.5 Utilities 0.8 Consumer Staples 0.4 Investment Funds 7.5 Other Assets/Liabilities (net) (3.9) ------- 100.0 ------- -------------------------------------------------------------------------------- 4 -------------------------------------------------------------------------------- Statements of Assets and Liabilities September 30, 2007 (Unaudited) --------------------------------------------------------------------------------
DIVERSIFIED LARGE SMALL CAP GROWTH CAP CORE LARGE CAP GROWTH OPPORTUNITIES EQUITY GROWTH FUND FUND FUND FUND ----------------------------------------------------------------------------------------------------------------------------------- ASSETS Investment securities: At cost $ 14,427,051 $ 48,974,927 $ 86,964,801 $ 851,075,288 ==================================================================================================================================== Affiliated securities at market value $ 238,221 $ 1,657,059 $ 1,386,860 $ 22,413,528 Non-affiliated securities at market value 16,129,521 57,031,598 104,888,024 1,115,513,826 ----------------------------------------------------------------------------------------------------------------------------------- At market value - including $2,345,091, $4,962,188 and $89,295,931 of securities loaned for the Diversified Small Cap Growth Fund, Growth Opportunities Fund and Large Cap Growth Fund, respectively 16,367,742 58,688,657 106,274,884 1,137,927,354 Cash 13,874 -- -- -- Dividends and interest receivable 1,987 25,942 142,797 528,727 Receivable for capital shares sold 67,573 180,524 39,456 2,955,865 Receivable for securities sold 272,626 555,916 -- -- Receivable for securities lending income 2,366 1,104 -- 46,327 Other assets 2,152 18,589 9,349 54,410 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 16,728,320 59,470,732 106,466,486 1,141,512,683 ----------------------------------------------------------------------------------------------------------------------------------- LIABILITIES Payable upon return of securities loaned 2,438,724 5,156,829 -- 91,658,870 Payable for capital shares redeemed -- 25,575 149,561 1,918,630 Payable for securities purchased 412,710 1,277,232 -- 39,605 Payable to Advisor 10,769 41,611 55,582 569,185 Payable to other affiliates 13,434 12,999 18,489 172,656 Payable to Trustees 1,814 2,235 2,686 2,357 Other accrued expenses and liabilities 22,870 84,632 46,248 564,973 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 2,900,321 6,601,113 272,566 94,926,276 ----------------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 13,827,999 $ 52,869,619 $ 106,193,920 $ 1,046,586,407 ----------------------------------------------------------------------------------------------------------------------------------- NET ASSETS CONSIST OF: Paid-in capital $ 10,695,336 $ 88,152,625 $ 83,697,089 $ 825,024,042 Accumulated net investment income (loss) (54,957) (273,192) 665,516 (1,057,833) Accumulated net realized gains (losses) from security transactions 1,246,929 (44,723,544) 2,521,232 (64,231,868) Net unrealized appreciation on investments 1,940,691 9,713,730 19,310,083 286,852,066 ----------------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 13,827,999 $ 52,869,619 $ 106,193,920 $ 1,046,586,407 ==================================================================================================================================== PRICING OF CLASS A SHARES Net assets attributable to Class A shares $ 6,925,671 $ 37,781,915 $ 102,224,491 $ 762,078,864 ----------------------------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 530,315 1,580,969 8,230,066 28,339,375 ==================================================================================================================================== Net asset value and redemption price per share $ 13.06 $ 23.90 $ 12.42 $ 26.89 ==================================================================================================================================== Maximum offering price per share $ 13.86 $ 25.36 $ 13.18 $ 28.53 ==================================================================================================================================== PRICING OF CLASS B SHARES Net assets attributable to Class B shares $ -- $ 2,375,213 $ -- $ 31,914,018 ==================================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) -- 105,734 -- 1,217,574 ==================================================================================================================================== Net asset value, offering price and redemption price per share* $ -- $ 22.46 $ -- $ 26.21 ====================================================================================================================================
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 $ 2,620 $ 12,712,491 $ 3,969,429 $ 224,317,350 ==================================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 201 559,908 322,706 8,538,983 ==================================================================================================================================== Net asset value, offering price and redemption price per share* $ 13.04 $ 22.70 $ 12.30 $ 26.27 ==================================================================================================================================== PRICING OF CLASS Y SHARES Net assets attributable to Class Y shares $ 6,899,708 $ -- $ -- $ 28,276,175 ==================================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 526,924 -- -- 1,045,291 ==================================================================================================================================== Net asset value, offering price and redemption price per share $ 13.09 $ -- $ -- $ 27.05 ====================================================================================================================================
* Redemption price per share varies by length of time shares are held. See accompanying notes to financial statements. 6 -------------------------------------------------------------------------------- Statements of Assets and Liabilities (Continued) --------------------------------------------------------------------------------
LARGE CAP MICRO CAP MID CAP SMALL CAP VALUE GROWTH GROWTH GROWTH FUND FUND FUND FUND ----------------------------------------------------------------------------------------------------------------------------------- ASSETS Investment securities: At cost $ 68,595,866 $ 56,439,110 $ 1,106,461,628 $ 41,742,611 ==================================================================================================================================== Affiliated securities at market value $ 4,466,617 $ 456,206 $ 21,461,111 $ 2,877,052 Non-affiliated securities at market value 58,795,092 74,945,536 1,300,771,947 42,139,708 ----------------------------------------------------------------------------------------------------------------------------------- At market value - including $7,971,872, $11,327,032, $114,679,790 and $327,255 of securities loaned for the Large Cap Value Fund, Micro Cap Growth Fund, Mid Cap Growth Fund and Small Cap Growth Fund, respectively 63,261,709 75,401,742 1,322,233,058 45,016,760 Cash -- -- -- 15,912 Dividends and interest receivable 48,515 1,513 651,674 17,312 Receivable for capital shares sold 165,577 1,699 1,641,345 21,350 Receivable for securities sold 395,969 426,688 8,289,047 904,474 Receivable for securities lending income 1,833 3,687 18,616 9,300 Other assets 13,731 18,202 48,633 26,664 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 63,887,334 75,853,531 1,332,882,373 46,011,772 ----------------------------------------------------------------------------------------------------------------------------------- LIABILITIES Payable upon return of securities loaned 8,308,475 11,895,053 117,374,028 374,855 Payable for capital shares redeemed 389,177 292,575 1,681,023 119,324 Payable for securities purchased 896,882 183,628 7,367,785 1,999,877 Payable to Advisor 33,807 64,698 777,780 28,031 Payable to other affiliates 3,195 19,557 303,117 45,360 Payable to Trustees 2,353 4,602 6,515 2,285 Other accrued expenses and liabilities 30,196 69,111 717,742 109,092 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 9,664,085 12,529,224 128,227,990 2,678,824 ----------------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 54,223,249 $ 63,324,307 $ 1,204,654,383 $ 43,332,948 ==================================================================================================================================== NET ASSETS CONSIST OF: Paid-in capital $ 57,182,852 $ 46,777,504 $ 881,482,102 $ 51,742,842 Accumulated net investment income (loss) 188,373 (461,502) (5,628,323) (199,488) Accumulated net realized gains (losses) from security transactions 2,186,181 (1,954,327) 113,029,174 (11,484,555) Net unrealized appreciation (depreciation) on investments (5,334,157) 18,962,632 215,771,430 3,274,149 ----------------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 54,223,249 $ 63,324,307 $ 1,204,654,383 $ 43,332,948 ==================================================================================================================================== PRICING OF CLASS A SHARES Net assets attributable to Class A shares $ 35,289,443 $ 39,775,187 $ 766,619,784 $ 19,104,826 ==================================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 3,431,507 2,967,405 29,146,855 1,083,545 ==================================================================================================================================== Net asset value and redemption price per share $ 10.28 $ 13.40 $ 26.30 $ 17.63 ==================================================================================================================================== Maximum offering price per share $ 10.91 $ 14.22 $ 27.90 $ 18.71 ==================================================================================================================================== PRICING OF CLASS B SHARES Net assets attributable to Class B shares $ -- $ -- $ 76,078,882 $ 4,037,684 ==================================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) -- -- 3,303,116 236,291 ==================================================================================================================================== Net asset value, offering price and redemption price per share* $ -- $ -- $ 23.03 $ 17.09 ====================================================================================================================================
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 $ 18,933,806 $ 23,029,361 $ 361,955,717 $ 6,723,759 ==================================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 1,858,412 1,760,442 15,698,372 393,200 ==================================================================================================================================== Net asset value, offering price and redemption price per share* $ 10.19 $ 13.08 $ 23.06 $ 17.10 ==================================================================================================================================== PRICING OF CLASS Y SHARES Net assets attributable to Class Y shares $ -- $ 519,759 $ -- $ 13,466,679 ==================================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) -- 38,069 -- 753,821 ==================================================================================================================================== Net asset value, offering price and redemption price per share $ -- $ 13.65 $ -- $ 17.86 ====================================================================================================================================
* 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, 2007 (Unaudited) --------------------------------------------------------------------------------
DIVERSIFIED LARGE SMALL CAP GROWTH CAP CORE LARGE CAP GROWTH OPPORTUNITIES EQUITY GROWTH FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME Dividends from affiliated securities $ 3,582 $ 16,977 $ 35,706 $ 238,812 Dividends from non-affiliated securities(A) 16,483 160,137 1,007,102 5,206,702 Interest -- 13 10,301 455 Income from securities loaned 9,106 5,777 216 188,889 ------------------------------------------------------------------------------------------------------------------------------------ TOTAL INVESTMENT INCOME 29,171 182,904 1,053,325 5,634,858 ==================================================================================================================================== EXPENSES Investment advisory fees 69,443 258,019 337,341 3,348,894 Distribution expenses, Class A 8,206 46,321 124,983 854,026 Distribution expenses, Class B -- 11,735 -- 143,306 Distribution expenses, Class C 4 61,837 20,533 992,024 Administration fees 13,227 51,771 104,094 942,625 Transfer Agent fees, Class A 6,891 43,665 23,991 343,560 Transfer Agent fees, Class B -- 1,435 -- 23,870 Transfer Agent fees, Class C 2 18,407 4,938 121,235 Transfer Agent fees, Class Y 6,880 -- -- 13,017 Postage and supplies 4,464 41,606 13,197 187,215 Reports to shareholders 2,397 18,823 5,219 126,470 Custodian fees 1,462 13,125 8,384 94,461 Registration fees, Class A 645 6,373 6,229 29,587 Registration fees, Class B -- 3,916 -- 6,076 Registration fees, Class C 25 5,385 3,947 10,384 Registration fees, Class Y 749 -- -- 6,851 Professional fees 9,549 9,309 10,496 34,340 Trustees' fees and expenses 3,220 5,014 5,174 5,169 Compliance fees and expenses 88 304 648 2,507 Other expenses 1,049 2,025 1,192 12,846 ------------------------------------------------------------------------------------------------------------------------------------ TOTAL EXPENSES 128,301 599,070 670,366 7,298,463 Fees waived by the Administrator (13,227) (51,771) (57,810) (605,772) Fees waived and/or expenses reimbursed by the Advisor (30,946) (91,203) -- -- ------------------------------------------------------------------------------------------------------------------------------------ NET EXPENSES 84,128 456,096 612,556 6,692,691 ------------------------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME (LOSS) (54,957) (273,192) 440,769 (1,057,833) ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAINS ON INVESTMENTS Net realized gains from security transactions 908,120 3,221,651 1,601,036 41,205,419 Net change in unrealized appreciation/ depreciation on investments 629,069 4,460,182 7,085,870 149,637,692 ------------------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS 1,537,189 7,681,833 8,686,906 190,843,111 ------------------------------------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS FROM OPERATIONS $ 1,482,232 $ 7,408,641 $ 9,127,675 $ 189,785,278 ==================================================================================================================================== (A) Net of foreign tax withholding of: $ -- $ 1,057 $ -- $ 22,757
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 $ 162,981 $ 21,033 $ 724,472 $ 37,344 Dividends from non-affiliated securities(A) 440,047 246,724 3,873,052 118,314 Interest 6 124 43,117 1,005 Income from securities loaned 6,821 43,481 96,557 93,654 ------------------------------------------------------------------------------------------------------------------------------------ TOTAL INVESTMENT INCOME 609,855 311,362 4,737,198 250,317 ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES Investment advisory fees 201,874 435,524 4,797,013 318,035 Distribution expenses, Class A 43,719 54,936 950,532 30,474 Distribution expenses, Class B -- -- 384,839 22,327 Distribution expenses, Class C 94,289 125,894 1,809,292 38,792 Administration fees 53,834 69,684 1,199,264 50,886 Transfer Agent fees, Class A 9,016 43,268 368,984 55,833 Transfer Agent fees, Class B -- -- 62,756 8,837 Transfer Agent fees, Class C 9,604 25,606 256,949 25,212 Transfer Agent fees, Class Y -- 479 -- 7,212 Postage and supplies 5,938 31,006 277,576 50,565 Reports to shareholders 4,133 13,402 106,774 41,463 Custodian fees 2,714 13,070 67,434 26,083 Registration fees, Class A 7,888 6,534 20,245 5,882 Registration fees, Class B -- -- 7,235 5,208 Registration fees, Class C 7,368 5,514 12,547 5,846 Registration fees, Class Y -- 3,437 -- 14,693 Professional fees 8,122 9,328 27,462 10,065 Trustees' fees and expenses 4,803 5,191 7,407 5,054 Compliance fees and expenses 372 224 1,958 752 Other expenses 976 2,537 15,400 4,591 ------------------------------------------------------------------------------------------------------------------------------------ TOTAL EXPENSES 454,650 845,634 10,373,667 727,810 Fees waived by the Administrator (21,113) (69,684) (8,146) (50,886) Fees waived and/or expenses reimbursed by the Advisor -- (2,215) -- (224,373) Fees reduced by Custodian -- (871) -- (2,746) ------------------------------------------------------------------------------------------------------------------------------------ NET EXPENSES 433,537 772,864 10,365,521 449,805 ------------------------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME (LOSS) 176,318 (461,502) (5,628,323) (199,488) ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS Net realized gains from security transactions 1,253,932 4,790,634 93,510,239 9,745,940 Net change in unrealized appreciation/ depreciation on investments (7,083,445) (2,192,410) 9,865,787 (6,052,832) ------------------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS (5,829,513) 2,598,224 103,376,026 3,693,108 ------------------------------------------------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (5,653,195) $ 2,136,722 $ 97,747,703 $ 3,493,620 ==================================================================================================================================== (A) Net of foreign tax withholding of: $ 16,213 $ -- $ 17,205 $ --
See accompanying notes to financial statements. 10 -------------------------------------------------------------------------------- Statements of Changes in Net Assets --------------------------------------------------------------------------------
DIVERSIFIED GROWTH SMALL CAP OPPORTUNITIES GROWTH FUND FUND ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED PERIOD ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2007 MARCH 31, 2007 MARCH 31, (UNAUDITED)(A) 2007(B) (UNAUDITED) 2007 ----------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment loss $ (54,957) $ (63,303) $ (273,192) $ (992,944) Net realized gains from security transactions 908,120 402,112 3,221,651 6,243,275 Net change in unrealized appreciation/depreciation on investments 629,069 1,311,622 4,460,182 (12,350,574) ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 1,482,232 1,650,431 7,408,641 (7,100,243) ----------------------------------------------------------------------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold 567,265 5,026,414 3,473,543 9,737,523 Payments for shares redeemed (213,443) (1,400) (6,680,998) (66,577,364) ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS 353,822 5,025,014 (3,207,455) (56,839,841) ----------------------------------------------------------------------------------------------------------------------------------- CLASS B Proceeds from shares sold -- -- 47,851 178,893 Payments for shares redeemed -- -- (305,105) (928,261) ----------------------------------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS -- -- (257,254) (749,368) ----------------------------------------------------------------------------------------------------------------------------------- CLASS C Proceeds from shares sold 2,500 -- 536,000 1,159,910 Payments for shares redeemed -- -- (1,578,658) (10,148,048) ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS 2,500 -- (1,042,658) (8,988,138) ----------------------------------------------------------------------------------------------------------------------------------- CLASS Y Proceeds from shares sold 15,000 5,299,000 -- -- Payments for shares redeemed -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CLASS Y SHARE TRANSACTIONS 15,000 5,299,000 -- -- ----------------------------------------------------------------------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS 1,853,554 11,974,445 2,901,274 (73,677,590) NET ASSETS Beginning of period 11,974,445 -- 49,968,345 123,645,935 ----------------------------------------------------------------------------------------------------------------------------------- End of period $ 13,827,999 $ 11,974,445 $ 52,869,619 $ 49,968,345 ==================================================================================================================================== ACCUMULATED NET INVESTMENT LOSS $ (54,957) $ -- $ (273,192) $ -- ====================================================================================================================================
