N-CSRS 1 incncsr0606.txt INCOME TRUST SEMI-ANNUAL REPORT - 06/30/2006 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act File Number: 811-3668 -------- The Wright Managed Income Trust ------------------------------- (Exact Name of Registrant as Specified in Charter) The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109 ----------------------------------------------------------------------- (Address of Principal Executive Offices) Alan R. Dynner The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109 ----------------------------------------------------------------------- (Name and Address of Agent for Services) (617) 482-8260 -------------- (Registrant's Telephone Number) December 31 ------------------------ Date of Fiscal Year End June 30, 2006 ------------------------- Date of Reporting Period ------------------------------------------------------------------------------ Item 1. REPORTS TO STOCKHOLDERS THE WRIGHT MANAGED BLUE CHIP INVESTMENT FUNDS SEMI-ANNUAL REPORT -------------------- JUNE 30 , 2006 THE WRIGHT MANAGED EQUITY TRUST o Wright Selected Blue Chip Equities Fund o Wright Major Blue Chip Equities Fund o Wright International Blue Chip Equities Fund THE WRIGHT MANAGED INCOME TRUST o Wright U.S. Government Near Term Fund o Wright Total Return Bond Fund o Wright Current Income Fund THE WRIGHT MANAGED BLUE CHIP INVESTMENT FUNDS ------------------------------------------------------------------------------- THE WRIGHT MANAGED BLUE CHIP INVESTMENT FUNDS CONSIST OF THREE EQUITY FUNDS FROM THE WRIGHT MANAGED EQUITY TRUST AND THREE FIXED INCOME FUNDS FROM THE WRIGHT MANAGED INCOME TRUST. EACH OF THE SIX FUNDS HAVE DISTINCT INVESTMENT OBJECTIVES AND POLICIES. THEY CAN BE USED INDIVIDUALLY OR IN COMBINATION TO ACHIEVE VIRTUALLY ANY OBJECTIVE. FURTHER, AS THEY ARE ALL "NO-LOAD" FUNDS (NO COMMISSIONS OR SALES CHARGES), PORTFOLIO ALLOCATION STRATEGIES CAN BE ALTERED AS DESIRED TO MEET CHANGING MARKET CONDITIONS OR CHANGING REQUIREMENTS WITHOUT INCURRING ANY SALES CHARGES. APPROVED WRIGHT INVESTMENT LIST Securities selected for investment in these funds are chosen mainly from a list of "investment grade" companies maintained by Wright Investors' Service ("Wright" or the "Adviser"). All 25,000 global companies (covering 50 countries) in Wright's database are screened as new data becomes available to determine any eligible additions or deletions to the list. The qualifications for inclusion as "investment grade" are companies that meet Wright's Quality Rating criteria. This rating includes fundamental criteria for investment acceptance, financial strength, profitability & stability and growth. In addition, securities, which are not included in Wright's "investment grade" list, may also be selected from companies in the fund's specific benchmark (up to 20% of the market value of the portfolio) in order to achieve broad diversification. Different quality criteria may apply for the different funds. For example, the companies in the Major Blue Chip Fund would require a higher Investment Acceptance rating than the companies in the Selected Blue Chip Fund. THREE EQUITY FUNDS WRIGHT SELECTED BLUE CHIP EQUITIES FUND (WSBC) seeks to enhance total investment return through price appreciation plus income. The fund's portfolio is characterized as a blend of growth and value stocks. The market capitalization of the companies is typically between $1-$10 billion at the time of the fund's investment. The Adviser seeks to outperform the Standard & Poor's 400 Index (S&P 400) by selecting stocks using fundamental company analysis and company specific criteria such as valuation and earnings trends. The portfolio is then diversified across industries and sectors. WRIGHT MAJOR BLUE CHIP EQUITIES FUND (WMBC) seeks to enhance total investment return through price appreciation plus income by providing a broadly diversified portfolio of equities of larger well-established companies with market values of $10 billion or more. The Adviser seeks to outperform the Standard & Poor's 500 Index (S&P 500) by selecting stocks, using fundamental company analysis and company specific criteria such as valuation and earnings trends. The portfolio is then diversified across industries and sectors. WRIGHT INTERNATIONAL BLUE CHIP EQUITIES FUND (WIBC) seeks total return consisting of price appreciation plus income by investing in a broadly diversified portfolio of equities of well-established, non-U.S. companies. The portfolio may buy common stocks traded on the securities exchange of the country in which the company is based or it may purchase American Depositary Receipts (ADR's) traded in the United States. The portfolio is denominated in U.S. dollars and investors should understand that fluctuations in foreign exchange rates may impact the value of their investment. The Adviser seeks to outperform the MSCI Developed World ex U.S. Index by selecting stocks using fundamental company analysis and company-specific criteria such as valuation and earnings trends. The portfolio is then diversified across industries and sectors and countries. THREE FIXED-INCOME FUNDS WRIGHT U.S. GOVERNMENT NEAR TERM FUND (WNTB) is a diversified portfolio concentrating on bonds and other obligations of the U.S. Government and U.S. Government Agencies with an average weighted maturity of between one and three years. This portfolio is designed to appeal to the investor seeking a high level of income that is normally somewhat less variable and normally somewhat higher than that available from short-term money market instruments and who is also tolerant of modest fluctuation in capital (i.e. compared with somewhat greater fluctuation likely with longer term fixed income securities). Dividends are accrued daily and paid monthly. The fund's benchmark is the Lehman U.S. Government 1-3 Year Bond Index. WRIGHT TOTAL RETURN BOND FUND (WTRB) is a diversified portfolio of investment grade government and corporate bonds and other debt securities of varying maturities which, in the Adviser's opinion, will achieve the portfolio objective of best total return (i.e. the total of ordinary income plus capital appreciation). Accordingly, investment selections and maturities may differ depending on the particular phase of the interest rate cycle. Dividends are accrued daily and paid monthly. The fund's benchmark is the Lehman U.S. Aggregate Bond Index. WRIGHT CURRENT INCOME FUND (WCIF) may be invested in a variety of securities and may use a number of strategies, including GNMAs, to produce a high level of income with reasonable stability of principal. The fund reinvests all principal payments. Dividends are accrued daily and paid monthly. The funds benchmark is the Lehman GNMA Backed Bond Index. TABLE OF CONTENTS Investment Objectives................................inside front & back cover Letter to Shareholders.......................................................2 Management Discussion........................................................3 Fund Expenses................................................................8 Board of Trustees Annual Approval of the Investment Advisory Agreement......54 Important Notices Regarding Privacy, Delivery of Shareholder Documents, Portfolio Holdings and Proxy Voting......................................55 FINANCIAL STATEMENTS THE WRIGHT MANAGED EQUITY TRUST Wright Selected Blue Chip Equities Fund Portfolio of Investments..................10 Statement of Assets & Liabilities.........13 Statement of Operations...................13 Statement of Changes in Net Assets........14 Financial Highlights......................15 Wright Major Blue Chip Equities Fund Portfolio of Investments..................16 Statement of Assets & Liabilities.........19 Statement of Operations...................19 Statement of Changes in Net Assets........20 Financial Highlights......................21 Wright International Blue Chip Equities Fund Portfolio of Investments..................22 Statement of Assets & Liabilities.........24 Statement of Operations...................24 Statement of Changes in Net Assets........25 Financial Highlights......................26 Notes to Financial Statements ..............27 THE WRIGHT MANAGED INCOME TRUST Wright U.S. Government Near Term Fund Portfolio of Investments..................32 Statement of Assets & Liabilities.........33 Statement of Operations...................33 Statement of Changes in Net Assets........34 Financial Highlights......................35 Wright Total Return Bond Fund Portfolio of Investments..................36 Statement of Assets & Liabilities.........40 Statement of Operations...................40 Statement of Changes in Net Assets........41 Financial Highlights......................42 Wright Current Income Fund Portfolio of Investments..................43 Statement of Assets & Liabilities.........46 Statement of Operations...................46 Statement of Changes in Net Assets........47 Financial Highlights......................48 Notes to Financial Statements ..............49 LETTER TO SHAREHOLDERS -------------------------------------------------------------------------------- July 2006 Dear Shareholders: Despite rising interest rates and increased market volatility, U.S. stocks and bonds both suffered limited damage in the second quarter, losing 1.4% (S&P 500 stock composite) and 0.1% (Lehman Aggregate bond index), respectively. Consumer prices ran up at roughly a 5% annual rate for the latest three months, as prices for energy goods and services increased at around a 25% annual rate. Even at the core level, i.e., excluding energy and food prices, the inflation rate is now closer to 3% than to the Federal Reserve's presumed ceiling of 2%. This uptick in core inflation, which had previously been fairly well contained despite soaring commodity prices, was an important reason for the second quarter's heightened market volatility - that and rising expectations on how much higher the Fed is going to take interest rates. Getting reacquainted with risk in 2006's second quarter, investors shied away from riskier securities and sectors that had previously been market leaders. Major foreign stock markets generally continued to outperform domestic averages, but emerging markets sold off violently in May-June. Small- and mid-cap U.S. stocks trailed big-cap stocks for only the second quarter in the last eight. The dollar retreated against other currencies in the second quarter, although the greenback enjoyed a brief flight-to-safety rally late in the quarter while stocks and commodities were foundering. For the entire first half, small-cap, mid-cap, developed foreign markets (with the notable exception of Japan) and most emerging markets still had an edge over the S&P 500 Composite's 2.7% return. Global credit markets were little changed in local currency terms in the second quarter; in dollar terms, most major bond markets outside the U.S. had positive (and stock-beating) returns. Bond yields climbed roughly 30 basis points in the U.S. and Europe for the quarter, and about half that much in Japan. Unlike the case in the first quarter, when real yields and inflation expectations each increased by about the same order of magnitude, real rates accounted for the bulk of the second-quarter rise in nominal yields. For this reason, the Federal Reserve (Fed) was able to say after its June 29 Federal Open Market Committee meeting that inflation expectations "remain contained." To a large extent, this is the Fed's bet on the U.S. economy: the slowing apparent in housing and business activity generally will reduce pressure on prices, allowing the Fed to cease its program of interest rate hikes in time to arrest a more serious economic slowdown. As seen in the Wall Street Journal's midyear survey, economists' forecasts are generally in agreement with futures and the forward curve that the bulk of the Fed's tightening and the bond market's weakness is behind us. After a 5.6% first-quarter GDP rebound, the U.S. economy reverted to trend (3.5%) or sub-trend growth in the second quarter, in our view. In fact, with housing slowing and higher interest rates taking a toll on auto sales and consumer spending, GDP growth may sag below the 3% annual rate for the next several quarters. The Federal Reserve's most recent statements on the economy have been taken by investors to mean that the Fed is getting ready to stop raising interest rates. Even if June's was not the very last rate hike, the end of the current cycle of Fed tightening cannot be too far off. The late-June stock market action - including two days with better-than-2% advances in the S&P 500 - suggests a healthier investor psyche than was witnessed earlier in the month and in May. The prospect of stable and possibly lower interest rates and corporate earnings growth on the order of 10% leads us to believe the bull market in stocks has not yet run its course. In the near term, our enthusiasm for global stocks is tempered by the return of crude oil prices to their April peak of $75 per barrel. Longer term, with inflation and interest rates expected to recede, more normal returns from stocks and bonds appear likely. We would like to express our appreciation for your confidence in us and invite your suggestions on how we can better serve your investment and wealth management needs. Sincerely, s/s Peter M. Donovan ---------------------- Peter M. Donovan President MANAGEMENT DISCUSSION ------------------------------------------------------------------------------- EQUITY FUNDS U.S. STOCKS BEGAN AND ENDED THE SECOND QUARTER OF 2006 ON A POSITIVE NOTE, BUT CORRECTED IN BETWEEN. DURING A FIVE-WEEK PERIOD FROM EARLY-MAY TO MID-JUNE, THE DOW AND THE S&P 500 BOTH LOST ABOUT 8%, WHILE THE NASDAQ AND S&P MIDCAP 400 INDEXES LOST ABOUT 13%. THE STOCK MARKET'S GYRATIONS IN THE QUARTER REFLECTED CHANGING VIEWS ON THE ECONOMY. EARLY IN THE QUARTER, SIGNS OF STRONG GROWTH AND HEALTHY FIRST-QUARTER PROFIT REPORTS WERE GOOD FOR STOCKS (THOUGH THEY HAD THE BOND MARKET WORRIED ABOUT INFLATION). STOCKS PEAKED AND INVESTORS BEGAN TO RETREAT FROM RISK ABOUT THE TIME OF THE MAY FEDERAL OPEN MARKET COMMITTEE MEETING, WHEN THE FED BEGAN TO TALK TOUGH ON INFLATION. EQUITY INVESTORS STARTED TO WORRY THAT THE FED WOULD GO TOO FAR IN ITS TIGHTENING PROGRAM AND DRIVE THE ECONOMY INTO RECESSION. THE RECOVERY IN STOCKS NEAR MID-YEAR WAS GIVEN A BOOST ON JUNE 29 WHEN, IN ANNOUNCING ANOTHER 25 BASIS-POINT HIKE IN THE FED FUNDS TARGET RATE, THE FED GAVE SOME INDICATION THAT AN END TO FED TIGHTENING MIGHT NOT BE TOO FAR IN THE FUTURE AFTER ALL. BY THE END OF THE SECOND QUARTER, STOCKS HAD RECOVERED MUCH OF WHAT THEY LOST IN THE EARLIER RETREAT. THE DOW CLOSED UP FOR THE QUARTER WITH A TOTAL RETURN OF 0.9%. THE S&P 500 DIDN'T MAKE IT INTO THE BLACK, BUT ITS LOSS OF 1.4% FOR THE QUARTER REPRESENTS A GOOD RECOVERY FROM ITS LOW AND KEPT ITS RETURN IN POSITIVE TERRITORY (+2.7%) FOR THE FIRST HALF OF THE YEAR. INVESTORS' RISK AVERSION TOOK A GREATER TOLL ON NASDAQ (-7.0%) AND THE S&P MIDCAP (-3.1%) AND SMALLCAP (-4.6%) INDEXES IN THE QUARTER. NASDAQ'S LOSS IN Q2 WAS ENOUGH TO PUT IT IN THE RED FOR THE SIX MONTHS (-1.1%), WHILE THE MIDCAP 400 (+4.2%) AND SMALLCAP 600 (+7.7%) RETURNED MORE THAN THE S&P 500 FOR THE FIRST HALF. FOREIGN STOCKS WERE GENERALLY REWARDING FOR U.S. INVESTORS IN Q2, AS THEY WERE IN THE FIRST QUARTER. IN LOCAL TERMS, THE MSCI WORLD EX U.S. INDEX LOST 4.3% IN Q2, BUT THE DEPRECIATION OF THE DOLLAR CONVERTED THAT TO A 0.7% POSITIVE RETURN IN DOLLAR TERMS. (AGAINST A WEIGHTED AVERAGE OF CURRENCIES IN THE MSCI DEVELOPED MARKETS EX U.S. INDEX, THE DOLLAR LOST ABOUT 5% IN Q2, ALTHOUGH IT BOUNCED OFF ITS LOWS IN JUNE.) IN THE FIRST HALF OF 2006, THE MSCI WORLD EX U.S. INDEX RETURNED 10% IN DOLLARS, WITH AN ESPECIALLY STRONG SHOWING BY THE EUROPEAN REGION. GOING FORWARD, THERE IS STILL ENOUGH UNCERTAINTY ABOUT THE DIRECTION OF THE ECONOMY TO KEEP THE STOCK MARKET VOLATILE. IN THE END, HOWEVER, WE EXPECT THE FED TO ACHIEVE ITS TARGETED SOFT LANDING. AFTER AN ABOVE-TREND 5.6% INCREASE IN Q1, GDP GROWTH IS EXPECTED TO BE IN THE 2.5%-3% RANGE FOR THE REST OF THIS YEAR. INFLATION MAY EDGE UP IN THE NEAR TERM, BUT WE EXPECT EASING INFLATION PRESSURES TO BE EVIDENT BY THE END OF THE YEAR. THERE IS A GOOD CHANCE THE FED WILL RAISE RATES ANOTHER 25 BASIS POINTS, PROBABLY AT ITS AUGUST MEETING. AFTER THAT, HOWEVER, INCOMING DATA SHOULD DEPICT CONDITIONS THAT WILL MAKE A PAUSE IN FED TIGHTENING APPEAR PRUDENT WITHOUT DAMAGING THE FED'S INFLATION FIGHTING CREDENTIALS. WE EXPECT THAT THE FED WILL STOP TIGHTENING SOON ENOUGH TO AVOID PUSHING THE ECONOMY INTO RECESSION (AS A 6.5% FED FUNDS RATE DID IN 2001). EASING FEARS OF SIGNIFICANTLY HIGHER INTEREST RATES WILL BE GOOD FOR THE STOCK MARKET. SLOWER ECONOMIC GROWTH WILL RESULT IN MORE SUBDUED PROFIT GROWTH - ABOUT 8% OVER THE COMING YEAR BY OUR FORECAST. BUT ONCE INVESTORS ADJUST TO THESE LOWER GROWTH RATES, THE STOCK MARKET'S LOW VALUATION SHOULD HELP THE MARKET RESUME ITS UPTREND. (THE S&P 500'S FORWARD P/E MULTIPLE AT MID YEAR WAS JUST ABOUT WHERE IT WAS AT THE 2002 MARKET BOTTOM.) EVEN WITHOUT THE MODEST RECOVERY IN MULTIPLES THAT WE FORECAST, STOCKS SHOULD OUTPERFORM BONDS OVER THE COMING 12 MONTHS. WE ARE POSITIVE ON THE PROSPECTS FOR MID-CAP AND INTERNATIONAL STOCKS AS WELL AS LARGE-CAP U.S. EQUITIES. 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 1996 Total Return 6 Mos. Year Year Year Year Year Year Year Year Year Year ------------------------------------------------------------------------------------------------------------------------------ Wright Selected Blue Chip Fund (WSBC) 1.9% 11.1% 15.7% 30.1% -17.0% -10.2% 10.8% 5.8% 0.1% 32.7% 18.6% Wright Major Blue Chip Fund (WMBC) 1.7% 6.2% 12.4% 23.2% -24.5% -16.9% -12.5% 24.0% 20.4% 33.9% 17.6% Wright International Blue Chip Fund (WIBC) 11.7% 21.1% 17.7% 32.0% -14.5% -24.2% -17.6% 34.3% 6.1% 1.5% 20.7%
WRIGHT SELECTED BLUE CHIP EQUITIES FUND After outperforming the S&P 500 in Q1 and all of last year, the S&P MidCap 400 lagged bigger stocks in the second quarter. The Wright Selected Blue Chip Fund (WSBC), which is a mid-cap blend fund, lost 2.2% in the second quarter, a smaller loss than the S&P MidCap 400's 3.1% and the 2.8% loss for an average of 79 mid-cap blend funds in the Morningstar database. Reflecting a lagging first-quarter performance, WSBC returned 1.9% for the first six months of 2006, behind the S&P MidCap's 4.2% return and 4.3% for the Morningstar average. Over the last four quarters, the WSBC returned 7.4% compared to 13.0% for the S&P MidCaps and 12.0% for the Morningstar average. In the second quarter, WSBC benefited from investors' preference for the larger, higher-quality issues in the MidCap 400. This is a reversal from the first quarter, when the smaller and low-quality issues in the S&P MidCap 400 led the index, which worked against the WSBC's bias toward higher quality and larger stocks. In the second quarter, the Fund especially benefited from superior stock selection in the industrial, technology and utility sectors, as well as its overweighting in energy, which was the best-performing mid-cap sector. Newfield Exploration (+16.8%), J.B. Hunt Transport (+16.0%) and Questar (15.3%) contributed to the Fund's strong relative performance in Q2. Although weakness in some retail stocks hurt the Fund's absolute performance in the quarter, it outperformed the S&P MidCap 400 in the consumer discretionary sector, which was its weakest in the quarter. With risk aversion increasingly apparent in the investment environment, WSBC is well positioned in the mid-cap area with a bias toward the more substantial companies in the S&P MidCap 400. Also, though mid-cap valuations are higher than large-cap, the WSBC Fund has a lower median forward P/E than the S&P MidCap 400. Wright continues to advise diversity in investment portfolios and sees mid-cap stocks as likely to make a positive contribution to total portfolio returns going forward. WRIGHT MAJOR BLUE CHIP EQUITIES FUND The Wright Major Blue Chip Fund (WMBC) is managed as a blend of the large-cap growth and value stocks in the S&P 500 Composite, selected with a bias toward the higher-quality issues in the index. In the first quarter of 2006, large-cap U.S. stocks posted attractive investment returns. After keeping pace with the S&P 500 in the first quarter of 2006, the WMBC Fund lost 2.5% in the second quarter, lagging the S&P 500's 1.4% loss and the 2.1% loss for an average of 152 large-cap blend funds in the Morningstar database. Year to date, WMBC returned 1.7% compared to 2.7% for the S&P 500 and 2.4% for the Morningstar average. Over the last 12 months, WMBC (+9.5%) is ahead of both the S&P 500 (+8.6%) and the Morningstar group (+9.0%). In the first quarter of 2006, the smaller issues in the S&P 500 did better than the larger and lower quality generally did better than higher. These patterns worked against the WMBC Fund, which has a larger median market cap than the S&P 500 and is tilted toward the higher-quality issues in the index. Nevertheless, the Fund was able to keep pace with the index due to superior stock selection. In the second quarter, as investors turned away from risk, larger, higher-quality issues did better, which worked to the fund's benefit. The fund was also helped in Q2 by being underweight in technology stocks, the weakest S&P 500 sector in the quarter. It also had a good relative showing from selections in the consumer staples and industrial sectors. These pluses were offset, however, by being overweight in health care, one of the weaker sectors and by poor stock selection in that group and in the consumer discretionary sector. Among the specific holdings that hurt second-quarter performance were Home Depot (-15.0%), Express Scripts (-18.4%) and Unitedhealth (-19.8%). Among the positive contributors: Archer Daniels Midland (+23.0%), which produces ethanol, Paccar (+17.4%) and Cummins Engine (+16.6%). The prospect of lower economic growth and more uncertainty in the economic and geopolitical environment suggest that the risk aversion that became evident in the financial markets during the second quarter will persist for a while. Such an environment ought to favor higher-quality and large-cap stocks, which moreover are currently attractively valued compared with smaller issues as well as with their recent history. With its bias toward the larger, higher-quality stocks in the S&P 500, the WMBC is well positioned for a risk-averse environment. WMBC's holdings also are valued at a lower median forward P/E than the S&P 500. WRIGHT INTERNATIONAL BLUE CHIP EQUITIES FUND International stocks outperformed U.S. stocks for the first and second quarters of 2006, helped some, especially in the second quarter, by depreciation of the dollar. The Wright International Blue Chip Fund (WIBC) outperformed its benchmark for both quarters. For the second quarter, WIBC returned 1.4% compared to 0.7% for the MSCI World ex U.S. index and