N-CSRS 1 v133780_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 ------------------------------------------------------ Date of reporting period: 9/30/08 ------------------------------------------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORTS TO STOCKHOLDERS. Semiannual Report -------------------------------------------------------------------------------- SEPTEMBER 30, 2008 (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 -------------------------------------------------------------------------------- [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 31-46 -------------------------------------------------------------------------------- Portfolios of Investments: -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund 47-48 -------------------------------------------------------------------------------- Growth Opportunities Fund 49 -------------------------------------------------------------------------------- Large Cap Core Equity Fund 50 -------------------------------------------------------------------------------- Large Cap Growth Fund 51 -------------------------------------------------------------------------------- Large Cap Value Fund 52 -------------------------------------------------------------------------------- Micro Cap Growth Fund 53 -------------------------------------------------------------------------------- Mid Cap Growth Fund 54-55 -------------------------------------------------------------------------------- Other Items 56-58 -------------------------------------------------------------------------------- 2 -------------------------------------------------------------------------------- Tabular Presentation of Portfolios of Investments (Unaudited) September 30, 2008 -------------------------------------------------------------------------------- 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 29.5 Information Technology 19.7 Industrials 16.1 Consumer Discretionary 11.9 Energy 8.3 Financials 5.3 Consumer Staples 3.0 Materials 2.3 Miscellaneous 1.3 Telecommunication Services 0.9 Utilities 0.5 Investment Funds 27.0 Other Assets/Liabilities (Net) (25.8) ------- TOTAL 100.0 ------- -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- LARGE CAP CORE EQUITY FUND -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Information Technology 20.3 Financials 15.3 Industrials 14.5 Energy 12.4 Consumer Staples 11.8 Health Care 9.3 Consumer Discretionary 7.8 Utilities 2.9 Telecommunication Services 2.3 Materials 1.3 Investment Funds 11.8 Other Assets/Liabilities (Net) (9.7) ------- TOTAL 100.0 ------- -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- LARGE CAP VALUE FUND -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Financials 28.2 Consumer Discretionary 24.0 Information Technology 17.6 Industrials 5.5 Telecommunication Services 5.4 Miscellaneous 4.3 Utilities 4.1 Energy 3.6 Health Care 3.4 Materials 1.5 Consumer Staples 1.2 Investment Funds 22.2 Other Assets/Liabilities (Net) (21.0) ------- TOTAL 100.0 ------- -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- GROWTH OPPORTUNITIES FUND -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Health Care 28.6 Information Technology 28.4 Consumer Staples 11.7 Energy 8.4 Industrials 8.1 Consumer Discretionary 6.3 Materials 5.0 Financials 3.1 Investment Fund 25.0 Other Assets/Liabilities (Net) (24.6) ------- TOTAL 100.0 ------- -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- LARGE CAP GROWTH FUND -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Consumer Staples 19.2 Health Care 18.2 Industrials 16.3 Information Technology 15.0 Consumer Discretionary 9.5 Financials 8.0 Materials 5.7 Energy 1.5 Investment Funds 25.0 Other Assets/Liabilities (Net) (18.4) ------- TOTAL 100.0 ------- -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- MICRO CAP GROWTH FUND -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Information Technology 36.1 Health Care 23.4 Industrials 20.6 Financials 7.9 Energy 4.5 Consumer Discretionary 4.3 Materials 2.6 Utilities 0.2 Investment Funds 22.5 Other Assets/Liabilities (Net) (22.1) ------- TOTAL 100.0 ------- -------------------------------------------------------------------------------- 3 -------------------------------------------------------------------------------- Tabular Presentation of Portfolios of Investments (Continued) -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- MID CAP GROWTH FUND -------------------------------------------------------------------------------- SECTOR ALLOCATION (% OF NET ASSETS) Information Technology 22.2 Health Care 19.6 Industrials 13.9 Financials 12.9 Consumer Discretionary 11.3 Energy 10.7 Materials 4.6 Utilities 1.4 Consumer Staples 0.9 Investment Funds 27.4 Other Assets/Liabilities (Net) (24.9) ------- TOTAL 100.0 ------- -------------------------------------------------------------------------------- 4 -------------------------------------------------------------------------------- Statements of Assets and Liabilities September 30, 2008 (Unaudited) --------------------------------------------------------------------------------
DIVERSIFIED LARGE SMALL CAP GROWTH CAP CORE LARGE CAP GROWTH OPPORTUNITIES EQUITY GROWTH FUND FUND FUND FUND ----------------------------------------------------------------------------------------------------------------------------------- ASSETS Investment securities: At cost $ 41,986,046 $ 45,293,672 $ 78,175,662 $ 1,406,138,002 =================================================================================================================================== Affiliated securities, at market value $ 891,083 $ -- $ 765,437 $ 61,852,304 Non-affiliated securities, at market value 37,789,285 45,285,960 74,240,992 1,331,033,327 ----------------------------------------------------------------------------------------------------------------------------------- At market value - including $7,355,295, $9,313,955, $7,612,685, and $200,601,064 of securities loaned for the Diversified Small Cap Growth Fund, Growth Opportunities Fund, Large Cap Core Equity Fund, and Large Cap Growth Fund, respectively. $ 38,680,368 $ 45,285,960 $ 75,006,429 $ 1,392,885,631 Dividends and interest receivable 10,906 10,701 113,581 1,244,863 Receivable for capital shares sold 7,427 30,943 646 2,019,404 Receivable for securities sold 433,284 391,041 814,312 132,238,437 Receivable for securities lending income 24,368 2,480 3,013 173,316 Other assets 29,870 18,742 10,959 51,673 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 39,186,223 45,739,867 75,948,940 1,528,613,324 ----------------------------------------------------------------------------------------------------------------------------------- LIABILITIES Bank overdraft -- 69,739 -- -- Payable upon return of securities loaned 7,417,316 9,105,852 7,283,232 232,401,090 Payable for capital shares redeemed 107,748 112,025 196,798 5,220,090 Payable for securities purchased 839,592 -- -- 112,831,105 Payable to Advisor 25,673 33,040 37,778 701,989 Payable to other affiliates 25,527 21,707 17,074 359,037 Payable to Trustees 4,771 2,948 3,663 2,688 Other accrued expenses and liabilities 15,352 41,895 35,734 498,809 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 8,435,979 9,387,206 7,574,279 352,014,808 ----------------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 30,750,244 $ 36,352,661 $ 68,374,661 $ 1,176,598,516 =================================================================================================================================== NET ASSETS CONSIST OF: Paid-in capital $ 48,733,591 $ 80,067,980 $ 68,277,163 $ 1,248,012,296 Accumulated net investment income (loss) (26,904) (234,874) 605,047 (34,836) Accumulated net realized gains (losses) from security transactions (14,650,765) (43,472,733) 2,661,684 (58,126,573) Net unrealized depreciation on investments (3,305,678) (7,712) (3,169,233) (13,252,371) ----------------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 30,750,244 $ 36,352,661 $ 68,374,661 $ 1,176,598,516 =================================================================================================================================== PRICING OF CLASS A SHARES Net assets attributable to Class A shares $ 15,390,307 $ 25,266,735 $ 66,222,801 $ 687,287,814 =================================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 1,652,724 1,311,829 6,835,057 32,747,654 =================================================================================================================================== Net asset value and redemption price per share $ 9.31 $ 19.26 $ 9.69 $ 20.99 =================================================================================================================================== Maximum offering price per share $ 9.88 $ 20.44 $ 10.28 $ 22.27 =================================================================================================================================== PRICING OF CLASS B SHARES Net assets attributable to Class B shares $ -- $ 1,744,315 $ -- $ 25,102,236 =================================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) -- 96,907 -- 1,235,032 =================================================================================================================================== Net asset value, offering price and redemption price per share* $ -- $ 18.00 $ -- $ 20.33 ===================================================================================================================================
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 $ 3,294,161 $ 9,341,611 $ 2,151,860 $ 222,616,232 =================================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 356,494 513,565 224,433 10,929,865 =================================================================================================================================== Net asset value, offering price and redemption price per share* $ 9.24 $ 18.19 $ 9.59 $ 20.37 =================================================================================================================================== PRICING OF CLASS Y SHARES Net assets attributable to Class Y shares $ 12,065,776 $ -- $ -- $ 241,592,234 =================================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 1,290,201 -- -- 11,415,227 =================================================================================================================================== Net asset value, offering price and redemption price per share $ 9.35 $ -- $ -- $ 21.16 ===================================================================================================================================
* 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 VALUE GROWTH GROWTH FUND FUND FUND -------------------------------------------------------------------------------------------------------------------------------- ASSETS Investment securities: At cost $ 30,313,343 $ 26,921,670 $ 1,183,675,811 ================================================================================================================================ Affiliated securities, at market value $ 561,915 $ 302,146 $ 39,021,344 Non-affiliated securities, at market value 17,233,518 32,389,374 1,113,917,251 -------------------------------------------------------------------------------------------------------------------------------- At market value - including $2,404,215, $5,789,946, and $219,673,700 of securities loaned for the Large Cap Value Fund, Micro Cap Growth Fund, and Mid Cap Growth Fund, respectively. $ 17,795,433 $ 32,691,520 $ 1,152,938,595 Dividends and interest receivable 7,768 1,426 1,028,676 Receivable for capital shares sold 5,975 680 1,275,841 Receivable for securities sold 996,444 249,552 12,001,988 Receivable for securities lending income 15,439 3,622 104,689 Other assets 14,173 20,291 57,114 -------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 18,835,232 32,967,091 1,167,406,903 -------------------------------------------------------------------------------------------------------------------------------- LIABILITIES Bank overdrafts 100,979 249,552 -- Payable upon return of securities loaned 2,698,547 5,721,855 214,302,210 Payable for capital shares redeemed 106,356 133,723 9,761,828 Payable for securities purchased 1,171,044 -- 18,568,191 Payable to Advisor 11,581 25,922 659,699 Payable to other affiliates 9,219 23,673 453,615 Payable to Trustees 2,670 2,981 3,416 Other accrued expenses and liabilities 23,805 33,269 716,589 -------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 4,124,201 6,190,975 244,465,548 -------------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 14,711,031 $ 26,776,116 $ 922,941,355 ================================================================================================================================ NET ASSETS CONSIST OF: Paid-in capital $ 50,646,681 $ 23,046,235 $ 952,366,500 Accumulated net investment income (loss) 157,181 (253,651) (2,674,751) Accumulated net realized gains (losses) from security transactions (23,574,921) (1,786,318) 3,986,822 Net unrealized appreciation (depreciation) on investments (12,517,910) 5,769,850 (30,737,216) -------------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 14,711,031 $ 26,776,116 $ 922,941,355 ================================================================================================================================ PRICING OF CLASS A SHARES Net assets attributable to Class A shares $ 10,299,188 $ 16,502,997 $ 605,598,793 ================================================================================================================================ Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 3,039,213 1,673,412 31,690,577 ================================================================================================================================ Net asset value and redemption price per share $ 3.39 $ 9.86 $ 19.11 ================================================================================================================================ Maximum offering price per share $ 3.60 $ 10.46 $ 20.28 ================================================================================================================================ PRICING OF CLASS B SHARES Net assets attributable to Class B shares $ -- $ -- $ 51,856,238 ================================================================================================================================ Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) -- -- 3,179,101 ================================================================================================================================ Net asset value, offering price and redemption price per share* $ -- $ -- $ 16.31 ================================================================================================================================
7 -------------------------------------------------------------------------------- Statements of Assets and Liabilities (Continued) --------------------------------------------------------------------------------
LARGE CAP MICRO CAP MID CAP VALUE GROWTH GROWTH FUND FUND FUND ------------------------------------------------------------------------------------------------------------------ PRICING OF CLASS C SHARES Net assets attributable to Class C shares $ 4,411,843 $ 10,037,024 $ 265,486,324 ================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) 1,315,910 1,049,558 16,258,568 ================================================================================================================== Net asset value, offering price and redemption price per share* $ 3.35 $ 9.56 $ 16.33 ================================================================================================================== PRICING OF CLASS Y SHARES Net assets attributable to Class Y shares $ -- $ 236,095 $ -- ================================================================================================================== Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) -- 23,457 -- ================================================================================================================== Net asset value, offering price and redemption price per share $ -- $ 10.07 $ -- ==================================================================================================================
* 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, 2008 (Unaudited) --------------------------------------------------------------------------------