(A) Class C represents the period from commencement of operations (August 1, 2007) through September 30, 2007. (B) Represents the period from commencement of operations (September 6, 2006) through March 31, 2007. 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 2007 MARCH 31, 2007 MARCH 31, (UNAUDITED) 2007 (UNAUDITED) 2007 ----------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment income (loss) $ 440,769 $ 664,515 $ (1,057,833) $ (3,283,598) Net realized gains (losses) from security transactions 1,601,036 3,935,114 41,205,419 (76,218,132) Net change in unrealized appreciation/depreciation on investments 7,085,870 5,433,488 149,637,692 5,246,299 ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 9,127,675 10,033,117 189,785,278 (74,255,431) ----------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income, Class A -- (612,288) -- -- From net investment income, Class B -- (6,537) -- -- From net investment income, Class C -- (5,077) -- -- ----------------------------------------------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS -- (623,902) -- -- ----------------------------------------------------------------------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold 1,862,249 4,816,716 88,060,397 358,732,151 Reinvested distributions -- 604,929 -- -- Proceeds from shares issued in connection with acquisition -- 59,728,074 -- -- Payments for shares redeemed (3,592,737) (4,788,529) (119,901,534) (483,563,307) ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS (1,730,488) 60,361,190 (31,841,137) (124,831,156) ----------------------------------------------------------------------------------------------------------------------------------- CLASS B Proceeds from shares sold -- 104,544 1,230,384 6,607,084 Reinvested distributions -- 5,697 -- -- Payments for shares redeemed -- (1,780,230) (1,794,548) (5,912,510) ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS -- (1,669,989) (564,164) 694,574 ----------------------------------------------------------------------------------------------------------------------------------- CLASS C Proceeds from shares sold 197,538 2,011,754 21,508,424 76,446,276 Reinvested distributions -- 4,228 -- -- Proceeds from shares issued in connection with acquisition -- 1,712,923 -- -- Payments for shares redeemed (806,327) (1,228,598) (27,903,248) (62,773,183) ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS (608,789) 2,500,307 (6,394,824) 13,673,093 ----------------------------------------------------------------------------------------------------------------------------------- CLASS Y Proceeds from shares sold -- -- 7,008,712 45,211,834 Payments for shares redeemed -- -- (24,963,703) (68,302,970) ----------------------------------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM CLASS Y SHARE TRANSACTIONS -- -- (17,954,991) (23,091,136) ----------------------------------------------------------------------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS 6,788,398 70,600,723 133,030,162 (207,810,056) NET ASSETS Beginning of period 99,405,522 28,804,799 913,556,245 1,121,366,301 ----------------------------------------------------------------------------------------------------------------------------------- End of period $ 106,193,920 $ 99,405,522 $ 1,046,586,407 $ 913,556,245 ==================================================================================================================================== ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 665,516 $ 224,747 $ (1,057,833) $ -- ====================================================================================================================================
See accompanying notes to financial statements. 12 -------------------------------------------------------------------------------- Statements of Changes in Net Assets (Continued) --------------------------------------------------------------------------------
LARGE CAP MICRO CAP VALUE FUND GROWTH FUND ----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2007 MARCH 31, 2007 MARCH 31, (UNAUDITED) 2007 (UNAUDITED) 2007 ----------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment income (loss) $ 176,318 $ 93,385 $ (461,502) $ (1,310,460) Net realized gains (losses) from security transactions 1,253,932 1,554,882 4,790,634 (3,907,984) Net change in unrealized appreciation/depreciation on investments (7,083,445) 1,614,303 (2,192,410) 138,263 ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (5,653,195) 3,262,570 2,136,722 (5,080,181) ----------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income, Class A -- (81,628) -- -- From net investment income, Class C -- (10,363) -- -- From net realized gains on security transactions, Class A -- (476,738) -- -- From net realized gains on security transactions, Class C -- (203,372) -- -- ----------------------------------------------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS -- (772,101) -- -- ----------------------------------------------------------------------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold 12,099,415 16,829,887 1,531,217 10,143,744 Reinvested distributions (3) 473,417 -- -- Payments for shares redeemed (2,740,817) (1,249,158) (8,700,988) (23,441,837) ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS 9,358,595 16,054,146 (7,169,771) (13,298,093) ----------------------------------------------------------------------------------------------------------------------------------- CLASS C Proceeds from shares sold 7,225,790 14,128,900 1,358,512 6,573,633 Reinvested distributions -- 175,377 -- -- Payments for shares redeemed (1,536,562) (265,138) (5,111,448) (11,867,742) ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS 5,689,228 14,039,139 (3,752,936) (5,294,109) ----------------------------------------------------------------------------------------------------------------------------------- CLASS Y Proceeds from shares sold -- -- 258,615 369,176 Payments for shares redeemed -- -- (186,713) (559,072) ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS Y SHARE TRANSACTIONS -- -- 71,902 (189,896) ----------------------------------------------------------------------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS 9,394,628 32,583,754 (8,714,083) (23,862,279) NET ASSETS Beginning of period 44,828,621 12,244,867 72,038,390 95,900,669 ----------------------------------------------------------------------------------------------------------------------------------- End of period $ 54,223,249 $ 44,828,621 $ 63,324,307 $ 72,038,390 ==================================================================================================================================== ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 188,373 $ 12,055 $ (461,502) $ -- ====================================================================================================================================
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 2007 MARCH 31, 2007 MARCH 31, (UNAUDITED) 2007 (UNAUDITED) 2007 ----------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment loss $ (5,628,323) $ (10,024,153) $ (199,488) $ (1,945,258) Net realized gains (losses) from security transactions 93,510,239 86,707,430 9,745,940 (16,494,317) Net change in unrealized appreciation/depreciation on investments 9,865,787 12,538,286 (6,052,832) (69,830,999) ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 97,747,703 89,221,563 3,493,620 (88,270,574) ----------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS From net realized gains on security transactions, Class A -- (51,726,255) -- -- From net realized gains on security transactions, Class B -- (6,541,309) -- -- From net realized gains on security transactions, Class C -- (28,926,766) -- -- ----------------------------------------------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS -- (87,194,330) -- -- ----------------------------------------------------------------------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold 102,634,533 227,924,543 2,420,182 11,676,005 Reinvested distributions 6 43,071,390 -- -- Payments for shares redeemed (112,521,460) (202,778,708) (17,811,219) (22,640,484) ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS (9,886,921) 68,217,225 (15,391,037) (10,964,479) ----------------------------------------------------------------------------------------------------------------------------------- CLASS B Proceeds from shares sold 1,906,894 6,454,411 115,785 215,598 Reinvested distributions -- 4,916,368 -- -- Payments for shares redeemed (6,936,953) (15,047,214) (1,225,610) (4,066,713) ----------------------------------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS (5,030,059) (3,676,435) (1,109,825) (3,851,115) ----------------------------------------------------------------------------------------------------------------------------------- CLASS C Proceeds from shares sold 20,096,645 65,445,122 47,070 1,489,190 Reinvested distributions -- 18,600,380 -- -- Payments for shares redeemed (32,871,075) (62,935,807) (2,531,310) (11,121,847) ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS (12,774,430) 21,109,695 (2,484,240) (9,632,657) ----------------------------------------------------------------------------------------------------------------------------------- CLASS Y Proceeds from shares sold -- -- 1,068,050 102,309,420 Payments for shares redeemed -- -- (4,515,979) (357,160,120) ----------------------------------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM CLASS Y SHARE TRANSACTIONS -- -- (3,447,929) (254,850,700) ----------------------------------------------------------------------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS 70,056,293 87,677,718 (18,939,411) (367,569,525) NET ASSETS Beginning of period 1,134,598,090 1,046,920,372 62,272,359 429,841,884 ----------------------------------------------------------------------------------------------------------------------------------- End of period $ 1,204,654,383 $ 1,134,598,090 $ 43,332,948 $ 62,272,359 ==================================================================================================================================== ACCUMULATED NET INVESTMENT LOSS $ (5,628,323) $ -- $ (199,488) $ -- ====================================================================================================================================
See accompanying notes to financial statements. 14 -------------------------------------------------------------------------------- Financial Highlights -------------------------------------------------------------------------------- DIVERSIFIED SMALL CAP GROWTH FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS ENDED PERIOD SEPT. 30, ENDED 2007 MARCH 31, (UNAUDITED) 2007(A) ------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 11.64 $ 10.00 ------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.06) (0.07) Net realized and unrealized gains on investments 1.48 1.71 ------------------------------------------------------------------------------------------ Total from investment operations 1.42 1.64 ------------------------------------------------------------------------------------------ Net asset value at end of period $ 13.06 $ 11.64 ========================================================================================== Total return(B) 12.20%(C) 16.40%(C) ========================================================================================== Net assets at end of period (000's) $ 6,926 $ 5,846 ========================================================================================== Ratio of net expenses to average net assets 1.40%(D) 1.40%(D) Ratio of net investment loss to average net assets (0.96%)(D) (1.15%)(D) Portfolio turnover rate 80%(D) 86%(D)
(A) Represents the period from commencement of operations (September 6, 2006) through March 31, 2007. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. DIVERSIFIED SMALL CAP GROWTH FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD -------------------------------------------------------------------------------- PERIOD ENDED SEPT. 30, 2007 (UNAUDITED)(A) -------------------------------------------------------------------------------- Net asset value at beginning of period $ 12.44 -------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.04) Net realized and unrealized gains on investments 0.64 -------------------------------------------------------------------------------- Total from investment operations 0.60 -------------------------------------------------------------------------------- Net asset value at end of period $ 13.04 ================================================================================ Total return(B) 4.82%(C) ================================================================================ Net assets at end of period (000's) $ 2 ================================================================================ Ratio of net expenses to average net assets 2.11%(D) Ratio of net investment loss to average net assets (1.65%)(D) Portfolio turnover rate 80%(D) (A) Represents the period from commencement of operations (August 1, 2007) through September 30, 2007. (B) Total return shown excludes the effect of applicable sales loads. (C) Not annualized. (D) Annualized. See accompanying notes to financial statements. 15 -------------------------------------------------------------------------------- Financial Highlights (Continued) -------------------------------------------------------------------------------- DIVERSIFIED SMALL CAP GROWTH FUND--CLASS Y PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS ENDED PERIOD SEPT. 30, ENDED 2007 MARCH 31, (UNAUDITED) 2007(A) ------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 11.66 $ 10.00 ------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.05) (0.05) Net realized and unrealized gains on investments 1.48 1.71 ------------------------------------------------------------------------------------------ Total from investment operations 1.43 1.66 ------------------------------------------------------------------------------------------ Net asset value at end of period $ 13.09 $ 11.66 ========================================================================================== Total return 12.26%(B) 16.60%(B) ========================================================================================== Net assets at end of period (000's) $ 6,900 $ 6,128 ========================================================================================== Ratio of net expenses to average net assets 1.15%(C) 1.15%(C) Ratio of net investment loss to average net assets (0.71%)(C) (0.90%)(C) Portfolio turnover rate 80%(C) 86%(C)
(A) Represents the period from commencement of operations (September 6, 2006) through March 31, 2007. (B) Not annualized. (C) Annualized. See accompanying notes to financial statements. 16 -------------------------------------------------------------------------------- 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, 2007 --------------------------------------------------------------- (UNAUDITED) 2007 2006 2005 2004 2003 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 20.75 $ 21.57 $ 17.92 $ 18.06 $ 12.70 $ 18.18 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.10) (0.35) (0.21) (0.24) (0.21) (0.19) Net realized and unrealized gains (losses) on investments 3.25 (0.47) 3.86 0.10 5.57 (5.29) ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations 3.15 (0.82) 3.65 (0.14) 5.36 (5.48) ==================================================================================================================================== Net asset value at end of period $ 23.90 $ 20.75 $ 21.57 $ 17.92 $ 18.06 $ 12.70 ==================================================================================================================================== Total return(A) 15.18%(B) (3.80)% 20.37% (0.78)% 42.20% (30.14)% ==================================================================================================================================== Net assets at end of period (000's) $ 37,782 $ 35,723 $ 98,004 $ 81,313 $117,605 $ 84,472 ==================================================================================================================================== Ratio of net expenses to average net assets 1.55%(C) 1.79% 1.64% 1.68% 1.60% 1.83% Ratio of net investment loss to average net assets (0.85)%(C) (1.12)% (1.09)% (1.14)% (1.23)% (1.40)% Portfolio turnover rate 78%(C) 161% 80% 35% 47% 39% Amount of debt outstanding at end of period (000's) n/a n/a n/a n/a n/a $ -- Average daily amount of debt outstanding during the period (000's) n/a n/a n/a n/a n/a $ 242(D) Average daily number of capital shares outstanding during the period (000's) n/a n/a n/a n/a n/a 8,916(D) Average amount of debt per share during the period n/a n/a n/a n/a n/a $ 0.03(D)
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. (D) Based on fund level shares outstanding. See accompanying notes to financial statements. See accompanying notes to financial statements. 17 -------------------------------------------------------------------------------- Financial Highlights (Continued) -------------------------------------------------------------------------------- GROWTH OPPORTUNITIES FUND--CLASS B PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2007 -------------------------------------------------------------- (UNAUDITED) 2007 2006 2005 2004 2003 ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 19.38 $ 20.39 $ 16.97 $ 17.31 $ 12.13 $ 17.78 ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.17) (0.51) (0.46) (0.43) (0.38) (0.36) Net realized and unrealized gains (losses) on investments 3.25 (0.50) 3.88 0.09 5.56 (5.29) ----------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 3.08 (1.01) 3.42 (0.34) 5.18 (5.65) ----------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 22.46 $ 19.38 $ 20.39 $ 16.97 $ 17.31 $ 12.13 =================================================================================================================================== Total return(A) 15.89%(B) (4.95)% 20.15% (1.96)% 42.70% (31.78)% =================================================================================================================================== Net assets at end of period (000's) $ 2,375 $ 2,288 $ 3,230 $ 3,064 $ 3,608 $ 2,463 =================================================================================================================================== Ratio of net expenses to average net assets 2.30%(C) 2.97% 2.97% 2.95% 2.84% 3.16% Ratio of net investment loss to average net assets (1.56)%(C) (2.24)% (2.39)% (2.38)% (2.45)% (2.71)% Portfolio turnover rate 78%(C) 161% 80% 35% 47% 39% Amount of debt outstanding at end of period (000's) n/a n/a n/a n/a n/a $ -- Average daily amount of debt outstanding during the period (000's) n/a n/a n/a n/a n/a $ 242(D) Average daily number of capital shares outstanding during the period (000's) n/a n/a n/a n/a n/a 8,916(D) Average amount of debt per share during the period n/a n/a n/a n/a n/a $ 0.03(D)