a loss of 0.7% for an average of 127 international equity funds in the Morningstar database. For the first half of 2006, WIBC returned 11.7% compared to 10.1% for the MSCI benchmark and 8.9% for the Morningstar average. For the last 12 months, WIBC's return of 30.8% also topped the MSCI benchmark (26.9%) and the Morningstar average (26.3%). Markets in Europe were particularly strong in the first and second quarters of 2006, and the WIBC Fund's relative performance was helped by its overweighting in that region. Japan, on the other hand, was one of the world's weaker markets in the first half of 2006. Being overweight in Japan detracted from Fund performance in the first quarter, but in the second, the Fund benefited as its Japanese holdings outperformed that country's overall market. Although technology stocks generally underperformed in the quarter, the Fund's technology holdings contributed positively to performance. The Fund also benefited in both the first and second quarters from its position in material stocks, which were strong in both periods. On the negative side, in the second quarter the Fund's consumer discretionary and industrial holdings lagged their respective sectors. Economic and earnings growth prospects outside of the U.S., especially in Europe and Japan, look promising for the coming 12 months. In addition to improving fundamentals, returns to U.S. investors from international holdings are likely to continue to be boosted by depreciation of the dollar as they were in the first half of the year. WIBC has reduced its position somewhat in the Eurozone markets and Japan, but remains overweight in Eurozone to take advantage of its improving fundamentals. The Fund has increased its exposure in the U.K., but has gone from overweight to underweight in Australia and Hong Kong. By sector, the Fund has taken some profits in the material sector, which has been strong in 2006, and also reduced its exposure to industrials while increasing its weighting in technology, telecom, health care and financials. In consideration of the favorable growth prospects of emerging economies, WIBC has taken positions in companies that export to these areas. Wright continues to emphasize diversity in investment programs and expects a position in international stocks will augment returns in diversified investment portfolios. FIXED-INCOME FUNDS BOND YIELDS ROSE IN THE FIRST AND SECOND QUARTERS OF 2006. IN THE MIDDLE OF THE SECOND QUARTER, AS STOCKS RETREATED AND INVESTORS SHIED AWAY FROM RISK, BONDS RALLIED DUE TO THEIR SAFE HAVEN APPEAL. SOME TOUGH TALK FROM THE FED ON INFLATION ALSO GAVE BONDS A BOOST, BUT ONCE THE STOCK MARKET TURNED MORE POSITIVE, BONDS GAVE BACK THEIR GAINS. THE TREASURY YIELD CURVE STARTED THE YEAR 2006 JUST ABOUT FLAT BETWEEN 2- AND 10-YEAR MATURITIES AND ENDED THE FIRST HALF THE SAME WAY. THE CURVE BETWEEN THOSE MATURITIES SHIFTED HIGHER BY ABOUT 75 BASIS POINTS OVER THE FIRST HALF, WHICH PUT THE YIELD ON THE 10-YEAR T-BOND AT 5.14% AT MID-YEAR. INFLATION TICKED HIGHER IN THE QUARTER. IN WHAT MAY BE AN INDICATION OF GROWING CONFIDENCE IN THE BERNANKE FED, HOWEVER, MORE OF THE RISE IN BOND YIELDS IN Q2 WAS DUE TO HIGHER REAL YIELDS (AS MEASURED BY TIPS [TREASURY INFLATION PROTECTED SECURITIES]) THAN TO HIGHER LONG-TERM INFLATION EXPECTATIONS, UNLIKE IN Q1. BONDS OUTPERFORMED STOCKS IN THE SECOND QUARTER OF 2006, THOUGH THEY ARE STILL LAGGING YEAR TO DATE. FOR THE LEHMAN U.S. AGGREGATE BOND INDEX, COUPON INCOME JUST ABOUT OFFSET PRICE DECLINE IN THE SECOND QUARTER, RESULTING IN A LOSS OF 0.1% FOR THE PERIOD. THIS BROUGHT THE LEHMAN AGGREGATE'S LOSS FOR THE FIRST HALF OF THE YEAR TO 0.7%. IN THE SECOND QUARTER, THE SAME SORT OF RISK AVERSION THAT AFFECTED THE STOCK MARKET ALSO RESULTED IN CORPORATE SPREADS WIDENING; CORPORATE BONDS LOST 0.4% IN THE QUARTER, WITH LOSSES INCREASING AS QUALITY DECLINED. AGENCIES AND ASSET-BACKED SECURITIES DID BETTER THAN THE OVERALL LEHMAN INDEX; MORTGAGES WERE ALSO SLIGHTLY AHEAD, WHILE TREASURIES PERFORMED IN LINE WITH THE AGGREGATE. FOR THE SIX MONTHS, ASSET-BACKED ISSUES WERE THE BEST PLACE TO BE AND CORPORATES WERE THE WORST. IN THE NEAR TERM, HIGHER INFLATION READINGS COULD CAUSE BOND YIELDS TO MOVE HIGHER. IN ADDITION, IT APPEARS LIKELY THAT THE FED WILL RAISE RATES AT LEAST ONE MORE TIME, PROBABLY IN AUGUST, WHICH COULD NUDGE RATES HIGHER AT THE SHORT END OF THE YIELD CURVE. WE BELIEVE, HOWEVER, THAT BEFORE LONG INVESTORS WILL BE ANTICIPATING THE MORE MODEST INFLATION WE EXPECT BY EARLY 2007; THERE COULD EVEN BE SOME ANTICIPATION OF EASING BY THE FED AS ECONOMIC GROWTH SLOWS GOING FORWARD. WE EXPECT ANY RISE IN YIELDS WILL BE SHORT LIVED, ESPECIALLY FOR LONGER MATURITIES, AND A YEAR FROM NOW YIELDS SHOULD BE CLOSE TO WHERE THEY WERE AT MID-YEAR 2006. OUR FORECAST ALSO CALLS FOR A BIT MORE WIDENING OF CORPORATE SPREADS, ALTHOUGH THIS SHOULD BE LIMITED AS THE WORSE FEARS FOR THE ECONOMY BEGIN TO FADE. THE END RESULT SHOULD BE A RETURN OF 5%-6% FOR THE LEHMAN AGGREGATE OVER THE NEXT 12 MONTHS, LESS THAN THE RETURN WE EXPECT FROM EQUITIES BUT WELL AHEAD OF FORECAST INFLATION. WE RECOMMEND DIVERSIFIED INVESTMENT PORTFOLIOS INCLUDING STOCKS AND BONDS AS THE PRUDENT COURSE FOR LONG-TERM INVESTORS IN A RISKY INVESTMENT ENVIRONMENT. 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 1996 Total Return 6 Mos. Year Year Year Year Year Year Year Year Year Year ----------------------------------------------------------------------------------------------------------------------------- Wright U.S. Gov't. Near-Term Bond Fund (WNTB) 0.8% 1.0% 0.4% 0.6% 5.4% 6.8% 6.9% 1.9% 6.0% 5.9% 3.9% Wright Total Return Bond Fund (WTRB) -1.3% 1.5% 3.5% 3.3% 9.0% 5.0% 10.6% -3.9% 9.6% 9.3% 0.9% Wright Current Income Fund (WCIF) -0.6% 1.8% 3.3% 1.7% 7.7% 7.2% 10.3% 0.5% 6.5% 8.6% 4.4%
WRIGHT U.S. GOVERNMENT NEAR TERM FUND The Wright U.S. Government Near-Term Fund (WNTB) is positioned to offer an alternative to money market funds. The Fund may experience some mild price fluctuation, but it typically has less sensitivity to changes in interest rates than longer maturity funds. In the one-to-two-year average maturity range, where the WNTB is positioned, Treasury yields rose 40-45 basis points during the first quarter and another 35-40 in Q2. This rise has limited the WNTB's returns so far this year. For the second quarter of 2006, the Fund returned 0.4%, lagging the 0.7% return of the Lehman 1-3 year government bond index but better than the 0.3% for an average of 54 Morningstar government bond funds with an average maturity between one and three years. For the first half of the year, the Fund returned 0.8%, better than the Morningstar average's 0.4% but behind the Lehman benchmark's 1.1%. Over the last 12 months, the Fund (+1.2%) also lagged the Lehman benchmark (+1.9%) but was ahead of the Morningstar average (+0.7%). WNTB has recently lagged the average money market fund, which returned 1.0% in the second quarter, 2.0% for six months and 3.4% for 12 months. The WNTB Fund had a yield of 3.8% at the end of the second quarter as calculated by SEC guidelines. Dividends paid by this fund may be more or less than implied by this yield. To pick up extra yield, the Fund is overweighting mortgage-backed securities (32% of assets) and agencies (47%) and underweighting Treasurys, which have a lower yield than the other security classes. In the quarter and six months, the WNTB's relative performance was helped by its slightly short duration (about 1.6 years at mid-year) compared with the Lehman benchmark. This positioning reflected our expectation, which has proved to be correct, that further rate hikes from the Fed would keep the short end of the yield curve moving higher. WRIGHT TOTAL RETURN BOND FUND Yields rose in the first half of 2006, resulting in a negative return for the bond market. The Wright Total Return Bond Fund (WTRB), a diversified bond fund, lost 0.4% in the second quarter of 2006. This was slightly behind the Lehman U.S. Aggregate Bond Composite's 0.1% loss and the 0.2% loss for an average of 174 total return bond funds in the Morningstar database. For the first half of 2006, WTRB had a loss of 1.3%, which compared with losses of 0.7% for both the Morningstar average and the Lehman Aggregate. Over the last 12 months, WTRB lost 1.8% compared to losses of 0.8% for the Lehman Aggregate and 1.0% for the Morningstar average. At midyear, WTRB had a yield of 4.4% calculated according to SEC guidelines. Dividends paid by this fund may be more or less than implied by this yield. Early in the second quarter, WTRB's duration was extended to be slightly longer than the Lehman benchmark. This move was made in anticipation of a rally after yields moved higher in March. Near the end of April, the Fund's duration was moved back to a neutral position, reflecting the increased uncertainty in the economic environment and expected volatility in interest rates. With these conditions persisting, the duration was still at neutral as the third quarter got under way. For the second quarter as a whole, the duration positioning detracted slightly from the Fund's performance. Asset class weightings overall contributed positively to performance, particularly the positioning in mortgage securities (including hybrid ARMs) and corporate sectors. This was offset, however, by lagging performance of some individual issues held in the portfolio. With credit spreads expected (correctly) to widen, in the first quarter the Fund's position in corporate bonds was reduced from overweight to about neutral with the benchmark, where it remained during the second quarter (at about 23% of assets). Because of their attractive valuations and income contribution, the Fund was overweight in mortgages (including hybrid ARMs) at midyear (49%) and has positions in asset-backed (2%) securities and commercial mortgages (8%). The Fund remained underweight in Treasuries (11%) and agencies (6%) and also held a small amount of cash. WRIGHT CURRENT INCOME FUND The Wright Current Income Fund (WCIF) is generally managed to be primarily invested in GNMA issues - mortgage-based securities, known as Ginnie Maes, with explicit backing from the Federal government. The WCIF Fund is actively managed to maximize income and minimize principal fluctuation. After outperforming in the first quarter, GNMA's lagged Treasuries and the Lehman Aggregate in the second quarter of 2006. For the second quarter, the WCIF lost 0.3%, slightly less than the Lehman GNMA bond index's loss of 0.4% but a little more than the loss of 0.2% for the average of all 61 government mortgage funds in the Morningstar database. For the six months, WCIF's loss of 0.6% compared with losses of 0.5% for the Lehman benchmark and 0.4% for the Morningstar average. For the last 12 months, WCIF returned 0.1%, ahead of the Morningstar average's slight loss but behind the Lehman benchmark's 0.5% return. At the start of the second quarter, the WCIF Fund had a yield of 4.7% as calculated by SEC guidelines. Dividends paid by this fund may be more or less than implied by this yield. In the first and second quarters, WCIF continued to be overweight in higher-coupon premium issues. This position, which reflected our expectation that the rise in mortgage rates during 2005 had reduced the risk of mortgage prepayments, allowed the Fund to pick up extra income. With interest rates on the rise, the Fund's duration was shortened in the first quarter to be slightly shorter than the Ginnie Mae benchmark's. It remained shorter than the benchmark's at midyear. THE VIEWS EXPRESSED THROUGHOUT THIS REPORT ARE THOSE OF THE PORTFOLIO MANAGERS AND ARE CURRENT ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER. THESE VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED UPON MARKET OR OTHER CONDITIONS, AND THE INVESTMENT ADVISOR DISCLAIMS ANY RESPONSIBILITY TO UPDATE SUCH VIEWS. THESE VIEWS MAY NOT BE RELIED ON AS INVESTMENT ADVICE AND, BECAUSE INVESTMENT DECISIONS FOR A FUND ARE BASED ON MANY FACTORS, MAY NOT BE RELIED ON AS AN INDICATION OF TRADING INTENT ON BEHALF OF ANY OF THE WRIGHT MANAGED INVESTMENT FUNDS. U.S. SECURITIES MARKETS ------------------------------------------------------- The Dow Jones Industrial Average chart shows the point changes in the average which consists of 30 major NYSE industrial companies and is a price-weighted arithmetic average, with the divisor adjusted for stock splits. The yield chart shows the basis point changes in the U.S. Treasury bond which is the benchmark U.S. Treasury bond with a maturity of 10 years. The following plotting points are used for comparison in the mountain charts. Date Dow Jones U.S. 10 Year Industrial Average Treasury Bond Yield 12/31/96 6448.27 6.43% 12/31/97 7908.25 5.75% 12/31/98 9181.43 4.65% 12/31/99 11,497.12 6.44% 12/31/00 10,786.85 5.11% 12/31/01 10,021.50 5.00% 12/31/02 8,341.63 3.82% 12/31/03 10,453.92 4.25% 12/31/04 10,783.01 4.22% 12/31/05 10,717.50 4.39% 06/30/06 11,150.22 5.14% FUND EXPENSES ------------------------------------------------------------------------------- EXAMPLE: As a shareholder of a fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs including management fees; distribution or service fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2006-June 30, 2006). ACTUAL EXPENSES: The first line of the tables shown on the following page 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 Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES: The second line of the tables provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual return of the Fund. 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 your Fund 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. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if payable). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. WRIGHT SELECTED BLUE CHIP EQUITIES FUND Expenses Paid Beginning Ending During Period* Account Value Account Value (1/1/06- (1/1/06) (6/30/06) 6/30/06) ------------------------------------------------------------------------------- Actual Fund Shares $1,000.00 $1,019.20 $6.26 ------------------------------------------------------------------------------- Hypothetical (5% return per year before expenses) Fund Shares $1,000.00 $1,018.60 $6.26 *Expenses are equal to the Fund's annualized expense ratio of 1.25% multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2005. WRIGHT MAJOR BLUE CHIP EQUITIES FUND Expenses Paid Beginning Ending During Period* Account Value Account Value (1/1/06- (1/1/06) (6/30/06) 6/30/06) ------------------------------------------------------------------------------- Actual Fund Shares $1,000.00 $1,016.50 $6.25 ------------------------------------------------------------------------------- Hypothetical (5% return per year before expenses) Fund Shares $1,000.00 $1,018.60 $6.26 *Expenses are equal to the Fund's annualized expense ratio of 1.25% multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2005. WRIGHT INTERNATIONAL BLUE CHIP EQUITIES FUND Expenses Paid Beginning Ending During Period* Account Value Account Value (1/1/06- (1/1/06) (6/30/06) 6/30/06) ------------------------------------------------------------------------------- Actual Fund Shares $1,000.00 $1,117.20 $7.30 ------------------------------------------------------------------------------- Hypothetical (5% return per year before expenses) Fund Shares $1,000.00 $1,017.90 $6.95 *Expenses are equal to the Fund's annualized expense ratio of 1.39% multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2005. WRIGHT U.S. GOVERNMENT NEAR TERM FUND Expenses Paid Beginning Ending During Period* Account Value Account Value (1/1/06- (1/1/06) (6/30/06) 6/30/06) ------------------------------------------------------------------------------- Actual Fund Shares $1,000.00 $1,008.40 $4.66 ------------------------------------------------------------------------------- Hypothetical (5% return per year before expenses) Fund Shares $1,000.00 $1,020.60 $4.69 *Expenses are equal to the Fund's annualized expense ratio of 0.95% multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2005. WRIGHT TOTAL RETURN BOND FUND Expenses Paid Beginning Ending During Period* Account Value Account Value (1/1/06- (1/1/06) (6/30/06) 6/30/06) ------------------------------------------------------------------------------- Actual Fund Shares $1,000.00 $ 987.30 $4.68 ------------------------------------------------------------------------------- Hypothetical (5% return per year before expenses) Fund Shares $1,000.00 $1,020.10 $4.76 *Expenses are equal to the Fund's annualized expense ratio of 0.95% multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2005. WRIGHT CURRENT INCOME FUND Expenses Paid Beginning Ending During Period* Account Value Account Value (1/1/06- (1/1/06) (6/30/06) 6/30/06) ------------------------------------------------------------------------------- Actual Fund Shares $1,000.00 $ 994.10 $4.55 ------------------------------------------------------------------------------- Hypothetical (5% return per year before expenses) Fund Shares $1,000.00 $1,020.20 $4.61 *Expenses are equal to the Fund's annualized expense ratio of 0.95% multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2005. WRIGHT SELECTED BLUE CHIP EQUITIES FUND (WSBC) ------------------------------------------------------------------------------ PORTFOLIO OF INVESTMENTS - JUNE 30, 2006 (unaudited) Shares Value EQUITY INTERESTS --100.3% AUTOMOBILES & COMPONENTS -- 2.6% ArvinMeritor, Inc................... 13,825 $ 237,652 BorgWarner, Inc..................... 10,255 667,600 Thor Industries, Inc................ 6,195 300,148 ------------ $ 1,205,400 ------------ BANKS -- 4.4% Associated Banc-Corp................ 6,715 $ 211,724 Astoria Financial Corp.............. 16,952 516,188 City National Corp.................. 4,020 261,662 Colonial Bancgroup, Inc............. 12,095 310,600 Cullen/Frost Bankers, Inc........... 1,605 91,966 Webster Financial Corp.............. 6,435 305,276 Wilmington Trust Corp............... 7,425 313,186 ------------ $ 2,010,602 ------------ CAPITAL GOODS -- 6.5% Alliant Techsystems, Inc.* ......... 6,035 $ 460,772 Graco, Inc.......................... 3,172 145,849 Precision Castparts Corp............ 13,940 833,054 SPX Corp............................ 10,465 585,517 Teleflex, Inc....................... 5,155 278,473 Thomas & Betts Corp.* .............. 12,620 647,406 ------------ $ 2,951,071 ------------ CHEMICALS -- 1.4% Lyondell Chemical Co................ 16,555 $ 375,136 Scotts Miracle-Gro Co., Class A..... 6,300 266,616 ------------ $ 641,752 ------------ COMMERCIAL SERVICES & SUPPLIES -- 6.9% Career Education Corp.* ............ 5,630 $ 168,281 Ceridian Corp.* .................... 5,840 142,730 ITT Educational Services, Inc.* .... 2,970 195,456 Jacobs Engineering Group, Inc.* .... 10,390 827,460 Manpower, Inc....................... 9,945 642,447 MPS Group, Inc.* ................... 18,120 272,887 Pharmaceutical Product Development, Inc................... 12,665 444,795 Plexus Corp.* ...................... 3,375 115,459 Republic Services, Inc. - Class A... 8,505 343,092 ------------ $ 3,152,607 ------------ COMMUNICATIONS EQUIPMENT -- 0.9% Harris Corp......................... 7,950 $ 330,004 Powerwave Technologies, Inc.* ...... 6,450 58,824 ------------ $ 388,828 ------------ COMPUTERS & PERIPHERALS -- 2.4% CSG Systems International, Inc.* ... 7,305 $ 180,726 Imation Corp........................ 8,325 341,741 Palm, Inc.* ........................ 7,895 127,109 Western Digital Corp.* ............. 22,765 450,975 ------------ $ 1,100,551 ------------ CONSUMER DURABLES & APPAREL -- 1.4% Mohawk Industries, Inc.* ........... 6,395 $ 449,888 Toll Brothers, Inc.* ............... 6,985 178,606 ------------ $ 628,494 ------------ DIVERSIFIED FINANCIALS -- 4.3% AmeriCredit Corp.* ................. 17,070 $ 476,594 Edwards, A.G., Inc.................. 7,115 393,602 Jefferies Group, Inc................ 17,410 515,858 Raymond James Financial, Inc........ 18,547 561,418 ------------ $ 1,947,472 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS-- 5.9% Ametek, Inc......................... 9,745 $ 461,718 Arrow Electronics, Inc.* ........... 15,340 493,948 Avnet, Inc.* ....................... 11,025 220,720 CommScope, Inc.* ................... 2,100 65,982 Energizer Holdings, Inc.* .......... 4,565 267,372 Lincoln Electric Holdings, Inc...... 5,250 328,912 MEMC Electronic Materials, Inc.* ... 22,595 847,312 ----------- $ 2,685,964 ------------ ENERGY -- 8.8% ENSCO International, Inc............ 5,660 $ 260,473 Newfield Exploration Company* ...... 17,940 877,984 Noble Energy, Inc................... 12,080 566,069 Patterson-UTI Energy, Inc........... 13,775 389,970 Peabody Energy Corp................. 17,790 991,792 Pogo Producing Co................... 10,555 486,586 Western Gas Resources, Inc.......... 7,065 422,840 ------------ $ 3,995,714 ------------ FOOD, BEVERAGE & TOBACCO -- 2.1% Hormel Foods Corp................... 6,330 $ 235,096 PepsiAmericas, Inc.................. 10,255 226,738 Smithfield Foods, Inc.* ............ 16,500 475,695 ------------ $ 937,529 ------------ HEALTH CARE EQUIPMENT & SERVICES-- 4.7% Community Health Systems, Inc.* .... 3,620 $ 133,035 Covance, Inc.* ..................... 4,850 296,917 DENTSPLY International, Inc......... 3,130 189,678 Health Net, Inc.* .................. 13,355 603,245 LifePoint Hospitals, Inc.* ......... 8,705 279,692 Lincare Holdings, Inc.* ............ 7,370 278,881 Triad Hospitals, Inc.* ............. 9,435 373,437 ------------ $ 2,154,885 ------------ HEAVY MACHINERY -- 0.7% Joy Global, Inc..................... 6,040 $ 314,624 ------------ HOME CONSTRUCTION, FURNISHINGS & APPLIANCES -- 0.4% Beazer Homes USA, Inc............... 3,695 $ 169,490 ------------ HOTELS, RESTAURANTS & LEISURE -- 0.5% Ruby Tuesday, Inc................... 8,705 $ 212,489 ------------ INSURANCE -- 8.2% AmerUs Group Co..................... 2,435 $ 142,569 First American Corp................. 15,755 665,964 HCC Insurance Holdings, Inc......... 9,610 282,918 Ohio Casualty Corp.................. 7,415 220,448 Old Republic International Corp..... 9,698 207,246 PMI Group Inc., (The)............... 5,520 246,082 Protective Life Corp................ 7,990 372,494 Radian Group, Inc................... 9,040 558,491 Stancorp Financial Group............ 6,255 318,442 W.R. Berkley Corp................... 21,482 733,181 ------------ $ 3,747,835 ------------ MATERIALS -- 4.4% Airgas, Inc......................... 3,740 $ 139,315 Crane Co............................ 6,600 274,560 FMC Corp............................ 7,365 474,232 Grant Prideco, Inc.* ............... 8,690 388,878 Martin Marietta Materials, Inc...... 2,175 198,251 RPM International, Inc.............. 6,235 112,230 Steel Dynamics, Inc................. 1,530 100,582 Timken Co., (The)................... 9,865 330,576 ------------ $ 2,018,624 ------------ MEDICAL SUPPLIES -- 1.8% Intuitive Surgical, Inc.*........... 