DIVERSIFIED LARGE SMALL CAP GROWTH CAP CORE LARGE CAP GROWTH OPPORTUNITIES EQUITY GROWTH FUND FUND FUND FUND ---------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends from affiliated securities $ 14,109 $ 16,460 $ 17,429 $ 555,787 Dividends from non-affiliated securities (A) 61,045 108,379 843,149 6,680,185 Interest 85 3 103 492 Income from securities loaned 181,829 21,792 13,894 933,985 ---------------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT INCOME 257,068 146,634 874,575 8,170,449 ---------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 214,588 213,475 267,473 4,073,444 Distribution expenses, Class A 28,530 36,505 99,585 985,132 Distribution expenses, Class B -- 10,446 -- 153,214 Distribution expenses, Class C 20,018 57,008 13,158 1,289,386 Administration fees 40,874 42,695 82,299 1,161,063 Transfer Agent fees, Class A 39,629 36,234 23,396 357,961 Transfer Agent fees, Class B -- 4,152 -- 23,090 Transfer Agent fees, Class C 9,036 14,033 4,695 121,097 Transfer Agent fees, Class Y 2,643 -- -- 5,247 Postage and supplies 9,119 19,511 10,108 94,378 Registration fees, Class A 15,704 6,424 5,912 18,365 Registration fees, Class B -- 3,395 -- 5,379 Registration fees, Class C 8,975 4,318 3,491 9,754 Registration fees, Class Y 8,582 -- -- 6,253 Reports to shareholders 2,107 7,979 3,869 73,660 Professional fees 9,907 10,560 11,708 39,388 Custodian fees -- 5,737 2,686 28,319 Trustees' fees and expenses 1,484 3,068 2,388 3,332 Compliance fees and expenses 329 501 677 2,221 Other expenses 566 1,185 1,473 27,029 ---------------------------------------------------------------------------------------------------------------------------- TOTAL EXPENSES 412,091 477,226 532,918 8,477,712 Fees waived by the Administrator (40,874) (42,695) (49,083) (272,427) Fees waived and/or expenses reimbursed by the Advisor (87,127) (52,861) -- -- Fees Reduced by Custodian -- -- -- (7,589) ---------------------------------------------------------------------------------------------------------------------------- NET EXPENSES 284,090 381,670 483,835 8,205,285 ---------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS) (27,022) (235,036) 390,740 (34,836) ---------------------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS Net realized losses from security transactions (2,244,446) (2,315,284) (1,535,125) (31,108,201) Net change in unrealized appreciation/ depreciation on investments 818,276 (2,301,665) (3,640,890) (161,755,021) ---------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED LOSSES ON INVESTMENTS (1,426,170) (4,616,949) (5,176,015) (192,863,222) ---------------------------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM OPERATIONS $ (1,453,192) $ (4,851,985) $ (4,785,275) $ (192,898,058) ============================================================================================================================ (A) Net of foreign tax withholding of: $ -- $ 660 $ -- $ 96,885
See accompanying notes to financial statements. 9 -------------------------------------------------------------------------------- Statements of Operations (Continued) --------------------------------------------------------------------------------
LARGE CAP MICRO CAP MID CAP VALUE GROWTH GROWTH FUND FUND FUND ----------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends from affiliated securities $ 10,240 $ 3,793 $ 602,219 Dividends from non-affiliated securities (A) 271,379 24,273 5,298,864 Interest 156 -- 315 Income from securities loaned 93,165 23,139 732,522 ----------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT INCOME 374,940 51,205 6,633,920 ----------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 104,259 204,698 4,278,732 Distribution expenses, Class A 24,726 25,094 865,917 Distribution expenses, Class B -- -- 314,691 Distribution expenses, Class C 40,107 61,712 1,570,059 Administration fees 27,802 32,752 1,069,688 Transfer Agent fees, Class A 11,873 28,356 436,607 Transfer Agent fees, Class B -- -- 53,801 Transfer Agent fees, Class C 12,047 18,908 233,493 Transfer Agent fees, Class Y -- 551 -- Postage and supplies 11,157 14,612 246,009 Reports to shareholders 4,517 10,772 101,098 Professional fees 10,156 10,495 47,630 Registration fees, Class A 8,333 4,783 15,548 Registration fees, Class B -- -- 5,288 Registration fees, Class C 6,791 3,431 8,915 Registration fees, Class Y -- 2,071 -- Custodian fees 1,737 4,854 33,602 Trustees' fees and expenses 3,229 2,970 2,797 Compliance fees and expenses 504 501 2,463 Other expenses 880 2,030 28,895 ----------------------------------------------------------------------------------------------------------- TOTAL EXPENSES 268,118 428,590 9,315,233 Fees waived by the Administrator (27,802) (32,752) (6,562) Fees waived and/or expenses reimbursed by the Advisor (22,557) (90,982) -- ----------------------------------------------------------------------------------------------------------- NET EXPENSES 217,759 304,856 9,308,671 ----------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS) 157,181 (253,651) (2,674,751) ----------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS Net realized gains (losses) from security transactions (17,135,766) 2,449,517 4,353,376 Net change in unrealized appreciation/ depreciation on investments 2,931,285 (2,760,352) (104,118,734) ----------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED LOSSES ON INVESTMENTS (14,204,481) (310,835) (99,765,358) ----------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM OPERATIONS $ (14,047,300) $ (564,486) $ (102,440,109) =========================================================================================================== (A)Net of foreign tax withholding of: $ 41 $ -- $ 7,697
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 YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2008 MARCH 31, 2008 MARCH 31, (UNAUDITED) 2008(A) (UNAUDITED) 2008 ----------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment loss $ (27,022) $ (105,712) $ (235,036) $ (537,079) Net realized gains (losses) from security transactions (2,244,446) 601,739 (2,315,284) 6,787,746 Net change in unrealized appreciation/depreciation on investments 818,276 (3,667,836) (2,301,665) (2,959,595) ----------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (1,453,192) (3,171,809) (4,851,985) 3,291,072 ----------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS From net realized gains, Class A -- (752,111) -- -- From net realized gains, Class C -- (2,212) -- -- From net realized gains, Class Y -- (631,432) -- -- ----------------------------------------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS -- (1,385,755) -- -- ----------------------------------------------------------------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold 1,278,643 3,167,457 6,125,552 8,890,874 Reinvested distributions -- 744,007 -- -- Proceeds from shares issued in connection with acquisition(B) -- 16,787,855 -- -- Payments for shares redeemed (8,070,730) (1,092,663) (3,690,339) (20,930,319) ----------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS (6,792,087) 19,606,656 2,435,213 (12,039,445) ----------------------------------------------------------------------------------------------------------------------------- CLASS B Proceeds from shares sold -- -- 44,984 144,930 Payments for shares redeemed -- -- (64,219) (568,213) ----------------------------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS -- -- (19,235) (423,283) ----------------------------------------------------------------------------------------------------------------------------- CLASS C Proceeds from shares sold 28,791 30,668 753,189 1,718,568 Reinvested distributions -- 2,028 -- -- Proceeds from shares issued in connection with acquisition(B) -- 4,738,407 -- -- Payments for shares redeemed (810,242) (162,935) (1,402,523) (3,077,255) ----------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS (781,451) 4,608,168 (649,334) (1,358,687) ----------------------------------------------------------------------------------------------------------------------------- CLASS Y Proceeds from shares sold 309,081 153,398 -- -- Reinvested distributions -- 625,498 -- -- Proceeds from shares issued in connection with acquisition(B) -- 10,000,673 -- -- Payments for shares redeemed (2,223,656) (719,725) -- -- ----------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS Y SHARE TRANSACTIONS (1,914,575) 10,059,844 -- -- ----------------------------------------------------------------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS (10,941,305) 29,717,104 (3,085,341) (10,530,343) NET ASSETS Beginning of period 41,691,549 11,974,445 39,438,002 49,968,345 ----------------------------------------------------------------------------------------------------------------------------- End of period $ 30,750,244 $ 41,691,549 $ 36,352,661 $ 39,438,002 ============================================================================================================================= ACCUMULATED NET INVESTMENT LOSS $ (26,904) $ -- $ (234,874) $ -- =============================================================================================================================
(A) Class C represents the period from commencement of operations (August 1, 2007) through March 31, 2008. (B) See Footnote 9 in notes to financial statements. 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 2008 MARCH 31, 2008 MARCH 31, (UNAUDITED) 2008 (UNAUDITED) 2008 -------------- --------------- --------------- --------------- ----------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment income (loss) $ 390,740 $ 866,217 $ (34,836) $ (1,155,972) Net realized gains (losses) from security transactions (1,535,125) 6,463,979 (31,108,201) 78,418,915 Net change in unrealized appreciation/depreciation on investments (3,640,890) (11,752,556) (161,755,021) 11,288,276 ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (4,785,275) (4,422,360) (192,898,058) 88,551,219 ----------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income, Class A -- (869,683) -- -- From net investment income, Class C -- (6,974) -- -- From net realized gains, Class A -- (3,072,157) -- -- From net realized gains, Class C -- (115,209) -- -- ----------------------------------------------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS -- (4,064,023) -- -- ----------------------------------------------------------------------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold 7,402,488 3,683,254 200,952,419 248,046,527 Reinvested distributions -- 3,889,452 -- -- Payments for shares redeemed (21,162,012) (9,913,649) (115,100,289) (251,396,114) ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS (13,759,524) (2,340,943) 85,852,130 (3,349,587) ----------------------------------------------------------------------------------------------------------------------------------- CLASS B Proceeds from shares sold -- -- 1,800,687 4,553,787 Payments for shares redeemed -- -- (2,344,414) (3,971,491) ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS -- -- (543,727) 582,296 ----------------------------------------------------------------------------------------------------------------------------------- CLASS C Proceeds from shares sold 113,133 360,222 45,572,087 77,098,573 Reinvested distributions -- 100,046 -- -- Payments for shares redeemed (717,667) (1,514,470) (21,082,510) (46,988,762) ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS (604,534) (1,054,202) 24,489,577 30,109,811 ----------------------------------------------------------------------------------------------------------------------------------- CLASS Y Proceeds from shares sold -- -- 252,062,314 18,878,626 Payments for shares redeemed -- -- (9,941,844) (30,750,486) ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS Y SHARE TRANSACTIONS -- -- 242,120,470 (11,871,860) ----------------------------------------------------------------------------------------------------------------------------------- TOTAL INCREASE (DECREASE) IN NET ASSETS (19,149,333) (11,881,528) 159,020,392 104,021,879 NET ASSETS Beginning of period 87,523,994 99,405,522 1,017,578,124 913,556,245 ----------------------------------------------------------------------------------------------------------------------------------- End of period $ 68,374,661 $ 87,523,994 $ 1,176,598,516 $ 1,017,578,124 =================================================================================================================================== ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 605,047 $ 214,307 $ (34,836) $ -- ===================================================================================================================================
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 2008 MARCH 31, 2008 MARCH 31, (UNAUDITED) 2008 (UNAUDITED) 2008 ----------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment income (loss) $ 157,181 $ 369,221 $ (253,651) $ (887,983) Net realized gains (losses) from security transactions (17,135,766) (4,840,876) 2,449,517 2,509,126 Net change in unrealized appreciation/depreciation on investments 2,931,285 (17,198,483) (2,760,352) (12,624,840) ----------------------------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM OPERATIONS (14,047,300) (21,670,138) (564,486) (11,003,697) ----------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income, Class A -- (276,762) -- -- From net investment income, Class C -- (8,042) -- -- From net realized gains, Class A -- (1,859,568) -- -- From net realized gains, Class C -- (873,430) -- -- ----------------------------------------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS -- (3,017,802) -- -- ----------------------------------------------------------------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold 2,952,622 19,751,253 454,321 2,189,172 Reinvested distributions -- 1,817,713 -- -- Payments for shares redeemed (6,396,144) (11,126,403) (5,350,389) (19,368,542) ----------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS (3,443,522) 10,442,563 (4,896,068) (17,179,370) ----------------------------------------------------------------------------------------------------------------------------- CLASS C Proceeds from shares sold 454,816 9,574,773 273,499 1,875,034 Reinvested distributions -- 719,340 -- -- Payments for shares redeemed (1,501,461) (7,628,859) (3,940,779) (9,767,972) ----------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS (1,046,645) 2,665,254 (3,667,280) (7,892,938) ----------------------------------------------------------------------------------------------------------------------------- CLASS Y Proceeds from shares sold -- -- 11,393 434,272 Payments for shares redeemed -- -- (195,975) (308,125) ----------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS Y SHARE TRANSACTIONS -- -- (184,582) 126,147 ----------------------------------------------------------------------------------------------------------------------------- TOTAL DECREASE IN NET ASSETS (18,537,467) (11,580,123) (9,312,416) (35,949,858) NET ASSETS Beginning of period 33,248,498 44,828,621 36,088,532 72,038,390 ----------------------------------------------------------------------------------------------------------------------------- End of period $ 14,711,031 $ 33,248,498 $ 26,776,116 $ 36,088,532 ============================================================================================================================= ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 157,181 $ -- $ (253,651) $ -- =============================================================================================================================
See accompanying notes to financial statements. 13 -------------------------------------------------------------------------------- Statements of Changes in Net Assets (Continued) --------------------------------------------------------------------------------
MID CAP GROWTH FUND ----------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR SEPT. 30, ENDED 2008 MARCH 31, (UNAUDITED) 2008 ----------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net investment loss $ (2,674,751) $ (9,330,452) Net realized gains from security transactions 4,353,376 126,657,990 Net change in unrealized appreciation/depreciation on investments (104,118,734) (132,524,125) ----------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM OPERATIONS (102,440,109) (15,196,587) ----------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS From net realized gains, Class A -- (83,106,401) From net realized gains, Class B -- (9,367,106) From net realized gains, Class C -- (44,739,520) ----------------------------------------------------------------------------------------------------------- DECREASE IN NET ASSETS FROM DISTRIBUTIONS TO SHAREHOLDERS -- (137,213,027) ----------------------------------------------------------------------------------------------------------- FROM CAPITAL SHARE TRANSACTIONS CLASS A Proceeds from shares sold 118,143,165 190,248,618 Reinvested distributions -- 70,079,740 Payments for shares redeemed (95,160,170) (232,671,372) ----------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM CLASS A SHARE TRANSACTIONS 22,982,995 27,656,986 ----------------------------------------------------------------------------------------------------------- CLASS B Proceeds from shares sold 1,457,253 4,289,248 Reinvested distributions -- 7,301,219 Payments for shares redeemed (5,951,687) (14,187,674) ----------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM CLASS B SHARE TRANSACTIONS (4,494,434) (2,597,207) ----------------------------------------------------------------------------------------------------------- CLASS C Proceeds from shares sold 18,939,979 47,085,566 Reinvested distributions -- 28,910,918 Payments for shares redeemed (26,337,472) (68,954,343) ----------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM CLASS C SHARE TRANSACTIONS (7,397,493) 7,042,141 ----------------------------------------------------------------------------------------------------------- TOTAL DECREASE IN NET ASSETS (91,349,041) (120,307,694) NET ASSETS Beginning of period 1,014,290,396 1,134,598,090 ----------------------------------------------------------------------------------------------------------- End of period $ 922,941,355 $ 1,014,290,396 =========================================================================================================== ACCUMULATED NET INVESTMENT LOSS $ (2,674,751) $ -- ===========================================================================================================