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. (D) Based on fund level shares outstanding. See accompanying notes to financial statements. 18 -------------------------------------------------------------------------------- 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, 2007 ------------------------------------------------------------------ (UNAUDITED) 2007 2006 2005 2004 2003 ------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 19.63 $ 20.60 $ 17.11 $ 17.39 $ 12.17 $ 17.78 ------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.17) (0.54) (0.40) (0.40) (0.37) (0.36) Net realized and unrealized gains (losses) on investments 3.24 (0.43) 3.89 0.12 5.59 (5.25) ------------------------------------------------------------------------------------------------------------------------------ Total from investment operations 3.07 (0.97) 3.49 (0.28) 5.22 (5.61) ------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 22.70 $ 19.63 $ 20.60 $ 17.11 $ 17.39 $ 12.17 ============================================================================================================================== Total return(A) 15.64%(B) (4.71)% 20.40% (1.61)% 42.89% (31.55)% ============================================================================================================================== Net assets at end of period (000's) $ 12,713 $ 11,957 $ 22,412 $ 21,789 $ 28,470 $ 21,727 ============================================================================================================================== Ratio of net expenses to average net assets 2.30%(C) 2.71% 2.57% 2.61% 2.60% 2.87% Ratio of net investment loss to average net assets (1.56)%(C) (2.00)% (2.01)% (2.04)% (2.21)% (2.42)% Portfolio turnover rate 78%(C) 161% 80% 35% 47% 39% Amount of debt outstanding at end of period (000's) n/a n/a n/a n/a n/a $ -- Average daily amount of debt outstanding during the period (000's) n/a n/a n/a n/a n/a $ 242(D) Average daily number of capital shares outstanding during the period (000's) n/a n/a n/a n/a n/a 8,916(D) Average amount of debt per share during the period n/a n/a n/a n/a n/a $ 0.03(D)
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. (D) Based on fund level shares outstanding. See accompanying notes to financial statements. 19 -------------------------------------------------------------------------------- Financial Highlights (Continued) -------------------------------------------------------------------------------- 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, 2007 -------------------------------------------------------------- (UNAUDITED) 2007 2006 2005 2004 2003 -------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 11.36 $ 10.49 $ 9.48 $ 9.10 $ 6.71 $ 9.19 -------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income 0.05 0.11 0.06 0.11 0.07 0.06 Net realized and unrealized gains (losses) on investments 1.01 0.91 0.96 0.38 2.37 (2.46) -------------------------------------------------------------------------------------------------------------------------- Total from investment operations 1.06 1.02 1.02 0.49 2.44 (2.40) -------------------------------------------------------------------------------------------------------------------------- Dividends from net investment income -- (0.15) (0.01) (0.11) (0.05) (0.08) -------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 12.42 $ 11.36 $ 10.49 $ 9.48 $ 9.10 $ 6.71 ========================================================================================================================== Total return(A) 9.33%(B) 9.83% 10.74% 5.32% 36.41% (26.19)% ========================================================================================================================== Net assets at end of period (000's) $ 102,225 $ 95,175 $ 25,693 $ 9,328 $ 8,783 $ 6,109 ========================================================================================================================== Ratio of net expenses to average net assets 1.15%(C) 1.15% 1.00% 1.00% 0.97%(D) 1.00% Ratio of net investment income to average net assets 0.88%(C) 0.97% 1.03% 1.18% 0.85%(D) 0.90% Portfolio turnover rate 10%(C) 54% 6% 7% 10% 29%
(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 1.00% and the ratio of net investment income to average net assets would have been 0.82%. See accompanying notes to financial statements. 20 -------------------------------------------------------------------------------- Financial Highlights (Continued) -------------------------------------------------------------------------------- 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, 2007 -------------------------------------------------------------- (UNAUDITED) 2007 2006 2005 2004 2003 ---------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 11.29 $ 10.39 $ 9.46 $ 9.08 $ 6.72 $ 9.13 ---------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income (loss) 0.00(A) (0.02) 0.03 0.04 0.01 0.01 Net realized and unrealized gains (losses) on investments 1.01 0.96 0.91 0.37 2.37 (2.41) ---------------------------------------------------------------------------------------------------------------------------- Total from investment operations 1.01 0.94 0.94 0.41 2.38 (2.40) ---------------------------------------------------------------------------------------------------------------------------- Dividends from net investment income -- (0.04) (0.01) (0.03) (0.02) (0.01) ---------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 12.30 $ 11.29 $ 10.39 $ 9.46 $ 9.08 $ 6.72 ============================================================================================================================ Total return(B) 8.95%(C) 9.09% 9.91% 4.52% 35.38% (26.32)% ============================================================================================================================ Net assets at end of period (000's) $ 3,969 $ 4,231 $ 1,399 $ 1,675 $ 2,260 $ 920 ============================================================================================================================ Ratio of net expenses to average net assets 1.89%(D) 1.90% 1.75% 1.75% 1.72%(E) 1.74% Ratio of net investment income (loss) to average net assets 0.13%(D) (0.26)% 0.26% 0.41% 0.13%(E) 0.18% Portfolio turnover rate 10%(D) 54% 6% 7% 10% 29%
(A) Amount rounds to less than $0.01 per share. (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 1.75% 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 MONTHS YEAR ENDED SEPT. 30, YEAR ENDED MARCH 31, ENDED DECEMBER 31, 2007 ----------------------------------- MARCH 31, ---------------------- (UNAUDITED) 2007 2006 2005 2004(A) 2003 2002 --------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 22.06 $ 23.26 $ 19.84 $ 17.31 $ 16.53 $ 12.19 $ 16.63 --------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.01) (0.04) (0.02) (0.02) (0.03) (0.07) (0.12) Net realized and unrealized gains (losses) on investments 4.84 (1.16) 3.44 2.55 0.81 4.41 (4.32) --------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 4.83 (1.20) 3.42 2.53 0.78 4.34 (4.44) --------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 26.89 $ 22.06 $ 23.26 $ 19.84 $ 17.31 $ 16.53 $ 12.19 ================================================================================================================================= Total return(B) 21.89%(C) (5.16)% 17.24% 14.62% 4.72%(C) 35.60% (26.70)% ================================================================================================================================= Net assets at end of period (000's) $ 762,079 $ 656,582 $ 838,120 $ 274,121 $ 69,860 $ 62,187 $ 13,831 ================================================================================================================================= Ratio of net expenses to average net assets 1.25%(D) 1.16% 1.17% 1.26% 1.30%(D) 1.39% 1.49% Ratio of net investment loss to average net assets (0.05)%(D) (0.16)% (0.13)% (0.23)% (0.78)%(D) (0.93)% (0.82)% Portfolio turnover 59%(D) 115% 104% 127% 60%(D) 60% 115%
(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. LARGE CAP GROWTH FUND--CLASS B PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS THREE ENDED MONTHS PERIOD SEPT. 30, YEAR ENDED MARCH 31, ENDED ENDED 2007 -------------------------------------- MARCH 31, DECEMBER 31, (UNAUDITED) 2007 2006 2005 2004(A) 2003(B) ---------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 21.46 $ 22.83 $ 19.60 $ 17.24 $ 16.50 $ 15.45 ---------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.09) (0.21) (0.15) (0.12) (0.03) (0.06) Net realized and unrealized gains (losses) on investments 4.84 (1.16) 3.38 2.48 0.77 1.11 ---------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 4.75 (1.37) 3.23 2.36 0.74 1.05 ---------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 26.21 $ 21.46 $ 22.83 $ 19.60 $ 17.24 $ 16.50 ================================================================================================================================== Total return(C) 22.13%(D) (6.00)% 16.48% 13.69% 4.48%(D) 6.80%(D) ================================================================================================================================== Net assets at end of period (000's) $ 31,914 $ 26,669 $ 27,781 $ 10,579 $ 1,897 $ 1,003 ================================================================================================================================== Ratio of net expenses to average net assets 1.99%(E) 2.02% 2.08% 2.25% 2.25%(E) 2.22%(E) Ratio of net investment loss to average net assets (0.76)%(E) (0.98)% (1.02)% (1.23)% (1.71)%(E) (1.80)%(E) Portfolio turnover rate 59%(E) 115% 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. 22 -------------------------------------------------------------------------------- Financial Highlights (Continued) -------------------------------------------------------------------------------- LARGE CAP GROWTH FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS THREE ENDED MONTHS PERIOD SEPT. 30, YEAR ENDED MARCH 31, ENDED ENDED 2007 -------------------------------------- MARCH 31, DECEMBER 31, (UNAUDITED) 2007 2006 2005 2004(A) 2003(B) ---------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 21.52 $ 22.88 $ 19.62 $ 17.24 $ 16.50 $ 15.45 ---------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.09) (0.20) (0.11) (0.08) (0.04) (0.05) Net realized and unrealized gains (losses) on investments 4.84 (1.16) 3.37 2.46 0.78 1.10 ---------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 4.75 (1.36) 3.26 2.38 0.74 1.05 ---------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 26.27 $ 21.52 $ 22.88 $ 19.62 $ 17.24 $ 16.50 ================================================================================================================================== Total return(C) 22.07%(D) (5.94)% 16.62% 13.81% 4.48%(D) 6.80%(D) ================================================================================================================================== Net assets at end of period (000's) $ 224,317 $ 190,261 $ 188,810 $ 48,446 $ 4,310 $ 2,465 ================================================================================================================================== Ratio of net expenses to average net assets 2.00%(E) 1.95% 1.98% 2.03% 2.25%(E) 2.21%(E) Ratio of net investment loss to average net assets (0.77)%(E) (0.92)% (0.93)% (0.97)% (1.70)%(E) (1.78)%(E) Portfolio turnover rate 59%(E) 115% 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 Y PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED PERIOD SEPT. 30, MARCH 31, ENDED 2007 ------------------------ MARCH 31, (UNAUDITED) 2007 2006 2005(A) ------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 22.19 $ 23.33 $ 19.86 $ 18.34 ------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income 0.01 0.06 0.03 0.01 Net realized and unrealized gains (losses) on investments 4.85 (1.20) 3.44 1.51 ------------------------------------------------------------------------------------------------------------------ Total from investment operations 4.86 (1.14) 3.47 1.52 ------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 27.05 $ 22.19 $ 23.33 $ 19.86 ================================================================================================================== Total return 21.90%(B) (4.89)% 17.47% 8.29%(B) ================================================================================================================== Net assets at end of period (000's) $ 28,276 $ 40,044 $ 66,655 $ 43,279 ================================================================================================================== Ratio of net expenses to average net assets 1.00%(C) 0.90% 0.93% 1.01%(C) Ratio of net investment income to average net assets 0.03%(C) 0.13% 0.12% 0.21%(C) Portfolio turnover rate 59%(C) 115% 104% 127%(C)
(A) Represents the period from commencement of operations (November 10, 2004) through March 31, 2005. (B) Not annualized. (C) Annualized. See accompanying notes to financial statements. 23 -------------------------------------------------------------------------------- Financial Highlights (Continued) -------------------------------------------------------------------------------- LARGE CAP VALUE FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR PERIOD SEPT. 30, ENDED ENDED 2007 MARCH 31, MARCH 31, (UNAUDITED) 2007 2006(A) ------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 11.15 $ 10.19 $ 10.00 ------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income 0.04 0.04 0.01 Net realized and unrealized gains (losses) on investments (0.91) 1.19 0.18 ------------------------------------------------------------------------------------------------------------ Total from investment operations (0.87) 1.23 0.19 ------------------------------------------------------------------------------------------------------------ Less distributions: Dividends from net investment income -- (0.04) -- Distributions from net realized gains -- (0.23) -- ------------------------------------------------------------------------------------------------------------ Total distributions -- (0.27) -- ------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 10.28 $ 11.15 $ 10.19 ============================================================================================================ Total return(B) (7.80)%(C) 12.12% 1.90%(C) ============================================================================================================ Net assets at end of period (000's) $ 35,289 $ 29,609 $ 11,684 ============================================================================================================ Ratio of net expenses to average net assets 1.35%(D) 1.35% 1.30%(D) Ratio of net investment income to average net assets 0.92%(D) 0.55% 1.34%(D) Portfolio turnover rate 58%(D) 57% 68%(D)
(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. (C) Not annualized. (D) Annualized. See accompanying notes to financial statements. 24 -------------------------------------------------------------------------------- Financial Highlights (Continued) -------------------------------------------------------------------------------- LARGE CAP VALUE FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR PERIOD SEPT. 30, ENDED ENDED 2007 MARCH 31, MARCH 31, (UNAUDITED) 2007 2006(A) --------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 11.09 $ 10.18 $ 10.00 --------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income (loss) 0.01 (0.01) 0.00 (B) Net realized and unrealized gains (losses) on investments (0.91) 1.17 0.18 --------------------------------------------------------------------------------------------------------- Total from investment operations (0.90) 1.16 0.18 --------------------------------------------------------------------------------------------------------- Less distributions: Dividends from net investment income -- (0.01) -- Distributions from net realized gains -- (0.24) -- --------------------------------------------------------------------------------------------------------- Total distributions -- (0.25) -- --------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 10.19 $ 11.09 $ 10.18 ========================================================================================================= Total return(C) (8.12)%(D) 11.37% 1.80%(D) ========================================================================================================= Net assets at end of period (000's) $ 18,934 $ 15,220 $ 561 ========================================================================================================= Ratio of net expenses to average net assets 2.10%(E) 2.10% 1.89%(E) Ratio of net investment income (loss) to average net assets 0.17%(E) (0.27)% 0.25%(E) Portfolio turnover rate 58%(E) 57% 68%(E)