5,215 $ 615,214 ResMed, Inc.* ...................... 4,000 187,800 ------------ $ 803,014 ------------ OIL & GAS -- 3.2% AGL Resources, Inc.................. 9,605 $ 366,143 Helmerich & Payne, Inc.............. 3,790 228,385 Pioneer Natural Resources Co........ 6,730 312,339 Smith International, Inc............ 3,785 168,319 Southwestern Energy Co.* ........... 9,360 291,658 Tidewater, Inc...................... 2,295 112,914 ------------ $ 1,479,758 ------------ PHARMACEUTICALS & BIOTECHNOLOGY -- 1.3% Omnicare, Inc....................... 12,405 $ 588,245 ------------ REAL ESTATE -- 2.1% New Plan Excel Realty Trust REIT.... 39,570 $ 976,983 ------------ RETAILING -- 8.1% Abercrombie & Fitch Co. - Class A... 8,805 $ 488,061 American Eagle Outfitters........... 16,800 571,872 AnnTaylor Stores Corp.* ............ 5,325 230,999 Barnes & Noble, Inc................. 4,610 168,265 Callaway Golf Co.................... 6,945 90,216 CDW Corp............................ 4,315 235,815 Chico's FAS, Inc.* ................. 7,335 197,898 Claire's Stores, Inc................ 16,595 423,338 GameStop Corp. - Class A* .......... 8,015 336,630 Michaels Stores, Inc................ 5,330 219,809 MSC Industrial Direct Co. Inc. - Class A..................... 6,340 301,594 O'Reilly Automotive, Inc.* ......... 8,615 268,702 Payless ShoeSource, Inc.* .......... 5,395 146,582 ------------ $ 3,679,781 ------------ SEMICONDUCTOR EQUIPMENT & PRODUCTS-- 1.5% Intersil Corp. - Class A............ 8,090 $ 188,093 Lam Research Corp.* ................ 6,665 310,722 Microchip Technology, Inc........... 5,140 172,447 ------------ $ 671,262 ------------ SOFTWARE & SERVICES -- 3.3% Cognizant Technology Solutions Corp.* 6,745 $ 454,411 Fair Isaac, Inc..................... 7,960 289,028 McAfee, Inc.* ...................... 13,150 319,151 Sybase, Inc.* ...................... 16,280 315,832 Transaction Systems Architects, Inc.* 3,425 142,788 ------------ $ 1,521,210 ------------ TELECOMMUNICATION SERVICES -- 0.8% ADTRAN, Inc......................... 10,910 $ 244,711 Cincinnati Bell, Inc.* ............. 25,125 103,013 ------------ $ 347,724 ------------ TEXTILES, CLOTHING & FABRICS -- 1.0% Polo Ralph Lauren Corp.............. 8,140 $ 446,886 ------------ TRANSPORTATION -- 3.9% Con-way, Inc........................ 5,155 $ 298,629 Hunt, J.B. Transport Services, Inc.. 31,605 787,281 Swift Transportation Co., Inc.* .... 7,135 226,608 Trinity Industries, Inc............. 5,185 209,474 YRC Worldwide, Inc.* ............... 6,515 274,347 ------------ $ 1,796,339 ------------ UTILITIES -- 6.8% Black Hills Corp.................... 12,670 $ 434,961 Energy East Corp.................... 9,665 231,283 Equitable Resources, Inc............ 3,820 127,970 MDU Resources Group, Inc............ 19,332 707,745 Questar Corp........................ 12,450 1,002,101 Sierra Pacific Resources* .......... 20,025 280,350 Wisconsin Energy Corp............... 7,390 297,817 ------------ $ 3,082,227 ------------ TOTAL EQUITY INTERESTS-- 100.3% (identified cost, $37,518,692) $ 45,657,360 OTHER ASSETS, LESS LIABILITIES -- (0.3%) (153,053) ------------ NET ASSETS -- 100% $45,504,307 ============ * Non-income-producing security. See notes to financial statements WRIGHT SELECTED BLUE CHIP EQUITIES FUND (WSBC) ------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES June 30, 2006 (unaudited) ------------------------------------------------------------------------------- ASSETS: Investments, at value (identified cost $37,518,692) (Note 1A). $ 45,657,360 Cash.................................... 855 Receivable for fund shares sold......... 56,960 Dividends receivable.................... 43,077 Other assets............................ 15,085 ------------ Total assets............................ $ 45,773,337 ------------ LIABILITIES: Payable for fund shares reacquired...... $ 10,639 Demand note payable..................... 224,000 Payable to affiliate for Trustees' fees. 45 Transfer agent fee payable.............. 5,465 Accrued expenses and other liabilities.. 28,881 ------------ Total liabilities....................... $ 269,030 ------------ NET ASSETS................................ $ 45,504,307 ============ NET ASSETS CONSIST OF: Proceeds from sales of shares (including the market value of securities received in exchange for fund shares and shares issued to shareholders in payment of distributions declared), less cost of shares reacquired................... $ 34,396,484 Accumulated undistributed net realized gain on investments (computed on the basis of identified cost)....................... 2,123,486 Unrealized appreciation on investments (computed on the basis of identified cost) 8,138,668 Undistributed net investment income..... 845,669 ------------ Net assets applicable to outstanding shares.................... $ 45,504,307 ============ SHARES OF BENEFICIAL INTEREST OUTSTANDING............................ 3,612,180 ============ NET ASSET VALUE, OFFERING PRICE, AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST................. $ 12.60 ============ See notes to financial statements STATEMENT OF OPERATIONS Six Months Ended June 30, 2006 (unaudited) ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1C): Dividend income......................... $ 222,024 Expenses - Investment adviser fee (Note 2):........ $ 144,291 Administrator fee (Note 2):............. 28,858 Compensation of Trustees who are not employees of the investment adviser or administrator 6,543 Custodian fee (Note 1D)................. 29,919 Distribution expenses (Note 3):......... 60,121 Transfer and dividend disbursing agent fees 16,639 Printing................................ 2,896 Interest expense........................ 1,963 Shareholder communications.............. 6,990 Audit services.......................... 12,942 Legal services.......................... 3,349 Registration costs...................... 12,575 Miscellaneous .......................... 3,172 ------------ Total expenses.......................... $ 330,258 ------------ Deduct - Reduction of custodian fee (Note 1D):... $ (2,809) Reduction of distribution expenses by principal underwriter (Note 3):..... (26,665) ------------ Total deductions........................ $ (29,474) ------------ Net expenses............................ $ 300,784 ------------ Net investment loss..................... $ (78,760) ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on investment transactions (identified cost basis)................ $ 2,197,553 Change in unrealized depreciation of investments............................ (1,273,860) ------------ Net realized and unrealized gain of investments......................... $ 923,693 ------------ Net increase in net assets from operations $ 844,933 ============ See notes to financial statements WRIGHT SELECTED BLUE CHIP EQUITIES FUND (WSBC) ------------------------------------------------------------------------------- Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2006 December 31, 2005 ---------------------------------------------------------------------------------------------------------------------------------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: From operations - Net investment loss........................................................ $ (78,760) $ (87,194) Net realized gain on investments........................................... 2,197,553 6,417,438 Change in unrealized depreciation of investments........................... (1,273,860) (1,416,439) -------------- -------------- Net increase in net assets resulting from operations..................... $ 844,933 $ 4,913,805 -------------- -------------- Distributions to shareholders (Note 1F) - From net realized gain..................................................... $ (2,514,840) $ (5,390,227) -------------- -------------- Total distributions...................................................... $ (2,514,840) $ (5,390,227) -------------- -------------- Net increase (decrease) in net assets from fund share transactions (Note 4).. $ (477,410) $ 4,630,188 -------------- -------------- Net increase (decrease) in net assets........................................ $ (2,147,317) $ 4,153,766 NET ASSETS: At beginning of period....................................................... 47,651,624 43,497,858 -------------- -------------- At end of period............................................................. $ 45,504,307 $ 47,651,624 ============== ============== UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF PERIOD................................................................ $ 845,669 $ 924,429 ============== ============== See notes to financial statements
WRIGHT SELECTED BLUE CHIP EQUITIES FUND (WSBC) ------------------------------------------------------------------------------- Six Months Ended Year Ended December 31, FINANCIAL HIGHLIGHTS June 30, 2006 2005 2004 2003(6) 2002(6) 2001(6) --------------------------------------------------------------------------------------------------------------------------------- (unaudited) Net asset value, beginning of period........ $ 13.030 $ 13.226 $ 11.870 $ 9.270 $ 11.580 $ 13.430 --------- --------- --------- --------- --------- --------- INCOME (LOSS) FROM INVESTMENT OPERATIONs: Net investment loss(1) ................ $ (0.021) $ (0.053) $ (0.028) $ (0.023) $ (0.046) $ (0.045) Net realized and unrealized gain (loss) 0.278 1.476 1.884 2.756 (1.831) (1.322) --------- --------- --------- --------- --------- --------- Total income (loss) from investment operations......... $ 0.257 $ 1.423 $ 1.856 $ 2.733 $ (1.877) $ (1.367) --------- --------- --------- --------- --------- --------- LESS DISTRIBUTIONS: Distributions from capital gains....... $ (0.687) $ (1.619) $ (0.500) $ (0.133) $ (0.433) $ (0.483) --------- --------- --------- --------- --------- --------- Total distributions................ $ (0.687) $ (1.619) $ (0.500) $ (0.133) $ (0.433) $ (0.483) --------- --------- --------- --------- --------- --------- Net asset value, end of period.............. $ 12.600 $ 13.030 $ 13.226 $ 11.870 $ 9.270 $ 11.580 ========= ========= ========= ========= ========= ========= TOTAL RETURN(2) ............................ 1.92% 11.09% 15.73% 30.06% (16.98%) (10.15%) RATIOS/SUPPLEMENTAL DATA(1): Net assets, end of period (000 omitted) $ 45,504 $ 47,652 $ 43,498 $ 38,190 $ 32,817 $ 45,883 Ratio of net expenses to average net assets 1.26%(8) 1.27% 1.26% 1.25% 1.26%(3) 1.26%(3) Ratio of net expenses after custodian fee reduction to average net assets(5)(7) 1.25%(8) 1.25% 1.25% 1.25% 1.25%(3) 1.25%(3) Ratio of net investment (loss) to average net assets.......................... (0.33%)(8) (0.18%) (0.23%) (0.23%) (0.44%) (0.38%) Portfolio turnover rate .............. 32% 110% 69% 106% 119%(4) 67%(4) ---------------------------------------------------------------------------------------------------------------------------------- (1)For the six months ended June 30, 2006 and for the years ended December 31, 2005, 2004, 2003, 2002, and 2001, the operating expenses of the fund were reduced by an allocation of expenses to the distributor and/or investment adviser. Had such action not been undertaken, net investment loss per share and the ratios would have been as follows: 2006 2005 2004 2003 2002 2001 ---------------------------------------------------------------------- Net investment loss per share.......... $ (0.028) $ (0.111) $ (0.050) $ (0.057) $ (0.064) $ (0.057) ========= ========= ========= ========= ========= ========= Ratios (As a percentage of average net assets): Expenses........................... 1.37%(8) 1.45% 1.44% 1.59% 1.43%(3) 1.37%(3) ========= ========= ========= ========= ========= ========= Expenses after custodian fee reduction(5) 1.36%(8) 1.43% 1.43% 1.59% 1.42%(3) 1.36%(3) ========= ========= ========= ========= ========= ========= Net investment loss................ (0.44%)(8) (0.38%) (0.41%) (0.57%) (0.61%) (0.49%) ========= ========= ========= ========= ========= ========= --------------------------------------------------------------------------------------------------------------------------------- (2)Total return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be invested at the net asset value on the reinvestment date. (3)Includes each fund's share of its corresponding portfolio's allocated expenses (Note 1). (4)Represents portfolio turnover rate of the fund's corresponding portfolio (Note 1). (5)Custodian fees were reduced by credits resulting from cash balances the fund and/or the portfolio maintained with the custodian (Note 1D). The computation of net expenses to average daily net assets reported above is computed without consideration of such credits. (6)Certain per share amounts are based on average shares outstanding. (7)Under a written agreement in effect through the current fiscal year, Wright waives a portion of its advisory fee and/or distribution fees and assumes operating expenses to the extent necessary to limit expense ratios to 1.25% after custodian fee reductions, if any. (8) Annualized. See notes to financial statements
WRIGHT MAJOR BLUE CHIP EQUITIES FUND (WMBC) ------------------------------------------------------------------------------- PORTFOLIO OF INVESTMENTS - JUNE 30, 2006 (unaudited) Shares Value EQUITY INTERESTS -- 99.2% AUTOMOBILES & COMPONENTS -- 2.7% Johnson Controls, Inc............... 5,285 $ 434,533 Paccar, Inc......................... 15,315 1,261,650 ------------ $ 1,696,183 ------------ BANKS -- 9.3% Bank of America Corp................ 63,260 $ 3,042,806 Capital One Financial Corp.......... 11,790 1,007,455 Golden West Financial Corp.......... 3,645 270,459 SunTrust Banks, Inc................. 2,735 208,571 Wells Fargo & Co.................... 18,495 1,240,645 ------------ $ 5,769,936 ------------ CAPITAL GOODS -- 1.1% Cummins, Inc........................ 3,865 $ 472,496 Illinois Tool Works, Inc............ 4,240 201,400 ------------ $ 673,896 ------------ CHEMICALS -- 0.2% Air Products & Chemicals, Inc....... 1,860 $ 118,891 ------------ COMMERCIAL SERVICES & SUPPLIES -- 3.2% First Data Corp..................... 4,390 $ 197,726 Fisher Scientific International,Inc.* 1,310 95,695 Fluor Corp.......................... 1,095 101,758 Robert Half International, Inc...... 3,310 139,020 Tyco International, Ltd............. 14,475 398,062 United Technologies Corp............ 8,405 533,045 Waste Management, Inc............... 14,795 530,845 ------------ $ 1,996,151 ------------ COMMUNICATIONS EQUIPMENT -- 1.8% Cisco Systems, Inc.* ............... 19,405 $ 378,980 Motorola, Inc....................... 25,125 506,269 QUALCOMM, Inc....................... 3,535 141,647 Tellabs, Inc.* ..................... 7,420 98,760 ------------ $ 1,125,656 ------------ COMPUTERS & PERIPHERALS -- 4.9% Apple Computer, Inc.* .............. 4,545 $ 259,610 Computer Sciences Corp.* ........... 5,915 286,523 Dell, Inc.* ........................ 10,680 260,699 Hewlett-Packard Co.................. 67,005 2,122,718 Network Appliance, Inc.* ........... 4,055 143,141 ------------ $ 3,072,691 ------------ COSMETICS & PERSONAL CARE -- 0.4% Colgate-Palmolive Co................ 4,090 $ 244,991 ------------ DIVERSIFIED FINANCIALS -- 10.8% American Express Co................. 6,740 $ 358,703 Bear Stearns Cos., Inc. (The)....... 1,815 254,245 Citigroup, Inc...................... 53,109 2,561,978 Franklin Resources, Inc............. 3,330 289,077 Goldman Sachs Group, Inc., (The).... 9,565 1,438,863 JPMorgan Chase & Co................. 8,965 376,530 Lehman Brothers Holdings, Inc....... 15,505 1,010,151 Merrill Lynch & Co., Inc............ 6,190 430,576 ------------ $ 6,720,123 ------------ ELECTRONIC EQUIP. & INSTRUMENTS-- 1.1% Agilent Technologies, Inc.* ........ 11,910 $ 375,880 Nvidia Corp.* ...................... 14,750 314,027 ------------ $ 689,907 ------------ ENERGY -- 11.6% Apache Corp......................... 2,918 $ 199,153 ChevronTexaco Corp.................. 21,945 1,361,907 ConocoPhillips Co................... 16,830 1,102,870 EOG Resources, Inc.................. 3,835 265,919 Exxon Mobil Corp.................... 41,875 2,569,031 Hess Corp........................... 2,750 145,337 Kerr-McGee Corp..................... 1,290 89,461 Occidental Petroleum Corp........... 5,670 581,458 Valero Energy Corp.................. 8,030 534,156 Weatherford International, Ltd.* ... 6,990 346,844 ------------ $ 7,196,136 ------------ ENTERTAINMENT & LEISURE -- 1.1% CBS Corp. - Class B................. 10,475 $ 283,349 Time Warner, Inc.................... 23,030 398,419 ------------ $ 681,768 ------------ FOOD & DRUG RETAILING -- 0.3% Starbucks Corp.* ................... 4,755 $ 179,549 ------------ FOOD, BEVERAGE & TOBACCO -- 5.3% Altria Group, Inc................... 16,025 $ 1,176,716 Archer-Daniels-Midland Co........... 36,700 1,514,976 Brown-Forman Corp. - Class B........ 530 37,996 Kellogg Co.......................... 3,945 191,056 PepsiCo, Inc........................ 6,590 395,664 ------------ $ 3,316,408 ------------ HEALTH CARE EQUIPMENT & SERVICES-- 6.4% AmerisourceBergen Corp.............. 5,950 $ 249,424 Express Scripts, Inc.* ............. 6,880 493,571 Humana, Inc.* ...................... 8,450 453,765 Laboratory Corp. of America Holdings* 4,465 277,857 Manor Care, Inc..................... 6,715 315,068 McKesson Corp....................... 5,985 282,971 Quest Diagnostics, Inc.............. 2,865 171,671 UnitedHealth Group, Inc............. 16,246 727,496 Wellpoint, Inc.* ................... 13,950 1,015,141 ------------ $ 3,986,964 ------------ HEAVY MACHINERY -- 3.9% Black & Decker Corp................. 3,725 $ 314,614 Caterpillar, Inc.................... 22,020 1,640,050 Ingersoll-Rand Co. - Class A........ 11,505 492,184 ------------ $ 2,446,848 ------------ HOME CONSTRUCTION, FURNISHINGS & APPLIANCES -- 0.4% Whirlpool Corp...................... 3,110 $ 257,042 ------------ HOTELS, RESTAURANTS & LEISURE -- 0.2% Darden Restaurants, Inc............. 2,960 $ 116,624 ------------ INSURANCE -- 5.4% AFLAC, Inc.......................... 7,985 $ 370,105 AMBAC Financial Group, Inc.......... 6,950 563,645 Chubb Corp.......................... 4,690 234,031 Cincinnati Financial Corp........... 4,320 203,083 Hartford Financial Services Group, Inc......................... 2,140 181,044 MetLife, Inc........................ 7,590 388,684 Progressive Corp.................... 47,110 1,211,198 Torchmark Corp...................... 3,975 241,362 ------------ $ 3,393,152 ------------ MATERIALS -- 1.1% Ball Corp........................... 2,595 $ 96,119 Nucor Corp.......................... 8,710 472,518 Sigma-Aldrich Corp.................. 1,625 118,040 ------------ $ 686,677 ------------ MEDICAL SUPPLIES -- 0.7% Danaher Corp........................ 5,200 $ 334,464 Patterson Cos, Inc.* ............... 2,120 74,052 ------------ $ 408,516 ------------ METALS -- 0.4% Allegheny Technologies, Inc......... 1,955 $ 135,364 Phelps Dodge Corp................... 1,245 102,289 ------------ $ 237,653 ------------ PHARMACEUTICALS & BIOTECHNOLOGY-- 8.0% Abbott Laboratories................. 5,605 $ 244,434 Amgen, Inc.* ....................... 9,105 593,919 Applera Corp.-Applied Biosystems Group.............................. 14,905 482,177 Barr Laboratories, Inc.* ........... 6,360 303,308 Bristol-Myers Squibb Co............. 13,470 348,334 Eli Lilly & Co...................... 5,220 288,509 Gilead Sciences, Inc.* ............. 8,325 492,507 Johnson & Johnson, Inc.............. 10,035 601,297 King Pharmaceuticals, Inc.* ........ 14,740 250,580 Merck & Co., Inc.................... 8,815 321,130 Pfizer, Inc......................... 44,230 1,038,078 ------------ $ 4,964,273 ------------ REAL ESTATE -- 0.5% Archstone-Smith Trust REIT.......... 2,495 $ 126,921 Equity Office Properties Trust REIT. 5,165 188,574 ------------ $ 315,495 ------------ RETAILING -- 5.8% Best Buy Co., Inc................... 5,300 $ 290,652 Costco Wholesale Corp............... 3,025 172,818 CVS Corp............................ 8,400 257,880 Federated Department Stores, Inc.... 2,190 80,154 Home Depot, Inc..................... 31,200 1,116,648 J.C. Penney Co., Inc................ 5,625 379,744 Limited Brands, Inc................. 3,880 99,289 Lowe's Cos., Inc.................... 4,810 291,823 Nordstrom, Inc...................... 8,550 312,075 Office Depot, Inc.* ................ 12,320 468,160 Staples, Inc........................ 6,195 150,662 ------------ $ 3,619,905 ------------ SEMICONDUCTOR EQUIPMENT & PRODUCTS-- 2.3% Intel Corp.......................... 33,155 $ 628,287 LSI Logic Corp* .................... 20,310 181,775 Texas Instruments, Inc.............. 19,895 602,620 ------------ $ 1,412,682 ------------ SOFTWARE & SERVICES -- 1.0% International Game Technology....... 8,605 $ 326,474 Oracle Corp.* ...................... 20,385 295,379 ------------ $ 621,853 ------------ TELECOMMUNICATION SERVICES -- 3.6% Alltel Corp......................... 5,020 $ 320,427 AT&T, Inc........................... 52,000 1,450,280 Corning, Inc.* ..................... 20,585 497,951 ------------ $ 2,268,658 ------------ TRANSPORTATION -- 3.3% Burlington Northern Santa Fe Corp... 6,120 $ 485,010 CSX Corp............................ 2,880 202,867 FedEx Corp.......................... 5,045 589,559 Norfolk Southern Corp............... 8,990 478,448 United Parcel Service, Inc. - Class B 4,035 332,202 ------------ $ 2,088,086 ------------ UTILITIES -- 2.4% Duke Energy Corp.................... 5,345 $ 156,983 Exelon Corp......................... 18,781 1,067,324 FirstEnergy Corp.................... 2,230 120,888 Sempra Energy....................... 3,515 159,862 ------------ $ 1,505,057 ------------ TOTAL EQUITY INTERESTS-- 99.2% (identified cost, $54,187,022).... $61,811,771 OTHER ASSETS, LESS LIABILITIES -- 0.8% 480,810 ------------ NET ASSETS -- 100% $62,292,581 ============ * Non-income-producing security. See notes to financial statements WRIGHT MAJOR BLUE CHIP EQUITIES FUND (WMBC) ------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES June 30, 2006 (unaudited) ------------------------------------------------------------------------------- ASSETS: Investments, at value (identified cost $54,187,022) (Note 1A). $ 61,811,771 Cash.................................... 108,742 Receivable for investments sold......... 5,289,689 Receivable for fund shares sold......... 86,160 Receivable from investment adviser...... 8,852 Dividends receivable.................... 54,992 Prepaid expenses........................ 15,394 ------------ Total assets............................ $ 67,375,600 ------------ LIABILITIES: Payable for investments purchased....... $ 3,015,315 Payable for fund shares reacquired...... 2,036,858 Transfer agent fee...................... 5,643 Accrued expenses and other liabilities.. 25,203 ------------ Total liabilities....................... $ 5,083,019 ------------ NET ASSETS................................ $ 62,292,581 ============ NET ASSETS CONSIST OF: Proceeds from sales of shares (including the market value of securities received in exchange for fund shares and shares issued to shareholders in payment of distributions declared), less cost of shares reacquired................... $ 77,913,729 Accumulated undistributed net realized loss on investments (computed on the basis of identified cost).................... (23,059,647) Unrealized appreciation on investments (computed on the basis of identified cost) 7,624,749 Distributions in excess of net investment income...................... (186,250) ------------ Net assets applicable to outstanding shares $ 62,292,581 ============ SHARES OF BENEFICIAL INTEREST OUTSTANDING............................ 4,938,263 ============ NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST................. $ 12.61 ============ See notes to financial statements STATEMENT OF OPERATIONS Six Months Ended June 30, 2006 (unaudited) ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1C): Dividend income......................... $ 502,586 ------------ Expenses - Investment adviser fee (Note 2):........ $ 202,296 Administrator fee (Note 2):............. 40,459 Compensation of Trustees not employees of the investment adviser or administrator.... 6,543 Custodian fee (Note 1D):................ 43,827 Distribution expenses (Note 3):......... 84,290 Transfer and dividend disbursing agent fees 13,723 Printing................................ 1,181 Interest expense........................ 2,490 Shareholder communications.............. 3,253 Audit services.......................... 13,471 Legal services.......................... 3,626 Registration costs...................... 16,158 Miscellaneous .......................... 4,009 ------------ Total expenses.......................... $ 435,326 ------------ Deduct - Reduction of custodian fee (Note 1D):... $ (5,273) Allocation of expenses to the investment adviser (Note 2):........... (8,852) ------------ Total deductions........................ $ (14,125) ------------ Net expenses............................ $ 421,201 ------------ Net investment income................... $ 81,385 ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on investment transactions (identified cost basis)................ $ 7,367,653 Change in unrealized appreciation of investments............................ (6,381,449) ------------ Net realized and unrealized gain of investments............................ $ 986,204 ------------ Net increase in net assets from operations $ 1,067,589 ============ See notes to financial statements WRIGHT MAJOR BLUE CHIP EQUITIES FUND (WMBC) ------------------------------------------------------------------------------- Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2006 December 31, 2005 --------------------------------------------------------------------------------------------------------------------------------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: From operations - Net investment income ..................................................... $ 81,385 $ 431,620 Net realized gain on investments........................................... 7,367,653 3,605,530 Change in unrealized appreciation (depreciation) on investments............ (6,381,449) 59,679 -------------- -------------- Net increase in net assets resulting from operations..................... $ 1,067,589 $ 4,096,829 -------------- -------------- Distributions to shareholders - From net investment income................................................. $ (79,695) $ (485,388) -------------- -------------- Total distributions...................................................... $ (79,695) $ (485,388) -------------- -------------- Net decrease in net assets from fund share transactions (Note 4)............. $ (5,436,897) $ (2,372,715) -------------- -------------- Net increase (decrease) in net assets........................................ $ (4,449,003) $ 1,238,726 NET ASSETS: At beginning of period....................................................... 66,741,584 65,502,858 -------------- -------------- At end of period............................................................. $ 62,292,581 $ 66,741,584 -------------- -------------- DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF PERIOD............................................................. $ (186,250) $ (187,940) ============== ============== See notes to financial statements
WRIGHT MAJOR BLUE CHIP EQUITIES FUND (WMBC) ------------------------------------------------------------------------------- Six Months Ended Year Ended December 31, FINANCIAL HIGHLIGHTS June 30, 2006(4) 2005 2004 2003(4) 2002(4) 2001(4) ------------------------------------------------------------------------------------------------------------------------------ (unaudited) Net asset value, beginning of period........ $ 12.420 $ 11.780 $ 10.530 $ 8.570 $ 11.380 $ 13.690 --------- --------- --------- --------- --------- --------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss)(1) ....... $ 0.015 $ 0.077 $ 0.053 $ 0.029 $ 0.024 $ (0.009) Net realized and unrealized gain (loss) 0.190 0.651 1.247 1.958 (2.812) (2.301) --------- --------- --------- --------- --------- --------- Total income (loss) from investment operations......... $ 0.205 $ 0.728 $ 1.300 $ 1.987 $ (2.788) $ (2.310) --------- --------- --------- --------- --------- --------- LESS DISTRIBUTIONS: Dividends from investment income....... $ (0.015) $ (0.088) $ (0.050) $ (0.027) $ (0.022) $ - --------- --------- --------- --------- --------- --------- Total distributions................ $ (0.015) $ (0.088) $ (0.050) $ (0.027) $ (0.022) $ - --------- --------- --------- --------- --------- --------- Net asset value, end of period.............. $ 12.610 $ 12.420 $ 11.780 $ 10.530 $ 8.570 $ 11.380 ========= ========= ========= ========= ========= ========= TOTAL RETURN(3) ............................ 1.65% 6.20% 12.36% 23.20% (24.50%) (16.87%) RATIOS/SUPPLEMENTAL DATA(1): Net assets, end of period (000 omitted) $ 62,293 $ 66,742 $ 65,503 $ 71,539 $ 66,609 $ 95,121 Ratio of net expenses to average net assets 1.27%(6) 1.26% 1.25% 1.25% 1.22% 1.13% Ratio of net expenses after custodian fee reduction to average net assets(2)(5) 1.25%(6) 1.25% 1.25% 1.25% 1.22% 1.13% Ratio of net investment income (loss) to average net assets ................. 0.24%(6) 0.66% 0.49% 0.31% 0.25% (0.08%) Portfolio turnover rate................ 69% 82% 74% 143% 130% 78% ---------------------------------------------------------------------------------------------------------------------------------- (1)For the six months ended June 30, 2006 and for the years ended December 31, 2005, 2004 and 2003, the operating expenses of the Fund were reduced by an allocation of expenses to the distributor and/or investment adviser. Had such action not been undertaken, net investment income per share and the ratios would have been as follows: 2006 2005 2004 2003 ---------------------------------------------- Net investment income per share........ $ 0.011 $ 0.077 $ 0.050 $ 0.024 ========= ========= ========= ========= Ratios (As a percentage of average net assets): Expenses............................. 1.29%(6) 1.26% 1.28% 1.31% ========= ========= ========= ========= Expenses after custodian fee reduction(2) 1.28%(6) 1.25% 1.28% 1.31% ========= ========= ========= ========= Net investment income................ 0.22%(6) 0.66% 0.46% 0.26% ========= ========= ========= ========= --------------------------------------------------------------------------------------------------------------------------------- (2)Custodian fees were reduced by credits resulting from cash balances the fund maintained with the custodian (Note 1D). The computation of net expenses to average daily net assets reported above is computed without consideration of such credits. (3)Total return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be invested at the net asset value on the reinvestment date. (4)Certain per share amounts are based on average shares outstanding. (5)Under a written agreement in effect through the current fiscal year, Wright waives a portion of its advisory fee and/or distribution fees and assumes operating expenses to the extent necessary to limit expense ratios to 1.25% after custodian fee reductions, if any. (6)Annualized See notes to financial statements
WRIGHT INTERNATIONAL BLUE CHIP EQUITIES FUND (WIBC) ------------------------------------------------------------------------------ PORTFOLIO OF INVESTMENTS - JUNE 30, 2006 (unaudited) Shares Value EQUITY INTERESTS -- 97.6% AUSTRALIA -- 4.6% BHP Billiton, Ltd...................102,415 $ 2,206,587 Commonwealth Bank of Australia...... 21,064 694,994 QBE Insurance Group, Ltd............161,794 2,464,199 Rio Tinto Ltd....................... 20,731 1,198,283 Westfield Group.....................153,383 1,974,856 ------------ $ 8,538,919 ------------ AUSTRIA -- 1.3% Boehler-Uddeholm AG................. 7,089 $ 387,501 OMV AG (Stammaktie)................. 33,198 1,975,983 ------------ $ 2,363,484 ------------ BELGIUM -- 1.7% Fortis.............................. 73,982 $ 2,518,174 InBev NV............................ 13,200 647,278 ------------ $ 3,165,452 ------------ CANADA -- 7.5% Biovail Corp........................139,868 $ 3,277,547 Encana Corp......................... 61,918 3,272,673 Gildan Activewear, Inc.* ........... 6,080 288,610 Husky Energy, Inc................... 34,855 2,195,793 IPSCO, Inc.......................... 5,362 515,275 National Bank of Canada............. 13,841 709,412 Nexen Inc. (Common)................. 11,524 651,794 Penn West Energy Trust.............. 15,778 637,022 Royal Bank of Canada................ 16,660 678,924 Talisman Energy, Inc................ 43,514 762,209 Teck Cominco Ltd. - Class B......... 16,212 976,423 ------------ $13,965,682 ------------ CAYMAN ISLANDS -- 0.4% Kingboard Chemicals Holdings Ltd....243,000 $ 685,168 ------------ DENMARK -- 2.7% Danske Bank Ag (Stammaktie).........125,695 $ 4,783,251 Topdanmark A/S* .................... 1,697 236,496 ------------ $ 5,019,747 ------------ FINLAND -- 1.3% Rautaruukki Oyj..................... 15,450 $ 466,616 Yit Oyj* ........................... 80,796 1,980,449 ------------ $ 2,447,065 ------------ FRANCE -- 4.9% Axa (Actions Ordinaires)............ 29,511 $ 968,261 BNP Paribas......................... 23,246 2,224,804 Gecina SA........................... 3,964 519,021 Sanofi-Aventis...................... 4,058 395,903 Schneider Electric SA............... 7,979 831,491 Societe Generale de France (Actions Ord.)..................... 17,585 2,585,782 Vallourec SA........................ 878 1,055,295 Vinci............................... 5,496 566,062 ------------ $ 9,146,619 ------------ GERMANY -- 9.1% Allianz Ag Holding (Namensaktie).... 7,361 $ 1,162,588 BASF AG (Stammaktie)................ 22,152 1,778,222 Continental AG (Stammaktie)......... 18,760 1,917,079 DaimlerChrysler AG (Namenaktie)..... 18,346 906,187 Deutsche Bank AG (Stammaktie)....... 27,275 3,069,016 Deutsche Boerse AG.................. 17,030 2,319,081 E. On AG (Stammaktie)............... 43,823 5,044,206 Suedzucker AG....................... 31,587 700,340 ------------ $16,896,719 ------------ GREECE -- 0.0% Intralot SA Integrated Lottery...... 4 $ 107 ------------ IRELAND -- 0.6% Bank of Ireland (Cap. Stock)........ 38,197 $ 681,326 Fyffes PLC..........................288,844 509,676 ------------ $ 1,191,002 ------------ ITALY -- 3.0% Eni Spa (Azioni Ordinarie)..........186,918 $ 5,504,232 ------------ JAPAN -- 22.2% Aisin Seiki Co Ltd.................. 21,400 $ 636,487 Asics Corp..........................146,000 1,489,183 Canon, Inc. (Common)................ 78,450 3,849,928 Denso Corp.......................... 12,800 418,773 Fanuc Ltd........................... 8,200 737,401 Honda Motor Co., Ltd. (Common)...... 58,000 1,841,753 Ibiden Co., Ltd. (Common)........... 56,800 2,732,800 Kddi Corp........................... 297 1,826,453 Komatsu Ltd.........................139,000 2,766,260 Leopalace21 Corp.................... 22,700 784,368 Makita Corp......................... 49,800 1,577,011 Marubeni Corp....................... 60,000 320,168 Mitsubishi Corp..................... 64,500 1,289,266 Mitsubishi Rayon Co. Ltd............ 96,000 782,679 Mitsui OSK Lines, Ltd...............189,000 1,286,288 Ngk Spark Plug Co. Ltd.............. 28,000 563,356 Nippon Shokubai Co., Ltd............ 57,000 697,572 Nippon System Development Co., Ltd.. 8,800 305,612 Nippon Seiki........................ 13,000 257,578 Nissan Chemical Industries, Ltd..... 29,000 361,755 ORIX Corp.(Common).................. 9,300 2,273,849 Sankyo Co., Ltd. ................... 14,600 928,505 Shinko Electric Industries Co., Ltd. 32,500 943,883 Sumitomo Corp.......................104,000 1,372,838 Sumitomo Heavy Industries, Ltd......159,000 1,471,565 Sumitomo Metal Industries Ltd.......129,000 532,633 Takeda Chemicals Industries, Ltd. (Com.)........................ 23,600 1,469,903 Toyota Motor Corp. (Common)......... 72,100 3,777,973 Tsumura & CO........................ 14,000 399,248 Yamada Denki Co., Ltd. (Common)..... 20,000 2,041,727 Yamaha Motor Co., Ltd............... 57,200 1,496,112 ------------ $41,232,927 ------------ NETHERLANDS -- 4.4% Aegon NV............................ 62,563 $ 1,069,549 ING Groep NV (Aandeel)..............141,704 5,567,963 Koninklijke Philips Electronics NV.. 41,465 1,295,260 Royal Dutch Shell Plc - A Shs....... 8,866 298,150 ------------ $ 8,230,922 ------------ NORWAY -- 2.7% Norsk Hydro Asa (Ordinaere Aksje)* . 40,491 $ 1,073,669 Orkla ASA........................... 12,181 564,751 Statoil ASA.........................119,878 3,400,261 ------------ $ 5,038,681 ------------ PORTUGAL -- 0.6% Energias de Portugal SA.............290,097 $ 1,138,763 ------------ SINGAPORE -- 1.0% Capitaland Ltd......................237,000 $ 674,424 Keppel Land Ltd. (Ordinary).........135,000 344,895 Singapore Petroleum Co. Ltd.........236,000 753,660 ------------ $ 1,772,979 ------------ SPAIN -- 4.0% ACS, Actividades de Construccion y Servicios SA..................... 17,527 $ 730,819 Ebro Puleva SA...................... 23,202 476,159 Endesa SA........................... 9,177 319,052 Inmobiliaria Colonial SA............ 8,635 685,655 Metrovacesa SA...................... 10,355 934,774 Repsol YPF SA (Accion).............. 78,618 2,250,753 Sacyr Vallehermoso SA............... 21,756 726,892 Union Fenosa, S.A................... 35,599 1,377,395 ------------ $ 7,501,499 ------------ SWEDEN -- 3.9% Atlas Copco AB - Class A............ 21,591 $ 599,463 Kungsleden AB* .....................123,021 1,443,097 SKF AB..............................160,711 2,532,217 Tele2 AB - Class B.................. 74,628 753,693 TeliaSonera AB......................352,578 2,001,880 ------------ $ 7,330,350 ------------ SWITZERLAND -- 2.5% UBS AG* ............................ 16,152 $ 1,766,831 Zurich Financial Services (Inhaberaktie)..................... 13,488 2,950,844 ------------ $ 4,717,675 ------------ UNITED KINGDOM -- 19.2% Anglo American PLC (Ordinary).......129,882 $ 5,328,152 AstraZeneca PLC..................... 22,298 1,346,115 Barratt Developments PLC............154,743 2,713,223 Bellway PLC (Ordinary).............. 76,098 1,632,666 BG Group PLC........................ 77,733 1,038,746 BHP Billiton PLC.................... 38,031 737,869 Boots Group PLC.....................141,777 2,017,811 BP PLC (Ordinary)...................150,889 1,759,579 British American Tobacco PLC........146,825 3,698,650 George Wimpey PLC................... 41,309 347,443 Hammerson PLC....................... 17,917 392,358 Hanson PLC.......................... 23,003 279,309 Land Securities Group PLC........... 74,854 2,483,725 Man Group PLC....................... 81,250 3,829,031 Persimmon PLC (Ordinary)............140,908 3,216,006 Royal & Sun Alliance Insurance Group PLC..........................612,685 1,524,143 Royal Dutch Shell PLC............... 37,397 1,307,960 Scottish Power PLC.................. 86,942 937,485 Taylor Woodrow PLC..................174,465 1,077,757 ------------ $35,668,028 ------------ TOTAL EQUITY INTERESTS-- 97.6% (identified cost, $160,785,499).. $181,556,020 ------------ OTHER ASSETS, LESS LIABILITIES -- 2.4% 4,392,409 ------------ NET ASSETS -- 100% $185,948,429 ============ * Non-income-producing security. See notes to financial statements WRIGHT INTERNATIONAL BLUE CHIP EQUITIES FUND (WIBC) ------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 2006 (unaudited) ------------------------------------------------------------------------------- ASSETS: Investments, at value (identified cost $160,785,499) (Note 1A) $ 181,556,020 Cash.................................... 3,527,943 Foreign currency, at value (cost $135,293) (Note 1)............................... 136,325 Receivable for fund shares sold......... 474,513 Dividends receivable.................... 153,051 Prepaid expenses........................ 19,390 Other assets............................ 7,154 Tax reclaim receivable.................. 120,463 ------------ Total assets.......................... $185,994,859 ------------ LIABILITIES: Payable for fund shares reacquired...... $ 8,396 Payable for open forward foreign current contracts...................... 912 Transfer agent fee payable.............. 6,030 Accrued expenses and other liabilities.. 31,092 ------------ Total liabilities..................... $ 46,430 ------------ NET ASSETS................................ $185,948,429 ============ NET ASSETS CONSIST OF: Proceeds from sales of shares (including the market value of securities received in exchange for fund shares and shares issued to shareholders in payment of distributions declared), less cost of shares reacquired................... $165,971,978 Accumulated undistributed net realized loss on investments and foreign currency (computed on the basis of identified cost).......... (3,705,127) Unrealized appreciation of investments and translation of assets and liabilities in foreign currencies (computed on the basis of identified cost)....................... 20,781,800 Undistributed net investment income..... 2,899,778 ------------ Net assets applicable to outstanding shares................... $185,948,429 ============ SHARES OF BENEFICIAL INTEREST OUTSTANDING............................ 9,287,928 ============ NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST................. $ 20.02 ============ See notes to financial statements STATEMENT OF OPERATIONS SIX MONTHS ENDED JUNE 30, 2006 (unaudited) ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1C): Dividend income......................... $ 3,081,180 Less: Foreign Taxes..................... (341,884) ------------ Investment income....................... $ 2,739,296 ------------ Expenses - Investment adviser fee (Note 2):........ $ 547,527 Administrator fee (Note 2):............. 97,836 Compensation of Trustees not employees of the investment adviser or administrator 6,498 Custodian fee (Note 1D):................ 134,353 Distribution expenses (Note 3):......... 172,311 Transfer and dividend disbursing agent fees 19,613 Printing................................ 4,172 Interest expense........................ 957 Shareholder communications.............. 7,240 Audit services.......................... 15,329 Legal services.......................... 3,620 Registration costs...................... 23,781 Miscellaneous .......................... 3,619 ------------ Total expenses.......................... $ 1,036,856 ------------ Deduct - Reduction of custodian fee (Note 1D):... $ (76,413) ------------ Net expenses............................ $ 960,443 ------------ Net investment income................... $ 1,778,853 ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain - Investment transactions (identified cost basis).............. $ 7,878,569 Foreign currency transactions.......... (33,858) ------------ Net realized gain....................... $ 7,844,711 Change in unrealized appreciation - Investments (identified cost basis).... 4,231,917 Foreign currency....................... 7,706 ------------ Net change in unrealized appreciation... $ 4,239,623 ------------ Net realized and unrealized gain of investments........................ $ 12,084,334 ------------ Net increase in net assets from operations $ 13,863,187 ============ See notes to financial statements WRIGHT INTERNATIONAL BLUE CHIP EQUITIES FUND (WIBC) ------------------------------------------------------------------------------- Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2006 December 31, 2005 --------------------------------------------------------------------------------------------------------------------------------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: From operations - Net investment income ..................................................... $ 1,778,853 $ 596,164 Net realized gain on investments and foreign currency transactions......... 7,844,711 7,843,984 Change in unrealized appreciaiton on investments and translation of assets and liabilities in foreign currencies ................................... 4,239,623 6,726,396 -------------- -------------- Net increase in net assets resulting from operations..................... $ 13,863,187 $ 15,166,544 -------------- -------------- Distributions to shareholders From net investment income................................................. $ (1,004,815) $ (704,313) -------------- -------------- Total distributions...................................................... $ (1,004,815) $ (704,313) -------------- -------------- Net increase in net assets from fund share transactions (Note 4) ............ $ 63,192,679 $ 33,169,454 -------------- -------------- Net increase in net assets................................................... $ 76,051,051 $ 47,631,685 NET ASSETS: At beginning of period....................................................... 109,897,378 62,265,693 -------------- -------------- At end of period............................................................. $185,948,429 $109,897,378 ============== ============== UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF PERIOD................................................................ $ 2,899,778 $ 2,125,740 ============== ============== See notes to financial statements