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 YEAR PERIOD SEPT. 30, ENDED ENDED 2008 MARCH 31, MARCH 31, (UNAUDITED) 2008 2007 (A) --------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 9.80 $ 11.64 $ 10.00 --------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income (loss) (0.01) 0.50 (0.07) Net realized and unrealized gains (losses) on investments (0.48) (1.15) 1.71 --------------------------------------------------------------------------------------------------------------- Total from investment operations (0.49) (0.65) 1.64 --------------------------------------------------------------------------------------------------------------- Distributions from net realized gains -- (1.19) -- --------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 9.31 $ 9.80 $ 11.64 =============================================================================================================== Total return(B) (5.00%)(C) (7.28%) 16.40%(C) =============================================================================================================== Net assets at end of period (000's) $ 15,390 $ 22,955 $ 5,846 =============================================================================================================== Ratio of net expenses to average net assets 1.40%(D) 1.40% 1.40%(D) Ratio of net investment income (loss) to average net assets (0.15%)(D) 0.33% (1.15%)(D) Portfolio turnover rate 122%(D) 99% 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 EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS ENDED PERIOD SEPT. 30, ENDED 2008 MARCH 31, (UNAUDITED) 2008 (A) -------------------------------------------------------------------------------------- Net asset value at beginning of period $ 9.75 $ 12.44 -------------------------------------------------------------------------------------- Loss from investment operations: Net investment loss (0.05) (0.22) Net realized and unrealized losses on investments (0.46) (1.28) -------------------------------------------------------------------------------------- Total from investment operations (0.51) (1.50) -------------------------------------------------------------------------------------- Distributions from net realized gains -- (1.19) -------------------------------------------------------------------------------------- Net asset value at end of period $ 9.24 $ 9.75 ====================================================================================== Total return(B) (5.23%)(C) (13.66%)(C) ====================================================================================== Net assets at end of period (000's) $ 3,294 $ 4,228 ====================================================================================== Ratio of net expenses to average net assets 2.15%(D) 0.84%(D) Ratio of net investment loss to average net assets (0.89%)(D) (17.70%)(D) Portfolio turnover rate 122%(D) 99%
(A) Represents the period from commencement of operations (August 1, 2007) through March 31, 2008. (B) Total returns shown exclude 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 YEAR PERIOD SEPT. 30, ENDED ENDED 2008 MARCH 31, MARCH 31, (UNAUDITED) 2008 2007 (A) --------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 9.84 $ 11.66 $ 10.00 --------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income (loss) 0.01 0.04 (0.05) Net realized and unrealized gains (losses) on investments (0.50) (0.67) 1.71 --------------------------------------------------------------------------------------------------------------- Total from investment operations (0.49) (0.63) 1.66 --------------------------------------------------------------------------------------------------------------- Distributions from net realized gains -- (1.19) -- --------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 9.35 $ 9.84 $ 11.66 =============================================================================================================== Total return (4.98%)(B) (7.09%) 16.60%(B) =============================================================================================================== Net assets at end of period (000's) $ 12,066 $ 14,509 $ 6,128 =============================================================================================================== Ratio of net expenses to average net assets 1.15%(C) 1.15% 1.15%(C) Ratio of net investment income (loss) to average net assets 0.11%(C) (0.52%) (0.90%)(C) Portfolio turnover rate 122%(C) 99% 86%(C)
(A) Represents the period from commencement of operations (September 6, 2006) through March 31, 2007. (B) Not annualized. (C) Annualized. GROWTH OPPORTUNITIES FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2008 ----------------------------------------------------------------------- (UNAUDITED) 2008 2007 2006 2005 2004 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 21.68 $ 20.75 $ 21.57 $ 17.92 $ 18.06 $ 12.70 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.09) (0.24) (0.35) (0.21) (0.24) (0.21) Net realized and unrealized gains (losses) on investments (2.33) 1.17 (0.47) 3.86 0.10 5.57 ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (2.42) 0.93 (0.82) 3.65 (0.14) 5.36 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 19.26 $ 21.68 $ 20.75 $ 21.57 $ 17.92 $ 18.06 ==================================================================================================================================== Total return(A) (11.16%)(B) 4.48% (3.80%) 20.37% (0.78%) 42.20% ==================================================================================================================================== Net assets at end of period (000's) $ 25,267 $ 26,349 $ 35,723 $ 98,004 $ 81,313 $117,605 ==================================================================================================================================== Ratio of net expenses to average net assets 1.55%(C) 1.55% 1.79% 1.64% 1.68% 1.60% Ratio of net investment loss to average net assets (0.87%)(C) (0.89%) (1.12%) (1.09%) (1.14%) (1.23%) Portfolio turnover rate 50%(C) 82% 161% 80% 35% 47%
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. See accompanying notes to financial statements. 16 -------------------------------------------------------------------------------- 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, 2008 ----------------------------------------------------------------------- (UNAUDITED) 2008 2007 2006 2005 2004 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 20.18 $ 19.38 $ 20.39 $ 16.97 $ 17.31 $ 12.13 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.17) (0.36) (0.51) (0.46) (0.43) (0.38) Net realized and unrealized gains (losses) on investments (2.01) 1.16 (0.50) 3.88 0.09 5.56 ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (2.18) 0.80 (1.01) 3.42 (0.34) 5.18 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 18.00 $ 20.18 $ 19.38 $ 20.39 $ 16.97 $ 17.31 ==================================================================================================================================== Total return(A) (10.80%)(B) 4.13% (4.95%) 20.15% (1.96%) 42.70% ==================================================================================================================================== Net assets at end of period (000's) $ 1,744 $ 1,974 $ 2,288 $ 3,230 $ 3,064 $ 3,608 ==================================================================================================================================== Ratio of net expenses to average net assets 2.30%(C) 2.30% 2.97% 2.97% 2.95% 2.84% Ratio of net investment loss to average net assets (1.60%)(C) (1.59%) (2.24%) (2.39%) (2.38%) (2.45%) Portfolio turnover rate 50%(C) 82% 161% 80% 35% 47%
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. GROWTH OPPORTUNITIES FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2008 ----------------------------------------------------------------------- (UNAUDITED) 2008 2007 2006 2005 2004 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 20.42 $ 19.63 $ 20.60 $ 17.11 $ 17.39 $ 12.17 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.17) (0.35) (0.54) (0.40) (0.40) (0.37) Net realized and unrealized gains (losses) on investments (2.06) 1.14 (0.43) 3.89 0.12 5.59 ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (2.23) 0.79 (0.97) 3.49 (0.28) 5.22 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 18.19 $ 20.42 $ 19.63 $ 20.60 $ 17.11 $ 17.39 ==================================================================================================================================== Total return(A) (10.92%)(B) 4.02% (4.71%) 20.40% (1.61%) 42.89% ==================================================================================================================================== Net assets at end of period (000's) $ 9,342 $ 11,115 $ 11,957 $ 22,412 $ 21,789 $ 28,470 ==================================================================================================================================== Ratio of net expenses to average net assets 2.30%(C) 2.30% 2.71% 2.57% 2.61% 2.60% Ratio of net investment loss to average net assets (1.60%)(C) (1.60%) (2.00%) (2.01%) (2.04%) (2.21%) Portfolio turnover rate 50%(C) 82% 161% 80% 35% 47%
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. See accompanying notes to financial statements. 17 -------------------------------------------------------------------------------- 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, 2008 ----------------------------------------------------------------------- (UNAUDITED) 2008 2007 2006 2005 2004 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 10.36 $ 11.36 $ 10.49 $ 9.48 $ 9.10 $ 6.71 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income 0.06 0.10 0.11 0.06 0.11 0.07 Net realized and unrealized gains (losses) on investments (0.73) (0.62) 0.91 0.96 0.38 2.37 ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (0.67) (0.52) 1.02 1.02 0.49 2.44 ------------------------------------------------------------------------------------------------------------------------------------ Less distributions: Dividends from net investment income -- (0.10) (0.15) (0.01) (0.11) (0.05) Distributions from net realized gains -- (0.38) -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total distributions -- (0.48) (0.15) (0.01) (0.11) (0.05) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 9.69 $ 10.36 $ 11.36 $ 10.49 $ 9.48 $ 9.10 ==================================================================================================================================== Total return(A) (6.47%)(B) (5.03%) 9.83% 10.74% 5.32% 36.41% ==================================================================================================================================== Net assets at end of period (000's) $ 66,223 $ 84,611 $ 95,175 $ 25,693 $ 9,328 $ 8,783 ==================================================================================================================================== Ratio of net expenses to average net assets 1.15%(C) 1.15% 1.15% 1.00% 1.00% 0.97%(D) Ratio of net investment income to average net assets 0.97%(C) 0.89% 0.97% 1.03% 1.18% 0.85%(D) Portfolio turnover rate 51%(C) 52% 54% 6% 7% 10%
(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. 18 -------------------------------------------------------------------------------- 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, 2008 ----------------------------------------------------------------------- (UNAUDITED) 2008 2007 2006 2005 2004 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 10.29 $ 11.29 $ 10.39 $ 9.46 $ 9.08 $ 6.72 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income (loss) 0.01 0.01 (0.02) 0.03 0.04 0.01 Net realized and unrealized gains (losses) on investments (0.71) (0.61) 0.96 0.91 0.37 2.37 ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (0.70) (0.60) 0.94 0.94 0.41 2.38 ------------------------------------------------------------------------------------------------------------------------------------ Less distributions: Dividends from net investment income -- (0.02) (0.04) (0.01) (0.03) (0.02) Distributions from net realized gains -- (0.38) -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total distributions -- (0.40) (0.04) (0.01) (0.03) (0.02) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 9.59 $ 10.29 $ 11.29 $ 10.39 $ 9.46 $ 9.08 ==================================================================================================================================== Total return(A) (6.80%)(B) (5.72%) 9.09% 9.91% 4.52% 35.38% ==================================================================================================================================== Net assets at end of period (000's) $ 2,152 $ 2,913 $ 4,231 $ 1,399 $ 1,675 $ 2,260 ==================================================================================================================================== Ratio of net expenses to average net assets 1.90%(C) 1.90% 1.90% 1.75% 1.75% 1.72%(D) Ratio of net investment income (loss) to average net assets 0.21%(C) 0.13% (0.26%) 0.26% 0.41% 0.13%(D) Portfolio turnover rate 51%(C) 52% 54% 6% 7% 10%
(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 1.75% and the ratio of net investment income to average net assets would have been 0.10%. See accompanying notes to financial statements. 19 -------------------------------------------------------------------------------- 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 SEPT. 30, YEAR ENDED MARCH 31, ENDED ENDED 2008 ------------------------------------------- MARCH 31, DEC. 31, (UNAUDITED) 2008 2007 2006 2005 2004(A) 2003 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 24.45 $ 22.06 $ 23.26 $ 19.84 $ 17.31 $ 16.53 $ 12.19 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income (loss) 0.02 0.02 (0.04) (0.02) (0.02) (0.03) (0.07) Net realized and unrealized gains (losses) on investments (3.48) 2.37 (1.16) 3.44 2.55 0.81 4.41 ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (3.46) 2.39 (1.20) 3.42 2.53 0.78 4.34 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 20.99 $ 24.45 $ 22.06 $ 23.26 $ 19.84 $ 17.31 $ 16.53 ==================================================================================================================================== Total return(B) (14.15%)(C) 10.83% (5.16%) 17.24% 14.62% 4.72%(C) 35.60% ==================================================================================================================================== Net assets at end of period (000's) $687,288 $719,488 $656,582 $838,120 $274,121 $ 69,860 $ 62,187 ==================================================================================================================================== Ratio of net expenses to average net assets 1.24%(D) 1.25% 1.16% 1.17% 1.26% 1.30%(D) 1.39% Ratio of net investment income (loss) to average net assets 0.15%(D) 0.06% (0.16%) (0.13%) (0.23%) (0.78%)(D) (0.93%) Portfolio turnover 116%(D) 72% 115% 104% 127% 60%(D) 60%
(A) Effective after the close of business on December 31, 2003, the Fund changed its fiscal year end to March 31. (B) Total returns shown exclude the effect of applicable sales loads. (C) Not annualized. (D) Annualized. See accompanying notes to financial statements. 20 -------------------------------------------------------------------------------- Financial Highlights (Continued) -------------------------------------------------------------------------------- LARGE CAP GROWTH FUND--CLASS B PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS THREE ENDED MONTHS YEAR SEPT. 30, YEAR ENDED MARCH 31, ENDED ENDED 2008 ------------------------------------------- MARCH 31, DEC. 31, (UNAUDITED) 2008 2007 2006 2005 2004(A) 2003(B) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 23.68 $ 21.46 $ 22.83 $ 19.60 $ 17.24 $ 16.50 $ 15.45 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.07) (0.15) (0.21) (0.15) (0.12) (0.03) (0.06) Net realized and unrealized gains (losses) on investments (3.28) 2.37 (1.16) 3.38 2.48 0.77 1.11 ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (3.35) 2.22 (1.37) 3.23 2.36 0.74 1.05 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 20.33 $ 23.68 $ 21.46 $ 22.83 $ 19.60 $ 17.24 $ 16.50 ==================================================================================================================================== Total return(C) (14.15%)(D) 10.34% (6.00%) 16.48% 13.69% 4.48%(D) 6.80%(D) ==================================================================================================================================== Net assets at end of period (000's) $ 25,103 $ 29,829 $ 26,669 $ 27,781 $ 10,579 $ 1,897 $ 1,003 ==================================================================================================================================== Ratio of net expenses to average net assets 1.99%(E) 2.00% 2.02% 2.08% 2.25% 2.25%(E) 2.22%(E) Ratio of net investment loss to average net assets (0.58%)(E) (0.65%) (0.98%) (1.02%) (1.23%) (1.71%)(E) (1.80%)(E) Portfolio turnover rate 116%(E) 72% 115% 104% 127% 60%(E) 60%