(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. (D) Not annualized. (E) 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 PERIOD SEPT. 30, YEAR ENDED MARCH 31, ENDED 2007 -------------------------- MARCH 31, (UNAUDITED) 2007 2006 2005(A) ------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 12.98 $ 13.50 $ 11.07 $ 10.00 ------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.08) (0.20) (0.10) (0.06) Net realized and unrealized gains (losses) on investments 0.50 (0.32) 2.53 1.13 ------------------------------------------------------------------------------------------------------------------------ Total from investment operations 0.42 (0.52) 2.43 1.07 ------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 13.40 $ 12.98 $ 13.50 $ 11.07 ======================================================================================================================== Total return(B) 3.24%(C) (3.85)% 21.95% 10.70%(C) ======================================================================================================================== Net assets at end of period (000's) $ 39,775 $ 45,536 $ 61,915 $ 32,378 ======================================================================================================================== Ratio of net expenses to average net assets 1.95%(D) 1.95% 1.95% 1.95%(D) Ratio of net investment loss to average net assets (1.06)%(D) (1.32)% (1.08)% (1.27)%(D) Portfolio turnover rate 102%(D) 91% 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 PERIOD SEPT. 30, YEAR ENDED MARCH 31, ENDED 2007 -------------------------- MARCH 31, (UNAUDITED) 2007 2006 2005(A) ------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 12.72 $ 13.33 $ 11.01 $ 10.00 ------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.13) (0.30) (0.17) (0.08) Net realized and unrealized gains (losses) on investments 0.49 (0.31) 2.49 1.09 ------------------------------------------------------------------------------------------------------------------------ Total from investment operations 0.36 (0.61) 2.32 1.01 ------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 13.08 $ 12.72 $ 13.33 $ 11.01 ======================================================================================================================== Total return(B) 2.83%(C) (4.58)% 21.07% 10.10%(C) ======================================================================================================================== Net assets at end of period (000's) $ 23,029 $ 26,062 $ 33,310 $ 16,224 ======================================================================================================================== Ratio of net expenses to average net assets 2.70%(D) 2.70% 2.70% 2.70%(D) Ratio of net investment loss to average net assets (1.81)%(D) (2.07)% (1.84)% (2.07)%(D) Portfolio turnover rate 102%(D) 91% 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 -------------------------------------------------------------------------------- Financial Highlights (Continued) -------------------------------------------------------------------------------- MICRO CAP GROWTH FUND--CLASS Y PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS ENDED PERIOD SEPT. 30, YEAR ENDED MARCH 31, ENDED 2007 -------------------------- MARCH 31, (UNAUDITED) 2007 2006 2005(A) ------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 13.21 $ 13.70 $ 11.16 $ 9.89 ------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.06) (0.21) (0.03) (0.13) Net realized and unrealized gains (losses) on investments 0.50 (0.28) 2.57 1.40 ------------------------------------------------------------------------------------------------------------------------ Total from investment operations 0.44 (0.49) 2.54 1.27 ------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 13.65 $ 13.21 $ 13.70 $ 11.16 ======================================================================================================================== Total return 3.33%(B) (3.58)% 22.76% 12.84%(B) ======================================================================================================================== Net assets at end of period (000's) $ 520 $ 440 $ 676 $ --(C) ======================================================================================================================== Ratio of net expenses to average net assets 1.70%(D) 1.70% 1.55% 1.55%(D) Ratio of net investment loss to average net assets (0.77)%(D) (1.05)% (0.77)% (2.34)%(D) Portfolio turnover rate 102%(D) 91% 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. 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, 2007 --------------------------------------------------------------------- (UNAUDITED) 2007 2006 2005 2004 2003 ------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 24.17 $ 24.02 $ 21.42 $ 21.73 $ 13.89 $ 19.52 ------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.08) (0.14) (0.12) (0.16) (0.13) (0.14) Net realized and unrealized gains (losses) on investments 2.21 2.20 4.70 1.03 7.97 (5.29) ------------------------------------------------------------------------------------------------------------------------------ Total from investment operations 2.13 2.06 4.58 0.87 7.84 (5.43) ------------------------------------------------------------------------------------------------------------------------------ Distributions from net realized gains -- (1.91) (1.98) (1.18) -- (0.20) ------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 26.30 $ 24.17 $ 24.02 $ 21.42 $ 21.73 $ 13.89 ============================================================================================================================== Total return(A) 8.81%(B) 8.84% 22.21% 4.13% 56.44% (27.90)% ============================================================================================================================== Net assets at end of period (000's) $ 766,620 $ 713,666 $ 639,501 $ 574,855 $ 458,524 $ 153,247 ============================================================================================================================== Ratio of net expenses to average net assets 1.44%(C) 1.50% 1.50% 1.50% 1.49%(D) 1.50% Ratio of net investment loss to average net assets (0.65)%(C) (0.66)% (0.57)% (0.84)% (0.93)%(D) (1.07)% Portfolio turnover 64%(C) 58% 69% 85% 79% 62%
(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. 27 -------------------------------------------------------------------------------- Financial Highlights (Continued) -------------------------------------------------------------------------------- MID CAP GROWTH FUND--CLASS B PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2007 --------------------------------------------------------------------- (UNAUDITED) 2007 2006 2005 2004 2003 ------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 21.25 $ 21.49 $ 19.50 $ 20.03 $ 12.53 $ 18.25 ------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.17) (0.30) (0.26) (0.29) (0.25) (0.14) Net realized and unrealized gains (losses) on investments 1.95 1.97 4.23 0.94 7.75 (5.38) ------------------------------------------------------------------------------------------------------------------------------ Total from investment operations 1.78 1.67 3.97 0.65 7.50 (5.52) ------------------------------------------------------------------------------------------------------------------------------ Distributions from net realized gains -- (1.91) (1.98) (1.18) -- (0.20) ------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 23.03 $ 21.25 $ 21.49 $ 19.50 $ 20.03 $ 12.53 ============================================================================================================================== Total return(A) 8.38%(B) 8.04% 21.24% 3.37% 59.86% (30.34)% ============================================================================================================================== Net assets at end of period (000's) $ 76,079 $ 74,935 $ 79,552 $ 71,879 $ 64,918 $ 26,226 ============================================================================================================================== Ratio of net expenses to average net assets 2.25%(C) 2.25% 2.25% 2.25% 2.24%(D) 2.25% Ratio of net investment loss to average net assets (1.46)%(C) (1.42)% (1.32)% (1.60)% (1.68)%(D) (1.77)% Portfolio turnover rate 64%(C) 58% 69% 85% 79% 62%
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. (D) 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)%. 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, 2007 --------------------------------------------------------------------- (UNAUDITED) 2007 2006 2005 2004 2003 ------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 21.27 $ 21.51 $ 19.51 $ 20.04 $ 12.55 $ 18.26 ------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.17) (0.28) (0.25) (0.30) (0.23) (0.13) Net realized and unrealized gains (losses) on investments 1.96 1.95 4.23 0.95 7.72 (5.38) ------------------------------------------------------------------------------------------------------------------------------ Total from investment operations 1.79 1.67 3.98 0.65 7.49 (5.51) ------------------------------------------------------------------------------------------------------------------------------ Distributions from net realized gains -- (1.91) (1.98) (1.18) -- (0.20) ------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 23.06 $ 21.27 $ 21.51 $ 19.51 $ 20.04 $ 12.55 ============================================================================================================================== Total return(A) 8.42%(B) 8.04% 21.28% 3.36% 59.68% (30.27)% ============================================================================================================================== Net assets at end of period (000's) $ 361,955 $ 345,997 $ 327,867 $ 284,966 $ 252,021 $ 97,743 ============================================================================================================================== Ratio of net expenses to average net assets 2.23%(C) 2.25% 2.25% 2.25% 2.24%(D) 2.25% Ratio of net investment loss to average net assets (1.44)%(C) (1.41)% (1.32)% (1.60)% (1.68)%(D) (1.77)% Portfolio turnover 64%(C) 58% 69% 85% 79% 62%
(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. 28 Financial Highlights (Continued) 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 2007 ---------------------------------------------------- MARCH 31, (UNAUDITED) 2007 2006 2005 2004 2003(A) ------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 16.62 $ 18.37 $ 15.25 $ 16.05 $ 9.78 $ 10.00 ------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.07) (0.20) (0.18) (0.25) (0.14) (0.06) Net realized and unrealized gains (losses) on investments 1.08 (1.55) 3.30 (0.14) 6.78 (0.16) ------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 1.01 (1.75) 3.12 (0.39) 6.64 (0.22) ------------------------------------------------------------------------------------------------------------------------------- Distributions from net realized gains -- -- -- (0.41) (0.37) -- ------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 17.63 $ 16.62 $ 18.37 $ 15.25 $ 16.05 $ 9.78 =============================================================================================================================== Total return(B) 6.08%(C) (9.53)% 20.46% (2.43)% 68.02% (2.20)%(C) =============================================================================================================================== Net assets at end of period (000's) $ 19,105 $ 32,662 $ 48,697 $ 37,675 $ 53,064 $ 15,230 =============================================================================================================================== Ratio of net expenses to average net assets 1.70%(D) 1.90% 1.95% 1.95% 1.89%(E) 1.95%(D) Ratio of net investment loss to average net assets (0.75)%(D) (1.00)% (1.18)% (1.40)% (1.34)%(E) (1.61)%(D) Portfolio turnover 249%(D) 243% 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)%. 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 2007 ---------------------------------------------------- MARCH 31, (UNAUDITED) 2007 2006 2005 2004 2003(A) ------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 16.13 $ 17.99 $ 14.99 $ 15.90 $ 9.75 $ 10.00 ------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.13) (0.41) (0.31) (0.29) (0.21) (0.06) Net realized and unrealized gains (losses) on investments 1.09 (1.45) 3.31 (0.21) 6.73 (0.19) ------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 0.96 (1.86) 3.00 (0.50) 6.52 (0.25) ------------------------------------------------------------------------------------------------------------------------------- Distributions from net realized gains -- -- -- (0.41) (0.37) -- ------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 17.09 $ 16.13 $ 17.99 $ 14.99 $ 15.90 $ 9.75 =============================================================================================================================== Total return(B) 5.95%(C) (10.34)% 20.01% (3.15)% 66.99% (2.50)%(C) =============================================================================================================================== Net assets at end of period (000's) $ 4,037 $ 4,876 $ 9,858 $ 8,908 $ 7,831 $ 1,399 =============================================================================================================================== Ratio of net expenses to average net assets 2.45%(D) 2.66% 2.70% 2.70% 2.63%(E) 2.69%(D) Ratio of net investment loss to average net assets (1.42)%(D) (1.75)% (1.92)% (2.13)% (2.09)%(E) (2.38)%(D) Portfolio turnover 249%(D) 243% 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. 29 -------------------------------------------------------------------------------- Financial Highlights (Continued) -------------------------------------------------------------------------------- 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 2007 ---------------------------------------------------- MARCH 31, (UNAUDITED) 2007 2006 2005 2004 2003(A) ------------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 16.15 $ 18.01 $ 15.00 $ 15.91 $ 9.74 $ 10.00 ------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.13) (0.47) (0.32) (0.29) (0.21) (0.07) Net realized and unrealized gains (losses) on investments 1.08 (1.39) 3.33 (0.21) 6.75 (0.19) ------------------------------------------------------------------------------------------------------------------------------- Total from investment operations 0.95 (1.86) 3.01 (0.50) 6.54 (0.26) ------------------------------------------------------------------------------------------------------------------------------- Distributions from net realized gains -- -- -- (0.41) (0.37) -- ------------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 17.10 $ 16.15 $ 18.01 $ 15.00 $ 15.91 $ 9.74 =============================================================================================================================== Total return(B) 5.88%(C) (10.33)% 20.07% (3.15)% 67.26% (2.60)%(C) =============================================================================================================================== Net assets at end of period (000's) $ 6,724 $ 8,728 $ 20,964 $ 18,776 $ 14,596 $ 3,029 =============================================================================================================================== Ratio of net expenses to average net assets 2.45%(D) 2.67% 2.70% 2.70% 2.63%(E) 2.69%(D) Ratio of net investment loss to average net assets (1.42)%(D) (1.77)% (1.92)% (2.12)% (2.09)%(E) (2.39)%(D) Portfolio turnover 249%(D) 243% 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)%. SMALL CAP GROWTH FUND--CLASS Y PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS ENDED PERIOD SEPT. 30, YEAR ENDED MARCH 31, ENDED 2007 -------------------------- MARCH 31, (UNAUDITED) 2007 2006 2005(A) --------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 16.82 $ 18.49 $ 15.31 $ 15.37 --------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment loss (0.02) (1.24) (0.07) (0.05) Net realized and unrealized gains (losses) on investments 1.06 (0.43) 3.25 0.40 --------------------------------------------------------------------------------------------------------------------------- Total from investment operations 1.04 (1.67) 3.18 0.35 --------------------------------------------------------------------------------------------------------------------------- Distributions from net realized gains -- -- -- (0.41) --------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 17.86 $ 16.82 $ 18.49 $ 15.31 =========================================================================================================================== Total return 6.18%(B) (9.03)% 20.77% 2.29%(B) =========================================================================================================================== Net assets at end of period (000's) $ 13,467 $ 16,006 $ 350,323 $ 82,846 =========================================================================================================================== Ratio of net expenses to average net assets 1.30%(C) 1.55% 1.55% 1.55%(C) Ratio of net investment loss to average net assets (0.31)%(C) (0.82)% (0.77)% (0.95)%(C) Portfolio turnover 249%(C) 243% 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. 30 -------------------------------------------------------------------------------- Notes to Financial Statements September 30, 2007 (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 Funds are registered to offer different classes of shares: Class A shares, Class B shares, Class C shares, and Class Y shares. The assets of each Fund are segregated, and a shareholder's interest is limited to the Fund in which shares are held. The Funds' prospectus provides a description of each Fund's investment objectives, policies, and strategies along with information on the classes of shares currently being offered. The 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 (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). The Diversified Small Cap Growth Fund, 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 Diversified Small Cap Growth Fund and 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 Y shares (sold without a distribution fee or sales charge, but offered only through selected dealers and subject to a higher minimum initial investment) of Diversified Small Cap Growth Fund and 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 Y shares (all described above). Each Class A, Class B, Class C and Class Y 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 Y shares; (ii) certain other class specific expenses will be borne solely by the class to which such expenses are attributable; and (iii) each class has exclusive voting rights with respect to matters relating to its own distribution arrangements. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of the Funds' significant accounting policies: SECURITY VALUATION -- The Funds' portfolio securities are valued as of the close of the regular session of trading on the New York Stock Exchange (currently 4:00 p.m., Eastern time). Portfolio securities traded on stock exchanges 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. 31 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- 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, 2007, 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. As of September 30, 2007, the following Funds loaned common stocks and received collateral as follows: MARKET VALUE VALUE OF OF COMMON COLLATERAL STOCKS LOANED RECEIVED -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ 2,345,091 $ 2,438,724 Growth Opportunities Fund $ 4,962,188 $ 5,156,829 Large Cap Growth Fund $ 89,295,931 $ 91,658,870 Large Cap Value Fund $ 7,971,872 $ 8,308,475 Micro Cap Growth Fund $ 11,327,032 $ 11,895,053 Mid Cap Growth Fund $ 114,679,790 $ 117,374,028 Small Cap Growth Fund $ 327,255 $ 374,855 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. 32 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- 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 Y 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. 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. GAAP 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 continue 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. 33 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- The tax character of distributions paid for the periods ended March 31, 2007 and 2006 was as follows:
DIVERSIFIED GROWTH LARGE CAP SMALL CAP GROWTH OPPORTUNITIES CORE EQUITY FUND FUND FUND --------------------------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, 2007(A) 2007 2006 2007 2006 --------------------------------------------------------------------------------------------- From ordinary income $ -- $ -- $ -- $ 623,902 $ 20,159 ---------------------------------------------------------------------------------------------
LARGE CAP GROWTH LARGE CAP VALUE MICRO CAP GROWTH FUND FUND FUND ------------------------------------------------------------------------------------------------------ YEAR YEAR YEAR PERIOD YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, 2007 2006 2007 2006(B) 2007 2006 ------------------------------------------------------------------------------------------------------ From ordinary income $ -- $ -- $ 772,101 $ -- $ -- $ -- ------------------------------------------------------------------------------------------------------
(A) Represents the period from commencement of operations (September 6, 2006) through March 31, 2007. (B) Represents the period from commencement of operations (March 6, 2006) through March 31, 2006.
MID CAP GROWTH SMALL CAP GROWTH FUND FUND ---------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED MARCH 31, MARCH 31, MARCH 31, MARCH 31, 2007 2006 2007 2006 ---------------------------------------------------------------------------------------- From ordinary income $ 12,124,355 $ 15,608,776 $ -- $ -- From long-term capital gains 75,069,975 67,044,251 -- -- ---------------------------------------------------------------------------------------- $ 87,194,330 $ 82,653,027 $ -- $ -- ----------------------------------------------------------------------------------------