WRIGHT INTERNATIONAL BLUE CHIP EQUITIES FUND (WIBC) ------------------------------------------------------------------------------- Six Months Ended Year Ended December 31, FINANCIAL HIGHLIGHTS June 30, 2006 2005(1) 2004 2003(1) 2002(1) 2001(1) ------------------------------------------------------------------------------------------------------------------------------- (unaudited) Net asset value, beginning of period........ $ 18.060 $ 15.070 $12.890 $ 9.840 $ 11.510 $ 15.180 --------- --------- --------- --------- --------- --------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income (loss) .......... $ 0.249 $ 0.129 $ 0.128 $ 0.073 $ 0.070 $ (0.023) Net realized and unrealized gain (loss) 1.862 3.028 2.140 3.044 (1.740) (3.647) --------- --------- --------- --------- --------- --------- Total income (loss) from investment operations...... $ 2.111 $ 3.157 $ 2.268 $ 3.117 $ (1.670) $ (3.670) --------- --------- --------- --------- --------- --------- LESS DISTRIBUTIONS: Dividends from investment income....... $ (0.151) $ (0.167) (0.088) $(0.067) $ - $ - --------- --------- --------- --------- --------- --------- Total distributions................ $ (0.151) $ (0.167) $(0.088) $(0.067) $ - $ - --------- --------- --------- --------- --------- --------- Net asset value, end of period.............. $ 20.020 $ 18.060 $15.070 $12.890 $ 9.840 $11.510 ========= ========= ========= ========= ========= ========= Total return(2) ............................ 11.72% 21.13% 17.71% 31.96% (14.51%) (24.18%) Ratios/Supplemental Data Net assets, end of period (000 omitted) $185,948 $109,897 $ 62,266 $ 54,586 $ 50,835 $ 66,828 Ratio of net expenses to average net assets 1.50%(6) 1.66% 1.72% 1.80% 1.66%(3) 1.56%(3) Ratio of net expenses after custodian fee reduction to average net assets(4) .. 1.39%(6) 1.62% 1.71% 1.80% 1.65% - Ratio of net investment income (loss) to average net assets.......................... 2.57%(6) 0.81% 0.97% 0.81% 0.65% (0.18%) Portfolio turnover rate .............. 68% 99% 121% 77% 62%(5) 39%(5) --------------------------------------------------------------------------------------------------------------------------------- (1)Certain per share amounts are based on average shares outstanding. (2)Total return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be invested at the net asset value on the reinvestment date. (3)Includes the fund's share of its corresponding Portfolio's allocated expenses (Note 1). (4)Custodian fees were reduced by credits resulting from cash balances the fund and/or the portfolio maintained with the custodian (Note 1D). The computation of net expenses to average daily net assets reported above is computed without consideration of such credits. (5)Represents portfolio turnover rate of the fund's corresponding portfolio (Note 1). (6)Annualized. See notes to financial statements
WRIGHT MANAGED EQUITY TRUST ------------------------------------------------------------------------------ NOTES TO FINANCIAL STATEMENTS (unaudited) (1) SIGNIFICANT ACCOUNTING POLICIES The Wright Managed Equity Trust (the Trust), issuer of Wright Selected Blue Chip Equities Fund (WSBC) series, Wright Major Blue Chip Equities Fund (WMBC) series, and Wright International Blue Chip Equities Fund (WIBC) series (collectively, the Funds), is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end, management investment company. The Funds seek to provide total return consisting of price appreciation and current income. Prior to December 20, 2002, WSBC and WIBC invested all of their investable assets in interests in a separate corresponding open-end management investment company (a Portfolio), a New York Trust, having the same investment objective as its corresponding fund. Subsequent to December 20, 2002, the Funds invest directly in securities rather than through the Portfolios and maintain the same investment objectives. The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America. A. Investment Valuations - Securities listed on securities exchanges or in the NASDAQ National Market are valued at closing sale prices, if those prices are deemed to be representative of market values at the close of business. Unlisted or listed securities for which closing sale prices are not available are valued at the mean between the latest bid and asked prices. Short-term obligations maturing in sixty days or less are valued at amortized cost, which approximates fair value. Securities for which market quotations are unavailable or deemed not to be representative of market values at the close of business are appraised at their fair value as determined in good faith by or at the direction of the Trustees. B. Foreign Currency Translation - Investment security valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses are translated into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions. C. Income - Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. However, if the ex-dividend date has passed, certain dividends from foreign securities are recorded as the fund is informed of the ex-dividend date. D. Expense Reduction - Investors Bank & Trust (IBT) serves as custodian to the Funds. Pursuant to the custodian agreement, IBT receives a fee reduced by credits which are determined based on the average daily cash balance the Funds maintain with IBT. All credit balances, if any, used to reduce the Fund's custodian fees are reported as a reduction of total expenses on the Statement of Operations. E. Federal Taxes - The Trust's policy is to comply with the provisions of the Internal Revenue Code (the Code) available to regulated investment companies and distribute to shareholders each year all of its taxable income, including any net realized gain on investments. Accordingly, no provision for federal income or excise tax is necessary. At December 31, 2005, the Trust, for federal income tax purposes, had capital loss carryovers of $30,269,711 (WMBC)and $11,465,196 (WIBC) which will reduce the Funds' taxable income arising from future net realized gain on investment transactions, if any, to the extent permitted by the Code, and thus will reduce the amount of the distribution to shareholders which would otherwise be necessary to relieve the respective fund of any liability for federal income or excise tax. Pursuant to the Code, such capital loss carryovers will expire as follows: 12/31 WSBC WMBC WIBC ------------------------------------------------------------------------------- 2009 $ - $10,435,545 $ - 2010 - 17,603,398 9,901,904 2011 - 2,230,768 1,563,292 ------------------------------------------------------------------------------- At December 31, 2005, net currency losses of $(28,467) for WIBC attributable to security transactions incurred after October 31, 2005 are treated as arising on the first day of the fund's current taxable year. Withholding taxes on foreign dividends have been provided for in accordance with the Trust's understanding of the applicable country's tax rules and rates. F. Distributions - The Trust requires that differences in the recognition or classification of income between the financial statements and tax earnings and profits which result only in temporary overdistributions for financial statement purposes, are classified as distributions in excess of net investment income or accumulated net realized gains. Distributions in excess of tax basis earnings and profits are reported in the financial statements as a return of capital. Permanent differences between book and tax accounting for certain items may result in reclassification of these items. G. Other - Investment transactions are accounted for on a trade-date basis. H. Use of Estimates - The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenue and expense during the reporting period. Actual results could differ from those estimates. I. Interim Financial Information - The interim financial statements relating to June 30, 2006 and for the six month period then ended have not been audited by an independent registered public accounting firm but in the opinion of the Trust's management, reflect all adjustments, consisting only of normally recurring adjustments, necessary for the fair presentation of the financial statements. (2) INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES The Trust has engaged Wright Investors' Service, Inc. (Wright) to act as investment adviser to the Funds pursuant to an Investment Advisory Contract. Wright furnishes the Funds with investment management, investment advisory, and other services. For its services, Wright is compensated based upon a percentage of average daily net assets which rate is adjusted as average daily net assets exceed certain levels. For the six months ended June 30, 2006, the effective annual rate was 0.79% for WIBC and 0.60% for WSBC and WMBC. Wright has been allocated expenses of $8,852 on behalf of WMBC. The Trust also has engaged Eaton Vance Management (Eaton Vance) to act as administrator of the Trust. Under the Administration Agreement, Eaton Vance is responsible for managing the business affairs of the Trust and is compensated based upon a percentage of average daily net assets which rate is reduced as average daily net assets exceed certain levels. For the six months ended June 30, 2006, the effective rate was 0.12% for WSBC and WMBC, and 0.14% for WIBC. Certain of the Trustees and officers of the Trust are Trustees or officers of the above organizations. Except as to Trustees of the Trust who are not employees of Eaton Vance or Wright, Trustees and officers receive remuneration for their services to the Trust out of the fees paid to Eaton Vance and Wright. (3) DISTRIBUTION EXPENSES The Trustees have adopted a Distribution Plan (the Plan) pursuant to Rule 12b-1 of the Investment Company Act of 1940. The Plan provides that each of the funds will pay Wright Investors' Service Distributors, Inc. (Principal Underwriter), a wholly-owned subsidiary of The Winthrop Corporation, an annual rate of 0.25% of each fund's average daily net assets for activities primarily intended to result in the sale of each fund's shares. Under a written agreement in effect through the current fiscal year, Wright waives a portion of its advisory fee and/or distribution fees and assumes operating expenses to the extent necessary to limit expense ratios to 1.25% after custodian fee reductions, if any, for both WSBC and WMBC. Pursuant to this agreement, the principal underwriter made a reduction of its fees of $26,665 on behalf of WSBC. In addition, the Trustees have adopted a service plan (the Service Plan) which allows the funds to reimburse the Principal Underwriter for payments to intermediaries for providing account administration and account maintenance services to their customers who are beneficial owners of shares. The amount of service fee payable under the Service Plan with respect to each class of shares may not exceed 0.25% annually of the average daily net assets attributable to the respective classes. For the six months ended June 30, 2006, the funds did not accrue or pay any service fees. (4) SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in fund shares were as follows: For the Six Months Ended Year Ended June 30, 2006 December 31, 2005 ---------------------------- --------------------- Shares Amount Shares Amount --------------------------------------------------------------------------------------------------------------------------------- Wright Selected Blue Chip Equities Fund Sold................................................... 428,826 $ 5,558,984 1,994,101 $ 26,725,001 Issued to shareholders in payment of distributions declared................................ 175,477 2,232,069 362,284 4,698,930 Redemptions............................................ (649,164) (8,268,463) (1,988,270) (26,793,743) ------------ --------------- ------------ --------------- Net increase (decrease).............................. (44,861) $ (477,410) 368,115 $ 4,630,188 ============ =============== ============ =============== Wright Major Blue Chip Equities Fund Sold................................................... 409,093 $ 4,793,843 746,933 $ 8,790,299 Issued to shareholders in payment of distributions declared .............................. 4,956 64,573 32,288 390,542 Redemptions............................................ (847,638) (10,295,313) (969,256) (11,553,556) ------------ --------------- ------------ --------------- Net decrease......................................... (433,589) $ (5,436,897) (190,035) $ (2,372,715) ============ =============== ============ =============== Wright International Blue Chip Equities Fund Sold................................................... 4,054,657 $ 79,508,019 2,853,233 $ 47,557,242 Issued to shareholders in payment of distributions declared............................... 42,438 815,684 33,842 523,875 Redemptions............................................ (892,907) (17,131,024) (936,442) (14,911,663) ------------ --------------- ------------ --------------- Net increase......................................... 3,204,188 $ 63,192,679 1,950,633 $ 33,169,454 ============ =============== ============ ===============
------------------------------------------------------------------------------- (5) INVESTMENT TRANSACTIONS Purchases and sales of investments, other than U.S. Government securities and short-term obligations were as follows: Six Months Ended June 30, 2006 ------------------------------------------- WSBC WMBC WIBC ------------------------------------------------------------------------------- Purchases............... $ 15,318,236 $ 46,288,983 $ 158,744,512 ============ ============ ============ Sales................... $ 18,112,088 $ 52,908,209 $ 91,993,491 ============ ============ ============ ------------------------------------------------------------------------------- (6) FEDERAL INCOME TAX BASIS OF INVESTMENT SECURITIES The cost and unrealized appreciation (depreciation) of the investment securities owned at June 30, 2006, as computed on a federal income tax basis, are as follows: WSBC WMBC WIBC ------------------------------------------------------------------------------- Aggregate cost $ 37,518,692 $54,187,022 $160,785,499 ========== =========== ============= Gross unrealized appreciation 9,263,447 8,637,034 22,319,618 Gross unrealized depreciation (1,124,779) (1,012,285) (1,549,097) ----------- ----------- ----------- Net unrealized appreciation $ 8,138,668 $ 7,624,749 $ 20,770,521 =========== ============ ============ ------------------------------------------------------------------------------- The appreciation on currency for WIBC is $11,279. (7) LINE OF CREDIT The funds participate with other funds managed by Wright in a committed $10 million unsecured line of credit agreement with a bank. The funds may temporarily borrow from the line of credit to satisfy redemption requests or settle investment transactions. Interest is charged to each fund based on its borrowings at an amount above the federal funds rate. In addition, a fee computed at an annual rate of 0.10% on the average daily unused portion of the $10 million line of credit, is allocated among the participating funds at the end of each quarter. At June 30, 2006, WSBC had a balance outstanding pursuant to this line of credit of $224,000. WMBC and WIBC did not have significant borrowings or allocated fees during the six months ended June 30, 2006. (8) RISKS ASSOCIATED WITH FOREIGN INVESTMENTS Investing in securities issued by companies whose principal business activities are outside the United States may involve significant risks not present in domestic investments. For example, there is generally less publicly available information about foreign companies, particularly those not subject to the disclosure and reporting requirements of the U.S. securities laws. Foreign issuers are generally not bound by uniform accounting, auditing, and financial reporting requirements and standards of practice comparable to those applicable to domestic issuers. Investments in foreign securities also involve the risk of possible adverse changes in investment or exchange control regulations, expropriation or confiscatory taxation, limitation on the removal of funds or other assets of the Portfolio, political or financial instability or diplomatic and other developments which could affect such investments. (9) FINANCIAL INSTRUMENTS The Funds may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities and to assist in managing exposure to various market risks. These financial instruments include written options, financial futures contracts, forward foreign currency contracts, credit default swaps, and interest rate swaps and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and does not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of obligations under these financial instruments for WIBC at June 30, 2006, is as follows: Forward Foreign Currency Exchange Contracts ------------------------------------------------ Purchases ------------------------------------------------ Settlement Net Unrealized Dates Deliver In Exchange For Depreciation ------------------------------------------------------------------------------ 7/3/06 Euro United States Dollar 10,938 13,706 (281) 7/3/06 British Pound United States Dollar 6,463 11,707 (246) 7/3/06 Japanese Yen United States Dollar 2,237,580 19,189 (385) ------------------------------------------------------------------------------- $ (912) WRIGHT U.S. GOVERNMENT NEAR TERM FUND (WNTB) ------------------------------------------------------------------------------- PORTFOLIO OF INVESTMENTS - JUNE 30, 2006 (unaudited) Face Coupon Maturity Market Current Amount Description Rate Date Price Value Yield ---------------------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES - 31.8% ------------------------------------ $ 44,273 FHLMC Gold Balloon #M90710 5.000% 03-01-07 $ 99.15 $ 43,897 5.0% 32,893 FHLMC Gold Balloon #M90724 5.500% 05-01-07 99.97 32,883 5.5% 145,279 FHLMC Gold Balloon #M90767 4.500% 11-01-07 98.65 143,318 4.6% 237,095 FHLMC Gold Balloon #M90802 4.000% 03-01-08 96.56 228,927 4.1% 879,878 FHLMC Gold Balloon #M90937 5.000% 08-01-09 98.17 863,747 5.1% 862,122 FHLMC Gold Balloon #M90941 4.500% 08-01-09 97.13 837,358 4.6% 300,274 FHLMC Gold Pool #M90796 4.000% 02-01-08 97.33 292,243 4.1% 262,835 FHLMC Pool #1B1291 4.401% 11-01-33 98.00 257,585 4.5% 669,513 FHLMC Pool #1G0233 5.018% 05-01-35 97.93 655,661 5.1% 59,730 FNMA Pool #254227 5.000% 02-01-09 97.92 58,491 5.1% 369,113 FNMA Pool #701043 4.052% 04-01-33 98.28 362,763 4.1% 507,131 FNMA Pool #745467 5.858% 04-01-36 99.94 506,814 5.9% 636,504 FNMA Pool #809324 4.880% 02-01-35 98.38 626,221 5.0% U.S. GOVERNMENT AGENCIES - 46.4% -------------------------------- $ 500,000 FHLB 4.875% 08-22-07 $ 99.32 $ 496,590 4.9% 3,140,000 FHLB 4.000% 03-10-08 97.67 3,066,737 4.1% 1,345,000 FHLMC 3.030% 06-11-08 95.58 1,285,593 3.2% 2,335,000 FNMA 3.000% 11-22-06 99.08 2,313,597 3.0% U.S. TREASURIES - 17.2% ----------------------- $ 635,000 U.S. Treasury Notes 3.000% 11-15-07 $ 97.12 616,719 3.1% 2,125,000 U.S. Treasury Notes 3.375% 11-15-08 96.10 2,042,159 3.5% ----------- TOTAL INVESTMENTS (identified cost, $14,972,279)-- 95.4% $14,731,303 OTHER ASSETS, LESS LIABILITIES-- 4.6% 709,541 ----------- NET ASSETS-- 100.0% $15,440,844 =========== FHLB Federal Home Loan Bank FHLMC Federal Home Loan Mortgage Corporation FNMA Federal National Mortgage Association See notes to financial statements
WRIGHT U.S. GOVERNMENT NEAR TERM FUND (WNTB) ------------------------------------------------------------------------------ STATEMENT OF ASSETS AND LIABILITIES June 30, 2006 (unaudited) ------------------------------------------------------------------------------- ASSETS: Investments, at value (identified cost $14,972,279) (Note 1A) $ 14,731,303 Cash.................................... 336,826 Receivable for investments sold......... 2,843,646 Receivable for fund shares sold......... 8,289 Receivable from investment adviser...... 13,669 Interest receivable..................... 92,260 Prepaid expenses........................ 14,815 ------------ Total assets.......................... $ 18,040,808 ------------ LIABILITIES: Payable for fund shares reacquired...... $ 2,570,558 Distributions payable................... 11,418 Payable to affiliate for Trustees' fees. 36 Transfer agent fee ..................... 3,680 Accrued expenses........................ 14,272 ------------ Total liabilities..................... $ 2,599,964 ------------ NET ASSETS................................ $ 15,440,844 ============ NET ASSETS CONSIST OF: Proceeds from sales of shares (including the market value of securities received in exchange for Fund shares and shares issued to shareholders in payment of distributions declared), less cost of shares reacquired................... $ 17,472,526 Accumulated undistributed net realized loss on investments (computed on the basis of identified cost)....................... (1,748,669) Unrealized depreciation on investments (computed on the basis of identified cost) (240,976) Undistributed net investment income..... (42,037) ------------ Net assets applicable to outstanding shares.................... $ 15,440,844 ============ SHARES OF BENEFICIAL INTEREST OUTSTANDING. 1,590,714 ============ NET ASSET VALUE, OFFERING PRICE, AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST.................. $ 9.71 ============ See notes to financial statements STATEMENT OF OPERATIONS Six Months Ended June 30, 2006 (unaudited) ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1B): Interest income........................ $ 314,531 ------------ Expenses --- Investment adviser fee (Note 3)........ $ 39,062 Administrator fee (Note 3)............. 7,812 Compensation of Trustees not employees of the investment adviser or administrator 6,525 Custodian fee (Note 1C)................ 24,412 Distribution expenses (Note 4)......... 21,701 Transfer and dividend disbursing agent fees 11,187 Printing............................... 1,424 Interest expense....................... 1,073 Shareholder communications............. 2,406 Audit services......................... 13,192 Legal services......................... 2,444 Registration costs..................... 11,723 Miscellaneous.......................... 2,310 ------------ Total expenses........................ $ 145,271 ------------ Deduct - Reduction of custodian fee (Note 1C):.. $ (3,315) Allocation of expenses to the investment adviser (Note 3)........... (13,669) Reduction of investment adviser fee (Note 3) (24,153) Reduction of distribution expenses by principal underwriter (Note 4)..... (21,576) ------------ Total deductions...................... $ (62,713) ------------ Net expenses.......................... $ 82,558 ------------ Net investment income............... $ 231,973 ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized loss on investment transactions (identified cost basis)................ $ (143,523) Change in unrealized appreciation of investments......................... 58,326 ------------ Net realized and unrealized loss of investments........................... $ (85,197) ------------ Net increase in net assets from operations........................... $ 146,776 ============ See notes to financial statements WRIGHT U.S. GOVERNMENT NEAR TERM FUND (WNTB) ------------------------------------------------------------------------------- Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2006 December 31, 2005 ------------------------------------------------------------------------------------------------------------------------------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: From operations - Net investment income...................................................... $ 231,973 $ 468,802 Net realized loss on investments........................................... (143,523) (126,026) Change in unrealized appreciation (depreciation) on investments............ 58,326 (148,967) -------------- -------------- Net increase in net assets resulting from operations..................... $ 146,776 $ 193,809 -------------- -------------- Distributions to shareholders (Note 2) - From net investment income................................................. $ (274,108) $ (605,643) -------------- -------------- Total distributions...................................................... $ (274,108) $ (605,643) -------------- -------------- Net decrease in net assets from fund share transactions (Note 5)............. $ (2,998,901) $ (2,593,760) -------------- -------------- Net decrease in net assets............................................... $ (3,126,233) $ (3,005,594) NET ASSETS: At beginning of period....................................................... 18,567,077 21,572,671 -------------- -------------- At end of period............................................................. $ 15,440,844 $ 18,567,077 ============== ============== UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF PERIOD............................................... $ (42,037) $ 98 ============== ============== See notes to financial statements