(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. 21 -------------------------------------------------------------------------------- Financial Highlights (Continued) -------------------------------------------------------------------------------- LARGE CAP GROWTH FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS THREE ENDED MONTHS YEAR SEPT. 30, YEAR ENDED MARCH 31, ENDED ENDED 2008 ------------------------------------------- MARCH 31, DEC. 31, (UNAUDITED) 2008 2007 2006 2005 2004(A) 2003(B) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 23.74 $ 21.52 $ 22.88 $ 19.62 $ 17.24 $ 16.50 $ 15.45 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.07) (0.14) (0.20) (0.11) (0.08) (0.04) (0.05) Net realized and unrealized gains (losses) on investments (3.30) 2.36 (1.16) 3.37 2.46 0.78 1.10 ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (3.37) 2.22 (1.36) 3.26 2.38 0.74 1.05 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 20.37 $ 23.74 $ 21.52 $ 22.88 $ 19.62 $ 17.24 $ 16.50 ==================================================================================================================================== Total return(C) (14.20%)(D) 10.32% (5.94%) 16.62% 13.81% 4.48%(D) 6.80%(D) ==================================================================================================================================== Net assets at end of period (000's) $222,616 $236,582 $190,261 $188,810 $ 48,446 $ 4,310 $ 2,465 ==================================================================================================================================== Ratio of net expenses to average net assets 1.99%(E) 2.00% 1.95% 1.98% 2.03% 2.25%(E) 2.21%(E) Ratio of net investment loss to average net assets (0.58%)(E) (0.66%) (0.92%) (0.93%) (0.97%) (1.70%)(E) (1.78)%(E) Portfolio turnover rate 116%(E) 72% 115% 104% 127% 60%(E) 60%
(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 Y PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS ENDED PERIOD SEPT. 30, YEAR ENDED MARCH 31, ENDED 2008 -------------------------------------- MARCH 31, (UNAUDITED) 2008 2007 2006 2005(A) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 24.64 $ 22.19 $ 23.33 $ 19.86 $ 18.34 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income 0.02 0.05 0.06 0.03 0.01 Net realized and unrealized gains (losses) on investments (3.50) 2.40 (1.20) 3.44 1.51 ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (3.48) 2.45 (1.14) 3.47 1.52 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 21.16 $ 24.64 $ 22.19 $ 23.33 $ 19.86 ==================================================================================================================================== Total return (14.12%)(B) 11.04% (4.89%) 17.47% 8.29%(B) ==================================================================================================================================== Net assets at end of period (000's) $ 241,592 $ 31,679 $ 40,044 $ 66,655 $ 43,279 ==================================================================================================================================== Ratio of net expenses to average net assets 0.95%(C) 1.00% 0.90% 0.93% 1.01%(C) Ratio of net investment income to average net assets 0.47%(C) 0.21% 0.13% 0.12% 0.21%(C) Portfolio turnover rate 116%(C) 72% 115% 104% 127%
(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 ENDED PERIOD SEPT. 30, MARCH 31, ENDED 2008 ------------------------ MARCH 31, (UNAUDITED) 2008 2007 2006(A) ---------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 6.41 $ 11.15 $ 10.19 $ 10.00 ---------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income 0.04 0.10 0.04 0.01 Net realized and unrealized gains (losses) on investments (3.06) (4.15) 1.19 0.18 ---------------------------------------------------------------------------------------------------------------------------- Total from investment operations (3.02) (4.05) 1.23 0.19 ---------------------------------------------------------------------------------------------------------------------------- Less distributions: Dividends from net investment income -- (0.09) (0.04) -- Distributions from net realized gains -- (0.60) (0.23) -- ---------------------------------------------------------------------------------------------------------------------------- Total distributions -- (0.69) (0.27) -- ---------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 3.39 $ 6.41 $ 11.15 $ 10.19 ============================================================================================================================ Total return(B) (47.11%)(C) (37.31%) 12.12% 1.90%(C) ============================================================================================================================ Net assets at end of period (000's) $ 10,299 $ 23,609 $ 29,609 $ 11,684 ============================================================================================================================ Ratio of net expenses to average net assets 1.35%(D) 1.35% 1.35% 1.30%(D) Ratio of net investment income to average net assets 1.35%(D) 1.06% 0.55% 1.34%(D) Portfolio turnover rate 97%(D) 75% 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 ENDED PERIOD SEPT. 30, MARCH 31, ENDED 2008 -------------------------- MARCH 31, (UNAUDITED) 2008 2007 2006(A) ----------------------------------------------------------------------------------------------------------------------------- Net asset value at beginning of period $ 6.38 $ 11.09 $ 10.18 $ 10.00 ----------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income (loss) 0.02 0.03 (0.01) 0.00(B) Net realized and unrealized gains (losses) on investments (3.05) (4.14) 1.17 0.18 ----------------------------------------------------------------------------------------------------------------------------- Total from investment operations (3.03) (4.11) 1.16 0.18 ----------------------------------------------------------------------------------------------------------------------------- Less distributions: Dividends from net investment income -- (0.00)(B) (0.01) -- Distributions from net realized gains -- (0.60) (0.24) -- ----------------------------------------------------------------------------------------------------------------------------- Total distributions -- (0.60) (0.25) -- ----------------------------------------------------------------------------------------------------------------------------- Net asset value at end of period $ 3.35 $ 6.38 $ 11.09 $ 10.18 ============================================================================================================================= Total return(C) (47.49%)(D) (37.89%) 11.37% 1.80%(D) ============================================================================================================================= Net assets at end of period (000's) $ 4,412 $ 9,639 $ 15,220 $ 561 ============================================================================================================================= Ratio of net expenses to average net assets 2.10%(E) 2.10% 2.10% 1.89%(E) Ratio of net investment income (loss) to average net assets 0.58%(E) 0.30% (0.27%) 0.25%(E) Portfolio turnover rate 97%(E) 75% 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 2008 -------------------------------------- MARCH 31, (UNAUDITED) 2008 2007 2006 2005(A) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 10.22 $ 12.98 $ 13.50 $ 11.07 $ 10.00 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.08) (0.21) (0.20) (0.10) (0.06) Net realized and unrealized gains (losses) on investments (0.28) (2.55) (0.32) 2.53 1.13 ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (0.36) (2.76) (0.52) 2.43 1.07 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 9.86 $ 10.22 $ 12.98 $ 13.50 $ 11.07 ==================================================================================================================================== Total return(B) (3.52%)(C) (21.26%) (3.85%) 21.95% 10.70%(C) ==================================================================================================================================== Net assets at end of period (000's) $ 16,503 $ 21,755 $ 45,536 $ 61,915 $ 32,378 ==================================================================================================================================== Ratio of net expenses to average net assets 1.58%(D) 1.85% 1.95% 1.95% 1.95%(D) Ratio of net investment loss to average net assets (1.27%)(D) (1.20%) (1.32%) (1.08%) (1.27%)(D) Portfolio turnover rate 29%(D) 74% 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 2008 --------------------------------------- MARCH 31, (UNAUDITED) 2008 2007 2006 2005(A) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 9.94 $ 12.72 $ 13.33 $ 11.01 $ 10.00 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.12) (0.31) (0.30) (0.17) (0.08) Net realized and unrealized gains (losses) on investments (0.26) (2.47) (0.31) 2.49 1.09 ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (0.38) (2.78) (0.61) 2.32 1.01 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 9.56 $ 9.94 $ 12.72 $ 13.33 $ 11.01 ==================================================================================================================================== Total return(B) (3.82%)(C) (21.86%) (4.58%) 21.07% 10.10%(C) ==================================================================================================================================== Net assets at end of period (000's) $ 10,037 $ 13,912 $ 26,062 $ 33,310 $ 16,224 ==================================================================================================================================== Ratio of net expenses to average net assets 2.33%(D) 2.60% 2.70% 2.70% 2.70%(D) Ratio of net investment loss to average net assets (2.02%)(D) (1.96%) (2.07%) (1.84%) (2.07%)(D) Portfolio turnover rate 29%(D) 74% 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 2008 ------------------------------- MARCH 31, (UNAUDITED) 2008 2007 2006 2005(A) ------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 10.42 $ 13.21 $ 13.70 $ 11.16 $ 9.89 ------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.07) (0.13) (0.21) (0.03) (0.13) Net realized and unrealized gains (losses) on investments (0.28) (2.66) (0.28) 2.57 1.40 ------------------------------------------------------------------------------------------------------------------------ Total from investment operations (0.35) (2.79) (0.49) 2.54 1.27 ------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 10.07 $ 10.42 $ 13.21 $ 13.70 $ 11.16 ======================================================================================================================== Total return (3.36%)(B) (21.12%) (3.58%) 22.76% 12.84%(B) ======================================================================================================================== Net assets at end of period (000's) $ 236 $ 422 $ 440 $ 676 $ --(C) ======================================================================================================================== Ratio of net expenses to average net assets 1.33%(D) 1.57% 1.70% 1.55% 1.55%(D) Ratio of net investment loss to average net assets (1.02%)(D) (0.95%) (1.05%) (0.77%) (2.34%)(D) Portfolio turnover rate 29%(D) 74% 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. See accompanying notes to financial statements. 27 -------------------------------------------------------------------------------- Financial Highlights (Continued) -------------------------------------------------------------------------------- MID CAP GROWTH FUND--CLASS A PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2008 ----------------------------------------------------------------------- (UNAUDITED) 2008 2007 2006 2005 2004 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 21.16 $ 24.17 $ 24.02 $ 21.42 $ 21.73 $ 13.89 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.02) (0.12) (0.14) (0.12) (0.16) (0.13) Net realized and unrealized gains (losses) on investments (2.03) 0.01 2.20 4.70 1.03 7.97 ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (2.05) (0.11) 2.06 4.58 0.87 7.84 ------------------------------------------------------------------------------------------------------------------------------------ Distributions from net realized gains -- (2.90) (1.91) (1.98) (1.18) -- ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 19.11 $ 21.16 $ 24.17 $ 24.02 $ 21.42 $ 21.73 ==================================================================================================================================== Total return(A) (9.69%)(B) (1.53%) 8.84% 22.21% 4.13% 56.44% ==================================================================================================================================== Net assets at end of period (000's) $605,599 $649,891 $713,666 $639,501 $574,855 $458,524 ==================================================================================================================================== Ratio of net expenses to average net assets 1.46%(C) 1.47% 1.50% 1.50% 1.50% 1.49%(D) Ratio of net investment loss to average net assets (0.22%)(C) (0.53%) (0.66%) (0.57%) (0.84%) (0.93%)(D) Portfolio turnover 71%(C) 64% 58% 69% 85% 79%
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. (D) Absent voluntary expense reimbursements, the ratio of net expenses to average net assets would have been 1.50% and the ratio of net investment loss to average net assets would have been (0.94%). See accompanying notes to financial statements. 28 -------------------------------------------------------------------------------- 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, 2008 ----------------------------------------------------------------------- (UNAUDITED) 2008 2007 2006 2005 2004 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 18.13 $ 21.25 $ 21.49 $ 19.50 $ 20.03 $ 12.53 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.10) (0.28) (0.30) (0.26) (0.29) (0.25) Net realized and unrealized gains (losses) on investments (1.72) 0.06 1.97 4.23 0.94 7.75 ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (1.82) (0.22) 1.67 3.97 0.65 7.50 ------------------------------------------------------------------------------------------------------------------------------------ Distributions from net realized gains -- (2.90) (1.91) (1.98) (1.18) -- ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 16.31 $ 18.13 $ 21.25 $ 21.49 $ 19.50 $ 20.03 ==================================================================================================================================== Total return(A) (10.04%)(B) (2.29%) 8.04% 21.24% 3.37% 59.86% ==================================================================================================================================== Net assets at end of period (000's) $51,856 $61,977 $74,935 $79,552 $71,879 $64,918 ==================================================================================================================================== Ratio of net expenses to average net assets 2.25%(C) 2.25% 2.25% 2.25% 2.25% 2.24%(D) Ratio of net investment loss to average net assets (1.02%)(C) (1.31%) (1.42%) (1.32%) (1.60%) (1.68%)(D) Portfolio turnover rate 71%(C) 64% 58% 69% 85% 79%
(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%). See accompanying notes to financial statements. 29 -------------------------------------------------------------------------------- Financial Highlights (Continued) -------------------------------------------------------------------------------- MID CAP GROWTH FUND--CLASS C PER SHARE DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD --------------------------------------------------------------------------------
SIX MONTHS ENDED SEPT. 30, YEAR ENDED MARCH 31, 2008 ----------------------------------------------------------------------- (UNAUDITED) 2008 2007 2006 2005 2004 ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at beginning of period $ 18.15 $ 21.27 $ 21.51 $ 19.51 $ 20.04 $ 12.55 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment loss (0.10) (0.27) (0.28) (0.25) (0.30) (0.23) Net realized and unrealized gains (losses) on investments (1.72) 0.05 1.95 4.23 0.95 7.72 ------------------------------------------------------------------------------------------------------------------------------------ Total from investment operations (1.82) (0.22) 1.67 3.98 0.65 7.49 ------------------------------------------------------------------------------------------------------------------------------------ Distributions from net realized gains -- (2.90) (1.91) (1.98) (1.18) -- ------------------------------------------------------------------------------------------------------------------------------------ Net asset value at end of period $ 16.33 $ 18.15 $ 21.27 $ 21.51 $ 19.51 $ 20.04 ==================================================================================================================================== Total return(A) (10.03%)(B) (2.28%) 8.04% 21.28% 3.36% 59.68% ==================================================================================================================================== Net assets at end of period (000's) $265,486 $302,422 $345,997 $327,867 $284,966 $252,021 ==================================================================================================================================== Ratio of net expenses to average net assets 2.24%(C) 2.24% 2.25% 2.25% 2.25% 2.24%(D) Ratio of net investment loss to average net assets (1.00%)(C) (1.30%) (1.41%) (1.32%) (1.60%) (1.68%)(D) Portfolio turnover 71%(C) 64% 58% 69% 85% 79%
(A) Total returns shown exclude the effect of applicable sales loads. (B) Not annualized. (C) Annualized. (D) Absent voluntary expense reimbursements, the ratio of net expenses to average net assets would have been 2.25% and the ratio of net investment loss to average net assets would have been (1.69%). See accompanying notes to financial statements. 30 -------------------------------------------------------------------------------- Notes to Financial Statements September 30, 2008 (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, and Mid 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. 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 as outlined below:
CLASS A (1) CLASS B (2) CLASS C (3) CLASS Y (4) ---------------------------------------------------------------------------------------- Diversified Small Cap Growth Fund X X X Growth Opportunities Fund X X X Large Cap Core Equity Fund X X Large Cap Growth Fund X X X X Large Cap Value Fund X X Micro Cap Growth Fund X X X Mid Cap Growth Fund X X X
(1) Currently sold subject to a maximum front-end sales load of 5.75% and a maximum distribution fee of up to 0.25% of average daily net assets (2) 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 (3) Sold subject to a maximum contingent deferred sales load of 5.00% for a one-year period and incrementaly reduced over time and a maximum distribution fee of up to 1.00% of average daily net assets (4) Sold without a distribution fee or sales chage, but offered only through selected dealers and subject to a higher minimum intial investment 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,"FairValue 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 (GAAP) 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. Various inputs are used in determining the value of the Funds investments. These inputs are summarized in the three broad levels listed below: o Level 1 - quoted prices in active markets for identical securities o Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) o Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, money market securities are valued using amortized cost, in accordance with rules under the Investment Company Act of 1940. Generally, amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are reflected as Level 2. The following is a summary of the inputs used to value the Funds net assets as of September 30, 2008:
LEVEL 2 - LEVEL 3 - OTHER SIGNIFICANT SIGNIFICANT LEVEL 1 - OBSERVABLE UNOBSERVABLE INVESTMENTS IN SECURITIES: QUOTED PRICES INPUTS INPUTS --------------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ 31,263,052 $ -- $ -- Growth Opportunities Fund 36,180,108 -- -- Large Cap Core Equity Fund 67,723,197 -- -- Large Cap Growth Fund 1,160,484,541 -- -- Large Cap Value Fund 15,096,886 -- -- Micro Cap Growth Fund 26,969,665 -- -- Mid Cap Growth Fund 938,636,385 -- --
32 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- 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, 2008, 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 $ 7,355,295 $ 7,417,316 Growth Opportunities Fund $ 9,313,955 $ 9,105,852 Large Cap Core Equity $ 7,612,685 $ 7,283,232 Large Cap Growth Fund $ 200,601,064 $ 232,401,090 Large Cap Value Fund $ 2,404,215 $ 2,698,547 Micro Cap Growth Fund $ 5,789,946 $ 5,721,855 Mid Cap Growth Fund $ 219,673,700 $ 214,302,210 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. Pursuant to the Fund's securities lending agreement, and according to normal operating procedures, the custodian segregated an additional $208,103, $329,453, $68,091,and $5,371,490 in collateral the following business day for securities on loan in the Growth Opportunities Fund, Large Cap Core Equity Fund, Micro Cap Growth Fund, and the Mid Cap Growth Fund, respectively, as of September 30, 2008. Funds participating in securities lending receive compensation in the form of fees, or retain a portion of interest or dividends on the investment of any cash received as collateral. The Funds also continue to receive interest or dividends on the securities loaned. The loans are secured by collateral valued at least equal, at all times, to the fair value of the securities loaned plus accrued interest. Unrealized gain or loss on the fair value of the securities loaned that may occur during the term of the loan are recognized by the Funds. The Funds have the right under the lending agreement to recover the securities from the borrower on demand. SHARE VALUATION -- The net asset value per share of each class of shares of each Fund is calculated daily by dividing the total value of a Fund's assets attributable to that class, less liabilities attributable to that class, by the number of outstanding shares of that class. The maximum offering price per share of Class A shares of the Funds is equal to the net asset value per share plus a sales load equal to 6.10% of the net asset value (or 5.75% of the offering price). The maximum offering price per share of Class B, Class C and Class 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. 33 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- 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. 3. FEDERAL TAX INFORMATION 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. The tax character of distributions paid for the years ended March 31, 2008 and 2007 was as follows:
DIVERSIFIED GROWTH LARGE CAP SMALL CAP GROWTH OPPORTUNITIES CORE EQUITY FUND FUND FUND ---------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, 2008 2007 2008 2007 2008 2007 ---------------------------------------------------------------------------------------------------------------- From ordinary income $ 1,091,263 $ -- $ -- $ -- $ 953,047 $ 623,902 From long-term capital gains 250,461 -- -- -- 3,110,976 -- From tax return of capital 44,031 -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------- $ 1,385,755 $ -- $ -- $ -- $ 4,064,023 $ 623,902 ----------------------------------------------------------------------------------------------------------------
34 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) --------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------- LARGE CAP GROWTH LARGE CAP VALUE MICRO CAP GROWTH FUND FUND FUND ---------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, 2008 2007 2008 2007 2008 2007 ---------------------------------------------------------------------------------------------------------------- From ordinary income $ -- $ -- $ 2,249,958 $ 772,101 $ -- $ -- From long-term capital gains -- -- 661,846 -- -- -- From tax return of capital -- -- 105,998 -- -- -- ---------------------------------------------------------------------------------------------------------------- $ -- $ -- $ 3,017,802 $ 772,101 $ -- $ -- ----------------------------------------------------------------------------------------------------------------
MID CAP GROWTH FUND -------------------------------------------------------------------------------- YEAR YEAR ENDED ENDED MARCH 31, MARCH 31, 2008 2007 -------------------------------------------------------------------------------- From ordinary income $ 10,614,691 $ 12,124,355 From long-term capital gains 126,598,336 75,069,975 -------------------------------------------------------------------------------- $ 137,213,027 $ 87,194,330 -------------------------------------------------------------------------------- The following information is computed on a tax basis for each item as of March 31, 2008:
DIVERSIFIED LARGE CAP SMALL CAP GROWTH CORE LARGE CAP GROWTH OPPORTUNITIES EQUITY GROWTH FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------- Tax cost of portfolio investments $ 56,415,538 $ 47,058,386 $ 87,325,439 $ 977,142,714 --------------------------------------------------------------------------------------------------------- Gross unrealized appreciation 1,546,812 5,504,522 5,305,960 199,024,710 Gross unrealized depreciation (6,640,524) (3,405,242) (5,064,120) (51,363,312) --------------------------------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) (5,093,712) 2,099,280 241,840 147,661,398 Undistributed ordinary income -- -- 214,307 -- Undistributed long-term capital gains -- -- 4,426,626 -- Capital loss carryforward (11,436,443) (40,962,614) -- (26,177,120) --------------------------------------------------------------------------------------------------------- Accumulated earnings (deficit) $ (16,530,155) $ (38,863,334) $ 4,882,773 $ 121,484,278 =========================================================================================================
LARGE CAP MICRO CAP MID CAP VALUE GROWTH GROWTH FUND FUND FUND ----------------------------------------------------------------------------------------------- Tax cost of portfolio investments $ 58,681,888 $ 33,647,433 $ 1,160,066,731 ----------------------------------------------------------------------------------------------- Gross unrealized appreciation 1,271,302 10,478,692 158,197,406 Gross unrealized depreciation (18,271,607) (1,948,490) (96,996,648) ----------------------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) (17,000,305) 8,530,202 61,200,758 Undistributed long-term capital gains -- -- 11,814,206 Capital loss carryforward -- (2,247,184) -- Post October losses (4,888,045) (1,988,651) -- ----------------------------------------------------------------------------------------------- Accumulated earnings (deficit) $ (21,888,350) $ 4,294,367 $ 73,014,964 ===============================================================================================
35 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- The difference between the tax cost of portfolio investments and the financial statement cost is primarily due to wash sales. As of March 31, 2008, the Funds had the following capital loss carryforwards for federal income tax purposes. EXPIRES FUND AMOUNT MARCH 31, -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ 11,436,443 2014 =============== Growth Opportunities Fund $ 21,887,780 2011 17,098,132 2012 1,976,702 2013 --------------- $ 40,962,614 =============== Large Cap Growth Fund $ 26,177,120 2015 =============== Micro Cap Growth Fund $ 2,247,184 2015 =============== During the year ended March 31, 2008, the following funds utilized capital loss carryforwards: AMOUNT -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ 132,819 Growth Opportunities Fund $ 6,885,891 Large Cap Growth Fund $ 78,858,310 Micro Cap Growth Fund $ 4,466,752 -------------------------------------------------------------------------------- The capital loss carryforwards and Post-October losses may be utilized in future years to offset net realized capital gains, if any, prior to distributing such gains to shareholders. 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 Fund's capital accounts on a tax basis. The following reclassification of net investment loss have been made to the following Funds for the year ended March 31, 2008:
ACCUMULATED ACCUMULATED PAID-IN NET INVESTMENT NET REALIZED CAPITAL INCOME (LOSS) GAINS (LOSSES) -------------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ (198,388) $ 105,830 $ 92,558 Growth Opportunities Fund $ (537,241) $ 537,241 $ -- Large Cap Growth Fund $ (1,155,972) $ 1,155,972 $ -- Large Cap Value Fund $ (105,998) $ (96,472) $ 202,470 Micro Cap Growth Fund $ (887,983) $ 887,983 $ -- Mid Cap Growth Fund $ -- $ 9,330,452 $ (9,330,452) --------------------------------------------------------------------------------------
36 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) --------------------------------------------------------------------------------
GROSS GROSS UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) -------------------------------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ 42,955,922 $ 1,150,384 $ (5,425,938) $ (4,275,554) Growth Opportunities Fund $ 45,488,507 $ 3,657,960 $ (3,860,507) $ (202,547) Large Cap Core Equity Fund $ 78,405,479 $ 3,003,926 $ (6,402,976) $ (3,399,050) Large Cap Growth Fund $1,406,979,254 $ 89,541,108 $ (103,634,731) $ (14,093,623) Large Cap Value Fund $ 31,864,453 $ -- $ (14,069,020) $ (14,069,020) Micro Cap Growth Fund $ 26,921,670 $ 7,692,416 $ (1,922,566) $ 5,769,850 Mid Cap Growth Fund $1,195,856,571 $ 72,615,425 $ (115,533,401) $ (42,917,976)
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 a more-likely-than-not threshold would be recorded as a tax benefit 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. The Funds have analyzed their tax positions taken on Federal income tax returns for all open tax years (tax years ended March 31, 2005 through 2008) for purposes of implementing FIN 48 and have concluded that no provision for income tax is required in their financial statements. 4. INVESTMENT TRANSACTIONS Investment transactions (excluding short-term investments and U.S. Government securities) were as follows for the six-months ended September 30, 2008:
DIVERSIFIED SMALL CAP GROWTH LARGE CAP LARGE CAP GROWTH OPPORTUNITIES CORE EQUITY GROWTH FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------ Purchases of investment securities $ 24,119,224 $ 13,669,853 $ 20,815,557 $ 960,456,535 ------------------------------------------------------------------------------------------------------ Proceeds from sales and maturities $ 33,543,614 $ 10,327,323 $ 35,335,412 $ 645,598,692 ------------------------------------------------------------------------------------------------------
LARGE CAP MICRO CAP MID CAP VALUE GROWTH GROWTH FUND FUND FUND ------------------------------------------------------------------------------------- Purchases of investment securities $ 12,773,984 $ 4,680,763 $ 376,241,571 ------------------------------------------------------------------------------------- Proceeds from sales and maturities $ 16,229,767 $ 14,023,608 $ 364,289,832 -------------------------------------------------------------------------------------
5. TRANSACTIONS WITH AFFILIATES Certain officers of the Trust are also officers of the Advisor (Touchstone Advisors, Inc.), the Underwriter (Touchstone Securities, Inc.) and/or JPMorgan Chase Bank, N.A. ("JPMorgan" and the Sub-Administrator and Transfer Agent to the Funds). The Advisor and Underwriter are each wholly owned indirect subsidiaries of The Western and Southern Life Insurance Company (Western-Southern). 37 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- MANAGEMENT AGREEMENTS The Advisor provides general investment supervisory services for the Funds, under the terms of an Advisory Agreement. Under the Advisory Agreement, the Funds pay the Advisor a fee, which is computed and accrued daily and paid monthly, at an annual rate based on average daily net assets as follows:
Diversified Small Cap Growth Fund 1.05% ------------------------------------------------------------------------------------------ Growth Opportunities Fund 1.00% on the first $50 million 0.90% on the next $50 million 0.80% on the next $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% ------------------------------------------------------------------------------------------
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. Westfield Capital Management Company, LP (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 records 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 Investment Trust (excluding Institutional Money Market Fund), and Touchstone Tax-Free Trust 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. 38 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- The Advisor has engaged 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, and Mid 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 March 31, 2009: 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% 0.99% Large Cap Value Fund 1.35% -- 2.10% -- Micro Cap Growth Fund 1.58% -- 2.33% 1.33% Mid Cap Growth Fund 1.50% 2.25% 2.25% -- For the six-months ended September 30, 2008, the Advisor waived investment advisory fees, administration fees, and/or reimbursed expenses as follows:
OTHER INVESTMENT OPERATING ADVISORY ADMINISTRATION EXPENSES FEES WAIVED FEES WAIVED REIMBURSED --------------------------------------------------------------------------------------------- Diversified Small Cap Growth Fund $ 38,579 $ 40,874 $ 48,548 Growth Opportunities Fund $ -- $ 42,695 $ 52,861 Large Cap Core Equity Fund $ -- $ 49,083 $ -- Large Cap Growth Fund $ -- $ 272,427 $ -- Large Cap Value Fund $ -- $ 27,802 $ 22,557 Micro Cap Growth Fund $ 4,176 $ 32,752 $ 86,806 Mid Cap Growth Fund $ -- $ 6,562 $ -- ---------------------------------------------------------------------------------------------
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. 39 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- For the six-months ended September 30, 2008, 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 $ 3,388 Growth Opportunities Fund $ 2,552 Large Cap Core Equity Fund $ 1,697 Large Cap Growth Fund $ 235,949 Large Cap Value Fund $ 1,233 Micro Cap Growth Fund $ 12,187 Mid Cap Growth Fund $ 204,513 UNDERWRITING AGREEMENT The Underwriter is the Funds' principal underwriter and, as such, acts as the exclusive agent for distribution of the Funds' shares. Under the terms of the Underwriting Agreement between the Trust and Underwriter, the Underwriter earned the following from underwriting and broker commissions on the sale of shares of the following Funds for the six-months ended September 30, 2008: Diversified Small Cap Growth Fund $ 1,227 Growth Opportunities Fund $ 4,992 Large Cap Core Equity Fund $ 1,249 Large Cap Growth Fund $ 102,529 Large Cap Value Fund $ 1,662 Micro Cap Growth Fund $ 593 Mid Cap Growth Fund $ 48,473 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, 2008: Diversified Small Cap Growth Fund $ 14 Growth Opportunities Fund $ 986 Large Cap Core Equity Fund $ 38 Large Cap Growth Fund $ 36,780 Large Cap Value Fund $ 1,462 Micro Cap Growth Fund $ 877 Mid Cap Growth Fund $ 48,499 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. 40 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- COMPLIANCE SERVICES AGREEMENT Under the terms of the Compliance Services Agreement between the Trust and JPMorgan, JPMorgan provides certain compliance services to the Trust and provides administrative support services to the Funds' Compliance Program and Chief Compliance Officer. For these services, JPMorgan receives a quarterly fee from each Fund. 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, for the six-months ended September 30, 2008, is noted below:
SHARE ACTIVITY -------------------------------------------------------------- BALANCE BALANCE VALUE 03/31/08 PURCHASES SALES 09/30/08 DIVIDENDS 09/30/08 ----------------------------------------------------------------------------------------------------------------------------------- Diversified Small Cap Growth Fund 426,337 15,359,092 (14,894,346) 891,083 $ 14,109 $ 891,083 ----------------------------------------------------------------------------------------------------------------------------------- Growth Opportunities Fund 2,103,630 7,782,210 (9,885,840) -- $ 16,460 $ -- ----------------------------------------------------------------------------------------------------------------------------------- Large Cap Core Equity Fund 909,424 9,251,445 (9,395,432) 765,437 $ 17,429 $ 765,437 ----------------------------------------------------------------------------------------------------------------------------------- Large Cap Growth Fund 40,267,884 371,730,323 (350,145,903) 61,852,304 $ 555,787 $ 61,852,304 ----------------------------------------------------------------------------------------------------------------------------------- Large Cap Value Fund 1,031,802 6,486,901 (6,956,788) 561,915 $ 10,240 $ 561,915 ----------------------------------------------------------------------------------------------------------------------------------- Micro Cap Growth Fund -- 5,250,763 (4,948,617) 302,146 $ 3,793 $ 302,146 ----------------------------------------------------------------------------------------------------------------------------------- Mid Cap Growth Fund 31,135,521 229,425,006 (221,539,183) 39,021,344 $ 602,219 $ 39,021,344 -----------------------------------------------------------------------------------------------------------------------------------
As of September 30, 2008, 61% of the Large Cap Core Equity Fund was owned by Western-Southern and subsidiaries. 41 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- 6. 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 YEAR ENDED YEAR SEPT. 30, ENDED SEPT. 30, ENDED 2008 MARCH 31, 2008 MARCH 31, (UNAUDITED) 2008(A) (UNAUDITED) 2008 ---------------------------------------------------------------------------------------------------------------------- CLASS A Shares sold 123,619 263,944 265,917 386,840 Shares reinvested -- 63,482 -- -- Shares issued in connection with acquisition(B) -- 1,618,654 -- -- Shares redeemed (814,148) (105,123) (169,283) (893,540) ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (690,529) 1,840,957 96,634 (506,700) Shares outstanding, beginning of period 2,343,253 502,296 1,215,195 1,721,895 ---------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period 1,652,724 2,343,253 1,311,829 1,215,195 ====================================================================================================================== CLASS B Shares sold -- -- 2,135 6,701 Shares redeemed -- -- (3,071) (26,917) ---------------------------------------------------------------------------------------------------------------------- Net decrease in shares outstanding -- -- (936) (20,216) Shares outstanding, beginning of period -- -- 97,843 118,059 ---------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period -- -- 96,907 97,843 ====================================================================================================================== CLASS C Shares sold 2,806 2,428 35,011 77,480 Shares reinvested -- 174 -- -- Shares issued in connection with acquisition(B) -- 447,314 -- -- Shares redeemed (79,701) (16,527) (65,817) (142,358) ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (76,895) 433,389 (30,806) (64,878) Shares outstanding, beginning of period 433,389 -- 544,371 609,249 ---------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period 356,494 433,389 513,565 544,371 ====================================================================================================================== CLASS Y Shares sold 30,043 13,179 -- -- Shares reinvested -- 53,188 -- -- Shares issued in connection with acquisition(B) -- 955,214 -- -- Shares redeemed (214,895) (72,284) -- -- ---------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (184,852) 949,297 -- -- Shares outstanding, beginning of period 1,475,053 525,756 -- -- ---------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period 1,290,201 1,475,053 -- -- ======================================================================================================================
(A) Class C represents the period from commencement of operations (August 1, 2007) through March 31, 2008. (B) See Footnote 9 in notes to financial statements. 42 -------------------------------------------------------------------------------- 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 2008 MARCH 31, 2008 MARCH 31, (UNAUDITED) 2008 (UNAUDITED) 2008 -------------------------------------------------------------------------------------------------------------------- CLASS A Shares sold 744,759 315,075 8,057,966 9,792,309 Shares reinvested -- 330,369 -- -- Shares redeemed (2,073,981) (857,207) (4,734,071) (10,133,781) -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (1,329,222) (211,763) 3,323,895 (341,472) Shares outstanding, beginning of period 8,164,279 8,376,042 29,423,759 29,765,231 -------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period 6,835,057 8,164,279 32,747,654 29,423,759 ==================================================================================================================== CLASS B Shares sold -- -- 74,039 182,120 Shares reinvested -- -- -- -- Shares redeemed -- -- (98,459) (165,299) -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding -- -- (24,420) 16,821 Shares outstanding, beginning of period -- -- 1,259,452 1,242,631 -------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period -- -- 1,235,032 1,259,452 ==================================================================================================================== CLASS C Shares sold 10,825 30,672 1,851,318 3,108,568 Shares reinvested -- 8,571 -- -- Shares redeemed (69,394) (130,836) (886,536) (1,984,001) -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (58,569) (91,593) 964,782 1,124,567 Shares outstanding, beginning of period 283,002 374,595 9,965,083 8,840,516 -------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period 224,433 283,002 10,929,865 9,965,083 ==================================================================================================================== CLASS Y Shares sold -- -- 10,560,811 740,061 Shares redeemed -- -- (431,241) (1,259,270) -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding -- -- 10,129,570 (519,209) Shares outstanding, beginning of period -- -- 1,285,657 1,804,866 -------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period -- -- 11,415,227 1,285,657 ====================================================================================================================
43 -------------------------------------------------------------------------------- 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 2008 MARCH 31, 2008 MARCH 31, (UNAUDITED) 2008 (UNAUDITED) 2008 -------------------------------------------------------------------------------------------------------------------- CLASS A Shares sold 521,335 2,079,360 41,313 167,118 Shares reinvested -- 237,399 -- -- Shares redeemed (1,165,145) (1,289,234) (496,779) (1,546,046) -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (643,810) 1,027,525 (455,466) (1,378,928) Shares outstanding, beginning of period 3,683,023 2,655,498 2,128,878 3,507,806 -------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period 3,039,213 3,683,023 1,673,412 2,128,878 ==================================================================================================================== CLASS C Shares sold 83,740 929,283 26,093 148,167 Shares reinvested -- 94,785 -- -- Shares redeemed (278,597) (885,835) (376,829) (796,654) -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (194,857) 138,233 (350,736) (648,487) Shares outstanding, beginning of period 1,510,767 1,372,534 1,400,294 2,048,781 -------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period 1,315,910 1,510,767 1,049,558 1,400,294 ==================================================================================================================== CLASS Y Shares sold -- -- 1,019 31,621 Shares redeemed -- -- (18,055) (24,429) -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding -- -- (17,036) 7,192 Shares outstanding, beginning of period -- -- 40,493 33,301 -------------------------------------------------------------------------------------------------------------------- Shares outstanding, end of period -- -- 23,457 40,493 ====================================================================================================================
44 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- MID CAP GROWTH FUND -------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR SEPT. 30, ENDED 2008 MARCH 31, (UNAUDITED) 2008 -------------------------------------------------------------------------------- CLASS A Shares sold 5,344,029 7,756,111 Shares reinvested -- 3,012,887 Shares redeemed (4,361,927) (9,592,017) -------------------------------------------------------------------------------- Net increase in shares outstanding 982,102 1,176,981 Shares outstanding, beginning of period 30,708,475 29,531,494 -------------------------------------------------------------------------------- Shares outstanding, end of period 31,690,577 30,708,475 ================================================================================ CLASS B Shares sold 76,945 203,646 Shares reinvested -- 365,609 Shares redeemed (315,844) (677,956) -------------------------------------------------------------------------------- Net decrease in shares outstanding (238,899) (108,701) Shares outstanding, beginning of period 3,418,000 3,526,701 -------------------------------------------------------------------------------- Shares outstanding, end of period 3,179,101 3,418,000 ================================================================================ CLASS C Shares sold 996,942 2,235,765 Shares reinvested -- 1,446,269 Shares redeemed (1,396,958) (3,290,914) -------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (400,016) 391,120 Shares outstanding, beginning of period 16,658,584 16,267,464 -------------------------------------------------------------------------------- Shares outstanding, end of period 16,258,568 16,658,584 ================================================================================ 7. CUSTODY OFFSET ARRANGEMENT Some Funds may participate in the Custody Fee Offset Program offered by the Custodian when they execute security trades where the Custodian is the broker. If a Fund chooses to participate in the Custody Fee Offset Program, a rebate amount will be applied to and credited against the fees payable by the Fund to the Custodian. For financial reporting purposes for the six months ended September 30, 2008, custodian fees reduced by the Custodian were $7,589 for the Large Cap Growth Fund. There was no effect on net investment income. 8. 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. 45 -------------------------------------------------------------------------------- Notes to Financial Statements (Continued) -------------------------------------------------------------------------------- 9. ACQUISITIONS On February 15, 2008, a Special Meeting of Shareholders was held to approve or disapprove an Agreement and Plan of Reorganization providing for the transfer of all of assets and liabilities of the Small Cap Growth Fund to the Diversified Small Cap Growth Fund in exchange for shares of the Diversified Small Cap Growth Fund and the subsequent liquidation of the Small Cap Growth Fund. The acquisition was approved as follows: NUMBER OF VOTES ------------------------------------------------------------------------ FOR AGAINST ABSTAIN ------------------------------------------------------------------------ 1,225,698 12,830 42,194 The following is a summary of shares outstanding, net assets, net asset value per share, unrealized depreciation and realized gain (loss) immediately before and after the reorganization:
BEFORE AFTER REORGANIZATION REORGANIZATION -------------------------------------------------------------------------------------------- DIVERSIFIED DIVERSIFIED SMALL CAP SMALL CAP SMALL CAP GROWTH GROWTH GROWTH FUND FUND FUND -------------------------------------------------------------------------------------------- Shares: Class A 927,021 1,461,709 2,388,730 Class B 204,375 -- -- Class C 321,452 128,199 449,651 Class Y 654,070 886,760 1,540,830 Net Assets: Class A $ 13,935,302 $ 10,979,134 $ 24,914,436 Class B $ 2,952,341 $ -- $ -- Class C $ 4,647,481 $ 19,172 $ 4,666,653 Class Y $ 10,000,219 $ 6,131,096 $ 16,131,315 Net Asset Value: Class A $ 15.03 $ 10.43 $ 10.43 Class B $ 14.45 $ -- $ -- Class C $ 14.46 $ 10.38 $ 10.38 Class Y $ 15.29 $ 10.47 $ 10.47 Unrealized Depreciation $ (1,767,740) $ (214,531) $ (1,982,271) Accumulated Net Realized Gain (Loss) $ (12,053,670) $ 154,203 $ (11,899,467)
46 -------------------------------------------------------------------------------- Portfolio of Investments Diversified Small Cap Growth Fund - September 30, 2008 (Unaudited) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 98.8% SHARES VALUE -------------------------------------------------------------------------------- HEALTH CARE -- 29.5% Acorda Therapeutics, Inc.* 24,045 $ 573,473 Alexion Pharmaceuticals, Inc.* 20,828 818,540 ArthroCare Corp.* + 13,074 362,411 Biomarin Pharmaceutical, Inc.* 23,306 617,376 Celgene Corp.* 1 63 eResearch Technology, Inc.* 39,160 466,396 Genomic Health, Inc.* + 29,753 673,905 Gen-Probe, Inc.* 10,854 575,805 Myriad Genetics, Inc.* 2,375 154,090 NuVasive, Inc.* + 13,905 685,934 Onyx Pharmaceuticals, Inc.* 5,680 205,502 OSI Pharmaceuticals, Inc.* + 14,162 698,045 RTI Biologics, Inc.* 57,670 539,215 SonoSite, Inc.* 17,615 553,111 The Spectranetics Corp.* 91,035 421,492 TranS1, Inc.* + 37,181 367,720 United Therapeutics Corp.* 6,255 657,838 Wright Medical Group, Inc.* 22,965 699,055 -------------------------------------------------------------------------------- 9,069,971 -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 19.7% Anixter International, Inc.* + 4,429 263,570 Avnet, Inc.* 10,296 253,590 CACI International, Inc. - Class A* 1,550 77,655 Digital River, Inc.* 7,718 250,063 DivX, Inc.* 33,651 217,722 Euronet Worldwide, Inc.* 14,344 239,975 F5 Networks, Inc.* 10,298 240,767 Foundry Networks, Inc.* 20,055 365,202 j2 Global Communications, Inc.* 12,751 297,736 Micros Systems, Inc.* 11,558 308,136 Microsemi Corp.* 17,562 447,481 Nuance Communications, Inc.* 18,967 231,208 Parametric Technology Corp.* 17,550 322,920 Polycom, Inc.* 14,830 343,018 Progress Software Corp.* 6,165 160,228 Skyworks Solutions, Inc.* + 39,812 332,828 Sybase, Inc.* + 8,408 257,453 Tessera Technologies, Inc.* 18,164 296,800 Ultra Clean Holdings, Inc.* 5,705 28,753 ValueClick, Inc.* 18,660 190,892 VistaPrint Ltd.* + 10,855 356,478 Website Pros, Inc.* 46,021 248,513 Wright Express Corp.* 11,414 337,398 -------------------------------------------------------------------------------- 6,068,386 -------------------------------------------------------------------------------- INDUSTRIALS -- 16.1% AeroVironment, Inc.* 11,906 380,397 Badger Meter, Inc. + 8,530 400,484 Ducommun, Inc. 12,327 294,369 Energy Conversion Devices, Inc.* 10,205 594,440 EnPro Industries, Inc.* 9,742 362,013 ESCO Technologies, Inc.* 8,810 424,378 FTI Consulting, Inc.* 7,185 519,044 LaBarge, Inc.* 11,465 172,663 Lindsay Corp. + 3,825 278,269 Old Dominion Freight Line, Inc.* 9,090 257,611 Titan Machinery, Inc.* + 13,240 275,524 Valmont Industries, Inc. 1,985 164,140 Wabtec Corp. 7,118 364,655 Watson Wyatt Worldwide, Inc. 3,278 163,015 Woodward Governor Co. 8,782 309,741 -------------------------------------------------------------------------------- 4,960,743 -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 11.9% Barnes & Noble, Inc. + 6,685 174,345 BJ'S Restaurants, Inc.* 12,711 151,769 Callaway Golf Co. 11,895 167,363 Chipotle Mexican Grill, Inc.* + 4,071 225,900 Deckers Outdoor Corp.* 3,625 377,289 Fuel Systems Solutions, Inc.* 6,335 218,241 Iconix Brand Group, Inc.* + 13,582 177,653 Jarden Corp.* + 13,645 319,975 Life Time Fitness* + 7,382 230,835 LKQ Corp.* 17,590 298,502 Men's Wearhouse, Inc. + 7,070 150,167 Morningstar, Inc.* 5,324 295,322 Panera Bread Co.* + 6,315 321,434 PetMed Express, Inc.* 20,623 323,781 Polaris Industries, Inc. + 4,740 215,623 -------------------------------------------------------------------------------- 3,648,199 -------------------------------------------------------------------------------- ENERGY -- 8.3% Atwood Oceanics, Inc.* 8,730 317,772 Berry Petroleum Co. 10,022 388,152 GMX Resources, Inc.* 5,540 264,812 ION Geophysical Corp.* 28,830 409,098 Lufkin Industries, Inc. 4,775 378,896 McMoRan Exploration Co.* + 15,420 364,529 Natural Gas Services Group, Inc.* 12,611 220,314 PetroQuest Energy, Inc.* 13,094 200,993 -------------------------------------------------------------------------------- 2,544,566 -------------------------------------------------------------------------------- FINANCIALS -- 5.3% Cash America International, Inc. 8,225 296,429 EZCORP, Inc. - Class A* 24,480 460,224 LaSalle Hotel Properties 6,460 150,647 Life Partners Holdings, Inc. 1 36 Portfolio Recovery Associates, Inc.