The following information is computed on a tax basis for each item as of March 31, 2007:
DIVERSIFIED SMALL CAP GROWTH LARGE CAP LARGE CAP GROWTH OPPORTUNITIES CORE EQUITY GROWTH FUND FUND FUND FUND ---------------------------------------------------------------------------------------------------- Tax cost of portfolio investments $ 11,002,297 $ 51,576,684 $ 87,524,886 $ 842,613,158 ---------------------------------------------------------------------------------------------------- Gross unrealized appreciation 1,568,161 5,802,894 13,153,397 145,641,489 Gross unrealized depreciation (285,558) (646,036) (1,364,731) (8,828,972) ---------------------------------------------------------------------------------------------------- Net unrealized appreciation 1,282,603 5,156,858 11,788,666 136,812,517 Undistributed long-term capital gains -- -- 1,355,743 -- Capital loss carryforward -- (47,848,505) -- (105,035,430) Undistributed ordinary income 367,828 -- 224,747 -- ---------------------------------------------------------------------------------------------------- Accumulated earnings (deficit) $ 1,650,431 $ (42,691,647) $ 13,369,156 $ 31,777,087 ====================================================================================================
34 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) --------------------------------------------------------------------------------
LARGE CAP MICRO CAP MID CAP SMALL CAP VALUE GROWTH GROWTH GROWTH FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------ Tax cost of portfolio investments $ 46,615,633 $ 70,379,516 $ 1,078,539,100 $ 70,059,250 ------------------------------------------------------------------------------------------------------------ Gross unrealized appreciation 3,111,554 22,900,634 222,380,711 11,030,845 Gross unrealized depreciation (1,470,659) (1,776,617) (19,229,578) (1,927,371) ------------------------------------------------------------------------------------------------------------ Net unrealized appreciation 1,640,895 21,124,017 203,151,133 9,103,474 Capital loss carryforward -- (6,713,936) -- (21,006,988) Undistributed ordinary income 962,205 -- 7,168,602 -- Undistributed long-term capital gains 90,492 -- 15,104,843 -- ------------------------------------------------------------------------------------------------------------ Accumulated earnings (deficit) $ 2,693,592 $ 14,410,081 $ 225,424,578 $ (11,903,514) ============================================================================================================
The difference between the tax cost of portfolio investments and the financial statement cost is primarily due to wash sales. As of March 31, 2007, the Funds had the following capital loss carryforwards for federal income tax purposes. EXPIRES FUND AMOUNT MARCH 31, -------------------------------------------------------------------------------- Growth Opportunities Fund $ 6,800,899 2010 21,975,058 2011 17,098,132 2012 1,974,416 2013 ------------ $ 47,848,505 ============ Large Cap Growth Fund* $ 12,837,110 2009 2,396,670 2010 7,655,647 2011 3,322,314 2012 1,798,659 2013 77,025,030 2015 ------------ $105,035,430 ============ Micro Cap Growth Fund $ 1,123,992 2013 1,673,731 2014 3,916,213 2015 ------------ $ 6,713,936 ============ Small Cap Growth Fund $ 1,422,586 2013 19,584,402 2015 ------------ $ 21,006,988 ============ -------------------------------------------------------------------------------- * A portion of these capital loss carryforwards may be limited under tax regulations. The capital loss carryforwards may be utilized in future years to offset net realized capital gains, if any, prior to distributing such gains to shareholders. During the year ended March 31, 2007, the funds utilized capital loss carryforwards as follows: AMOUNT -------------------------------------------------------------------------------- Growth Opportunities Fund $ 6,337,679 Large Cap Core Equity Fund $ 2,824,084 -------------------------------------------------------------------------------- 35 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- Certain reclassifications, the result of permanent differences between financial statement and income tax reporting requirements have been made to the components of capital. These reclassifications have no impact on the net assets or net asset value per share of the Funds and are designed to present the Funds' capital accounts on a tax basis. The following reclassifications of net investment loss have been made to the following Funds for the year ended March 31, 2007: ACCUMULATED ACCUMULATED PAID-IN NET INVESTMENT NET REALIZED CAPITAL INCOME (LOSS) GAINS (LOSSES) -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ -- $ 63,303 $ (63,303) Growth Opportunities Fund (992,944) 992,944 -- Large Cap Growth Fund (3,283,598) 3,283,598 -- Micro Cap Growth Fund (1,310,460) 1,310,460 -- Mid Cap Growth Fund -- 10,024,153 (10,024,153) Small Cap Growth Fund (1,945,258) 1,945,258 -- -------------------------------------------------------------------------------- For the six months ended September 30, 2007, the Trust had the following federal tax cost resulting in net unrealized appreciation (depreciation) as follows:
-------------------------------------------------------------------------------------------------- GROSS GROSS NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) -------------------------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ 14,456,070 $ 2,377,255 $ (465,583) $ 1,911,672 Growth Opportunities Fund $ 49,071,617 $ 11,015,033 $ (1,397,993) $ 9,617,040 Large Cap Core Equity Fund $ 87,400,348 $ 20,332,324 $ (1,457,788) $ 18,874,536 Large Cap Growth Fund $ 851,477,145 $ 295,179,686 $ (8,729,477) $ 286,450,209 Large Cap Value Fund $ 68,704,259 $ 3,040,768 $ (8,483,318) $ (5,442,550) Micro Cap Growth Fund $ 56,470,135 $ 20,288,832 $ (1,357,225) $ 18,931,607 Mid Cap Growth Fund $1,109,216,138 $ 250,900,661 $ (37,883,741) $ 213,016,920 Small Cap Growth Fund $ 41,966,119 $ 4,224,257 $ (1,173,616) $ 3,050,641 --------------------------------------------------------------------------------------------------
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 has determined that the Funds do not have any uncertain tax positions as of September 30, 2007. 36 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- 3. INVESTMENT TRANSACTIONS Investment transactions (excluding short-term investments and U.S. Government securities) were as follows for the six months ended September 30, 2007:
DIVERSIFIED SMALL CAP GROWTH LARGE CAP LARGE CAP GROWTH OPPORTUNITIES CORE EQUITY GROWTH FUND FUND FUND FUND -------------------------------------------------------------------------------------------------------------- Purchases of investment securities $ 5,478,693 $ 19,978,854 $ 5,204,799 $ 277,213,054 Proceeds from sales and maturities $ 5,243,602 $ 25,694,027 $ 7,397,968 $ 352,534,483 --------------------------------------------------------------------------------------------------------------
LARGE CAP MICRO CAP MID CAP SMALL CAP VALUE GROWTH GROWTH GROWTH FUND FUND FUND FUND ---------------------------------------------------------------------------------------------- Purchases of investment securities $ 30,270,473 $ 34,729,425 $375,179,407 $ 60,948,275 Proceeds from sales and maturities $ 13,580,957 $ 46,259,504 $407,352,487 $ 84,125,300 ----------------------------------------------------------------------------------------------
4. TRANSACTIONS WITH AFFILIATES MANAGEMENT AGREEMENTS Touchstone Advisors, Inc. (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 $900 million 0.75% of such assets in excess of $1 billion ----------------------------------------------------------------------------------- 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% -----------------------------------------------------------------------------------
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 and Small Cap Growth Fund. 37 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- Westfield Capital Management Company, LLC (Westfield) has been retained by the Advisor to manage the investments of the Growth Opportunities Fund and a portion of the investments of the Mid Cap Growth 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) has been retained by the Advisor to manage a portion of the investments of the Mid Cap Growth Fund. ADMINISTRATION AND ACCOUNTING SERVICES AGREEMENT The Advisor entered into an Administration and Accounting Services Agreement with the Trust, whereby the Advisor is responsible for supplying 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, materials for meetings of the Board of Trustees, calculating the daily net asset value per share and maintaining the financial books and record of each Fund. For its services, the Advisor receives an annual fee of 0.20% of the aggregate average daily net assets of the Trust, Touchstone Funds Group Trust, Touchstone Tax-Free Trust, and Touchstone Investment Trust (excluding Institutional Money Market Fund) up to and including $6 billion; 0.16% of the next $4 billion of aggregate average daily net assets; and 0.12% of the aggregate average daily net assets of all such assets in excess of $10 billion. The fee is allocated among the Funds on the basis of relative daily net assets. The Advisor has engaged JPMorgan Chase Bank, N.A. (JPMorgan) as the Sub-Administrator to the Trust. JPMorgan provides administrative and accounting services to the Trust and is compensated directly by the Advisor, not the Trust. EXPENSE LIMITATION AGREEMENT The Trust and the Advisor have entered into an Expense Limitation Agreement to contractually limit operating expenses of 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. The maximum operating expense limit in any year with respect to the Funds is based on a percentage of the average daily net assets of the Funds. The Advisor has agreed to waive advisory fees and reimburse expenses in order to maintain expense limitations for the Funds as follows through January 1, 2008: CLASS A CLASS B CLASS C CLASS Y -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund 1.40% -- 2.15% 1.15% Growth Opportunities Fund 1.55% 2.30% 2.30% -- Large Cap Core Equity Fund 1.15% -- 1.90% -- Large Cap Growth Fund 1.25% 2.00% 2.00% 1.00% 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 1.70% 2.45% 2.45% 1.30% -------------------------------------------------------------------------------- 38 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- For the six months ended September 30, 2007, the Advisor waived investment advisory fees, administration fees, and/or reimbursed expenses as follows:
INVESTMENT OTHER OPERATING ADVISORY ADMINISTRATION EXPENSES FEES WAIVED FEES WAIVED REIMBURSED ------------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ 22,736 $ 13,227 $ 8,210 Growth Opportunities Fund $ -- $ 51,771 $ 91,203 Large Cap Core Equity Fund $ -- $ 57,810 $ -- Large Cap Growth Fund $ -- $ 605,772 $ -- Large Cap Value Fund $ -- $ 21,113 $ -- Micro Cap Growth Fund $ -- $ 69,684 $ 2,215 Mid Cap Growth Fund $ -- $ 8,146 $ -- Small Cap Growth Fund $ 132,780 $ 50,886 $ 91,593 -------------------------------------------------------------------------------------
TRANSFER AGENT AGREEMENT Under the terms of the Transfer Agent Agreement between the Trust and JPMorgan, JPMorgan 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, JPMorgan receives a monthly fee per shareholder account from each Fund. In addition, each Fund pays JPMorgan out-of-pocket expenses including, but not limited to, postage and supplies. For the six months ended September 30, 2007, the following Funds reimbursed the Advisor for amounts paid to third parties that provide sub-transfer agency and other administrative services to the Funds. These amounts are included in transfer agent fees on the Statements of Operations: AMOUNT -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ 3 Growth Opportunities Fund $ 3,257 Large Cap Core Equity Fund $ 626 Large Cap Growth Fund $234,506 Large Cap Value Fund $ 1,867 Micro Cap Growth Fund $ 19,520 Mid Cap Growth Fund $175,631 Small Cap Growth Fund $ 10,595 UNDERWRITING AGREEMENT Touchstone Securities, Inc. (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, 2007: Diversified Small Cap Growth Fund $ 809 Growth Opportunities Fund $ 3,416 Large Cap Core Equity Fund $ 1,793 Large Cap Growth Fund $36,123 Large Cap Value Fund $12,981 Micro Cap Growth Fund $ 2,550 Mid Cap Growth Fund $58,023 Small Cap Growth Fund $ 1,697 39 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- 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, 2007: Growth Opportunities Fund $ 2,817 Large Cap Core Equity Fund $ 26 Large Cap Growth Fund $39,599 Large Cap Value Fund $ 2,156 Micro Cap Growth Fund $ 517 Mid Cap Growth Fund $66,112 Small Cap Growth Fund $14,981 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. COMPLIANCE SERVICES AGREEMENT Under the terms of the Compliance Services Agreement between the Trust and JPMorgan, JPMorgan provides certain compliance services to the Trust for a fee, including developing and assisting in implementing a compliance program for JPMorgan on behalf of the Funds and providing administrative support services to the Funds' Compliance Program and Chief Compliance Officer. AFFILIATED INVESTMENTS 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, 2007, is noted below:
SHARE ACTIVITY ---------------------------------------------------------- BALANCE BALANCE VALUE 3/31/07 PURCHASES SALES 09/30/07 DIVIDENDS 09/30/07 ---------------------------------------------------------------------------------------------------------------------------- Diversified Small Cap Growth Fund 366,382 1,974,988 (2,103,149) 238,221 $ 3,582 $ 238,221 ---------------------------------------------------------------------------------------------------------------------------- Growth Opportunities Fund -- 12,815,571 (11,158,512) 1,657,059 $ 16,977 $ 1,657,059 ---------------------------------------------------------------------------------------------------------------------------- Large Cap Core Equity Fund 919,264 5,700,149 (5,232,553) 1,386,860 $ 35,706 $ 1,386,860 ---------------------------------------------------------------------------------------------------------------------------- Large Cap Growth Fund 6,377,780 189,716,619 (173,680,871) 22,413,528 $ 238,812 $ 22,413,528 ---------------------------------------------------------------------------------------------------------------------------- Large Cap Value Fund 5,195,264 26,976,306 (27,704,953) 4,466,617 $ 162,981 $ 4,466,617 ---------------------------------------------------------------------------------------------------------------------------- Micro Cap Growth Fund 329,258 17,002,012 (16,875,064) 456,206 $ 21,033 $ 456,206 ---------------------------------------------------------------------------------------------------------------------------- Mid Cap Growth Fund 25,143,633 295,990,635 (299,673,157) 21,461,111 $ 724,472 $ 21,461,111 ---------------------------------------------------------------------------------------------------------------------------- Small Cap Growth Fund 1,217,649 33,734,309 (32,074,906) 2,877,052 $ 37,344 $ 2,877,052 ----------------------------------------------------------------------------------------------------------------------------
As of September 30, 2007, 95% of the Diversified Small Cap Growth Fund was owned by The Western and Southern Life Insurance Company (Western-Southern) and 61% of the Large Cap Core Equity Fund was owned by Western-Southern and subsidiaries. 40 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- 5. CAPITAL SHARE TRANSACTIONS Proceeds and payments on capital shares as shown in the Statements of Changes in Net Assets are the result of the following capital share transactions for the periods shown:
DIVERSIFIED SMALL CAP GROWTH GROWTH FUND OPPORTUNITIES FUND ---------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED PERIOD ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2007 MARCH 31, 2007 MARCH 31, (UNAUDITED)(A) 2007(B) (UNAUDITED) 2007 ---------------------------------------------------------------------------------------------------------------------- CLASS A Shares sold 44,868 502,422 153,676 479,372 Shares redeemed (16,849) (126) (294,602) (3,300,859) ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding 28,019 502,296 (140,926) (2,821,487) Shares outstanding, beginning of period 502,296 -- 1,721,895 4,543,382 ---------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period 530,315 502,296 1,580,969 1,721,895 ====================================================================================================================== CLASS B Shares sold -- -- 2,214 9,619 Shares redeemed -- -- (14,539) (49,965) ---------------------------------------------------------------------------------------------------------------------- Net decrease in shares outstanding -- -- (12,325) (40,346) Shares outstanding, beginning of period -- -- 118,059 158,405 ---------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period -- -- 105,734 118,059 ====================================================================================================================== CLASS C Shares sold 201 -- 24,973 60,809 Shares redeemed -- -- (74,314) (539,695) ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding 201 -- (49,341) (478,886) Shares outstanding, beginning of period -- -- 609,249 1,088,135 ---------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period 201 -- 559,908 609,249 ====================================================================================================================== CLASS Y Shares sold 1,168 525,756 -- -- Shares redeemed -- -- -- -- ---------------------------------------------------------------------------------------------------------------------- Net increase in shares outstanding 1,168 525,756 -- -- Shares outstanding, beginning of period 525,756 -- -- -- ---------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period 526,924 525,756 -- -- ======================================================================================================================
(A) Class C represents the period from commencement of operations (August 1, 2007) through September 30, 2007. (B) Represents the period from commencement of operations (September 6, 2006) through March 31, 2007. 41 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) --------------------------------------------------------------------------------