WRIGHT U.S. GOVERNMENT NEAR TERM FUND (WNTB) ------------------------------------------------------------------------------ Six Months Ended Year Ended December 31, ----------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS June 30, 2006 2005 2004 2003 2002 2001 ---------------------------------------------------------------------------------------------------------------------------------- (unaudited) Net asset value, beginning of period........ $ 9.780 $ 9.980 $ 10.250 $ 10.490 $ 10.290 $ 10.080 --------- --------- --------- --------- --------- --------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income(1) ............... $ 0.121 $ 0.227 $ 0.123 $ 0.165 $ 0.349 $ 0.480(7) Net realized and unrealized gain (loss).. (0.044) (0.128) (0.080) (0.102) 0.200 0.195(7) --------- --------- --------- --------- --------- --------- Total income from investment operations $ 0.077 $ 0.099 $ 0.043 $ 0.063 $ 0.549 $ 0.675 --------- --------- --------- --------- --------- --------- LESS DISTRIBUTIONS: Distributions from investment income... $ (0.147) $ (0.299) $ (0.313) $ (0.303) $ (0.349) $ (0.465) --------- --------- --------- --------- --------- --------- Total distributions.................... $ (0.147) $ (0.299) $ (0.313) $ (0.303) $ (0.349) $ (0.465) --------- --------- --------- --------- --------- --------- Net asset value, end of period.............. $ 9.710 $ 9.780 $ 9.980 $ 10.250 $ 10.490 $ 10.290 ========= ========= ========= ========= ========= ========= TOTAL RETURN(2) ............................ 0.84% 1.01% 0.43% 0.61% 5.42% 6.82% RATIOS/SUPPLEMENTAL DATA(1): Net assets, end of period (000 omitted).. $ 15,441 $ 18,567 $ 21,573 $ 27,557 $ 33,839 $ 36,025 Ratio of net expenses to average net assets 0.99%(8) 0.97% 0.96% 0.95% 0.97%(3) 0.97%(3) Ratio of net expenses after custodian fee reduction to average net assets(4)(6) 0.95%(8) 0.95% 0.95% 0.95% 0.95%(3) 0.95%(3) Interest expense ....................... 0.01%(8) 0.01% _ 0.01% - - Ratio of net investment income to average net assets............................ 2.67%(8) 2.35% 1.38% 1.75% 3.10% 4.40% Portfolio turnover rate ................ 44% 109% 138% 165% 64%(5) 92%(5) ---------------------------------------------------------------------------------------------------------------------------------- (1)For the six months ended June 30, 2006 and for the years ended December 31, 2005, 2004, 2003, 2002, and 2001, the operating expenses of the fund were reduced by an allocation of expenses to the investment adviser, a reduction in distribution fees by the principal underwriter, a reduction in administration fees, or a combination thereof. Had such action not been undertaken, net investment income per share and the ratios would have been as follows: 2006 2005 2004 2003 2002 2001 ---------------------------------------------------------------------- Net investment income per share........ $ 0.009 $ 0.170 $ 0.097 $ 0.134 $ 0.323 $ 0.452 ========= ========= ========= ========= ========= ========= Ratios (As a percentage of average net assets): Expenses ............................ 1.68%(8) 1.56% 1.38% 1.28% 1.20%(3) 1.22%(3) ========= ========= ========= ========= ========= ========= Expense after custodian fee reduction(4) 1.64%(8) 1.54% 1.37% 1.28% 1.18%(3) 1.20%(3) ========= ========= ========= ========= ========= ========= Interest expense..................... 0.01%(8) 0.01% - 0.01% - - ========= ========= ========= ========= ========= ========= Net investment income................ 1.99%(8) 1.76% 0.96% 1.42% 2.87% 4.15% ========= ========= ========= ========= ========= ========= ------------------------------------------------------------------------------------------------------------------------------- (2)Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each year reported. Dividends and distributions, if any, are assumed to be reinvested at the net asset value on the reinvestment date. (3)Includes each fund's share of its corresponding portfolio's allocated expenses (Note 1). (4)Custodian fees were reduced by credits resulting from cash balances the fund maintained with the custodian (Note 1C). The computation of net expenses to average daily net assets reported above is computed without consideration of such credits. (5)Represents portfolio turnover rate of the fund's corresponding portfolio (Note 1). (6)Under a written agreement, Wright waives all or a portion of its advisory and/or distribution fees and assumes operating expenses to the extent necessary to limit expense ratios to 0.95% after custodian fee credits are applied. (7)Reporting guidelines require the funds to disclose the effects of implementing the change in accounting for amortization of premium and discount on debt securities. If adjustments were not made, net investment income per share would have been $0.491 and net realized and unrealized gain (loss) per share would have been $0.184. (8)Annualized. See notes to financial statements
WRIGHT TOTAL RETURN BOND FUND (WTRB) ------------------------------------------------------------------------------- PORTFOLIO OF INVESTMENTS - June 30, 2006 (unaudited) Face Coupon Maturity Market Current Amount Description Rate Date Price Value Yield ------------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES -10.8% ------------------------------- FINANCIAL SERVICES ------------------- $ 340,000 Citigroup Commercial Mortgage Trust, Series 2004-C2 A5 4.733% 10-15-41 $ 92.75 $ 315,347 5.1% 335,000 Credit-Based Asset Servicing and Securities, Series 2005-CB7 AF2 5.147% 11-25-35 98.84 331,103 5.2% 440,000 CS First Boston Mortgage Securities Corp., Series 2003-C3 A5 3.936% 05-15-38 89.59 394,206 4.4% 366,581 First Horizon Alternative Mortgage Securities, Series 2005-AA10 1A2 5.776% 12-25-35 97.94 359,020 5.9% 565,000 JP Morgan Chase Commercial Mortgage Securities, Series 2004-C3 A5 4.878% 01-15-42 93.17 526,432 5.2% 220,000 JP Morgan Chase Commercial Mortgage Securities, Series 2004-CBX A6 4.899% 11-12-37 93.64 206,005 5.2% 425,000 Merrill Lynch Mortgage Trust, Series 2005-LC1 A4 5.291% 01-12-44 95.77 407,043 5.5% 420,000 Merrill Lynch/Countrywide Commercial Mortgage, Series 2006-2 A4 5.910% 06-12-46 100.29 421,231 5.9% 405,000 Salomon Brothers Mortage Securities VII, Series 2002-KEY2 A2 4.467% 03-18-36 96.38 390,324 4.6% 405,000 Structured Asset Securities Corp., Series 2004-23XS 1A4 4.930% 01-25-35 96.01 388,840 5.1% ----------- Total Asset Backed Securities (identified cost, $3,866,900)-- 10.8% $3,739,551 ----------- CORPORATE BONDS - 22.5% ----------------------- AUTO - 0.5% ------------ $ 160,000 DaimlerChrysler North America Holding Co. 7.200% 09-01-09 $103.22 $ 165,151 7.0% BANKS - 5.5% ------------- $ 285,000 CIT Group, Inc. 7.750% 04-02-12 $108.53 $ 309,308 7.1% 305,000 General Electric Capital Corp. 5.875% 02-15-12 100.65 306,981 5.8% 415,000 HSBC Finance Corp. 4.125% 11-16-09 95.25 395,287 4.3% 285,000 National Rural Utilities 7.250% 03-01-12 106.68 304,024 6.8% 295,000 Royal Bank of Scotland Group PLC 7.648% 08-31-49 107.94 318,410 7.1% 310,000 SLM Corp. 4.823% 01-26-09 100.36 311,116 4.8% BLDG - RESIDENTIAL/COMMER - 0.4% --------------------------------- $ 145,000 Centex Corp. 7.875% 02-01-11 $105.86 $ 153,495 7.4% BUILDING MATERIALS - 0.3% -------------------------- $ 80,000 Lowes Co., Inc. 8.250% 06-01-10 $109.17 $ 87,334 7.6% CABLE TV - 0.5% ---------------- $ 145,000 Comcast Cable Comm HLDGS 8.375% 03-15-13 $111.21 $ 161,252 7.5% COMMUNICATIONS EQUIPMENT - 0.9% -------------------------------- $ 330,000 Cisco Systems, Inc. 5.500% 02-22-16 $ 96.20 $ 317,456 5.7% DIVERSIFIED FINANCIALS - 3.3% ------------------------------ $ 280,000 Boeing Capital Corp., Senior Note 7.375% 09-27-10 $106.34 $ 297,765 6.9% 230,000 Cendant Corp. 6.250% 01-15-08 100.93 232,150 6.2% 315,000 International Lease Finance Corp. 5.875% 05-01-13 99.39 313,067 5.9% 330,000 JP Morgan Chase & Co. 5.150% 10-01-15 93.51 308,576 5.5% ELECTRIC - INTEGRATED - 0.9% ------------------------------ $ 170,000 Dominion Resources, Inc. 6.300% 03-15-33 $ 94.17 $ 160,093 6.7% 160,000 PPL Electric Utilities 5.875% 08-15-07 100.12 160,187 5.9% ELECTRIC UTILITIES - 0.5% -------------------------- $ 175,000 American Electric Power 5.250% 06-01-15 $ 93.48 $ 163,586 5.6% FINANCIAL SERVICES - 0.9% ------------------------- $ 325,000 Goldman Sachs Group, Inc. 5.350% 01-15-16 $ 94.61 $ 307,491 5.7% FOOD - RETAIL - 0.5% -------------------- 170,000 Safeway, Inc., Note 5.800% 08-15-12 $ 97.78 $ 166,233 5.9% INSTRUMENTS - CONTROLS - 0.7% ----------------------------- $ 255,000 Honeywell International, Inc. 7.000% 03-15-07 $100.75 $ 256,922 6.9% MEDICAL - 0.7% --------------- $ 85,000 Amgen, Inc. 6.500% 12-01-07 $101.10 $ 85,935 6.4% 170,000 Wyeth 5.500% 03-15-13 97.49 165,727 5.6% OIL & GAS - 1.8% ----------------- $ 290,000 Phillips Petroleum 6.650% 07-15-18 $106.08 $ 307,638 6.3% 155,000 Sempra Energy 6.000% 02-01-13 99.65 154,461 6.0% 150,000 Transocean Sedco Forex 7.500% 04-15-31 111.62 167,426 6.7% PIPELINES - 0.5% ------------------ $ 155,000 Duke Capital Corp., Senior Note 7.500% 10-01-09 $105.10 $ 162,901 7.1% PROPERTY/CASUALTY INSURANCE - 0.5% ------------------------------------- $ 175,000 Fund American Cos., Inc., Guaranteed Senior Note 5.875% 05-15-13 $ 96.08 $ 168,144 6.1% RETAIL - 0.4% --------------- $ 120,000 TJX Cos., Inc. 7.450% 12-15-09 $105.06 $ 126,072 7.1% RETAILING - 0.5% ----------------- $ 195,000 Autozone, Inc. 4.375% 06-01-13 $ 87.85 $ 171,307 5.0% TELECOM - 3.2% --------------- $ 150,000 AT&T Wireless 7.875% 03-01-11 $107.82 $ 161,726 7.3% 125,000 British Telecom PLC 8.875% 12-15-30 123.25 154,056 7.2% 150,000 Deutsche Telekom International Finance 8.000% 06-15-10 107.45 161,172 7.4% 140,000 France Telecom SA 7.750% 03-01-11 107.53 150,536 7.2% 165,000 Sprint Capital Corp. 6.125% 11-15-08 100.84 166,383 6.1% 305,000 Verizon Global Funding Corp. 7.750% 12-01-30 108.16 329,893 7.2% ----------- Total Corporate Bonds (identified cost, $8,143,609)-- 22.5% $7,829,261 ----------- GOVERNMENT INTERESTS - 65.2% ------------------------------ MORTGAGE-BACKED SECURITIES - 47.8% ------------------------------------ $ 137,634 FHLMC Gold Pool #A10798 5.500% 05-01-33 $ 96.50 $ 132,823 5.7% 288,734 FHLMC Gold Pool #A32600 5.500% 05-01-35 96.14 277,598 5.7% 92,843 FHLMC Gold Pool #C01646 6.000% 09-01-33 98.79 91,720 6.1% 59,246 FHLMC Gold Pool #C01702 6.500% 10-01-33 101.27 60,000 6.4% 204,806 FHLMC Gold Pool #C47318 7.000% 09-01-29 103.67 212,318 6.8% 682,850 FHLMC Gold Pool #C55780 6.000% 01-01-29 98.99 675,924 6.1% 190,250 FHLMC Gold Pool #C90493 6.500% 11-01-21 101.30 192,719 6.4% 161,348 FHLMC Gold Pool #D66753 6.000% 10-01-23 99.18 160,032 6.0% 26,866 FHLMC Gold Pool #E00903 7.000% 10-01-15 102.59 27,562 6.8% 343,642 FHLMC Gold Pool #E01425 4.500% 08-01-18 94.63 325,191 4.8% 527,638 FHLMC Gold Pool #G01035 6.000% 05-01-29 98.97 522,208 6.1% 198,359 FHLMC Gold Pool #G01842 4.500% 06-01-35 90.75 180,017 5.0% 186,253 FHLMC Gold Pool #G08088 6.500% 10-01-35 100.64 187,442 6.5% 204,761 FHLMC Gold Pool #GO1349 5.000% 12-01-31 93.64 191,728 5.3% 200,541 FHLMC Gold Pool #N30514 5.500% 11-01-28 97.42 195,373 5.6% 264,972 FHLMC Pool #1B1291 4.401% 11-01-33 98.00 259,679 4.5% 795,539 FHLMC Pool #1G0233 5.018% 05-01-35 97.93 779,080 5.1% 47,741 FHLMC Pool #27663 7.000% 06-01-29 102.46 48,915 6.8% 249,561 FNMA Pool #253057 8.000% 12-01-29 105.82 264,089 7.6% 81,726 FNMA Pool #254845 4.000% 07-01-13 94.92 77,574 4.2% 80,606 FNMA Pool #254863 4.000% 08-01-13 94.93 76,517 4.2% 472,764 FNMA Pool #254865 4.500% 09-01-18 94.77 448,040 4.7% 553,225 FNMA Pool #254904 5.500% 10-01-33 96.50 533,869 5.7% 384,548 FNMA Pool #255747 4.500% 04-01-25 92.30 354,936 4.9% 856,903 FNMA Pool #255894 5.000% 10-01-25 94.74 811,853 5.3% 43,254 FNMA Pool #479477 6.000% 01-01-29 98.94 42,797 6.1% 51,856 FNMA Pool #489357 6.500% 03-01-29 101.05 52,400 6.4% 43,645 FNMA Pool #535332 8.500% 04-01-30 107.52 46,927 7.9% 218,193 FNMA Pool #545317 5.500% 11-01-16 98.36 214,613 5.6% 268,643 FNMA Pool #545407 5.500% 01-01-32 96.52 259,302 5.7% 67,857 FNMA Pool #545782 7.000% 07-01-32 102.97 69,871 6.8% 533,246 FNMA Pool #576524 5.500% 01-01-29 96.43 514,186 5.7% 68,455 FNMA Pool #597396 6.500% 09-01-31 100.94 69,101 6.4% 38,774 FNMA Pool #634823 6.500% 03-01-32 100.91 39,128 6.4% 363,533 FNMA Pool #663689 5.000% 01-01-18 96.56 351,016 5.2% 298,689 FNMA Pool #701043 4.052% 04-01-33 98.28 293,550 4.1% 190,648 FNMA Pool #725550 5.000% 05-01-19 96.56 184,084 5.2% 78,186 FNMA Pool #725866 4.500% 09-01-34 90.92 71,083 4.9% 365,492 FNMA Pool #730505 4.500% 08-01-33 91.15 333,150 4.9% 223,132 FNMA Pool #738630 5.500% 11-01-33 96.50 215,325 5.7% 382,999 FNMA Pool #739372 4.121% 09-01-33 96.61 370,017 4.3% 1,270,243 FNMA Pool #745467 5.858% 04-01-36 99.94 1,269,449 5.9% 238,122 FNMA Pool #747529 4.500% 10-01-33 91.15 217,051 4.9% 169,198 FNMA Pool #750859 6.500% 10-01-32 101.05 170,973 6.4% 308,492 FNMA Pool #753189 4.000% 12-01-33 88.17 272,011 4.5% 346,596 FNMA Pool #755749 5.500% 01-01-29 96.58 334,738 5.7% 838,075 FNMA Pool #781893 4.500% 11-01-31 91.11 763,610 4.9% 294,834 FNMA Pool #807804 5.500% 03-01-35 96.15 283,479 5.7% 754,507 FNMA Pool #809324 4.880% 02-01-35 98.38 742,318 5.0% 90,632 FNMA Pool #809888 4.500% 03-01-35 90.69 82,194 5.0% 464,045 FNMA Pool #849893 4.000% 11-01-23 90.44 419,684 4.4% 76,080 GNMA II Pool #2671 6.000% 11-20-28 99.28 75,533 6.0% 11,718 GNMA II Pool #2909 8.000% 04-20-30 105.70 12,386 7.6% 32,233 GNMA II Pool #2972 7.500% 09-20-30 103.89 33,486 7.2% 12,188 GNMA II Pool #2973 8.000% 09-20-30 105.70 12,883 7.6% 375,511 GNMA Pool #374892 7.000% 02-15-24 103.22 387,585 6.8% 70,315 GNMA Pool #376400 6.500% 02-15-24 101.48 71,359 6.4% 92,215 GNMA Pool #379982 7.000% 02-15-24 103.22 95,180 6.8% 306,331 GNMA Pool #393347 7.500% 02-15-27 104.80 321,036 7.2% 113,781 GNMA Pool #410081 8.000% 08-15-25 106.17 120,803 7.5% 38,027 GNMA Pool #427199 7.000% 12-15-27 103.33 39,293 6.8% 41,401 GNMA Pool #436214 6.500% 02-15-13 101.75 42,126 6.4% 31,748 GNMA Pool #442996 6.000% 06-15-13 100.59 31,935 6.0% 152,779 GNMA Pool #448490 7.500% 03-15-27 104.80 160,113 7.2% 80,089 GNMA Pool #458762 6.500% 01-15-28 101.58 81,352 6.4% 102,287 GNMA Pool #460726 6.500% 12-15-27 101.56 103,881 6.4% 40,407 GNMA Pool #463839 6.000% 05-15-13 100.59 40,646 6.0% 67,002 GNMA Pool #478072 6.500% 05-15-28 101.58 68,059 6.4% 27,855 GNMA Pool #488924 6.500% 11-15-28 101.58 28,295 6.4% 23,406 GNMA Pool #510706 8.000% 11-15-29 106.31 24,884 7.5% 105,835 GNMA Pool #581536 5.500% 06-15-33 97.08 102,746 5.7% U.S. GOVERNMENT AGENCIES - 6.1% ------------------------------- $ 200,000 FNMA 3.875% 11-17-08 $ 96.45 $ 192,898 4.0% 965,000 FNMA 5.000% 04-15-15 96.85 934,601 5.2% 625,000 FNMA 6.250% 05-15-29 108.49 678,035 5.8% 320,000 Tennessee Valley Authority 6.000% 03-15-13 102.73 328,736 5.8% U.S. TREASURIES - 11.3% ----------------------- $ 1,970,000 U.S. Treasury Bonds 4.375% 05-15-07 $ 99.27 $ 1,955,534 4.4% 235,000 U.S. Treasury Bonds 7.250% 05-15-16 115.82 272,178 6.3% 1,540,000 U.S. Treasury Bonds 6.125% 11-15-27 110.52 1,702,062 5.5% ----------- Total Government Interests (identified cost, $23,308,279)-- 65.2% $22,686,889 ----------- TOTAL INVESTMENTS (identified cost, $35,318,788)-- 98.5% $34,255,701 OTHER ASSETS, LESS LIABILITIES-- 1.5% 517,891 ----------- NET ASSETS-- 100.0% $34,773,592 =========== FHLMC - Federal Home Loan Mortgage Corporation FNMA - Federal National Mortgage Association GNMA - Government National Mortgage Association See notes to financial statements
WRIGHT TOTAL RETURN BOND FUND (WTRB) ------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES June 30, 2006 (unaudited) ------------------------------------------------------------------------------- ASSETS: Investments, at value (identified cost of $35,318,788) (Note 1A) $ 34,255,701 Cash.................................... 4,231,168 Receivable for investments sold......... 902,646 Receivable for fund shares sold......... 77,618 Interest receivable..................... 273,187 Prepaid expenses........................ 15,681 ------------ Total assets.......................... $ 39,756,001 ------------ LIABILITIES: Payable for fund shares reacquired...... $ 4,929,262 Distributions payable................... 24,293 Payable to affiliate for distribution fees 7,559 Transfer agent fee ..................... 3,358 Accrued expenses and other liabilities.. 17,937 ------------ Total liabilities..................... $ 4,982,409 ------------ NET ASSETS................................ $ 34,773,592 ============ NET ASSETS CONSIST OF: Proceeds from sales of shares (including the market value of securities received in exchange for fund shares and shares issued to shareholders in payment of distributions declared), less cost of shares reacquired................... $ 38,899,379 Accumulated undistributed net realized loss on investments (computed on the basis of identified cost)....................... (2,918,652) Unrealized depreciation on investments (computed on the basis of identified cost) (1,063,087) Distributions in excess of net investment incom....................... (144,048) ------------ Net assets applicable to outstanding shares................................ $ 34,773,592 ============ SHARES OF BENEFICIAL INTEREST OUTSTANDING............................. 2,896,770 ============ NET ASSET VALUE, OFFERING PRICE, AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST..................... $ 12.00 ============ See notes to financial statements STATEMENT OF OPERATIONS Six Months Ended June 30, 2006 (unaudited) ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1B): Interest income........................ $ 956,289 ------------ Expenses - Investment adviser fee (Note 3)........ $ 90,622 Administrator fee (Note 3)............. 14,097 Compensation of Trustees not employees of the investment adviser or administrator 6,528 Custodian fee (Note 1C)................ 34,593 Distribution expenses (Note 4)......... 50,346 Transfer and dividend disbursing agent fees 10,030 Printing............................... 1,780 Interest expense....................... 910 Shareholder communications............. 2,092 Audit services......................... 13,182 Legal services......................... 2,570 Registration costs..................... 13,331 Miscellaneous.......................... 2,109 ------------ Total expenses........................ $ 242,190 ------------ Deduct - Reduction of custodian fee (Note 1C):.. $ (8,017) Reduction of distribution expenses by principal underwriter (Note 4)..... $ (42,787) ------------ Total deductions....................... $ (50,804) ------------ Net expenses.......................... $ 191,386 ------------ Net investment income............... $ 764,903 ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized loss on investment transactions (identified cost basis)................ $ (490,065) Change in unrealized depreciation of investments......................... (803,434) ------------ Net realized and unrealized loss of investments........................... $(1,293,499) ------------ Net decrease in net assets from operations........................... $ (528,596) ============ See notes to financial statemnts WRIGHT TOTAL RETURN BOND FUND (WTRB) ------------------------------------------------------------------------------- Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2006 December 31, 2005 --------------------------------------------------------------------------------------------------------------------------------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: From operations - Net investment income...................................................... $ 764,903 $ 1,475,641 Net realized loss on investments........................................... (490,065) (272,363) Change in unrealized depreciation of investments........................... (803,434) (584,766) --------------- --------------- Net increase (decrease) in net assets resulting from operations.......... $ (528,596) $ 618,512 --------------- --------------- Distributions to shareholders (Note 2) - From net investment income................................................. $ (899,352) $ (1,706,230) --------------- --------------- Total distributions...................................................... $ (899,352) $ (1,706,230) --------------- --------------- Net increase (decrease) in net assets from fund share transactions (Note 5).. $ (5,086,572) $ 4,162,659 --------------- --------------- Net increase (decrease) in net assets.................................... $ (6,514,520) $ 3,074,941 NET ASSETS: At beginning of period....................................................... 41,288,122 38,213,171 --------------- --------------- At end of period............................................................. $ 34,773,592 $ 41,288,112 =============== =============== DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF PERIOD...................................... $ (144,048) $ (9,599) =============== =============== See notes to financial statements