* + 11,060 537,848 Waddell & Reed Financial, Inc. - Class A 7,420 183,645 -------------------------------------------------------------------------------- 1,628,829 -------------------------------------------------------------------------------- CONSUMER STAPLES -- 3.0% Andersons, Inc. + 7,746 272,814 BJ's Wholesale Club, Inc.* 8,760 340,413 Chattem, Inc.* 1,995 155,969 Flowers Foods, Inc. 5,435 159,572 -------------------------------------------------------------------------------- 928,768 -------------------------------------------------------------------------------- 47 -------------------------------------------------------------------------------- Diversified Small Cap Growth Fund (Continued) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 98.8% (CONTINUED) SHARES VALUE -------------------------------------------------------------------------------- MATERIALS -- 2.3% Greif, Inc. - Class A 6,470 $ 424,561 Olin Corp. 14,225 275,965 -------------------------------------------------------------------------------- 700,526 -------------------------------------------------------------------------------- MISCELLANEOUS -- 1.3% iShares Russell 2000 Growth Index Fund + 5,590 395,325 -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 0.9% NTELOS Holdings Corp. 10,245 275,488 -------------------------------------------------------------------------------- UTILITIES -- 0.5% ITC Holdings Corp. 2,920 151,168 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 30,371,969 -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 27.0% BBH Securities Lending Fund ** 7,417,316 7,417,316 Touchstone Institutional Money Market Fund^ 891,083 891,083 -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 8,308,399 -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 125.8% (Cost $41,986,046) $ 38,680,368 LIABILITIES IN EXCESS OF OTHER ASSETS -- (25.8%) (7,930,124) -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 30,750,244 ================================================================================ * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. See Note 5. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2008, was $7,355,295. ** Represents collateral for securities loaned. See accompanying notes to financial statements. See accompanying notes to financial statements. 48 -------------------------------------------------------------------------------- Portfolio of Investments Growth Opportunities Fund - September 30, 2008 (Unaudited) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 99.6% SHARES VALUE -------------------------------------------------------------------------------- HEALTH CARE -- 28.6% Adolor Corp.* 110,700 $ 381,915 Biogen Idec, Inc.* 22,500 1,131,525 Celgene Corp.* 25,125 1,589,910 Elan Corp. PLC - SPONS ADR* + 80,900 863,203 Gen-Probe, Inc.* 14,600 774,530 Immucor, Inc.* 21,900 699,924 Masimo Corp.* + 21,200 788,640 OSI Pharmaceuticals, Inc.* + 21,900 1,079,451 Santarus, Inc.* 61,000 123,830 Shire PLC - ADR 15,900 759,225 Thermo Fisher Scientific, Inc.* + 15,900 874,500 Vertex Pharmaceuticals, Inc.* 17,900 594,996 Wyeth 18,600 687,084 -------------------------------------------------------------------------------- 10,348,733 -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 28.4% ACI Worldwide, Inc.* 27,200 476,544 Alliance Data Systems Corp.* + 13,300 842,954 Apple, Inc.* 4,000 454,640 Autodesk, Inc.* 24,500 821,975 Check Point Software Technologies Ltd.* 34,500 784,530 EMC Corp.* + 56,400 674,544 Google, Inc.* 1,750 700,910 Hewlett-Packard Co. 18,600 860,064 Microsoft Corp. + 27,200 725,968 NetApp, Inc.* + 18,600 339,078 Nuance Communications, Inc.* 51,700 630,223 Oracle Corp.* 43,800 889,578 Polycom, Inc.* 20,600 476,478 QUALCOMM, Inc. 23,900 1,026,983 SkillSoft PLC - ADR* 59,400 621,324 -------------------------------------------------------------------------------- 10,325,793 -------------------------------------------------------------------------------- CONSUMER STAPLES -- 11.7% Church & Dwight Co., Inc. + 17,200 1,067,948 CVS Caremark Corp. + 32,500 1,093,950 Wal-Mart Stores, Inc. 21,200 1,269,668 Whole Foods Market, Inc. + 41,100 823,233 -------------------------------------------------------------------------------- 4,254,799 -------------------------------------------------------------------------------- ENERGY -- 8.4% Exterran Holdings, Inc.* 8,600 274,856 Hess Corp. 6,600 541,728 National-Oilwell Varco, Inc.* 15,900 798,657 Smith International, Inc. 11,900 697,816 Weatherford International Ltd.* 29,200 734,088 -------------------------------------------------------------------------------- 3,047,145 -------------------------------------------------------------------------------- INDUSTRIALS -- 8.1% AMETEK, Inc. 17,950 731,822 Geo Group, Inc.* 25,200 509,292 IDEX Corp. 16,900 524,238 ITT Corp. 12,600 700,686 MSC Industrial Direct Co., Inc. + 10,600 488,342 -------------------------------------------------------------------------------- 2,954,380 -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 6.3% Bed Bath & Beyond, Inc.* 24,500 769,545 DeVry, Inc. 16,600 822,364 Kohl's Corp.* 15,300 705,024 -------------------------------------------------------------------------------- 2,296,933 -------------------------------------------------------------------------------- MATERIALS -- 5.0% Monsanto Co. 11,300 1,118,474 Praxair, Inc. 9,900 710,226 -------------------------------------------------------------------------------- 1,828,700 -------------------------------------------------------------------------------- FINANCIALS -- 3.1% Charles Schwab Corp. + 33,800 878,800 National City Corp. + 139,900 244,825 -------------------------------------------------------------------------------- 1,123,625 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 36,180,108 -------------------------------------------------------------------------------- INVESTMENT FUND -- 25.0% BBH Securities Lending Fund ** 9,105,852 $ 9,105,852 -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 124.6% (Cost $45,293,672) $ 45,285,960 LIABILITIES IN EXCESS OF OTHER ASSETS -- (24.6%) (8,933,299) -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 36,352,661 ================================================================================ * Non-income producing security. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2008, was $9,313,955. ** Represents collateral for securities loaned. ADR American Depository Receipt. See accompanying notes to financial statements. 49 -------------------------------------------------------------------------------- Portfolio of Investments Large Cap Core Equity Fund - September 30, 2008 (Unaudited) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 97.9% SHARES VALUE -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 20.3% Amphenol Corp. 22,722 $ 912,061 Applied Materials 122,124 1,847,736 Cisco Systems, Inc.* 84,903 1,915,411 Hewlett-Packard Co. 34,496 1,595,095 Intel Corp. 73,415 1,375,063 Microsoft Corp. + 85,957 2,294,191 Oracle Corp.* 68,576 1,392,779 QUALCOMM, Inc. 40,016 1,719,488 Western Union Co.* 31,061 766,275 -------------------------------------------------------------------------------- 13,818,099 -------------------------------------------------------------------------------- FINANCIALS -- 15.3% AFLAC, Inc. 29,844 1,753,335 Allstate Corp. 23,970 1,105,496 American Express Co. 37,000 1,310,910 JPMorgan Chase & Co. 31,561 1,473,899 Lincoln National Corp. 32,317 1,383,491 Wells Fargo & Co. + 91,987 3,452,272 -------------------------------------------------------------------------------- 10,479,403 -------------------------------------------------------------------------------- INDUSTRIALS -- 14.5% Caterpillar, Inc. 21,436 1,277,586 Danaher Corp. + 14,538 1,008,937 Emerson Electric Co. 22,429 914,879 General Electric Co. 40,519 1,033,235 Honeywell International, Inc. 14,822 615,854 Illinois Tool Works, Inc. 31,599 1,404,576 Union Pacific Corp. + 20,580 1,464,473 United Technologies Corp. 36,054 2,165,402 -------------------------------------------------------------------------------- 9,884,942 -------------------------------------------------------------------------------- ENERGY -- 12.4% Chevron Corp. 23,231 1,916,093 ConocoPhillips 24,835 1,819,164 Ensco International, Inc. + 14,835 854,941 Marathon Oil Corp. 45,552 1,816,158 Transocean, Inc.* 7,574 831,928 XTO Energy, Inc. 26,976 1,254,924 -------------------------------------------------------------------------------- 8,493,208 -------------------------------------------------------------------------------- CONSUMER STAPLES -- 11.8% Altria Group, Inc. 34,759 689,619 CVS Caremark Corp. 28,472 958,368 Kimberly-Clark Corp. 23,957 1,553,372 Kraft Foods, Inc. - Class A 50,247 1,645,588 Pepsico, Inc. 22,519 1,604,929 Philip Morris International, Inc. 33,839 1,627,656 -------------------------------------------------------------------------------- 8,079,532 -------------------------------------------------------------------------------- HEALTH CARE -- 9.3% Cardinal Health, Inc. 28,055 1,382,550 Laboratory Corp. of America Holdings* + 21,407 1,487,787 McKesson Corp. 19,793 1,065,061 Novartis AG - ADR 19,039 1,006,021 WellPoint, Inc.* 30,978 1,448,841 -------------------------------------------------------------------------------- 6,390,260 -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 7.8% Best Buy Co., Inc. 45,735 1,715,063 Honda Motor Co., Ltd. 33,082 996,099 McDonald's Corp. 12,442 767,671 Target Corp. 38,481 1,887,493 -------------------------------------------------------------------------------- 5,366,326 -------------------------------------------------------------------------------- UTILITIES -- 2.9% Dominion Resources, Inc. 46,628 1,994,746 -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 2.3% AT&T, Inc. 56,612 1,580,607 -------------------------------------------------------------------------------- MATERIALS -- 1.3% Praxair, Inc. 12,136 870,637 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 66,957,760 -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 11.8% BBH Securities Lending Fund ** 7,283,232 7,283,232 Touchstone Institutional Money Market Fund^ 765,437 765,437 -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 8,048,669 -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 109.7% (Cost $78,175,662) $ 75,006,429 LIABILITIES IN EXCESS OF OTHER ASSETS -- (9.7%) (6,631,768) -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 68,374,661 ================================================================================ * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. See Note 5. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2008, was $7,612,685. ** Represents collateral for securities loaned. ADR American Depository Receipt. See accompanying notes to financial statements. 50 -------------------------------------------------------------------------------- Portfolio of Investments Large Cap Growth Fund - September 30, 2008 (Unaudited) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 93.4% SHARES VALUE ------------------------------------------------------------------------------- CONSUMER STAPLES -- 19.2% Campbell Soup Co. 545,331 $ 21,049,777 Colgate-Palmolive Co. 555,585 41,863,330 General Mills, Inc. 658,450 45,248,684 Heinz (H.J.) Co. 793,700 39,613,567 PepsiCo, Inc. 465,070 33,145,539 Wal-Mart Stores, Inc. 762,700 45,678,102 ------------------------------------------------------------------------------- 226,598,999 ------------------------------------------------------------------------------- HEALTH CARE -- 18.2% Alcon, Inc. 162,435 26,234,877 Baxter International, Inc. 570,465 37,439,618 Express Scripts, Inc.* + 620,095 45,775,413 Genzyme Corp.* 518,400 41,933,376 Gilead Sciences, Inc.* 781,305 35,611,882 Intuitive Surgical, Inc.* + 111,600 26,893,368 ------------------------------------------------------------------------------- 213,888,534 ------------------------------------------------------------------------------- INDUSTRIALS -- 16.3% CSX Corp. + 788,660 43,037,176 First Solar, Inc.* + 117,860 22,264,933 L-3 Communications Holdings, Inc. 256,700 25,238,744 Lockheed Martin Corp. 362,100 39,711,507 SunPower Corp. - Class A* + 344,735 24,452,054 Union Pacific Corp. 522,083 37,151,426 ------------------------------------------------------------------------------- 191,855,840 ------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 15.0% Apple, Inc.* 229,435 26,077,582 Baidu.com, Inc. - SPON ADR* 89,335 22,175,627 Mastercard, Inc. + 208,365 36,949,366 Oracle Corp.* 1,509,180 30,651,446 QUALCOMM, Inc. + 801,120 34,424,126 Research In Motion Ltd.* + 382,000 26,090,600 ------------------------------------------------------------------------------- 176,368,747 ------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 9.5% Amazon.com, Inc.* + 450,150 32,752,914 McDonald's Corp. 663,445 40,934,557 Nike, Inc. - Class B 575,400 38,494,260 ------------------------------------------------------------------------------- 112,181,731 ------------------------------------------------------------------------------- FINANCIALS -- 8.0% AFLAC, Inc. 533,290 31,330,788 Leucadia National Corp.* 706,900 32,121,535 Public Storage 62,623 6,200,303 State Street Corp. 421,620 23,981,746 ------------------------------------------------------------------------------- 93,634,372 ------------------------------------------------------------------------------- MATERIALS -- 5.7% Ecolab, Inc. 343,200 16,652,064 Potash Corp. of Saskatchewan, Inc. 153,785 20,301,158 Praxair, Inc. 415,425 29,802,589 ------------------------------------------------------------------------------- 66,755,811 ------------------------------------------------------------------------------- ENERGY -- 1.5% Cameron International Corp.* + 450,135 17,348,203 ------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 1,098,632,237 ------------------------------------------------------------------------------- INVESTMENT FUNDS -- 25.0% BBH Securities Lending Fund ** 232,401,090 232,401,090 Touchstone Institutional Money Market Fund^ 61,852,304 61,852,304 ------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 294,253,394 ------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 118.4% (Cost $1,406,138,002) $ 1,392,885,631 LIABILITIES IN EXCESS OF OTHER ASSETS -- (18.4%) (216,287,115) ------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 1,176,598,516 =============================================================================== * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. See Note 5. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2008, was $200,601,064. ** Represents collateral for securities loaned. ADR American Depository Receipt. See accompanying notes to financial statements. 51 -------------------------------------------------------------------------------- Portfolio of Investments Large Cap Value Fund - September 30, 2008 (Unaudited) -------------------------------------------------------------------------------- MARKET PREFERRED STOCK -- 0.8% SHARES VALUE -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 0.8% General Motors Corp. 12,600 $ 112,014 -------------------------------------------------------------------------------- FINANCIALS -- 0.0% Washington Mutual, Inc. 2,500 1,000 -------------------------------------------------------------------------------- TOTAL PREFERRED STOCKS $ 113,014 -------------------------------------------------------------------------------- COMMON STOCKS -- 98.0% FINANCIALS -- 28.2% American International Group, Inc. + 22,100 73,593 Bank of America Corp. 22,300 780,500 Citigroup, Inc. 55,900 1,146,508 Genworth Financial, Inc. 95,247 820,077 Huntington Bancshares, Inc. + 21,600 172,584 JPMorgan Chase & Co. 10,600 495,020 KeyCorp + 41,800 499,092 Wachovia Corp. + 47,700 166,950 -------------------------------------------------------------------------------- 4,154,324 -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 23.2% Centex Corp. 57,000 923,400 D.R. Horton, Inc. 79,800 1,038,996 General Motors Corp. + 33,300 314,685 J.C. Penney Co., Inc. 14,900 496,766 Pulte Homes, Inc. 45,800 639,826 -------------------------------------------------------------------------------- 3,413,673 -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 17.6% Alcatel - Lucent - ADR* 197,000 756,480 AU Optronics Corp. - ADR + 26,632 302,540 BearingPoint, Inc.* + 466,900 242,788 Dell, Inc.* 38,200 629,536 Motorola, Inc. 79,600 568,344 Nortel Networks Corp.* + 40,650 91,056 -------------------------------------------------------------------------------- 2,590,744 -------------------------------------------------------------------------------- INDUSTRIALS -- 5.5% Navistar International Corp.* 14,900 807,282 -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 5.4% Sprint Nextel Corp.* 129,800 791,780 -------------------------------------------------------------------------------- MISCELLANEOUS -- 4.3% iShares Dow Jones US Home Construction + 30,700 551,372 SPDR S&P Homebuilders ETF 4,000 78,280 -------------------------------------------------------------------------------- 629,652 -------------------------------------------------------------------------------- UTILITIES -- 4.1% Mirant Corp.* 1,700 31,093 Reliant Energy, Inc.