LARGE CAP LARGE CAP CORE EQUITY FUND GROWTH FUND ------------------------------------------------------------------------------------------------------------------------ SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2007 MARCH 31, 2007 MARCH 31, (UNAUDITED) 2007 (UNAUDITED) 2007 ------------------------------------------------------------------------------------------------------------------------ CLASS A Shares sold 155,430 432,754 3,641,012 16,290,197 Shares reinvested -- 55,289 -- -- Shares issued in connection with acquisition -- 7,087,773 -- -- Shares redeemed (301,406) (1,649,000) (5,066,868) (22,561,064) ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in shares outstanding (145,976) 5,926,816 (1,425,856) (6,270,867) Shares outstanding, beginning of period 8,376,042 2,449,226 29,765,231 36,036,098 ------------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period 8,230,066 8,376,042 28,339,375 29,765,231 ======================================================================================================================== CLASS B Shares sold -- 10,252 52,174 309,413 Shares reinvested -- 563 -- -- Shares redeemed -- (176,272) (77,231) (283,496) ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in shares outstanding -- (165,457) (25,057) 25,917 Shares outstanding, beginning of period -- 165,457 1,242,631 1,216,714 ------------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period -- -- 1,217,574 1,242,631 ======================================================================================================================== CLASS C Shares sold 16,604 182,151 910,106 3,574,684 Shares reinvested -- 416 -- -- Shares issued in connection with acquisition -- 167,611 -- -- Shares redeemed (68,493) (110,206) (1,211,639) (2,986,377) ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in shares outstanding (51,889) 239,972 (301,533) 588,307 Shares outstanding, beginning of period 374,595 134,623 8,840,516 8,252,209 ------------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period 322,706 374,595 8,538,983 8,840,516 ======================================================================================================================== CLASS Y Shares sold -- -- 281,959 2,101,975 Shares redeemed -- -- (1,041,534) (3,154,025) ------------------------------------------------------------------------------------------------------------------------ Net decrease in shares outstanding -- -- (759,575) (1,052,050) Shares outstanding, beginning of period -- -- 1,804,866 2,856,916 ------------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period -- -- 1,045,291 1,804,866 ========================================================================================================================
42 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) --------------------------------------------------------------------------------
LARGE CAP MICRO CAP VALUE FUND GROWTH FUND ------------------------------------------------------------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2007 MARCH 31, 2007 MARCH 31, (UNAUDITED) 2007 (UNAUDITED) 2007 ------------------------------------------------------------------------------------------------------------------- CLASS A Shares sold 1,026,764 1,583,308 114,111 823,588 Shares reinvested -- 42,850 -- -- Shares redeemed (250,755) (117,367) (654,512) (1,901,288) ------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding 776,009 1,508,791 (540,401) (1,077,700) Shares outstanding, beginning of period 2,655,498 1,146,707 3,507,806 4,585,506 ------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period 3,431,507 2,655,498 2,967,405 3,507,806 =================================================================================================================== CLASS C Shares sold 629,704 1,325,815 103,325 531,759 Shares reinvested -- 15,984 -- -- Shares redeemed (143,826) (24,336) (391,664) (981,321) ------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding 485,878 1,317,463 (288,339) (449,562) Shares outstanding, beginning of period 1,372,534 55,071 2,048,781 2,498,343 ------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period 1,858,412 1,372,534 1,760,442 2,048,781 =================================================================================================================== CLASS Y Shares sold -- -- 18,842 28,393 Shares redeemed -- -- (14,074) (44,455) ------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding -- -- 4,768 (16,062) Shares outstanding, beginning of period -- -- 33,301 49,363 ------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period -- -- 38,069 33,301 ===================================================================================================================
43 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) --------------------------------------------------------------------------------
MID CAP SMALL CAP GROWTH FUND GROWTH FUND ------------------------------------------------------------------------------------------------------------------------ SIX MONTHS SIX MONTHS ENDED YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2007 MARCH 31, 2007 MARCH 31, (UNAUDITED) 2007 (UNAUDITED) 2007 ------------------------------------------------------------------------------------------------------------------------ CLASS A Shares sold 4,000,028 9,611,016 140,199 711,231 Shares reinvested -- 1,843,809 -- -- Shares redeemed (4,384,667) (8,547,512) (1,021,906) (1,397,081) ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in shares outstanding (384,639) 2,907,313 (881,707) (685,850) Shares outstanding, beginning of period 29,531,494 26,624,181 1,965,252 2,651,102 ------------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period 29,146,855 29,531,494 1,083,545 1,965,252 ======================================================================================================================== CLASS B Shares sold 85,005 306,484 6,902 13,364 Shares reinvested -- 238,775 -- -- Shares redeemed (308,590) (719,695) (72,840) (258,948) ------------------------------------------------------------------------------------------------------------------------ Net decrease in shares outstanding (223,585) (174,436) (65,938) (245,584) Shares outstanding, beginning of period 3,526,701 3,701,137 302,229 547,813 ------------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period 3,303,116 3,526,701 236,291 302,229 ======================================================================================================================== CLASS C Shares sold 892,778 3,112,087 2,824 91,054 Shares reinvested -- 902,493 -- -- Shares redeemed (1,461,870) (2,986,165) (150,164) (714,717) ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in shares outstanding (569,092) 1,028,415 (147,340) (623,663) Shares outstanding, beginning of period 16,267,464 15,239,049 540,540 1,164,203 ------------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period 15,698,372 16,267,464 393,200 540,540 ======================================================================================================================== CLASS Y Shares sold -- -- 60,759 6,170,382 Shares redeemed -- -- (258,669) (24,169,432) ------------------------------------------------------------------------------------------------------------------------ Net decrease in shares outstanding -- -- (197,910) (17,999,050) Shares outstanding, beginning of period -- -- 951,731 18,950,781 ------------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period -- -- 753,821 951,731 ========================================================================================================================
6. CUSTODY OFFSET ARRANGEMENT For financial reporting purposes for the six months ended September 30, 2007, custodian fees reduced by the Custodian were $871 and $2,746 for the Micro Cap Growth Fund and Small Cap Growth Fund, respectively. There was no effect on net investment income. 44 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- 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. 8. FUND MERGERS During a meeting held August 15, 2007 of the Board of Trustees of the Trust, the Trustees recommended an Agreement and Plan of Reorganization between the Touchstone Strategic Trust Small Cap Growth Fund and Touchstone Strategic Trust Diversified Small Cap Growth Fund whereby the Small Cap Growth Fund would transfer to the Diversified Small Cap Growth Fund all of its assets, subject to all of its liabilities, in exchange for shares of the Diversified Small Cap Growth Fund contingent upon shareholder approval. 45 -------------------------------------------------------------------------------- Portfolio of Investments Diversified Small Cap Growth Fund - September 30, 2007 (Unaudited) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 99.0% SHARES VALUE -------------------------------------------------------------------------------- HEALTH CARE -- 25.9% Alexion Pharmaceuticals, Inc.* 5,905 $ 384,710 ArthroCare Corp.* 5,110 285,598 Biomarin Pharmaceutical, Inc.* 12,575 313,118 ev3, Inc.*+ 14,225 233,575 Genomic Health, Inc.*+ 13,461 258,317 Gen-Probe, Inc.* 3,375 224,708 Hologic, Inc.*+ 6,000 365,999 Intuitive Surgical, Inc.* 485 111,550 LifeCell Corp.* 3,510 131,871 OSI Pharmaceuticals, Inc.* 5,765 195,952 Pharmion Corp.* 7,445 343,512 Progenics Pharmaceuticals, Inc.*+ 9,005 199,101 Radiation Therapy Services, Inc.* 8,553 178,073 The Spectranetics Corp.* 11,035 148,752 Ventana Medical Systems, Inc.* 2,435 209,191 -------------------------------------------------------------------------------- 3,584,027 -------------------------------------------------------------------------------- TECHNOLOGY -- 21.3% ACI Worldwide, Inc.* 1,780 39,783 Anixter International, Inc.* 2,305 190,047 Avnet, Inc.* 3,890 155,055 COMSYS IT Partners, Inc.* 8,822 148,298 Digital River, Inc.* 2,810 125,748 DivX, Inc.*+ 10,245 152,343 Emulex Corp.* 7,676 147,149 F5 Networks, Inc.* 3,353 124,698 ION Geophysical Corp.* 16,738 231,487 j2 Global Communications, Inc.* 4,645 152,031 Micros Systems, Inc.* 3,101 201,782 Microsemi Corp.* 6,595 183,869 NETGEAR, Inc.* 6,405 194,840 Nuance Communications, Inc.*+ 12,465 240,699 Parametric Technology Corp.* 8,094 140,997 RF Micro Devices, Inc.* 13,785 92,773 Secure Computing Corp.* 18,340 178,448 Skyworks Solutions, Inc.* 8,130 73,495 Tessera Technologies, Inc.* 4,650 174,375 -------------------------------------------------------------------------------- 2,947,917 -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 19.5% Adminstaff, Inc. 5,510 200,013 BJ'S Restaurants, Inc.* 7,330 154,297 Bright Horizons Family Solutions, Inc.* 4,084 174,959 Chipotle Mexican Grill, Inc.* 1,803 212,988 Consolidated Graphics, Inc.* 3,287 206,391 DSW, Inc.*+ 5,902 148,553 Life Time Fitness* 3,586 219,965 McCormick & Schmick's Seafood Restaurants, Inc.* 6,294 118,516 Nutri/System, Inc.*+ 5,252 246,267 PetMed Express, Inc.* 12,410 173,864 Phillips-Van Heusen Corp. 3,053 160,221 Sonic Corp.* 7,673 179,548 Steiner Leisure Ltd.* 3,886 168,652 ValueClick, Inc.* 6,763 151,897 Watson Wyatt Worldwide, Inc. 4,113 184,838 -------------------------------------------------------------------------------- 2,700,969 -------------------------------------------------------------------------------- FINANCIAL SERVICES -- 10.8% Affiliated Managers Group, Inc.*+ 1,245 158,750 Boston Private Financial Holdings, Inc. + 4,710 131,126 East West Bancorp, Inc. 3,985 143,301 Euronet Worldwide, Inc.* 6,490 193,207 Jefferies Group, Inc. 4,550 126,627 LaSalle Hotel Properties 3,540 148,963 Morningstar, Inc.* 4,326 265,616 Portfolio Recovery Associates, Inc. + 3,268 173,433 Wright Express Corp.* 4,020 146,690 -------------------------------------------------------------------------------- 1,487,713 -------------------------------------------------------------------------------- PRODUCER DURABLES -- 10.1% Arris Group, Inc.* 8,595 106,148 Bucyrus International, Inc. 2,460 179,408 Ducommun, Inc.* 5,695 183,949 EnPro Industries, Inc.* 3,645 147,987 General Cable Corp.* 2,370 159,074 Regal-Beloit Corp. 2,463 117,953 Sonic Solutions* 7,032 73,625 Triumph Group, Inc. 1,235 100,912 Ultra Clean Holdings, Inc.* 13,481 198,170 Woodward Governor Co. 2,014 125,674 -------------------------------------------------------------------------------- 1,392,900 -------------------------------------------------------------------------------- ENERGY -- 4.5% Cabot Oil & Gas Corp. 3,251 114,305 Helix Energy Solutions Group, Inc.* 3,370 143,090 Helmerich & Payne, Inc. 3,148 103,349 Superior Well Services, Inc.* 4,815 109,445 W-H Energy Services, Inc.* 2,055 151,556 -------------------------------------------------------------------------------- 621,745 -------------------------------------------------------------------------------- MATERIALS AND PROCESSING -- 3.6% NCI Building Systems, Inc.* 2,075 89,661 RTI International Metals, Inc.* 1,455 115,323 Terra Industries, Inc.* 4,305 134,574 The Andersons, Inc. + 3,365 161,588 -------------------------------------------------------------------------------- 501,146 -------------------------------------------------------------------------------- AUTOS AND TRANSPORTATION -- 2.7% AAR Corp.* 2,578 78,217 Hub Group, Inc.* 3,645 109,459 Wabtec Corp. 4,811 180,220 -------------------------------------------------------------------------------- 367,896 -------------------------------------------------------------------------------- UTILITIES -- 0.6% Pike Electric Corp.* 4,610 86,484 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 13,690,797 -------------------------------------------------------------------------------- 46 -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund (Continued) -------------------------------------------------------------------------------- MARKET SHARES VALUE -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 19.4% BBH Securities Lending Fund ** 2,438,724 2,438,724 Touchstone Institutional Money Market Fund^ 238,221 238,221 -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 2,676,945 -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 118.4% (Cost $14,427,051) $ 16,367,742 LIABILITIES IN EXCESS OF OTHER ASSETS -- (18.4)% (2,539,743) -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 13,827,999 ================================================================================ * 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, 2007, was $2,345,091. ** Represents collateral for securities loaned. See accompanying notes to financial statements. 47 -------------------------------------------------------------------------------- Portfolio of Investments Growth Opportunities Fund - September 30, 2007 (Unaudited) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 98.1% SHARES VALUE -------------------------------------------------------------------------------- HEALTH CARE -- 30.7% Adolor Corp.*+ 130,400 $ 445,968 Biogen Idec, Inc.* 26,600 1,764,378 Celgene Corp.* 21,900 1,561,689 CVS Corp. 38,300 1,517,829 DaVita, Inc.* 18,000 1,137,240 Dentsply International, Inc. 21,100 878,604 Elan Corp. PLC* 121,700 2,560,568 Gen-Probe, Inc.* 17,200 1,145,176 Gilead Sciences, Inc.* 20,300 829,661 OSI Pharmaceuticals, Inc.* 38,800 1,318,812 Palomar Medical Technologies, Inc.*+ 14,800 421,652 Santarus, Inc.*+ 71,800 190,270 Shire PLC - ADR 12,500 924,750 Vanda Pharmaceuticals, Inc.*+ 39,000 542,490 Wyeth 21,900 975,645 -------------------------------------------------------------------------------- 16,214,732 -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 15.4% Bare Escentuals, Inc.* 40,800 1,014,696 eBay, Inc.* 28,900 1,127,678 Geo Group, Inc.* 29,700 879,417 Google, Inc.* 1,600 907,632 MSC Industrial Direct Co., Inc. 12,500 632,375 Omnicom Group, Inc. 10,400 500,136 O'Reilly Automotive, Inc.* 20,300 678,223 Tiffany & Co. 18,700 978,945 VeriSign, Inc.*+ 42,200 1,423,828 -------------------------------------------------------------------------------- 8,142,930 -------------------------------------------------------------------------------- ENERGY -- 12.1% Grant Prideco, Inc.* 22,600 1,232,152 National-Oilwell Varco, Inc.* 9,400 1,358,300 Smith International, Inc. 14,100 1,006,740 Suncor Energy, Inc. 11,700 1,109,277 Weatherford International Ltd.* 25,000 1,679,500 -------------------------------------------------------------------------------- 6,385,969 -------------------------------------------------------------------------------- TECHNOLOGY -- 11.2% Amdocs Ltd.* 19,500 725,205 Autodesk, Inc.* 12,700 634,619 Cognos, Inc.* 22,600 938,578 Corning, Inc. 28,100 692,665 DRS Technologies, Inc. 13,300 733,096 Marvell Technology Group Ltd.* 31,200 510,744 Maxim Integrated Products, Inc. 17,600 516,560 Nuance Communications, Inc.*+ 60,900 1,175,979 -------------------------------------------------------------------------------- 5,927,446 -------------------------------------------------------------------------------- MATERIALS AND PROCESSING -- 9.6% Goldcorp, Inc. + 36,600 1,118,496 Hexcel Corp.* 39,000 885,690 Monsanto Co. 13,300 1,140,342 Praxair, Inc. 11,700 979,992 Textron, Inc. 15,600 970,476 -------------------------------------------------------------------------------- 5,094,996 -------------------------------------------------------------------------------- PRODUCER DURABLES -- 8.3% AMETEK, Inc. 21,050 909,781 General Electric Co. 26,600 1,101,240 IDEX Corp. 19,900 724,161 ITT Corp. 14,800 1,005,364 Polycom, Inc.* 24,200 650,012 -------------------------------------------------------------------------------- 4,390,558 -------------------------------------------------------------------------------- FINANCIAL SERVICES -- 7.9% American Express Co. 17,850 1,059,755 Charles Schwab Corp. 39,800 859,680 CME Group, Inc. + 1,600 939,760 Signature Bank* 15,600 549,588 T. Rowe Price Group, Inc. 14,100 785,229 -------------------------------------------------------------------------------- 4,194,012 -------------------------------------------------------------------------------- CONSUMER STAPLES -- 1.8% Church & Dwight Co., Inc. 20,300 954,912 -------------------------------------------------------------------------------- UTILITIES -- 1.1% NeuStar Inc. - Class A* 16,600 569,214 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 51,874,769 -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 12.9% BBH Securities Lending Fund** 5,156,829 5,156,829 Touchstone Institutional Money Market Fund^ 1,657,059 1,657,059 -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 6,813,888 -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 111.0% (Cost $48,974,927) $ 58,688,657 LIABILITIES IN EXCESS OF OTHER ASSETS -- (11.0)% (5,819,038) -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 52,869,619 ================================================================================ * 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, 2007, was $4,962,188. ** Represents collateral for securities loaned. ADR American Depository Receipt. See accompanying notes to financial statements. 48 -------------------------------------------------------------------------------- Portfolio of Investments Large Cap Core Equity Fund - September 30, 2007 (Unaudited) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 98.8% SHARES SHARES VALUE -------------------------------------------------------------------------------- FINANCIAL SERVICES -- 17.5% Aflac, Inc. 68,557 $ 3,910,491 Allstate Corp. 51,737 2,958,839 American Express Co. 55,478 3,293,729 Bank of America Corp. 58,836 2,957,686 Morgan Stanley 39,560 2,492,280 Wells Fargo 83,033 2,957,635 -------------------------------------------------------------------------------- 18,570,660 -------------------------------------------------------------------------------- TECHNOLOGY -- 17.3% Cisco Systems, Inc.* 128,523 4,255,396 Hewlett-Packard Co. 81,307 4,048,275 Microsoft Corp. 117,225 3,453,449 Oracle Corp.