WRIGHT TOTAL RETURN BOND FUND (WTRB) ------------------------------------------------------------------------------- Six Months Ended Year Ended December 31, ---------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS June 30, 2006 2005 2004 2003 2002 2001 --------------------------------------------------------------------------------------------------------------------------- (unaudited) Net asset value, beginning of period........ $ 12.430 $ 12.770 $ 12.870 $ 13.010 $ 12.550 $ 12.630 --------- --------- --------- --------- --------- --------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income(1) ................ $ 0.218 $ 0.465 $ 0.453 $ 0.483 $ 0.639 $ 0.709 (2) Net realized and unrealized gain (loss).. (0.383) (0.271) (0.011) (0.066) 0.461 (0.090)(2) --------- --------- --------- --------- --------- --------- Total income from investment operations $ (0.165) $ 0.194 $ 0.442 $ 0.417 $ 1.100 $ 0.619 --------- --------- --------- --------- --------- --------- LESS DISTRIBUTIONS: Distributions from investment income..... $ (0.265) $ (0.534) $ (0.542) $ (0.557) $ (0.640) $ (0.699) --------- --------- --------- --------- --------- --------- Total distributions.................... $ (0.265) $ (0.534) $ (0.542) $ (0.557) $ (0.640) $ (0.699) --------- --------- --------- --------- --------- --------- Net asset value, end of period.............. $ 12.000 $ 12.430 $ 12.770 $ 12.870 $ 13.010 $ 12.550 ========= ========= ========== ========= ========= ========= TOTAL RETURN(3) ............................ -1.27% 1.54% 3.52% 3.25% 9.03% 4.96% RATIOS/SUPPLEMENTAL DATA(1): Net assets, end of period (000 omitted).. $ 34,774 $ 41,288 $ 38,213 $ 42,317 $ 39,404 $ 50,620 Ratio of net expenses to average net assets 0.99%(6) 0.98% 0.96% 0.95% 0.96% 0.96% Ratio of net expenses after custodian fee reduction to average net assets(4)(5) . 0.95%(6) 0.95% 0.95% 0.95% 0.95% 0.95% Ratio of net investment income to average net assets............................ 3.80%(6) 3.66% 3.58% 3.67% 4.92% 5.44% Portfolio turnover rate.................. 37% 86% 64% 131% 68% 38% ---------------------------------------------------------------------------------------------------------------------------------- (1)For the six months ended June 30, 2006 and for the years ended December 31, 2005, 2004, 2003, 2002, and 2001, the operating expenses of the fund were reduced by an allocation of expenses to the investment adviser, and/or a reduction in distribution expenses by the distributor. Had such action not been undertaken, net investment income per share and the ratios would have been as follows: 2006 2005 2004 2003 2002 2001 ---------------------------------------------------------------------- Net investment income per share.......... $ 0.217 $ 0.439 $ 0.429 $ 0.455 $ 0.621 $ 0.701 ========= ========= ========= ========= ========= ========= Ratios (As a percentage of average net assets): Expenses............................... 1.20%(6) 1.18% 1.18% 1.17% 1.09% 1.02% ========= ========= ========= ========= ========= ========= Expenses after custodian fee reduction(4) 1.16%(6) 1.15% 1.17% 1.17% 1.08% 1.01% ========= ========= ========= ========= ========= ========= Net investment income.................. 3.59%(6) 3.46% 3.36% 3.46% 4.78% 6.38% ========= ========= ========= ========= ========= ========= ---------------------------------------------------------------------------------------------------------------------------------- (2)Reporting guidelines require the funds to disclose the effects of implementing the change in accounting for amortization of premium and discount on debt securities. If adjustments were not made, net investment income per share would have been $0.716 and net realized and unrealized gain (loss) per share would have been $(0.097). (3)Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each year reported. Dividends and distributions, if any, are assumed to be reinvested at the net asset value on the reinvestment date. (4)Custodian fees were reduced by credits resulting from cash balances the fund maintained with the custodian (Note 1C). The computation of net expenses to average daily net assets reported above is computed without consideration of such credits. (5)Under a written agreement, Wright waives all or a portion of either its advisory and/or distribution fees and assumes operating expenses to the extent necessary to limit expense ratios to 0.95% after custodian fee credits are applied. (6) Annualized. See notes to financial statements
WRIGHT CURRENT INCOME FUND (WCIF) ------------------------------------------------------------------------------- PORTFOLIO OF INVESTMENTS - JUNE 30, 2006 (unaudited) Face Coupon Maturity Market Current Amount Description Rate Date Price Value Yield ---------------------------------------------------------------------------------------------------------------------------------- ASSET - BACKED SECURITIES - 7.4% -------------------------------- $ 854,084 Chase Mortgage Finance Corporation, Series 2003-S3, Class A16 5.000% 11-25-33 $ 95.02 $ 811,511 5.3% 1,598,384 Countrywide Home Loans, Series 2006-J1, Class 3A1 6.000% 02-25-36 97.96 1,565,729 6.1% MORTGAGE-BACKED SECURITIES - 89.8% ---------------------------------- $ 6,579 FHLMC Gold Balloon #M90724 5.500% 05-01-07 $ 99.97 $ 6,577 5.5% 145,279 FHLMC Gold Balloon #M90767 4.500% 11-01-07 98.65 143,318 4.6% 79,032 FHLMC Gold Balloon #M90802 4.000% 03-01-08 96.56 76,309 4.1% 177,832 FHLMC Gold Pool #C00778 7.000% 06-01-29 102.46 182,205 6.8% 252,995 FHLMC Gold Pool #C47318 7.000% 09-01-29 103.67 262,275 6.8% 174,804 FHLMC Gold Pool #E00678 6.500% 06-01-14 101.18 176,869 6.4% 181,109 FHLMC Gold Pool #E00721 6.500% 07-01-14 101.18 183,248 6.4% 148,908 FHLMC Gold Pool #G00812 6.500% 04-01-26 101.07 150,500 6.4% 322,296 FHLMC Pool #11636 5.000% 01-01-19 96.51 311,038 5.2% 135,979 FHLMC Pool #765183 5.818% 08-01-24 100.41 136,540 5.8% 62,422 FHLMC Pool #C00548 7.000% 08-01-27 102.58 64,031 6.8% 247,590 FHLMC Pool #D82572 7.000% 09-01-27 102.58 253,969 6.8% 531,077 FHLMC, Series 15, Class L 7.000% 07-25-23 102.43 543,968 6.8% 29,865 FNMA Pool #254227 5.000% 02-01-09 97.92 29,245 5.1% 28,650 FNMA Pool #254505 5.000% 11-01-09 97.92 28,055 5.1% 128,028 FNMA Pool #535131 6.000% 03-01-29 98.94 126,676 6.1% 174,528 FNMA Pool #545133 6.500% 12-01-28 100.99 176,248 6.4% 121,178 FNMA Pool #663689 5.000% 01-01-18 96.56 117,005 5.2% 576,682 FNMA Pool #673315 5.500% 11-01-32 96.52 556,587 5.7% 159,862 FNMA Pool #701043 4.033% 04-01-33 98.28 157,112 4.1% 366,316 FNMA Pool #729950 6.000% 12-01-33 98.76 361,783 6.1% 64,996 FNMA Pool #733750 6.310% 10-01-32 100.13 65,080 6.3% 592,929 FNMA Pool #801357 5.500% 08-01-34 96.52 572,267 5.7% 654,852 FNMA Pool #816108 5.500% 05-01-35 96.15 629,630 5.7% 422,169 FNMA Pool #816468 5.000% 03-01-20 96.37 406,849 5.2% 602,069 FNMA Pool #821574 6.000% 06-01-35 98.53 593,241 6.1% 1,188,414 FNMA Pool# 255669 4.500% 02-01-35 90.69 1,077,768 5.0% 622,544 FNMA, Series G93-5, Class Z 6.500% 02-25-23 100.58 626,169 6.5% 4,281 GNMA II Pool #1596 9.000% 04-20-21 107.54 4,604 8.4% 65,457 GNMA II Pool #2268 7.500% 08-20-26 104.07 68,121 7.2% 7,027 GNMA II Pool #2855 8.500% 12-20-29 107.07 7,524 7.9% 593,406 GNMA II Pool #3259 5.500% 07-20-32 96.70 573,841 5.7% 391,134 GNMA II Pool #3284 5.500% 09-20-32 96.70 378,238 5.7% 123,247 GNMA II Pool #3484 3.500% 09-20-33 82.51 101,689 4.2% 116,380 GNMA II Pool #601135 6.310% 09-20-32 100.20 116,607 6.3% 133,894 GNMA II Pool #601255 6.310% 01-20-33 100.16 134,102 6.3% 113,703 GNMA II Pool #608120 6.310% 01-20-33 100.16 113,880 6.3% 42,758 GNMA II Pool #723 7.500% 01-20-23 103.90 44,426 7.2% 3,037,444 GNMA II Pool# 3734 4.500% 07-20-35 90.84 2,759,104 5.0% 612,617 GNMA II Pool# 648541 6.000% 10-20-35 98.85 605,572 6.1% 49 GNMA Pool #012526 8.000% 11-15-06 100.33 49 8.0% 192,595 GNMA Pool #081161 5.500% 11-20-34 98.85 190,372 5.6% 5,913 GNMA Pool #172558 9.500% 08-15-16 108.46 6,413 8.8% 2,376 GNMA Pool #176992 8.000% 11-15-16 105.01 2,495 7.6% 2,671 GNMA Pool #177784 8.000% 10-15-16 105.01 2,805 7.6% 12,572 GNMA Pool #192357 8.000% 04-15-17 105.22 13,229 7.6% 19,087 GNMA Pool #194057 8.500% 04-15-17 107.06 20,434 7.9% 5,243 GNMA Pool #194287 9.500% 03-15-17 108.81 5,705 8.7% 1,532 GNMA Pool #196063 8.500% 03-15-17 107.06 1,640 7.9% 7,709 GNMA Pool #211231 8.500% 05-15-17 107.06 8,253 7.9% 4,579 GNMA Pool #212601 8.500% 06-15-17 107.06 4,902 7.9% 4,337 GNMA Pool #220917 8.500% 04-15-17 107.06 4,644 7.9% 8,737 GNMA Pool #223348 10.000% 08-15-18 109.51 9,568 9.1% 13,115 GNMA Pool #228308 10.000% 01-15-19 109.50 14,362 9.1% 3,000 GNMA Pool #230223 9.500% 04-15-18 109.11 3,273 8.7% 868 GNMA Pool #247473 10.000% 09-15-18 104.20 904 9.6% 3,684 GNMA Pool #247872 10.000% 09-15-18 109.51 4,034 9.1% 4,391 GNMA Pool #251241 9.500% 06-15-18 109.11 4,791 8.7% 5,732 GNMA Pool #260999 9.500% 09-15-18 109.11 6,254 8.7% 5,926 GNMA Pool #263439 10.000% 02-15-19 109.50 6,490 9.1% 1,511 GNMA Pool #265267 9.500% 08-15-20 109.60 1,656 8.7% 1,944 GNMA Pool #266983 10.000% 02-15-19 109.50 2,128 9.1% 3,180 GNMA Pool #273690 9.500% 08-15-19 109.37 3,478 8.7% 1,559 GNMA Pool #286556 9.000% 03-15-20 107.79 1,680 8.3% 4,933 GNMA Pool #301366 8.500% 06-15-21 107.72 5,314 7.9% 5,945 GNMA Pool #302933 8.500% 06-15-21 107.72 6,404 7.9% 11,591 GNMA Pool #308792 9.000% 07-15-21 107.94 12,511 8.3% 3,617 GNMA Pool #314222 8.500% 04-15-22 107.87 3,902 7.9% 3,804 GNMA Pool #315187 8.000% 06-15-22 105.92 4,029 7.6% 14,193 GNMA Pool #315754 8.000% 01-15-22 105.92 15,033 7.6% 29,056 GNMA Pool #319441 8.500% 04-15-22 107.87 31,342 7.9% 9,734 GNMA Pool #325165 8.000% 06-15-22 105.92 10,310 7.6% 15,626 GNMA Pool #335950 8.000% 10-15-22 105.92 16,551 7.6% 245,510 GNMA Pool #346987 7.000% 12-15-23 103.17 253,288 6.8% 116,225 GNMA Pool #352001 6.500% 12-15-23 101.45 117,908 6.4% 53,384 GNMA Pool #352110 7.000% 08-15-23 103.17 55,075 6.8% 2,156,514 GNMA Pool #3556 5.500% 05-20-34 96.64 2,084,011 5.7% 98,978 GNMA Pool #368238 7.000% 12-15-23 103.17 102,114 6.8% 51,535 GNMA Pool #372379 8.000% 10-15-26 106.24 54,750 7.5% 62,513 GNMA Pool #396537 7.490% 03-15-25 104.68 65,436 7.2% 71,036 GNMA Pool #399964 7.490% 04-15-26 104.73 74,392 7.2% 95,410 GNMA Pool #410215 7.500% 12-15-25 104.71 99,901 7.2% 18,626 GNMA Pool #414736 7.500% 11-15-25 104.71 19,503 7.2% 62,040 GNMA Pool #420707 7.000% 02-15-26 103.30 64,085 6.8% 36,274 GNMA Pool #421829 7.500% 04-15-26 104.76 38,000 7.2% 19,481 GNMA Pool #431036 8.000% 07-15-26 106.24 20,697 7.5% 73,265 GNMA Pool #431612 8.000% 11-15-26 106.24 77,834 7.5% 64,582 GNMA Pool #438004 7.490% 11-15-26 104.73 67,634 7.2% 20,182 GNMA Pool #442190 8.000% 12-15-26 106.24 21,441 7.5% 23,469 GNMA Pool #449176 6.500% 07-15-28 101.58 23,839 6.4% 58,061 GNMA Pool #462623 6.500% 03-15-28 101.58 58,977 6.4% 415,312 GNMA Pool #471369 5.500% 05-15-33 97.08 403,189 5.7% 113,739 GNMA Pool #475149 6.500% 05-15-13 101.75 115,730 6.4% 145,982 GNMA Pool #489377 6.375% 03-15-29 101.02 147,471 6.3% 51,063 GNMA Pool #538314 7.000% 02-15-32 103.19 52,691 6.8% 395,903 GNMA Pool #595606 6.000% 11-15-32 99.38 393,437 6.0% 63,863 GNMA Pool #602377 4.500% 06-15-18 95.36 60,900 4.7% 708,386 GNMA Pool #603250 5.500% 04-15-34 97.04 687,445 5.7% 55,492 GNMA Pool #603377 4.500% 01-15-18 95.36 52,917 4.7% 970,381 GNMA Pool #608639 5.500% 07-15-24 97.43 945,426 5.6% 217,999 GNMA Pool #609452 4.000% 08-15-33 88.44 192,797 4.5% 581,911 GNMA Pool #616829 5.500% 01-15-25 98.44 572,806 5.6% 805,242 GNMA Pool #631623 5.500% 08-15-34 97.04 781,439 5.7% 839,844 GNMA Pool #640225 5.500% 04-15-35 97.00 814,688 5.7% 1,842,983 GNMA Pool #640940 5.500% 05-15-35 97.00 1,787,780 5.7% 85,304 GNMA Pool #780429 7.500% 09-15-26 104.73 89,342 7.2% 46,555 GNMA Pool# 399726 7.490% 05-15-25 104.68 48,732 7.2% 181,115 GNMA Pool# 399788 7.490% 09-15-25 104.68 189,584 7.2% 90,698 GNMA Pool# 399958 7.490% 02-15-27 104.77 95,023 7.1% 139,223 GNMA Pool# 524811 6.375% 09-15-29 101.02 140,643 6.3% 490,383 GNMA Pool# 624600 6.150% 01-15-34 99.81 489,428 6.2% 1,420,999 GNMA Pool# 651026 5.500% 12-15-25 97.38 1,383,713 5.6% 1,833,146 GNMA Series 1999-4, Class ZB 6.000% 02-20-29 99.60 1,825,850 6.0% 750,000 GNMA Series 2002-47, Class PG 6.500% 07-16-32 101.77 763,250 6.4% 359,887 GNMA Series 2002-7, Class PG 6.500% 01-20-32 101.16 364,047 6.4% U.S. GOVERNMENT AGENCIES - 1.5% ------------------------------- $ 500,000 FFCB 5.050% 07-05-06 $ 99.94 $ 499,719 5.1% ----------- TOTAL INVESTMENTS (identified cost, $32,158,900)-- 98.7% $31,921,397 OTHER ASSETS, LESS LIABILITIES-- 1.3% 418,143 ----------- NET ASSETS-- 100.0% $32,339,540 =========== FFCB - Federal Farm Credit Bank FHLMC - Federal Home Loan Mortgage Corporation FNMA - Federal National Mortgage Association GNMA - Government National Mortgage Association See notes to financial statements
WRIGHT CURRENT INCOME FUND ------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES June 30, 2006 (unaudited) ------------------------------------------------------------------------------- ASSETS: Investments, at value (identified cost of (32,158,900)(Note 1A) $ 31,921,397 Cash.................................... 749,445 Receivable for investments sold......... 1,088 Receivable for fund shares sold......... 29,449 Receivable from investment adviser...... 5,818 Interest receivable..................... 153,123 Prepaid expenses........................ 19,974 ------------ Total assets.......................... $ 32,880,294 ------------ LIABILITIES: Payable for fund shares reacquired...... $ 474,310 Distributions payable................... 45,041 Payable to affiliate for Trustees' fees. 36 Transfer agent fee ..................... 3,167 Accrued expenses and other liabilities.. 18,200 ------------ Total liabilities..................... $ 540,754 ------------ NET ASSETS................................ $ 32,339,540 ============ NET ASSETS CONSIST OF: Proceeds from sales of shares (including the market value of securities received in exchange for fund shares and shares issued to shareholders in payment of distributions declared), less cost of shares reacquired................... $ 32,360,194 Accumulated undistributed net realized gain on investments (computed on the basis of identified cost)....................... 246,627 Unrealized depreciation on investments (computed on the basis of identified cost) (237,503) Accumulated undistributed net investment income................................. (29,778) ------------ Net assets applicable to outstanding shares $ 32,339,540 ============ SHARES OF BENEFICIAL INTEREST OUTSTANDING........................... 3,472,391 ============ NET ASSET VALUE, OFFERING PRICE, AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST................... $ 9.31 ============ See notes to financial statements STATEMENT OF OPERATIONS Six Months Ended June 30, 2006 (unaudited) ------------------------------------------------------------------------------- INVESTMENT INCOME (Note 1B): Interest income........................ $ 866,861 ------------ Expenses - Investment adviser fee (Note 3)........ $ 73,906 Administrator fee (Note 3)............. 14,781 Compensation of Trustees not employees of the investment adviser or administrator 6,498 Custodian fee (Note 1C)................ 28,864 Distribution expenses (Note 4)......... 41,059 Transfer and dividend disbursing agent fees 9,262 Printing............................... 1,353 Interest expense....................... 3,692 Shareholder communications............. 1,960 Audit services......................... 15,582 Legal services......................... 2,534 Registration costs..................... 13,906 Miscellaneous.......................... 2,838 ------------ Total expenses........................ $ 216,235 ------------ Deduct - Reduction of custodian fee (Note 1C):.. $ (1,840) Allocation of expenses to investment adviser (Note 3)........... (5,818) Reduction of management fee (Note 3)... (12,138) Reduction of distribution expenses by principal underwriter (Note 4)..... (41,059) ------------ Total deductions...................... $ (60,855) ------------ Net expenses.......................... $ 155,380 ------------ Net investment income............... $ 711,481 ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on investment transactions (identified cost basis)................ $ 287,389 Change in unrealized depreciation of investments......................... (1,175,347) ------------ Net realized and unrealized loss of investments........................ $ (887,958) ------------ Net decrease in net assets from operations $ (176,477) ============ See notes to financial statements WRIGHT CURRENT INCOME FUND (WCIF) ------------------------------------------------------------------------------- Six Months Ended Year Ended STATEMENTS OF CHANGES IN NET ASSETS June 30, 2006 December 31, 2005 ------------------------------------------------------------------------------------------------------------------------------- (unaudited) INCREASE (DECREASE) IN NET ASSETS: From operations - Net investment income...................................................... $ 711,481 $ 1,454,647 Net realized gain on investments........................................... 287,389 404,721 Change in unrealized depreciation on investments........................... (1,175,347) (1,232,166) -------------- -------------- Net increase (decrease) in net assets resulting from operations.......... $ (176,477) $ 627,202 -------------- -------------- Distributions to shareholders (Note 2) - From net investment income................................................. $ (791,501) $ (1,558,214) From net realized gain..................................................... (59,861) (69,145) -------------- -------------- Total distributions...................................................... $ (851,362) $ (1,627,359) -------------- -------------- Net decrease in net assets from fund share transactions (Note 5)............. $ (493,533) $ (151,834) -------------- -------------- Net decrease in net assets............................................... $ (1,521,372) $ (1,151,991) NET ASSETS: At beginning of period....................................................... 33,860,912 35,012,903 -------------- -------------- At end of period............................................................. $ 32,339,540 $ 33,860,912 ============== ============== UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT END OF PERIOD............................................... $ (29,778) $ 50,242 ============== ============== See notes to financial statements
WRIGHT CURRENT INCOME FUND (WCIF) ------------------------------------------------------------------------------- Six Months Ended Year Ended December 31, ------------------------------------------------------------------------------ FINANCIAL HIGHLIGHTS June 30, 2006 2005 2004 2003 2002 2001(2) ----------------------------------------------------------------------------------------------------------------------------- (unaudited) Net asset value, beginning of period........ $ 9.610 $ 9.890 $ 10.490 $ 10.810 $ 10.580 $ 10.460 --------- --------- --------- --------- --------- --------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income(1) ............... $ 0.197 $ 0.400 $ 0.447 $ 0.417 $ 0.565 $ 0.616 Net realized and unrealized gain (loss).. (0.260) (0.230) (0.112) (0.235) 0.231 0.120 --------- --------- --------- --------- --------- --------- Total income from investment operations $ (0.063) $ 0.170 $ 0.335 $ 0.182 $ 0.796 $ 0.736 --------- --------- --------- --------- --------- --------- LESS DISTRIBUTIONS: Distributions from investment income..... $ (0.220) $ (0.430) $ (0.482) $ (0.502) $ (0.555) $ (0.616) Distributions from capital gains......... (0.017) (0.020) (0.453) - - -- Tax return of capital.................... - - - - (0.011) -- --------- --------- --------- --------- --------- --------- Total distributions.................. $ (0.237) $ (0.450) $ (0.935) $ (0.502) $ (0.566) $ (0.616) --------- --------- --------- --------- --------- --------- Net asset value, end of period.............. $ 9.310 $ 9.610 $ 9.890 $ 10.490 $ 10.810 $ 10.580 ========= ========= ========= ========= ========= ========= TOTAL RETURN(3) ............................ -0.59% 1.76% 3.29% 1.73% 7.70% 7.18% RATIOS/SUPPLEMENTAL DATA(1): Net assets, end of period (000 omitted).. $ 32,340 $ 33,861 $ 35,013 $ 36,332 $ 59,077 $54,966 Ratio of net expenses to average net assets 0.96%(8) 0.97% 0.97% 0.95% 0.97%(5) 0.95%(5) Ratio of net expenses after custodian fee reduction to average net assets(6) (7) 0.95%(8) 0.95% 0.95% 0.95% 0.95%(5) -- Interest expense......................... 0.02% 0.01% 0.02% 0.01% -- -- Ratio of net investment income to average net assets................. 4.33%(8) 4.12% 4.29% 4.43% 5.28% 5.83% Portfolio turnover rate ................. 43% 103% 27% 20% 36%(4) 4%(4) --------------------------------------------------------------------------------------------------------------------------------- (1)For the six months ended June 30, 2006 and for the years ended December 31, 2005, 2004, 2003, 2002, and 2001, the operating expenses of the fund were reduced by an allocation of expenses to the investment adviser or a reduction in distribution expense by the distributor. Had such action not been undertaken, net investment income per share and the ratios would have been as follows: 2006 2005 2004 2003 2002 2001 ---------------------------------------------------------------------- Net investment income per share........ $ 0.186 $ 0.369 $ 0.410 $ 0.401 $ 0.555 $ 0.609 ========= ========= ========= ========= ========= ========= Ratios (As a percentage of average net assets): Expenses ............................ 1.32%(8) 1.30% 1.28% 1.12% 1.06%(5) 1.02%(5) ========= ========= ========= ========= ========= ========= Expenses after custodian fee reduction 1.31%(7)(8) 1.28%(7) 1.25%(7) 1.12% 1.04%(5)(7) -- ========= ========= ========= ========= ========= ========= Interest expense..................... 0.02% 0.01% 0.02% 0.01% -- -- ========= ========= ========= ========= ========= ========= Net investment income................ 3.97%(8) 3.80% 3.99% 4.26% 5.19% 5.76% =========== ========= ========= ========= ========= ========= -------------------------------------------------------------------------------------------------------------------------------- (2)Certain of the per share data are based on average shares outstanding. (3)Total investment return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. Dividends and distributions, if any, are assumed to be reinvested at the net asset value on the reinvestment date. (4)Represents portfolio turnover rate at the fund's corresponding portfolio (Note 1). (5)Includes each fund's share of its corresponding portfolio's allocated expenses (Note 1). (6)Under a written agreement in effect for the current fiscal year, Wright waives all or a portion of either its advisory and/or distribution fees and assumes operating expenses to the extent necessary to limit expense ratios to 0.95% after custodian fee credits are applied. (7)Custodian fees were reduced by credits resulting from cash balances the fund and/or the portfolio maintained with the custodian (Note 1C). The computation of net expenses to average daily net assets reported above is computed without consideration of such credits. (8)Annualized. See notes to financial statements