* 77,600 570,360 -------------------------------------------------------------------------------- 601,453 -------------------------------------------------------------------------------- ENERGY -- 3.6% Peabody Energy Corp. 11,900 535,500 -------------------------------------------------------------------------------- HEALTH CARE -- 3.4% Sanofi-Aventis - ADR 15,300 502,911 -------------------------------------------------------------------------------- MATERIALS -- 1.5% AbitibiBowater, Inc.* + 56,003 216,732 -------------------------------------------------------------------------------- CONSUMER STAPLES -- 1.2% Tyson Foods, Inc. 14,900 177,906 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 14,421,957 -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 22.2% BBH Securities Lending Fund ** 2,698,547 2,698,547 Touchstone Institutional Money Market Fund^ 561,915 561,915 -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 3,260,462 -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 121.0% (Cost $30,313,343) $ 17,795,433 LIABILITIES IN EXCESS OF OTHER ASSETS -- (21.0%) (3,084,402) -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 14,711,031 ================================================================================ * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. See Note 5. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2008, was $2,404,215. ** Represents collateral for securities loaned. ADR American Depository Receipt. See accompanying notes to financial statements. 52 -------------------------------------------------------------------------------- Portfolio of Investments Micro Cap Growth Fund - September 30, 2008 (Unaudited) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 99.6% SHARES VALUE -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 36.1% Actuate Corp.* 159,600 $ 558,600 Avanex Corp.* 980 4,586 BSQUARE Corp.* 126,700 453,586 Concur Technologies, Inc.* + 33,000 1,262,580 CyberSource Corp.* + 85,000 1,369,350 DG Fastchannel, Inc.* 32,300 708,016 Digital Ally, Inc.* 6,600 45,342 Ebix, Inc.* + 6,700 629,532 GSI Technology, Inc.* 89,200 318,444 iGate Capital Corp.* 86,300 748,221 Image Sensing Systems, Inc.* 1,300 14,365 Integrated Silicon Solution, Inc.* 42,893 99,083 INX, Inc.* 2,973 20,187 Mastech Holdings, Inc.* 5,753 43,725 Mesa Laboratories, Inc. 24,900 529,125 NetScout Systems, Inc.* 51,000 542,640 PC Connection, Inc.* 29,100 194,679 Pericom Semiconductor Corp.* 57,300 601,650 Photon Dynamics, Inc.* 32,784 503,234 TransAct Technologies, Inc.* 33,100 263,476 Versant Corp.* 4,700 90,992 Vocus, Inc.* 19,500 662,220 -------------------------------------------------------------------------------- 9,663,633 -------------------------------------------------------------------------------- HEALTH CARE -- 23.4% Allion Healthcare, Inc.* 84,500 502,775 Almost Family, Inc.* 37,500 1,483,125 American Medical Alert Corp.* 80,100 402,903 ATRION Corp. 1,500 154,545 Bio-Imaging Technologies, Inc.* 21,500 165,980 CryoLife, Inc.* 32,200 422,464 Cynosure, Inc. - Class A* 29,600 531,024 HMS Holdings Corp.* 53,000 1,269,880 Synovis Life Technologies, Inc.* 50,200 944,764 U.S. Physical Therapy, Inc.* 23,100 401,016 -------------------------------------------------------------------------------- 6,278,476 -------------------------------------------------------------------------------- INDUSTRIALS -- 20.6% Advanced Battery Technologies, Inc.* + 62,100 200,583 Alamo Group, Inc. 700 11,935 AZZ, Inc.* 7,800 322,686 Chase Corp.* 14,400 180,000 Ducommun, Inc. 13,300 317,604 Furmanite Corp.* 82,100 854,661 Graham Corp. + 16,400 887,240 Industrial Services of America, Inc. + 9,800 100,450 Key Technology, Inc.* 31,100 737,070 K-Tron International, Inc.* + 7,000 901,810 L. B. Foster Co.* 10,500 319,410 LS Starrett Co. - Class A 4,500 82,935 Peerless Manufacturing Co.* 5,600 81,144 Standard Parking Corp.* 22,800 506,616 -------------------------------------------------------------------------------- 5,504,144 -------------------------------------------------------------------------------- FINANCIALS -- 7.9% American Physicians Capital, Inc. + 30,000 1,269,900 Life Partners Holdings, Inc. + 23,201 834,540 -------------------------------------------------------------------------------- 2,104,440 -------------------------------------------------------------------------------- ENERGY -- 4.5% Clayton Williams Energy, Inc.* 12,000 846,360 Matrix Service Co.* 19,300 368,630 -------------------------------------------------------------------------------- 1,214,990 -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 4.3% America's Car-Mart, Inc.* + 12,900 239,811 Learning Tree International, Inc.* 53,500 666,075 Smith & Wesson Holding Corp.* + 67,100 250,954 -------------------------------------------------------------------------------- 1,156,840 -------------------------------------------------------------------------------- MATERIALS -- 2.6% Innophos Holdings, Inc. 17,700 431,526 Quaker Chemical Corp. 3,100 88,226 UFP Technologies, Inc.* 24,850 169,229 -------------------------------------------------------------------------------- 688,981 -------------------------------------------------------------------------------- UTILITIES -- 0.2% Maine & Maritimes Corp.* 1,700 56,015 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 26,667,519 -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 22.5% BBH Securities Lending Fund ** 5,721,855 5,721,855 Touchstone Institutional Money Market Fund^ 302,146 302,146 -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 6,024,001 -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 122.1% (Cost $26,921,670) $ 32,691,520 LIABILITIES IN EXCESS OF OTHER ASSETS -- (22.1%) (5,915,404) -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 26,776,116 ================================================================================ * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. See Note 5. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2008, was $5,789,946. ** Represents collateral for securities loaned. See accompanying notes to financial statements. 53 -------------------------------------------------------------------------------- Portfolio of Investments Mid Cap Growth Fund - September 30, 2008 (Unaudited) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 97.5% SHARES VALUE -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 22.2% ADC Telecommunications, Inc.* + 456,500 $ 3,857,425 Agilent Technologies, Inc.* 198,200 5,878,612 Alliance Data Systems Corp.* + 186,100 11,795,018 Analog Devices, Inc. 299,700 7,897,095 Autodesk, Inc.* 352,500 11,826,375 Avnet, Inc.* 230,800 5,684,604 BMC Software, Inc.* 386,800 11,074,084 Broadcom Corp. - Class A* + 414,100 7,714,683 Cognizant Technology Solutions Corp.* 455,400 10,396,782 LSI Logic Corp.* + 350,796 1,880,267 Marvell Technology Group Ltd.* 416,200 3,870,660 Maxim Integrated Products, Inc. 613,900 11,111,590 MEMC Electronic Materials, Inc.* 323,150 9,132,219 Mettler-Toledo International, Inc.* 200,700 19,668,600 NetApp, Inc.* + 538,600 9,818,678 NICE Systems Ltd. - SPONS ADR* 528,800 14,404,512 PMC-Sierra, Inc.* + 871,500 6,466,530 Quest Software, Inc.* 626,700 7,952,823 Red Hat, Inc.* + 153,300 2,310,231 SAIC, Inc.* 558,200 11,292,386 TeleTech Holdings, Inc.* 386,800 4,811,792 Verigy Ltd.* 316,151 5,146,938 VistaPrint Ltd.* + 406,400 13,346,176 Zebra Technologies Corp.* + 266,515 7,422,443 -------------------------------------------------------------------------------- 204,760,523 -------------------------------------------------------------------------------- HEALTH CARE -- 19.6% Beckman Coulter, Inc. + 93,900 6,665,961 Celgene Corp.* 325,600 20,603,967 Cerner Corp.* + 95,900 4,280,976 DaVita, Inc.* 255,350 14,557,504 Dentsply International, Inc. 313,400 11,765,036 Edwards Lifesciences Corp.* + 202,550 11,699,288 Elan Corp. PLC - SPONS ADR* + 1,026,400 10,951,688 HEALTHSOUTH Corp.* + 368,460 6,790,718 Hospira, Inc.* 134,340 5,131,788 IDEXX Laboratories, Inc.* + 183,650 10,064,020 Invitrogen Corp.* + 233,300 8,818,740 Pediatrix Medical Group, Inc.* 197,795 10,665,106 QIAGEN N.V.* 419,900 8,284,627 Shire Pharmaceuticals Group PLC - ADR + 347,600 16,597,900 Thermo Fisher Scientific, Inc.* + 167,450 9,209,750 Varian, Inc.* + 139,395 5,980,046 VCA Antech, Inc.* + 160,500 4,729,935 Vertex Pharmaceuticals, Inc.* 435,800 14,485,992 -------------------------------------------------------------------------------- 181,283,042 -------------------------------------------------------------------------------- INDUSTRIALS -- 13.9% Alliant Techsystems, Inc.* 86,635 8,138,492 AMETEK, Inc. 190,950 7,785,032 Corrections Corp. of America* 509,200 12,653,619 Dover Corp. 194,790 7,898,735 Hexcel Corp.* 449,195 6,149,480 IDEX Corp. 276,600 8,580,132 ITT Corp. 210,500 11,705,905 Joy Global, Inc. 119,090 5,375,723 Kirby Corp.* + 264,400 10,031,336 MSC Industrial Direct Co., Inc. + 347,600 16,013,931 Rockwell Collins 160,345 7,710,991 SPX Corp. 91,440 7,040,880 Teleflex, Inc. 169,087 10,735,334 Textron, Inc. 303,600 8,889,408 -------------------------------------------------------------------------------- 128,708,998 -------------------------------------------------------------------------------- FINANCIALS -- 12.9% Annaly Capital Management, Inc. + 754,000 10,141,300 Arch Capital Group, Ltd.* 127,900 9,340,537 Assurant, Inc. 165,280 9,090,400 Colonial Bancgroup, Inc. + 75,629 594,444 Federated Investors, Inc. - Class B + 214,700 6,189,801 Fifth Third Bancorp. + 706,725 8,410,028 First Horizon National Corp. + 283,291 2,691,260 Hudson City Bancorp, Inc. + 317,455 5,857,045 Invesco Ltd. 199,535 4,186,244 Knight Capital Group, Inc.* + 498,555 7,408,527 Marshall & Ilsley Corp. + 254,600 5,130,190 Moody's Corp. + 216,100 7,347,400 New York Community Bancorp, Inc. + 453,842 7,620,007 People's United Financial, Inc. + 644,354 12,403,814 SVB Financial Group* + 200,700 11,624,544 Willis Group Holdings Ltd. + 330,189 10,651,897 -------------------------------------------------------------------------------- 118,687,438 -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY -- 11.3% Bed Bath & Beyond, Inc.* + 377,000 11,841,570 Burger King Holdings, Inc. 141,307 3,470,500 D.R. Horton, Inc. 465,200 6,056,904 DeVry, Inc. 244,800 12,127,391 Gap, Inc. + 222,900 3,963,162 Lennar Corp. + 250,200 3,800,538 Limited Brands, Inc. 607,100 10,514,972 Macy's, Inc. + 398,774 7,169,957 Newell Rubbermaid, Inc. 607,100 10,478,546 Regis Corp. 294,424 8,096,660 Snap-On, Inc. 149,780 7,887,415 The TJX Cos., Inc. 187,000 5,707,240 Toll Brothers, Inc.* + 165,900 4,185,657 WABCO Holdings, Inc. 244,130 8,676,380 -------------------------------------------------------------------------------- 103,976,892 -------------------------------------------------------------------------------- ENERGY -- 10.7% BJ Services Co. 426,000 8,149,380 Cameron International Corp.* + 159,100 6,131,714 CONSOL Energy, Inc. 341,500 15,671,435 Hess Corp. + 191,000 15,677,280 Murphy Oil Corp. 110,520 7,088,753 Nabors Industries, Ltd.* 357,400 8,906,408 54 -------------------------------------------------------------------------------- Mid Cap Growth Fund (Continued) -------------------------------------------------------------------------------- MARKET COMMON STOCKS -- 97.5% (CONTINUED) SHARES VALUE -------------------------------------------------------------------------------- ENERGY -- 10.7% (CONTINUED) National-Oilwell Varco, Inc.* 214,130 $ 10,755,750 Range Resources Corp. 186,100 7,978,107 Smith International, Inc. 205,600 12,056,384 Weatherford International Ltd.* 241,200 6,063,768 -------------------------------------------------------------------------------- 98,478,979 -------------------------------------------------------------------------------- MATERIALS -- 4.6% Commercial Metals Co. 316,900 5,352,441 Crown Holdings, Inc.* 455,350 10,113,324 Cytec Industries, Inc. 165,315 6,432,407 International Flavors & Fragrances, Inc. 211,600 8,349,736 Pactiv Corp.* 480,400 11,928,331 -------------------------------------------------------------------------------- 42,176,239 -------------------------------------------------------------------------------- UTILITIES -- 1.4% Equitable Resources, Inc. 220,300 8,082,807 Wisconsin Energy Corp. 109,700 4,925,530 -------------------------------------------------------------------------------- 13,008,337 -------------------------------------------------------------------------------- CONSUMER STAPLES -- 0.9% Tyson Foods, Inc. - Class A + 714,790 8,534,593 -------------------------------------------------------------------------------- TOTAL COMMON STOCKS $ 899,615,041 -------------------------------------------------------------------------------- INVESTMENT FUNDS -- 27.4% BBH Securities Lending Fund ** 214,302,210 214,302,210 Touchstone Institutional Money Market Fund^ 39,021,344 39,021,344 -------------------------------------------------------------------------------- TOTAL INVESTMENT FUNDS $ 253,323,554 -------------------------------------------------------------------------------- TOTAL INVESTMENT SECURITIES -- 124.9% (Cost $1,183,675,811) $ 1,152,938,595 LIABILITIES IN EXCESS OF OTHER ASSETS -- (24.9%) (229,997,240) -------------------------------------------------------------------------------- NET ASSETS -- 100.0% $ 922,941,355 ================================================================================ * Non-income producing security. ^ Affiliated Fund, sub-advised by Fort Washington Investment Advisors, Inc. See Note 5. + All or a portion of the security is on loan. The total value of securities on loan as of September 30, 2008, was $219,673,700. ** Represents collateral for securities loaned. ADR American Depository Receipt. See accompanying notes to financial statements. 55 -------------------------------------------------------------------------------- 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, 2008" 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. 56 -------------------------------------------------------------------------------- Other Items (Continued) -------------------------------------------------------------------------------- SCHEDULE OF SHAREHOLDER EXPENSES (CONTINUED)
EXPENSES PAID NET EXPENSE BEGINNING ENDING DURING THE RATIO ACCOUNT ACCOUNT SIX MONTHS ANNUALIZED VALUE VALUE ENDED SEPTEMBER 30, APRIL 1, SEPTEMBER 30, SEPTEMBER 30, 2008 2008 2008 2008* ----------------------------------------------------------------------------------------------------------------- DIVERSIFIED SMALL CAP GROWTH FUND Class A Actual 1.40% $ 1,000.00 $ 950.00 $ 6.85 Class A Hypothetical 1.40% $ 1,000.00 $ 1,018.05 $ 7.09 Class C Actual 2.15% $ 1,000.00 $ 947.70 $ 10.50 Class C Hypothetical 2.15% $ 1,000.00 $ 1,014.28 $ 10.86 Class Y Actual 1.15% $ 1,000.00 $ 950.20 $ 5.63 Class Y Hypothetical 1.15% $ 1,000.00 $ 1,019.30 $ 5.83 GROWTH OPPORTUNITIES FUND Class A Actual 1.55% $ 1,000.00 $ 888.40 $ 7.32 Class A Hypothetical 1.55% $ 1,000.00 $ 1,017.31 $ 7.82 Class B Actual 2.30% $ 1,000.00 $ 892.00 $ 10.89 Class B Hypothetical 2.30% $ 1,000.00 $ 1,013.55 $ 11.59 Class C Actual 2.30% $ 1,000.00 $ 890.80 $ 10.89 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 $ 935.30 $ 5.58 Class A Hypothetical 1.15% $ 1,000.00 $ 1,019.30 $ 5.82 Class C Actual 1.90% $ 1,000.00 $ 932.00 $ 9.20 Class C Hypothetical 1.90% $ 1,000.00 $ 1,015.54 $ 9.60 LARGE CAP GROWTH FUND Class A Actual 1.24% $ 1,000.00 $ 858.50 $ 5.80 Class A Hypothetical 1.24% $ 1,000.00 $ 1,018.83 $ 6.30 Class B Actual 1.99% $ 1,000.00 $ 858.50 $ 9.29 Class B Hypothetical 1.99% $ 1,000.00 $ 1,015.07 $ 10.07 Class C Actual 1.99% $ 1,000.00 $ 858.00 $ 9.28 Class C Hypothetical 1.99% $ 1,000.00 $ 1,015.08 $ 10.07 Class Y Actual 0.95% $ 1,000.00 $ 858.80 $ 4.43 Class Y Hypothetical 0.95% $ 1,000.00 $ 1,020.30 $ 4.82 LARGE CAP VALUE FUND Class A Actual 1.35% $ 1,000.00 $ 528.90 $ 5.18 Class A Hypothetical 1.35% $ 1,000.00 $ 1,018.29 $ 6.84 Class C Actual 2.10% $ 1,000.00 $ 525.10 $ 8.04 Class C Hypothetical 2.10% $ 1,000.00 $ 1,014.53 $ 10.62
57 -------------------------------------------------------------------------------- Other Items (Continued) -------------------------------------------------------------------------------- SCHEDULE OF SHAREHOLDER EXPENSES (CONTINUED)
EXPENSES PAID NET EXPENSE BEGINNING ENDING DURING THE RATIO ACCOUNT ACCOUNT SIX MONTHS ANNUALIZED VALUE VALUE ENDED SEPTEMBER 30, APRIL 1, SEPTEMBER 30, SEPTEMBER 30, 2008 2008 2008 2008* -------------------------------------------------------------------------------------------------------- MICRO CAP GROWTH FUND Class A Actual 1.58% $ 1,000.00 $ 964.80 $ 7.78 Class A Hypothetical 1.58% $ 1,000.00 $ 1,017.15 $ 7.99 Class C Actual 2.33% $ 1,000.00 $ 961.80 $ 11.46 Class C Hypothetical 2.33% $ 1,000.00 $ 1,013.39 $ 11.76 Class Y Actual 1.33% $ 1,000.00 $ 966.40 $ 6.56 Class Y Hypothetical 1.33% $ 1,000.00 $ 1,018.39 $ 6.74 MID CAP GROWTH FUND Class A Actual 1.46% $ 1,000.00 $ 903.10 $ 6.98 Class A Hypothetical 1.46% $ 1,000.00 $ 1,017.73 $ 7.40 Class B Actual 2.25% $ 1,000.00 $ 899.60 $ 10.71 Class B Hypothetical 2.25% $ 1,000.00 $ 1,013.79 $ 11.35 Class C Actual 2.24% $ 1,000.00 $ 899.70 $ 10.65 Class C Hypothetical 2.24% $ 1,000.00 $ 1,013.86 $ 11.29
* 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). 58 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 JPMorgan Chase Bank, N.A. 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-0810 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 John P. Zanotti, 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 7, 2008 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 7, 2008 /s/ Terrie A. Wiedenheft -------------------------------------------------------------------------------- Terrie A. Wiedenheft Controller & Treasurer Date: December 3, 2008