* 166,000 3,593,900 QUALCOMM, Inc. 72,334 3,056,835 -------------------------------------------------------------------------------- 18,407,855 -------------------------------------------------------------------------------- ENERGY -- 15.9% Chevron Corp. 43,353 4,056,974 ConocoPhillips 46,219 4,056,642 Exxon Mobil Corp. 43,868 4,060,422 Marathon Oil Corp. 82,634 4,711,790 -------------------------------------------------------------------------------- 16,885,828 -------------------------------------------------------------------------------- PRODUCER DURABLES -- 15.4% General Electric Co. 87,576 3,625,646 Honeywell International, Inc. 75,013 4,461,024 Illinois Tool Works, Inc. 72,521 4,325,152 United Technologies Corp. 48,904 3,935,794 -------------------------------------------------------------------------------- 16,347,616 -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 11.3% Best Buy Co., Inc. 61,989 2,852,734 Home Depot, Inc. 79,924 2,592,735 Kimberly-Clark Corp. 47,666 3,349,012 Target Corp. 50,394 3,203,547 -------------------------------------------------------------------------------- 11,998,028 -------------------------------------------------------------------------------- HEALTH CARE -- 10.8% Amgen* 47,923 2,711,004 Cardinal Health, Inc. 43,554 2,723,432 Johnson & Johnson 45,595 2,995,592 WellPoint, Inc.* 38,378 3,028,791 -------------------------------------------------------------------------------- 11,458,819 -------------------------------------------------------------------------------- UTILITIES -- 4.0% AT&T, Inc. 101,077 4,276,568 -------------------------------------------------------------------------------- MATERIALS AND PROCESSING -- 3.4% E.I. DuPont de Nemours 72,294 3,582,891 -------------------------------------------------------------------------------- CONSUMER STAPLES -- 3.2% Altria Group, Inc. 48,321 3,359,759 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 104,888,024 -------------------------------------------------------------------------------- INVESTMENT FUND -- 1.3% Touchstone Institutional Money Market Fund^ 1,386,860 $ 1,386,860 -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 100.1% (Cost $86,964,801) $ 106,274,884 LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.1)% (80,964) -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 106,193,920 ================================================================================ * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. See accompanying notes to financial statements. 49 -------------------------------------------------------------------------------- Portfolio of Investments Large Cap Growth Fund - September 30, 2007 (Unaudited) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 97.8% SHARES VALUE -------------------------------------------------------------------------------- PRODUCER DURABLES -- 14.9% Boeing 321,555 $ 33,760,059 Lockheed Martin Corp. 317,330 34,427,132 Raytheon Co. 311,530 19,881,845 Research In Motion Ltd.* 500,965 49,370,100 Rockwell Collins, Inc. 233,570 17,059,953 -------------------------------------------------------------------------------- 154,499,089 -------------------------------------------------------------------------------- TECHNOLOGY -- 14.6% Apple Computer, Inc.* 249,470 38,303,624 Cisco Systems, Inc.* 875,300 28,981,183 Garmin Ltd. + 338,810 40,453,913 NVIDIA Corp.* 630,945 22,865,447 Oracle Corp.* 1,049,210 22,715,397 -------------------------------------------------------------------------------- 153,319,564 -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 14.1% DIRECTV Group, Inc.* 922,680 22,402,670 EchoStar Communications - Class A* 533,410 24,968,922 Google, Inc.* 47,420 26,899,944 McDonald's Corp. 460,890 25,104,678 MGM MIRAGE*+ 279,265 24,977,462 NIKE, Inc. - Class B 399,550 23,437,603 -------------------------------------------------------------------------------- 147,791,279 -------------------------------------------------------------------------------- MATERIALS AND PROCESSING -- 13.2% Anglo American PLC - ADR + 811,183 27,134,071 Potash Corp. of Saskatchewan + 347,645 36,746,077 Praxair, Inc. 299,840 25,114,598 Precision Castparts Corp. 200,000 29,596,000 Southern Copper Corp. + 159,450 19,744,694 -------------------------------------------------------------------------------- 138,335,440 -------------------------------------------------------------------------------- UTILITIES -- 11.1% America Movil S.A. - ADR 591,805 37,875,521 AT&T, Inc. 456,295 19,305,841 Qwest Communications International, Inc.*+ 1,746,870 16,001,329 Rogers Communications, Inc. 367,370 16,726,356 Vimpel-Communications 979,850 26,495,144 -------------------------------------------------------------------------------- 116,404,191 -------------------------------------------------------------------------------- HEALTH CARE -- 8.3% Baxter International, Inc. 410,800 23,119,824 Gilead Sciences, Inc.* 563,820 23,043,323 Laboratory Corp. of America Holdings* 247,960 19,397,911 Stryker Corp. 316,860 21,787,294 -------------------------------------------------------------------------------- 87,348,352 -------------------------------------------------------------------------------- ENERGY -- 7.7% National-Oilwell Varco, Inc.* 156,680 22,640,260 NRG Energy, Inc.* 525,000 22,202,250 Schlumberger Ltd. + 336,175 35,298,375 -------------------------------------------------------------------------------- 80,140,885 -------------------------------------------------------------------------------- FINANCIAL SERVICES -- 7.4% Brookfield Asset Management, Inc. - Class A 478,850 18,435,725 Fidelity National Information Services, Inc. + 299,240 13,277,279 Goldman Sachs Group, Inc. 110,045 23,851,153 Loews 459,175 22,201,111 -------------------------------------------------------------------------------- 77,765,268 -------------------------------------------------------------------------------- CONSUMER STAPLES -- 4.2% Colgate-Palmolive Co. 271,160 19,339,131 PepsiCo, Inc. 335,605 24,586,423 -------------------------------------------------------------------------------- 43,925,554 -------------------------------------------------------------------------------- AUTOS AND TRANSPORTATION -- 2.3% CSX Corp. 569,280 24,325,334 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 1,023,854,956 -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 10.9% BBH Securities Lending Fund** 91,658,870 91,658,870 Touchstone Institutional Money Market Fund^ 22,413,528 22,413,528 -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 114,072,398 -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 108.7% (Cost $851,075,288) $ 1,137,927,354 LIABILITIES IN EXCESS OF OTHER ASSETS -- (8.7)% (91,340,947) -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 1,046,586,407 ================================================================================ * 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, 2007, was $89,295,931. ** Represents collateral for securities loaned. ADR American Depository Receipt. See accompanying notes to financial statements. 50 -------------------------------------------------------------------------------- Portfolio of Investments Large Cap Value Fund - September 30, 2007 (Unaudited) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 91.1% SHARES VALUE -------------------------------------------------------------------------------- FINANCIAL SERVICES -- 38.8% Citigroup, Inc. 55,700 $ 2,599,519 Countrywide Financial Corp. + 107,800 2,049,278 Fannie Mae 55,000 3,344,550 Freddie Mac 58,200 3,434,383 Genworth Financial, Inc. 87,900 2,701,167 JP Morgan Chase & Co. 22,600 1,035,532 Radian Group, Inc. + 46,900 1,091,832 W Holding Co., Inc. + 193,000 432,320 Wachovia Corp. 27,000 1,354,050 Washington Mutual, Inc. 84,800 2,994,288 -------------------------------------------------------------------------------- 21,036,919 -------------------------------------------------------------------------------- TECHNOLOGY -- 14.5% AU Optronics Corp. - ADR + 125,875 2,129,812 BearingPoint, Inc.* 392,000 1,587,600 Dell, Inc.* 56,400 1,556,640 Motorola, Inc. 79,600 1,474,988 Sanmina-SCI Corp.* 236,600 501,592 Tyco Electronics Ltd. 16,700 591,681 -------------------------------------------------------------------------------- 7,842,313 -------------------------------------------------------------------------------- PRODUCER DURABLES -- 12.6% Alcatel - ADR + 263,700 2,684,466 D.R. Horton, Inc. 82,600 1,058,106 Navistar International Corp.* 9,000 555,300 Nortel Networks Corp.* 18,150 308,187 Pulte Homes, Inc. 111,000 1,510,710 Tyco International Ltd. 15,900 705,006 -------------------------------------------------------------------------------- 6,821,775 -------------------------------------------------------------------------------- ENERGY -- 8.3% Peabody Energy Corp. 49,100 2,350,417 Reliant Energy, Inc.* 83,500 2,137,600 -------------------------------------------------------------------------------- 4,488,017 -------------------------------------------------------------------------------- UTILITIES -- 6.2% Mirant Corp.* 28,700 1,167,516 Sprint Nextel Corp. 116,700 2,217,300 -------------------------------------------------------------------------------- 3,384,816 -------------------------------------------------------------------------------- HEALTH CARE -- 4.7% Omnicare, Inc. 19,300 639,409 Sanofi-Aventis - ADR 45,600 1,934,352 -------------------------------------------------------------------------------- 2,573,761 -------------------------------------------------------------------------------- MATERIALS AND PROCESSING -- 2.8% Abitibi-Consolidated, Inc. - ADR*+ 860,600 1,506,050 -------------------------------------------------------------------------------- CONSUMER STAPLES -- 2.5% Safeway, Inc. 9,500 314,545 Tyson Foods, Inc. 57,900 1,033,515 -------------------------------------------------------------------------------- 1,348,060 -------------------------------------------------------------------------------- AUTOS AND TRANSPORTATION -- 0.7% Ford Motor Co.*+ 46,300 393,087 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 49,394,798 -------------------------------------------------------------------------------- EXCHANGE TRADED FUND -- 2.0% iShares Russell 1000 Value Index Fund 12,700 $ 1,091,819 -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 23.6% BBH Securities Lending Fund** 8,308,475 8,308,475 Touchstone Institutional Money Market Fund^ 4,466,617 4,466,617 -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 12,775,092 -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 116.7% (Cost $68,595,866) $ 63,261,709 LIABILITIES IN EXCESS OF OTHER ASSETS -- (16.7)% (9,038,460) -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 54,223,249 ================================================================================ * 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, 2007, was $7,971,872. ** Represents collateral for securities loaned. ADR American Depository Receipt. See accompanying notes to financial statements. 51 -------------------------------------------------------------------------------- Portfolio of Investments Micro Cap Growth Fund - September 30, 2007 (Unaudited) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 99.6% SHARES VALUE -------------------------------------------------------------------------------- TECHNOLOGY -- 22.8% Actuate Corp.* 159,600 $ 1,029,420 BSQUARE Corp.* 159,850 959,100 Catalyst Semiconductor, Inc.* 58,700 406,791 Chordiant Software, Inc.* 67,900 941,094 Comtech Group, Inc.* 76,700 1,396,707 Concur Technologies, Inc.* 54,900 1,730,448 Ebix, Inc.* 5,600 278,040 iGate Capital Corp.* 86,300 739,591 Integrated Silicon Solution, Inc.* 71,800 452,340 Iomega Corp.* 147,700 773,948 LivePerson, Inc.* 53,300 328,328 Logility, Inc.* 5,000 58,150 Network Equipment Technologies, Inc.* 100,900 1,463,050 Pericom Semiconductor Corp.* 57,300 671,556 Silicom Ltd.*+ 78,800 1,814,763 Vicon Industries, Inc.* 37,600 439,168 Video Display Corp.*+ 47,350 378,800 Vocus, Inc.* 19,500 570,180 -------------------------------------------------------------------------------- 14,431,474 -------------------------------------------------------------------------------- PRODUCER DURABLES -- 18.7% Astronics Corp.* 38,500 1,677,445 Avalon Holdings Corp. - Class A* 37,200 262,260 Ducommun, Inc.* 23,700 765,510 Globecomm Systems, Inc.* 58,984 782,128 Graham Corp. 10,100 415,211 Hardinge, Inc. 42,000 1,462,860 Hawk Corp. - Class A* 44,900 622,763 Kadant, Inc.* 30,400 851,200 Key Technology, Inc.* 36,400 1,095,640 KMG Chemicals, Inc. + 46,800 1,225,224 K-Tron International, Inc.* 19,800 1,881,000 MagneTek, Inc.* 93,900 450,720 Team, Inc.* 9,600 262,848 Wireless Telecom Group, Inc.* 34,800 80,040 -------------------------------------------------------------------------------- 11,834,849 -------------------------------------------------------------------------------- HEALTH CARE -- 17.1% Accelrys, Inc.* 59,200 405,520 Air Methods Corp.* 37,700 1,741,740 Almost Family, Inc.* 58,700 1,061,883 Avigen, Inc.* 49,100 265,140 BioScrip, Inc.* 72,500 465,450 Cynosure, Inc. - Class A* 25,600 944,640 Escalon Medical Corp.* 78,900 451,308 HealthStream, Inc.* 4,600 13,570 HMS Holdings Corp.* 95,000 2,337,950 iCAD, Inc.* 95,600 287,756 Mesa Laboratories, Inc. 24,900 516,675 Shamir Optical Industry Ltd. 26,600 319,466 Span-America Medical Systems, Inc. 38,600 725,680 Synovis Life Technologies, Inc.* 50,200 1,082,814 Tutogen Medical, Inc.* 19,100 219,650 -------------------------------------------------------------------------------- 10,839,242 -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 13.3% American Medical Alert Corp.* 80,100 724,104 Aristotle Corp.* 24,841 303,557 DG Fastchannel, Inc.* 32,300 761,634 Famous Dave's of America, Inc.* 25,900 421,134 Learning Tree International, Inc.* 53,500 950,160 Libbey, Inc. + 18,300 320,616 McCormick & Schmick's Seafood Restaurants, Inc.* 21,100 397,313 PC Connection, Inc.*+ 29,100 363,750 Perficient, Inc.*+ 75,300 1,646,811 Premier Exhibitions, Inc.*+ 26,100 393,588 SmartPros Ltd.* 5,200 30,732 Smith & Wesson Holding Corp.*+ 86,350 1,648,422 Standard Parking Corp.* 11,400 453,606 -------------------------------------------------------------------------------- 8,415,427 -------------------------------------------------------------------------------- FINANCIAL SERVICES -- 8.9% American Physicians Capital, Inc. 37,500 1,461,000 CyberSource Corp.*+ 109,300 1,277,717 Life Partners Holding, Inc. + 22,188 746,609 TheStreet.com, Inc. + 177,500 2,149,525 -------------------------------------------------------------------------------- 5,634,851 -------------------------------------------------------------------------------- MATERIALS AND PROCESSING -- 7.5% Chase Corp. 8,100 150,660 Furmanite Corp.* 82,100 747,110 KSW, Inc.* 24,400 171,532 L. B. Foster Co.* 39,900 1,734,054 Landec Corp.* 5,200 80,392 Michael Baker Corp.* 5,300 259,753 Multi-Color Corp. 42,150 961,863 Penford Corp. 16,900 637,130 -------------------------------------------------------------------------------- 4,742,494 -------------------------------------------------------------------------------- AUTOS AND TRANSPORTATION -- 5.8% Amerigon, Inc.* 114,000 1,973,340 Dorman Products, Inc.* 3,500 49,420 Midwest Air Group, Inc.*+ 29,400 483,630 Spartan Motors, Inc. + 69,749 1,173,876 -------------------------------------------------------------------------------- 3,680,266 -------------------------------------------------------------------------------- ENERGY -- 4.6% Bolt Technology Corp.*+ 19,800 646,668 Clayton Williams Energy, Inc.* 20,200 666,600 Dawson Geophysical Co.* 5,500 426,305 ICO, Inc.* 13,800 194,304 Matrix Service Co.* 30,600 641,070 Union Drilling, Inc.* 23,000 335,340 -------------------------------------------------------------------------------- 2,910,287 -------------------------------------------------------------------------------- 52 -------------------------------------------------------------------------------- Micro Cap Growth Fund (Continued) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 99.6% (CONTINUED) SHARES VALUE -------------------------------------------------------------------------------- CONSUMER STAPLES -- 0.6% Omega Protein Corp.* 43,300 $ 391,865 -------------------------------------------------------------------------------- UTILITIES -- 0.3% Shenandoah Telecommunications Co.* 7,800 169,728 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 63,050,483 -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 19.5% BBH Securities Lending Fund** 11,895,053 11,895,053 Touchstone Institutional Money Market Fund^ 456,206 456,206 -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 12,351,259 -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 119.1% (Cost $56,439,110) $ 75,401,742 LIABILITIES IN EXCESS OF OTHER ASSETS -- (19.1)% (12,077,435) -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 63,324,307 ================================================================================ * 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, 2007, was $11,327,032. ** Represents collateral for securities loaned. See accompanying notes to financial statements. 53 -------------------------------------------------------------------------------- Portfolio of Investments Mid Cap Growth Fund - September 30, 2007 (Unaudited) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 98.3% SHARES VALUE -------------------------------------------------------------------------------- TECHNOLOGY -- 17.7% ADC Telecommunications, Inc.* 536,200 $ 10,514,882 Amdocs Ltd.* 301,000 11,194,190 Analog Devices, Inc. 360,000 13,017,600 Autodesk, Inc.* 225,900 11,288,223 Brocade Communications Systems, Inc.* 1,352,400 11,576,544 Cognizant Technology Solutions Corp.* 124,100 9,899,457 Cognos, Inc.* 353,000 14,660,090 DRS Technologies, Inc. 94,100 5,186,792 International Rectifier Corp.* 191,800 6,327,482 LSI Logic Corp.* 1,390,200 10,315,284 Marvell Technology Group Ltd.* 967,100 15,831,427 Maxim Integrated Products, Inc. 792,750 23,267,212 Micron Technology, Inc.* 879,000 9,756,900 Red Hat, Inc.* 436,500 8,673,255 Satyam Computer Services Ltd. - ADR + 226,800 5,871,852 Sun Microsystems* 2,311,000 12,964,710 TIBCO Software, Inc.* 1,087,000 8,032,930 Varian, Inc.* 134,880 8,579,717 Vishay Intertechnology, Inc.*+ 701,170 9,136,245 Zebra Technologies Corp.* 178,015 6,495,767 -------------------------------------------------------------------------------- 212,590,559 -------------------------------------------------------------------------------- HEALTH CARE -- 17.7% Beckman Coulter, Inc. 93,400 6,889,184 Celgene Corp.* 256,800 18,312,408 DaVita, Inc.* 303,800 19,194,084 Dentsply International, Inc. 453,600 18,887,904 Edwards Lifesciences Corp.* 237,950 11,733,315 Elan Corp. PLC - ADR*+ 1,410,100 29,668,503 HEALTHSOUTH Corp.*+ 343,260 6,010,483 Hillenbrand Industries, Inc. 150,000 8,253,000 Hospira, Inc.* 149,740 6,206,723 IDEXX Laboratories, Inc.* 93,300 10,224,747 Invitrogen Corp.* 166,900 13,640,737 Manor Care, Inc. + 194,700 12,538,680 ResMed, Inc.* 291,000 12,475,170 Shire Pharmaceuticals Group PLC - ADR 318,800 23,584,824 Thermo Fisher Scientific, Inc.*+ 247,350 14,277,042 -------------------------------------------------------------------------------- 211,896,804 -------------------------------------------------------------------------------- PRODUCER DURABLES -- 17.5% Alliant Techsystems, Inc.*+ 92,950 10,159,435 AMETEK, Inc. 332,350 14,364,167 ASML Holding N.V. + 277,010 9,102,549 Comverse Technology, Inc.* 376,600 7,475,510 Diebold, Inc. 230,710 10,478,848 Dover Corp. 181,190 9,231,631 Empresa Brasileira De Aeronautica S.A 256,750 11,276,460 IDEX Corp. 299,600 10,902,444 ITT Industries, Inc. 209,700 14,244,921 Joy Global, Inc. 232,000 11,799,520 KLA-Tencor Corp. 155,500 8,673,790 Mettler-Toledo International, Inc.* 145,500 14,841,000 Pentair, Inc. 201,800 6,695,724 SPX Corp. 122,240 11,314,534 Tektronix, Inc. 264,677 7,342,140 Teleflex, Inc. 120,787 9,411,723 Teradyne, Inc.* 655,850 9,050,730 Thomas & Betts Corp.* 218,200 12,795,248 Verigy Ltd.* 316,151 7,812,091 Waters Corp.