WRIGHT MANAGED INCOME TRUST ------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (unaudited) (1) SIGNIFICANT ACCOUNTING POLICIES The Wright Managed Income Trust (the Trust), issuer of Wright U.S. Government Near Term Fund (WNTB) series, Wright Total Return Bond Fund (WTRB) series, and Wright Current Income Fund (WCIF) series (collectively, the Funds), is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end, management investment company. WNTB seeks a high level of income, which is normally above that available from short-term money market instruments or funds. WTRB seeks a superior rate of total return, consisting of a high level of income plus price appreciation. WCIF seeks a high level of current income consistent with moderate fluctuations of principal. Prior to December 20, 2002, WNTB and WCIF invested all of their investable assets in interests in a separate corresponding open-end management investment company (a Portfolio), a New York Trust, having the same investment objective as its corresponding fund. Subsequent to December 20, 2002, the Funds invest directly in securities rather than through the Portfolio and maintain the same investment objective. The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America. A. Investment Valuations - Investments for which market quotations are readily available are valued at current market value as furnished by a pricing service. Investments for which valuations are not readily available will be appraised at their fair value as determined in good faith by or at the direction of the Trustees. Short-term obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. B. Interest Income - Interest income consists of interest accrued and discount earned (including both original issue and market discount) and amortization of premium or discount on long-term debt securities. The income is accrued ratably to the date of maturity on the investments of the funds. C. Expense Reduction - Investors Bank & Trust Company (IBT) serves as custodian to the Funds. Pursuant to the custodian agreement, IBT receives a fee reduced by credits which are determined based on the average daily cash balance the Funds maintain with IBT. All credit balances, if any, used to reduce the Fund's custodian fees are reported as a reduction of total expenses on the Statement of Operations. D. Federal Taxes - The Trust's policy is to comply with the provisions of the Internal Revenue Code (the Code) available to regulated investment companies and to distribute to shareholders each year all of its taxable income, including any net realized gain on investments. Accordingly, no provision for federal income or excise tax is necessary. At December 31, 2005, the Trust, for federal income tax purposes, had capital loss carryovers of $1,584,491 (WNTB) and $2,024,032 (WTRB) which will reduce taxable income arising from future net realized gain on investments, if any, to the extent permitted by the Code, and thus will reduce the amount of the distribution to shareholders which would otherwise be necessary to relieve the respective fund of any liability for federal income or excise tax. Pursuant to the Code, such capital loss carryovers will expire as follows: 12/31 WNTB WTRB WCIF ------------------------------------------------------------------------- 2006 $37,825 $ - $ - 2007 297,581 - - 2008 273,806 1,244,473 - 2010 - 508,606 - 2012 505,639 - - 2013 469,640 270,953 - At December 31, 2005, net capital losses of $9,094 for WNTB, $136,116 for WTRB and $38,352 for WCIF, attributable to security transactions incurred after October 31, 2005, were treated as arising on the first day of the fund's current taxable year. E. Use of Estimates - The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenue and expense during the reporting period. Actual results could differ from those estimates. F. Other - Investment transactions are accounted for on the date the investments are purchased or sold. G. Interim Financial Statements - The interim financial statements relating to June 30, 2006 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Trust's management, reflect all recurring adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements. (2) DISTRIBUTIONS Each Fund's policy is to determine net income once daily, as of the close of the New York Stock Exchange and the net income so determined is substantially declared as a dividend to shareholders of record at the time of such determination. Distributions of realized capital gains are made at least annually. Shareholders may reinvest capital gain distributions in additional shares of the same fund at the net asset value as of the ex-dividend date. Dividends may be reinvested in additional shares of the same fund at the net asset value as of the payable date. The Trust requires that differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over distributions for financial statement purposes be classified as distributions in excess of net investment income or accumulated net realized gains. Distributions in excess of tax basis earnings and profits, if any, are reported in the financial statements as a return of capital. Permanent differences between book and tax accounting for certain items may result in reclassification of these items. (3) INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES The Trust has engaged Wright Investors' Service, Inc. (Wright) to act as investment adviser to the Funds pursuant to the respective Investment Advisory Contracts. Wright furnishes each Fund with investment management, investment advisory, and other services. For its services, Wright is compensated based upon a percentage of average daily net assets which rate is adjusted as average daily net assets exceed certain levels. For the six months ended June 30, 2006, the effective annual rate for WNTB, WCIF, and WTRB was 0.45%. Under a written agreement, Wright Investors' Service and/or Wright Investors' Service Distributors, Inc., waive a portion of their advisory fee and/or distribution fees and assume operating expenses to the extent necessary to limit each Fund's expense ratios to 0.95% after custodian fee reductions, if any. Accordingly, Wright made a reduction of its investment adviser fee by $24,153 and $12,138 on behalf of WNTB and WCIF, respectively (Note 4). In addition, Wright has been allocated expenses of $13,669 and $5,818 on behalf of WNTB and WCIF, respectively. The Trust also has engaged Eaton Vance Management (Eaton Vance) to act as administrator of the Trust. Under the Administration Agreement, Eaton Vance is responsible for managing the business affairs of the Trust and is compensated based upon a percentage of average daily net assets of each Fund which rate is reduced as average daily net assets exceed certain levels. For the six months ended June 30, 2006, the effective annual rate was 0.09% for WNTB, 0.07% for WTRB, and 0.09% for WCIF. Certain of the Trustees and officers of the Trust are directors/trustees and/or officers of the above organizations. Except as to Trustees of the Trust who are not employees of Eaton Vance or Wright, Trustees and officers received remuneration for their services to the Trust out of fees paid to Eaton Vance and Wright. (4) DISTRIBUTION EXPENSES The Trustees have adopted a Distribution Plan (the Plan) pursuant to Rule 12b-1 of the Investment Company Act of 1940. The Plan provides that each of the Funds will pay Wright Investors' Service Distributors, Inc. (Principal Underwriter), a wholly-owned subsidiary of The Winthrop Corporation, at an annual rate of 0.25% of the average daily net assets of each Fund for activities primarily intended to result in the sale of each Fund's shares. Pursuant to a written agreement (Note 3), the Principal Underwriter made a reduction of its fee by $21,576, $42,787, and $41,059 for the benefit of WNTB, WTRB and WCIF, respectively. In addition, the Trustees have adopted a service plan (the Service Plan) which allows the funds to reimburse the Principal Underwriter for payments to intermediaries for providing account administration and personal and account maintenance services to their customers who are beneficial owners of each Fund's shares. The amount of service fee payable under the Service Plan may not exceed 0.25% annually of each Fund's average daily net assets. For the six months ended June 30, 2006, the Funds did not accrue or pay any service fees. (5) SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows: For the Six Months Ended Year Ended June 30, 2006 December 31, 2005 ----------------------------------------------------------------- Shares Amount Shares Amount -------------------------------------------------------------------------------------------------------------------------------- Wright U.S. Government Near Term Fund-- Sold................................................. 307,362 $ 2,991,869 308,569 $ 3,047,973 Issued to shareholders in payment of distributions declared............................................ 22,265 216,916 47,224 465,559 Redemptions.......................................... (637,721) (6,207,686) (618,843) (6,107,292) ----------- -------------- ----------- -------------- Net decrease..................................... (308,094) $ (2,998,901) (263,050) $ (2,593,760) =========== ============== =========== ============== Wright Total Return Bond Fund-- Sold................................................. 325,906 $ 4,002,428 652,090 $ 8,236,968 Issued to shareholders in payment of distributions declared............................................ 57,864 704,533 106,865 1,346,413 Redemptions.......................................... (808,644) (9,793,533) (430,129) (5,420,722) ----------- -------------- ----------- -------------- Net increase (decrease).......................... (424,874) $ (5,086,572) 328,826 $ 4,162,659 =========== ============== =========== ============== Wright Current Income Fund-- Sold................................................. 446,103 $ 4,220,906 1,064,067 $ 10,372,941 Issued to shareholders in payment of distributions declared............................................ 56,783 536,167 102,779 998,494 Redemptions.......................................... (555,355) (5,250,606) (1,183,110) (11,523,269) ----------- -------------- ----------- -------------- Net decrease..................................... (52,469) $ (493,533) (16,264) $ (151,834) =========== ============== =========== ==============
(6) INVESTMENT TRANSACTIONS The Trust invests primarily in debt securities. The ability of the issuers of the debt securities held by the Trust to meet their obligations may be affected by economic developments in a specific industry or municipality. Purchases and sales and maturities of investments, other than short-term obligations, were as follows: Six Months Ended June 30, 2006 ------------------------------------------------- WNTB WTRB WCIF ------------------------------------------------------------------------------- Purchases-- Non-U.S. Obligations $ - $ 2,812,884 $ 2,399,115 ========== ========== ========== U.S.Gov't Obligation $ 7,421,202 $11,523,648 $11,559,863 ========== ========== ========== Sales-- Non-U.S. Obligations $ - $ 5,334,497 $ 24,464 ========== ========== ========== U.S.Gov't Obligations $10,922,293 $13,837,486 $14,959,433 ========== ========== ========== ------------------------------------------------------------------------------- (7)FEDERAL INCOME TAX BASIS OF INVESTMENT SECURITIES The cost and unrealized appreciation (depreciation) of the investment securities owned at June 30, 2006, as computed on a federal income tax basis, are as follows: WNTB WTRB WCIF ------------------------------------------------------------------------------- Aggregate cost $14,996,344 $35,525,724 $31,668,834 =========== =========== =========== Gross unrealized appreciation 224 57,846 691,961 Gross unrealized depreciation (265,265) (1,327,869) (939,117) ----------- ----------- ----------- Net unrealized depreciation $ (265,041) $(1,270,023) $ (247,156) =========== =========== =========== ------------------------------------------------------------------------------- (8) LINE OF CREDIT The Funds participate with other Funds managed by Wright in a committed $10 million unsecured line of credit agreement with a bank. The Funds may temporarily borrow from the line of credit to satisfy redemption requests or settle investment transactions. Interest is charged to each Fund based on its borrowings at an amount above the federal funds rate. In addition, a fee computed at an annual rate of 0.10% on the average daily unused portion of the $10 million line of credit, is allocated among the participating funds at the end of each quarter. The Funds did not have significant borrowings or allocated fees during the six months ended June 30, 2006. BOARD OF TRUSTEES ANNUAL APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT In evaluating the Investment Advisory Contracts, the Independent Trustees met separately from the Interested Trustees and reviewed and considered materials furnished by Wright, including information regarding Wright, its affiliates and personnel, operations and financial condition. The Independent Trustees discussed with representatives of Wright the portfolio management and operations of the funds and the capabilities of Wright to provide advisory and other services to each fund. The Independent Trustees considered, among other things, the following: EQUITY FUNDS AND INCOME FUNDS ------------------------------- o Whether the advisory arrangements are fair and reasonable relative to possible alternative arrangements. The Trustees concluded that the advisory fees paid by the funds are reasonable. o Whether advisory services are being provided as agreed to. The Trustees concluded that the services being provided by the adviser are as agreed to in the advisory contract. o Whether compensation paid by a Fund to the adviser is fair and reasonable in relation to the services provided and the charges by other advisers for similar services. The Trustees concluded that the compensation paid by the funds to the adviser is in the average range of compensation charged by other advisers for similar services and is reasonable. o Fees and expense ratios compared to similar funds. The Trustees concluded that the expense ratios of the funds are lower than the average for similar funds. o Performance and relationship of fees and performance. The Trustees concluded that in most cases the performance results of the funds were at least in the mid-range of similar funds while their expense ratios were generally lower. o Analysis of each Fund's profitability to the adviser. The Trustees concluded that the profitability to the adviser of each fund was reasonable and not excessive. o The adviser's financial condition and the overall organization of the adviser. o Sales and redemption data. The Trustees reviewed the information which had been provided to them relating to sales and redemptions and Wright's marketing strategies to try to increase assets under management. o The economic outlook and the general investment outlook in the relevant investment markets. The Trustees have received a presentation on the overall economic outlook and investment outlook of both equity and income markets at each Board meeting. o The resources devoted to compliance efforts undertaken by the adviser and the record of compliance with investment policies and restrictions and with policies on personal securities transactions. The Trustees have approved and met separately with the fund's Chief Compliance Officer. ADDITIONAL CONSIDERATIONS FOR EQUITY FUNDS ------------------------------------------ o The allocation of brokerage and any benefits received by the adviser as a result of brokerage allocation. The Trustees reviewed the Trading Analysis included in the material provided in advance of the meeting. The Independent Trustees' Committee did not consider any single factor as controlling in their consideration of the renewal of the Investment Advisory Contracts, nor are the considerations described above all encompassing. Based on their consideration of all factors which they considered material, and with the assistance of independent counsel, the Independent Trustees' Committee concluded that the renewal of the Investment Advisory Contract with its current fee structure is in the interests of the shareholders. IMPORTANT NOTICES REGARDING PRIVACY, DELIVERY OF SHAREHOLDER DOCUMENTS, PORTFOLIO HOLDINGS AND PROXY VOTING Wright Managed Investment Funds Wright Investors Service, Inc. Wright Investors' Service Distributors, Inc. Eaton Vance Management PRIVACY POLICY ------------------------- Wright is committed to ensuring your financial privacy. Each of the above financial institutions has the following policy in effect with respect to nonpublic personal information about its customers: o The only such information we collect is information received from customers, through application forms or otherwise, and information which we necessarily receive in connection with your Wright fund transactions. o We will not disclose this information to anyone except as required or permitted by law. Such disclosure includes that made to other companies such as transfer agents and their employees and to our employees, in each case as necessary to service your account. o We have adopted policies and procedures (including physical, electronic and procedural safeguards) that are designed to protect the confidentiality of this information. For more information about Wright's privacy policies please feel free to call 1-800-888-9471. IMPORTANT NOTICE REGARDING DELIVERY OF SHAREHOLDERS DOCUMENTS ------------------------------------------------------------------ The Securities and Exchange Commission permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called "householding" and it helps eliminate duplicate mailings to shareholders. Wright, or your financial adviser, may household the mailing of your documents indefinitely unless you instruct Wright, or your financial adviser, otherwise. If you would prefer that your Wright documents not be householded, please contact Wright at 1-800-888-9471, or your financial adviser. Your instructions that householding not apply to delivery of your Wright documents will be effective within 30 days of receipt by Wright or your financial adviser. PORTFOLIO HOLDINGS --------------------------- Each Wright Fund will file a schedule of its portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Wright website www.wisi.com, by calling Wright at 1-800-888-9471 or in the EDGAR database on the SEC's website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC's public reference room in Washingto, D.C. (call 1-800-732-0330 or informaiton on the operation of the public reference room). PROXY VOTING POLICIES AND PROCEDURES ----------------------------------------------- From time to time funds are required to vote proxies related to the securities held by the funds. The Wright Managed Funds vote proxies according to a set of policies and procedures approved by the Funds' Board. You may obtain a description of these policies and procedures and information on how the Funds voted proxies relating to Portfolio securities during the most recent 12-month period ended June 30 without charge, upon request, by calling 1-800-888-9471. This description is also available on the Securities and Exchange Commissions website at http://www.sec.gov. SEMI-ANNUAL REPORT OFFICERS AND TRUSTEES OF THE FUNDS Peter M. Donovan, President and Trustee A. M. Moody III, Vice President and Trustee Judith R. Corchard, Vice President James J. Clarke, Trustee Dorcas R. Hardy, Trustee Richard E. Taber, Trustee Janet Sanders, Secretary Barbara E. Campbell, Treasurer William J. Austin, Jr., Assistant Treasurer ADMINISTRATOR Eaton Vance Management 255 State Street Boston, Massachusetts 02109 INVESTMENT ADVISER Wright Investors' Service 440 Wheelers Farms Road Milford, Connecticut 06461 PRINCIPAL UNDERWRITER Wright Investors' Service Distributors, Inc. 440 Wheelers Farms Road Milford, Connecticut 06461 (800) 888-9471 e-mail: funds@wrightinvestors.com CUSTODIAN Investors Bank & Trust Company 200 Clarendon Street Boston, Massachusetts 02116 TRANSFER AND DIVIDEND DISBURSING AGENT Citigroup Fund Services, LLC Two Portland Square Portland, ME 04101 This report is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of a mutual fund unless accompanied or preceded by a Fund's current prospectus. Item 2. CODE OF ETHICS The registrant has adopted a code of ethics applicable to its Principal Executive Officer and Principal Financial Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-888-9471. Item 3. AUDIT COMMITTEE FINANCIAL EXPERT The registrant's Board has designated James J. Clarke, an independent trustee, as its audit committee financial expert. Mr. Clarke is the Principal of Clarke Consulting, a financial management and strategic planning firm. Item 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not required in filing. Items 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not required in Filing Item 6. SCHEDULE OF INVESTMENTS Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR. Item 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not required in Filing. Item 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not required in Filing Item 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not required in Filing Item 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors/trustees. Item 11. CONTROLS AND PROCEDURES (a) It is the conclusion of the registrant's principal executive officer and principal financial officer that the effectiveness of the registrant's current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission's rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant's principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. (b) There have been no significant changes in the registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Item 12. EXHIBITS (a) (1) Registrant's Code of Ethics - Not applicable (please see Item 2). (a) (2) Treasurer's and President's Section 302 certification. (b) Combined 906 certification. 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. The Wright Managed Income Trust (On behalf of Wright U.S. Government Near Term ------------------------------------------------------------------------------- Fund, Wright Total Return Bond Fund and Wright Current Income Fund) ----------------------------------------------------------------------- By: /s/ Peter M. Donovan --------------------- Peter M. Donovan President Date: August 15, 2006 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ Barbara E. Campbell ------------------------ Barbara E. Campbell Treasurer Date: August 18, 2006 By: /s/ Peter M. Donovan --------------------- Peter M. Donovan President Date: August 15, 2006