* 214,000 14,320,880 -------------------------------------------------------------------------------- 211,293,345 -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 16.1% Cheesecake Factory, Inc.* 424,200 9,955,974 Coldwater Creek, Inc.* 1,029,940 11,185,148 Corrections Corp. of America* 421,800 11,038,506 DeVry, Inc. 338,100 12,513,081 Dick's Sporting Goods, Inc.* 145,500 9,770,325 GameStop Corp.* 350,800 19,767,581 Gap, Inc. 490,900 9,052,196 Gaylord Entertainment Co.*+ 214,000 11,389,080 International Flavors & Fragrances, Inc. 208,800 11,037,168 Jones Apparel Group, Inc. 315,680 6,670,318 Macy's, Inc. 258,374 8,350,648 MSC Industrial Direct Co., Inc. 291,000 14,721,690 O'Reilly Automotive, Inc.* 278,200 9,294,662 Regis Corp. 275,529 8,792,130 Snap-On, Inc. 11,800 584,572 Tiffany & Co. 308,100 16,129,035 VeriSign, Inc.*+ 312,400 10,540,376 VistaPrint Ltd.*+ 363,700 13,591,469 -------------------------------------------------------------------------------- 194,383,959 -------------------------------------------------------------------------------- FINANCIAL SERVICES -- 11.6% Assurant, Inc. 91,380 4,888,830 Commerce Bancorp, Inc. + 179,530 6,962,173 E*TRADE Financial Corp.*+ 757,100 9,887,726 Federated Investors, Inc. - Class B 283,600 11,258,920 Fidelity National Information Services, Inc. 196,900 8,736,453 Hudson City Bancorp, Inc. 831,300 12,785,394 IntercontinentalExchange, Inc.* 64,200 9,751,980 Knight Capital Group, Inc.* 626,000 7,486,960 Marshall & Ilsley Corp. 229,900 10,062,723 Moody's Corp. 173,200 8,729,280 New York Community Bancorp, Inc. + 562,107 10,708,138 People's United Financial, Inc. 829,615 14,335,748 T. Rowe Price Group, Inc. 235,400 13,109,426 Willis Group Holdings Ltd. 270,489 11,073,820 -------------------------------------------------------------------------------- 139,777,571 -------------------------------------------------------------------------------- 54 -------------------------------------------------------------------------------- Mid Cap Growth Fund (Continued) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 98.3% (CONTINUED) SHARES VALUE -------------------------------------------------------------------------------- ENERGY -- 11.3% Cameron International Corp.* 96,700 $ 8,924,443 Chesapeake Energy Corp. + 374,400 13,201,344 CONSOL Energy, Inc. 603,800 28,137,080 Grant Prideco, Inc.* 295,300 16,099,756 Hess Corp. 199,000 13,239,470 Murphy Oil Corp. 213,520 14,922,913 Range Resources Corp. 256,800 10,441,488 Smith International, Inc. 280,300 20,013,420 Weatherford International Ltd.* 174,200 11,702,756 -------------------------------------------------------------------------------- 136,682,670 -------------------------------------------------------------------------------- MATERIALS AND PROCESSING -- 3.7% Allegheny Technologies, Inc. 100,500 11,049,975 Cytec Industries, Inc. 163,915 11,210,147 Hexcel Corp.* 267,195 6,067,998 Textron, Inc. 256,800 15,975,528 -------------------------------------------------------------------------------- 44,303,648 -------------------------------------------------------------------------------- CONSUMER STAPLES -- 1.1% Whole Foods Market, Inc. + 259,200 12,690,432 -------------------------------------------------------------------------------- UTILITIES -- 1.0% Neustar, Inc. - Class A*+ 350,900 12,032,361 -------------------------------------------------------------------------------- AUTOS AND TRANSPORTATION -- 0.6% Kirby Corp.* 175,500 7,746,570 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 1,183,397,919 -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 11.5% BBH Securities Lending Fund** 117,374,028 117,374,028 Touchstone Institutional Money Market Fund^ 21,461,111 21,461,111 -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 138,835,139 -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 109.8% (Cost $1,106,461,628) $ 1,322,233,058 LIABILITIES IN EXCESS OF OTHER ASSETS -- (9.8)% (117,578,675) -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 1,204,654,383 ================================================================================ * 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, 2007, was $114,679,790. ** Represents collateral for securities loaned. ADR American Depository Receipt. See accompanying notes to financial statements. 55 -------------------------------------------------------------------------------- Portfolio of Investments Small Cap Growth Fund - September 30, 2007 (Unaudited) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 93.8% SHARES VALUE -------------------------------------------------------------------------------- HEALTH CARE -- 22.8% Accelrys, Inc.* 11,600 $ 79,460 Alexion Pharmaceuticals, Inc.* 10,994 716,259 Almost Family, Inc.* 14,800 267,732 ArthroCare Corp.* 9,544 533,414 Avigen, Inc.* 52,900 285,660 BioMarin Pharmaceutical, Inc.* 23,101 575,215 Cynosure, Inc. - Class A* 4,000 147,600 Escalon Medical Corp.* 15,600 89,232 ev3, Inc.* 26,663 437,806 Genomic Health, Inc.* 25,122 482,091 Gen-Probe, Inc.* 6,154 409,733 HMS Holdings Corp.* 11,840 291,382 Hologic, Inc.* 11,241 685,701 Indevus Pharmaceuticals, Inc.* 40,200 277,782 Intuitive Surgical, Inc.* 833 191,590 Isis Pharmaceuticals, Inc.* 23,290 348,651 LifeCell Corp.* 6,364 239,095 Luminex Corp.* 18,700 281,996 Mesa Laboratories, Inc. 7,570 157,078 Micrus Endovascular Corp.* 11,710 213,942 Nighthawk Radiology Holdings, Inc.* 13,660 334,807 OSI Pharmaceuticals, Inc.* 10,827 368,010 Pharmion Corp.* 13,911 641,854 Progenics Pharmaceuticals, Inc.* 16,748 370,298 Radiation Therapy Services, Inc.* 15,939 331,850 Shamir Optical Industry, Ltd. 10,100 121,301 Sonic Innovations, Inc.* 10,200 93,534 Span-America Medical Systems, Inc. 8,200 154,160 Spectranetics Corp.* 22,355 301,345 Vascular Solutions, Inc.* 9,900 79,002 Ventana Medical Systems, Inc.* 4,548 390,719 -------------------------------------------------------------------------------- 9,898,299 -------------------------------------------------------------------------------- TECHNOLOGY -- 20.0% ACI Worldwide, Inc.* 3,172 70,894 Actuate Corp.* 25,260 162,927 Anixter International, Inc.* 4,294 354,040 Avnet, Inc.* 7,261 289,423 Bluephoenix Solutions Ltd.* 13,500 248,535 BSQUARE Corp.* 14,500 87,000 Chordiant Software, Inc.* 11,470 158,974 Cogent Communications Group, Inc.* 6,420 149,843 COMSYS IT Partners, Inc.* 16,514 277,600 Concur Technologies, Inc.* 6,020 189,750 Digital River, Inc.* 5,228 233,953 DivX, Inc.* 19,106 284,106 Ebix, Inc.* 2,500 124,125 Emulex Corp.* 14,515 278,253 F5 Networks, Inc.* 6,320 235,041 Harmonic, Inc.* 19,600 207,956 iGATE Capital Corp.* 16,010 137,206 Integrated Silicon Solution, Inc.* 11,500 72,450 Iomega Corp.* 32,210 168,780 ION Geophysical Corp.* 31,524 435,977 j2 Global Communications, Inc.* 8,676 283,965 LivePerson, Inc.* 17,400 107,184 Logility, Inc.* 7,099 82,561 Micros Systems, Inc.* 5,768 375,324 Microsemi Corp.* 12,292 342,701 NETGEAR, Inc.* 11,976 364,310 Network Equipment Technologies, Inc.* 9,400 136,300 Nuance Communications, Inc.* 23,197 447,935 Parametric Technology Corp.* 15,066 262,450 PMC-Sierra, Inc.* 22,320 187,265 RF Micro Devices, Inc.* 28,190 189,719 Riverbed Technology, Inc.* 4,080 164,791 Secure Computing Corp.* 34,322 333,953 Skyworks Solutions, Inc.* 16,575 149,838 Tessera Technologies, Inc.* 8,694 326,025 Trident Microsystems, Inc.* 11,290 179,398 Varian, Inc.* 4,560 290,062 Vicon Industries, Inc.* 8,700 101,616 Vocus, Inc.* 6,300 184,212 -------------------------------------------------------------------------------- 8,676,442 -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 16.8% Adminstaff, Inc. 10,314 374,398 American Medical Alert Corp.* 30,490 275,630 BJ's Restaurants, Inc.* 13,643 287,185 Bright Horizons Family Solutions* 7,590 325,156 Chipotle Mexican Grill, Inc. - Class A* 3,452 407,785 Consolidated Graphics, Inc.* 6,112 383,772 DG FastChannel, Inc.* 4,200 99,036 DSW, Inc. - Class A* 11,015 277,248 Famous Dave's of America, Inc.* 7,000 113,820 Gemstar-TV Guide International, Inc.* 48,800 339,648 Hartmarx Corp.* 10,100 49,490 Learning Tree International, Inc.* 11,320 201,043 Life Time Fitness, Inc.* 6,666 408,892 McCormick & Schmick's Seafood Restaurants, Inc.* 17,937 337,754 NutriSystems, Inc.* 9,780 458,584 On Assignment, Inc.* 15,530 145,050 Perficient, Inc.* 7,040 153,965 PetMed Express, Inc.* 23,217 325,270 Phillips-Van Heusen Corp. 5,703 299,293 Smith & Wesson Holding Corp.*+ 14,150 270,124 Sonic Corp.* 14,333 335,392 Standard Parking Corp.* 4,140 164,731 Steiner Leisure, Ltd. - ADR* 7,248 314,563 Universal Security Instruments* 7,200 126,000 ValueClick, Inc.* 12,662 284,389 Waste Industries USA, Inc. 5,600 160,272 Watson Wyatt Worldwide, Inc. 7,715 346,712 -------------------------------------------------------------------------------- 7,265,202 -------------------------------------------------------------------------------- 56 -------------------------------------------------------------------------------- Small Cap Growth Fund (Continued) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 93.8% (CONTINUED) SHARES VALUE -------------------------------------------------------------------------------- PRODUCER DURABLES -- 12.6% Arris Group, Inc.* 16,963 $ 209,493 Astronics Corp.* 5,200 226,564 Avalon Holdings Corp. - Class A* 18,700 131,835 Bucyrus International, Inc. - Class A 4,601 335,551 Ducommun, Inc.* 16,042 518,158 EnPro Industries, Inc.* 6,777 275,146 Fuel-Tech N.V.*+ 3,600 79,524 General Cable Corp.* 4,407 295,798 Globecomm Systems, Inc.* 13,330 176,756 Graham Corp. 2,800 115,108 Hardinge, Inc. 5,740 199,924 Hawk Corp. - Class A* 6,900 95,703 Kadant, Inc.* 5,460 152,880 Key Technology, Inc.* 6,880 207,088 KMG Chemicals, Inc. 11,600 303,688 K-Tron International, Inc.* 1,820 172,900 Ladish Co., Inc.* 3,230 179,200 Regal-Beloit Corp. 4,535 217,181 SBA Communications Corp. - Class A* 5,380 189,806 Sonic Solutions* 14,095 147,575 Tat Technologies Ltd. 9,000 122,850 Team, Inc.* 6,400 175,232 Trio-Tech International* 6,400 69,696 Triumph Group, Inc. 2,300 187,933 Ultra Clean Holdings, Inc.* 24,842 365,177 Wireless Telecom Group, Inc.* 31,900 73,370 Woodward Governor Co. 3,758 234,499 -------------------------------------------------------------------------------- 5,458,635 -------------------------------------------------------------------------------- FINANCIAL SERVICES -- 9.3% Affiliated Managers Group, Inc.* 2,325 296,461 American Physicians Capital, Inc. 6,590 256,746 Boston Private Financial Holdings, Inc. 8,740 243,322 CyberSource Corp.* 12,850 150,217 Deluxe Corp. 4,510 166,148 East West Bancorp, Inc. 7,400 266,104 Euronet Worldwide, Inc.* 12,129 361,080 James River Group, Inc. 2,523 81,745 Jefferies Group, Inc. 8,528 237,334 LaSalle Hotel Properties - REIT 6,585 277,097 Life Partners Holdings, Inc. + 3,625 121,981 Morningstar, Inc.* 8,053 494,455 Portfolio Recovery Associates, Inc. 6,069 322,082 Redwood Trust, Inc. 8,370 278,051 TheStreet.com, Inc. 15,900 192,549 Wright Express Corp.* 7,519 274,368 -------------------------------------------------------------------------------- 4,019,740 -------------------------------------------------------------------------------- ENERGY -- 4.9% Bolt Technology Corp.* 5,400 176,364 Cabot Oil & Gas Corp. 6,060 213,070 Carrizo Oil & Gas, Inc.* 6,780 304,151 Helix Energy Solutions, Inc.* 6,264 265,969 Helmerich & Payne, Inc. 5,907 193,927 InterOil Corp.* 7,440 235,104 Matrix Service Co.* 8,100 169,695 Superior Well Services, Inc.* 8,990 204,343 Union Drilling, Inc.* 5,600 81,648 W-H Energy Services, Inc.* 3,787 279,291 -------------------------------------------------------------------------------- 2,123,562 -------------------------------------------------------------------------------- MATERIALS AND PROCESSING -- 3.7% Andersons, Inc. 6,376 306,176 Chase Corp. 7,200 133,920 Furmanite Corp.* 14,300 130,130 L.B. Foster Co. - Class A* 3,900 169,494 Multi-Color Corp. 6,346 144,804 NCI Building Systems, Inc.* 3,759 162,426 RTI International Metals, Inc.* 2,728 216,221 Synalloy Corp. 3,700 78,070 Terra Industries, Inc.* 8,149 254,738 -------------------------------------------------------------------------------- 1,595,979 -------------------------------------------------------------------------------- AUTOS AND TRANSPORTATION -- 2.5% AAR Corp.* 9,744 295,633 Amerigon, Inc.* 14,370 248,745 Hub Group, Inc. - Class A* 6,574 197,417 Wabtec 9,057 339,275 -------------------------------------------------------------------------------- 1,081,070 -------------------------------------------------------------------------------- UTILITIES -- 0.8% Global Crossing Ltd.* 9,010 189,930 Pike Electric Corp.* 8,564 160,661 -------------------------------------------------------------------------------- 350,591 -------------------------------------------------------------------------------- CONSUMER STAPLES -- 0.4% NutraCea*+ 55,200 85,008 Omega Protein Corp.* 9,600 86,880 -------------------------------------------------------------------------------- 171,888 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 40,641,408 -------------------------------------------------------------------------------- 57 -------------------------------------------------------------------------------- Small Cap Growth Fund (Continued) -------------------------------------------------------------------------------- MARKET SHARES VALUE -------------------------------------------------------------------------------- EXCHANGE TRADED FUNDS -- 2.6% iShares Russell 2000 Growth Index Fund 6,495 $ 556,492 iShares S&P Small Cap 600 Growth Index Fund 3,960 566,953 -------------------------------------------------------------------------------- TOTAL EXCHANGE TRADED FUNDS $ 1,123,445 -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 7.5% BBH Securities Lending Fund** 374,855 374,855 Touchstone Institutional Money Market Fund^ 2,877,052 2,877,052 -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 3,251,907 -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 103.9% (Cost $41,742,611) $ 45,016,760 LIABILITIES IN EXCESS OF OTHER ASSETS -- (3.9)% (1,683,812) -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 43,332,948 ================================================================================ * 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, 2007, was $327,255. ** Represents collateral for securities loaned. ADR American Depository Receipt. See accompanying notes to financial statements. 58 -------------------------------------------------------------------------------- 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. 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 heading entitled "Expenses Paid During the Six Months Ended September 30, 2007" 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. 59 -------------------------------------------------------------------------------- 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, 2007 2007 2007 2007* ------------------------------------------------------------------------------------------------------ DIVERSIFIED SMALL CAP GROWTH FUND Class A Actual 1.40% $ 1,000.00 $ 1,122.00 $ 7.43 Class A Hypothetical 1.40% $ 1,000.00 $ 1,018.07 $ 7.07 Class C Actual ** 2.11% $ 1,000.00 $ 1,048.20 $ 3.62 Class C Hypothetical ** 2.11% $ 1,000.00 $ 1,004.82 $ 3.54 Class Y Actual 1.15% $ 1,000.00 $ 1,122.60 $ 6.10 Class Y Hypothetical 1.15% $ 1,000.00 $ 1,019.32 $ 5.81 GROWTH OPPORTUNITIES FUND Class A Actual 1.55% $ 1,000.00 $ 1,151.80 $ 8.35 Class A Hypothetical 1.55% $ 1,000.00 $ 1,017.30 $ 7.83 Class B Actual 2.30% $ 1,000.00 $ 1,158.90 $ 12.44 Class B Hypothetical 2.30% $ 1,000.00 $ 1,013.55 $ 11.60 Class C Actual 2.30% $ 1,000.00 $ 1,156.40 $ 12.42 Class C Hypothetical 2.30% $ 1,000.00 $ 1,013.55 $ 11.60 LARGE CAP CORE EQUITY FUND Class A Actual 1.15% $ 1,000.00 $ 1,093.30 $ 6.02 Class A Hypothetical 1.15% $ 1,000.00 $ 1,019.32 $ 5.81 Class C Actual 1.89% $ 1,000.00 $ 1,089.50 $ 9.90 Class C Hypothetical 1.89% $ 1,000.00 $ 1,015.60 $ 9.55 LARGE CAP GROWTH FUND Class A Actual 1.25% $ 1,000.00 $ 1,218.90 $ 6.94 Class A Hypothetical 1.25% $ 1,000.00 $ 1,018.81 $ 6.31 Class B Actual 1.99% $ 1,000.00 $ 1,221.30 $ 11.09 Class B Hypothetical 1.99% $ 1,000.00 $ 1,015.08 $ 10.06 Class C Actual 2.00% $ 1,000.00 $ 1,220.70 $ 11.11 Class C Hypothetical 2.00% $ 1,000.00 $ 1,015.06 $ 10.08 Class Y Actual 1.00% $ 1,000.00 $ 1,219.00 $ 5.55 Class Y Hypothetical 1.00% $ 1,000.00 $ 1,020.07 $ 5.05 LARGE CAP VALUE FUND Class A Actual 1.35% $ 1,000.00 $ 922.00 $ 6.49 Class A Hypothetical 1.35% $ 1,000.00 $ 1,018.32 $ 6.81 Class C Actual 2.10% $ 1,000.00 $ 918.80 $ 10.08 Class C Hypothetical 2.10% $ 1,000.00 $ 1,014.56 $ 10.59
60 -------------------------------------------------------------------------------- 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, 2007 2007 2007 2007* ------------------------------------------------------------------------------------------------------ MICRO CAP GROWTH FUND Class A Actual 1.95% $ 1,000.00 $ 1,032.40 $ 9.94 Class A Hypothetical 1.95% $ 1,000.00 $ 1,015.29 $ 9.86 Class C Actual 2.70% $ 1,000.00 $ 1,028.30 $ 13.73 Class C Hypothetical 2.70% $ 1,000.00 $ 1,011.53 $ 13.62 Class Y Actual 1.70% $ 1,000.00 $ 1,033.30 $ 8.66 Class Y Hypothetical 1.70% $ 1,000.00 $ 1,016.55 $ 8.59 MID CAP GROWTH FUND Class A Actual 1.44% $ 1,000.00 $ 1,088.10 $ 7.52 Class A Hypothetical 1.44% $ 1,000.00 $ 1,017.87 $ 7.27 Class B Actual 2.25% $ 1,000.00 $ 1,083.80 $ 11.73 Class B Hypothetical 2.25% $ 1,000.00 $ 1,013.81 $ 11.34 Class C Actual 2.23% $ 1,000.00 $ 1,084.20 $ 11.66 Class C Hypothetical 2.23% $ 1,000.00 $ 1,013.88 $ 11.26 SMALL CAP GROWTH FUND Class A Actual 1.71% $ 1,000.00 $ 1,060.80 $ 8.81 Class A Hypothetical 1.71% $ 1,000.00 $ 1,016.52 $ 8.62 Class B Actual 2.45% $ 1,000.00 $ 1,059.50 $ 12.66 Class B Hypothetical 2.45% $ 1,000.00 $ 1,012.77 $ 12.38 Class C Actual 2.45% $ 1,000.00 $ 1,058.80 $ 12.66 Class C Hypothetical 2.45% $ 1,000.00 $ 1,012.77 $ 12.38 Class Y Actual 1.30% $ 1,000.00 $ 1,061.80 $ 6.73 Class Y Hypothetical 1.30% $ 1,000.00 $ 1,018.54 $ 6.59
* 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). ** The example is based on an investment of $1,000 invested at the beginning of the period (August 1, 2007) and held for the entire period through September 30, 2007. 61 This page intentionally left blank. 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 JP Morgan 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-54-TST-SAR-0710 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 Governance Committee will consider shareholder recommendations for nomination to the Board only in the event that there is a vacancy on the Board. Shareholders who wish to submit recommendations for nominations to the Board to fill the vacancy must submit their recommendations in writing to Phillip R. Cox, Chairman of the Governance Committee, c/o Touchstone, 303 Broadway, Suite 1100, Cincinnati, OH 45202. Shareholders should include appropriate information on the background and qualifications of any person recommended to the Governance Committee (e.g., a resume), as well as the candidate's contact information and a written consent from the candidate to serve if nominated and elected. Shareholder recommendations for nominations to the Board will be accepted on an ongoing basis and such recommendations will be kept on file for consideration in the event of a future vacancy on the Board. 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 3, 2007 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 3, 2007 /s/ Terrie A. Wiedenheft -------------------------------------------------------------------------------- Terrie A. Wiedenheft Controller & Treasurer Date: December 3, 2007